Is it to be understood that even though timing methods would keep us out during major losses, the overall CAGR encompassing such periods is not improved?

The CAGR during the major market loss would be much improved. With most timing methods, your max downside deviation (MDD) will be lower during the market loss as well. In "return" for the lower losses during market declines, normally timing signals will also keep you out for a period of the post-loss market gains, so generally timing system CAGR suffers after the market decline until the timing signal reacts.

So, over a whole market cycle, the CAGR using timing is roughly the same as buy & hold, but with reduced losses and reduced gains (less volatility). The benefit of them is if you can't afford to take (or survive) the significant hit to your portfolio during the market loss period. That might happen during the decumulation phase of your investment life (i.e. living off your investments) if you aren't independently wealthy.

Tails

Mechanical Investing FAQ

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