Alpha Market Trend Filter

The Alpha Market Trend Filter (AMTF) is a buy/sell formula which is used to identify periods when the stock market trend is changing. The AMTF is a simple, objective set of instructions that can be used by any equity portfolio to reduce risk and increase long-term returns.

Alpha uses the AMTF in the Alpha Multi-Income Strategy to tell us when to invest in income funds that have a strong correlation to the S&P 500. When the AMTF is bullish, the S&P 500 is in a long-term rising trend which should benefit an assortment of income-producing assets - from high yield bonds to high dividend stocks. When the AMTF is bearish, the market trend is judged to be uncertain and risky, thus causing the portfolio to be liquidated and replaced with low-risk government securities. For more information about the Alpha Multi-Income Strategy, please read the brochure at the Strategies and Performance page.

Alpha Market Trend Filter Rules

Sell: If the S&P 500 index registers two consecutive monthly closes below its own 21-month moving average and is also below its own ten-month moving average, the Alpha Market Trend Filter deems the market trend to be "unfavorable". At that time, the strategy will be switched entirely into an intermediate-term U.S. Treasury bond fund.

Buy: The S&P 500 trend remains unfavorable until it registers one monthly close above its own ten-month moving average. At this time, the market trend is deemed "favorable" and the income funds allocation is re-established. The income funds are held until the next unfavorable signal is given.

Alpha Market Trend Filter Track Record


*As of 12/31/2016
Date Source: Callan Associates
Disclosure: Indexes are not investment vehicles. The returns illustrated above are not returns of an actual strategy and do not include management fees or the cost of funds, trading, or other expenses. This illustration is designed to quantify the effect of certain time periods on representative market indexes. Past performance is not a guarantee of future performance.

System:
Hold S&P 500 if Alpha Market Trend Filter is Favorable (Using S&P 500 Total Return Index) Hold Intermediate-Term bonds when Alpha Market Trend Filter is Unfavorable (Using Barclay's Intermediate Bond Total Return Index)

Footnotes:
1-Average S&P 500 Total Return percentage during Favorable Alpha Market Trend Filter periods
2-Average S&P 500 Total Return percentage during Unfavorable Alpha Market Trend Filter periods
3-Average Intermediate-Term Bond Total Return during Unfavorable Alpha Market Trend Filter periods
4-Total System % Gain (Long S&P 500 when Alpha Market Trend Filter is "Favorable", Long Bonds when Alpha Market Trend Filter is "Unfavorable")
5-Total S&P 500 % Gain (Buy and Hold)


Alpha Market Trend Filter 1970 - 2014














Disclosure: Indexes are not investment vehicles. The returns illustrated above are not returns of an actual strategy and do not include management fees or the cost of funds, trading, or other expenses. This illustration is designed to quantify the effect of certain time periods on representative market indexes. Past performance is not a guarantee of future performance.

The Alpha Market Trend Filter was developed by Jay Kaeppel, author of Seasonal Stock Market Trends (Wiley, 2009). Mr. Kaeppel acts as the portfolio manager of the Alpha Multi-Income Strategy and calculates the AMTF.