No. of Recommendations: 10
There were 23 S5T Bear Markets between 1926 and 2025 (20% decline followed by 25% gain). The average total returns during these Bear Markets were:
screen avgTR
S5T -35
S5T_BCC0 -21
improvement 15
ZY100Mo -43
ZY100Mo_BCC0 -26
improvement 18
FF134Mo -32
FF134Mo_BCC0 -19
improvement 13
Improvement from BCC0 timing was similar for S5T and the momentum screens: decreasing the drawdowns by about 15 on average (about 40%). Timing did not help in about half of the Bear Markets.
=== data ===
Total returns during Bear Markets:
From To S5T S5T_BCC0 chg ___ ZY100Mo ZY100Mo_BCC0 chg ___ FF134Mo FF134Mo_BCC0 chg
19340206 19350314 -29 -32 -3 -46 -46 0 -4 -7 -2
19870825 19871204 -33 -33 0 -29 -29 0 -35 -35 0
19290903 19291113 -43 -43 0 -57 -57 0 -52 -52 0
19330718 19331019 -29 -29 0 -33 -33 0 -25 -25 0
19381109 19390411 -23 -23 0 -34 -34 0 -15 -15 0
19460529 19461009 -26 -26 0 -39 -39 0 -23 -23 0
19570715 19571022 -20 -20 0 -31 -31 0 -18 -18 0
20200219 20200323 -34 -34 0 -32 -32 0 -35 -35 0
19320907 19330227 -39 -39 0 -51 -51 0 -28 -28 0
19401108 19420428 -25 -18 7 -32 -35 -3 -25 -13 12
20220103 20221012 -24 -16 8 -34 -33 1 -34 -29 5
19660209 19661007 -21 -9 12 -29 4 33 -27 -4 23
19611212 19620626 -27 -12 15 -39 -16 22 -36 -19 17
19391025 19400610 -29 -14 16 -38 -16 22 -22 -6 16
19310224 19310602 -32 -11 22 -28 -5 23 -14 -5 9
20000324 20021009 -47 -24 24 -56 -38 19 -75 -64 11
19300410 19301216 -42 -18 24 -49 -23 26 -30 -13 17
19681129 19700526 -33 -6 27 -60 -5 55 -25 -1 24
19730111 19741003 -45 -17 28 -59 -21 38 -53 -22 30
19370310 19380331 -53 -24 29 -64 -24 39 -37 -10 27
19310626 19311005 -42 -10 32 -53 -11 41 -30 -4 26
20071009 20090309 -55 -14 40 -54 -10 43 -50 -18 31
19311109 19320601 -61 -4 57 -49 -5 44 -47 -2 44
average -35 -21 15 -43 -26 18 -32 -19 13
<10 impr 11 11 11
From To Nas100Momentum Nas100Momentum_BCC0 chg
19870825 19871204 -38 -38 0
20000324 20021009 -67 -56 11
20071009 20090309 -47 -20 27
20200219 20200323 -34 -34 0
20220103 20221012 -39 -32 8
average -45 -36 9
