These portfolio measurement tests apply for portfolios invested in long-term government bonds, foreign currency or stock markets, globally and are shown both in terms of total returns and for capital gains only. Specifically they contain the following design features intended to make them suitable for long-term investors, who may not wish to review the markets on a daily basis. An average of only two transactions each year per investment. This is a what-if analysis. That is to say, what would have happened to investment performance if the same portfolio strategy had been applied to all markets the whole time.
Strategies do however differ between bonds, equities and foreign exchange.
These market timing strategies were tested in 50 countries and regions over 25 years of monthly data. The performance measurement tests include periods of inflation and deflation, boom and bust and markets of widely differing characteistics. The measurements amount to 8000 to 15000 data points in each asset class, up to 340 per time series. This should satisfy the most rigourous demands for testing. In this process a variety of investment concepts have been examined and rejected for a variety of reasons.