Donor indicator
The Gebert stock market indicator (also known as the Gebert indicator ) is a tool for investing in German stocks and indices, especially the DAX . It was developed in the early 1990s by the physicist Thomas Gebert. With the help of the indicator, buy and sell decisions can be made, which in the long term results in a significant increase in returns compared to the benchmark index and at the same time minimizes the risk of loss. Due to its high accuracy and its low number of false signals, it is one of the most successful stock market indicators.
history
Thomas Gebert wrote his diploma thesis at the plasma physics institute at the University of Bochum in the 1980s. Among other things, he had to derive statistically verifiable regularities and relationships from graphically plotted measuring points. This empirical approach gave him the idea to examine the price developments of the stock exchange in the same way. His aim was to find systematic connections between stock indices and other influencing factors. In doing so, he transferred analysis processes from the natural sciences, e.g. B. according to the trial and error principle, on the stock exchange to make statistically verifiable statements. To do this, he created an extensive collection of around 8,000 data sets, which included economic data, bond, dollar and stock prices, among other things.
The first system was created by backtesting the DAX or its recalculated daily rates from 1962 to 1993. These were then subjected to a whole range of investment strategies with the help of computer simulations, such as the well-known technical analysis methods such as B. MACD and moving averages, later also fundamental factors such as incoming orders, wage agreements , inflation or interest parameters were added. Even exotic factors such as moon phases, average temperatures or sunspot numbers were included in the investigations.
From hundreds of strategies and behaviors examined, a model made up of four sub-indicators delivered the best results, from which it then developed today's indicator. Gebert also published a book about this in 1993/94. The current status of the indicator has been published in the stock exchange magazine Der Aktionär since 1996 .
In 2006, a first certificate was issued as an investment product for private investors by Merill Lynch that used the indicator (this is no longer available today). Other investment products followed, e.g. B. from Morgan Stanley and certificates from the field of social trading .
functionality
The indicator is made up of the sum of four sub-indicators. Each sub-indicator can have the values 0 or 1, which in total then results in values of 0 to 4 points for the overall indicator. A total of 0 and 1 point means a sell signal for stocks (or the DAX) or a non-invested phase. 3 and 4 points indicate a buy signal or indicate an invested phase and 2 points confirm the last signal and do not lead to any change. The indicator is always determined at the beginning of the month, since its sub-indicators are only determined or published on a monthly basis. This results in 12 values per year.
The sub-indicators
The following conditions are checked for the sub-indicators on the basis of previously determined data:
- Interest rates
If the ECB's last interest rate hike was a cut, this corresponds to one point; if the last interest rate hike was up, there are zero points. - Inflation
If the inflation rate determined by Eurostat for the euro zone - i.e. the harmonized consumer price index - is below that of the same month of the previous year, this also means a point. A tie in inflation or an increase in inflation in a twelve-month comparison, on the other hand, are rated with zero points.
It should be noted here that the values published by Eurostat at the beginning of the month are only given as estimates and are only marked as official values 14 days later. The inflation sub-indicator is therefore always included one month later. (The "early" use of the estimated value does not lead to success.) - Dollar-euro
exchange rate The third signal concerns the exchange rate development. If the US dollar is quoted in euros (formerly: DM ) above its level twelve months ago, this in turn results in one point, while an exchange rate that is the same or lower is valued at zero points. The monthly values averaged by the Deutsche Bundesbank are used for this.
It should also be noted here that the values of the Deutsche Bundesbank represent the euro in dollars and the reciprocal value must be used for the sub-indicator. (Otherwise the aforementioned conditions must be reversed.) - Season
The fourth characteristic relates to seasonality. True to the motto "Sell in May and go away, stay away till St. Leger Day", now also known as the Halloween indicator , a point is added for the period from November 1st to April 30th, but not in the other months.
The sum of the sub-indicators then decides whether to buy, hold or sell.
implementation
The easiest way to implement an investment strategy is to use a DAX ETF , which invests in each case with a buy signal and which is sold with a sell signal. In order to increase the investment success, it makes sense in the non-invested phases in fixed-income products such as B. Investing overnight money . It is also possible to use the signals for other stocks and indices on the regulated German market.
backgrounds
With its interest rate decisions, the central bank essentially pursues the goal of keeping the inflation rate at the desired level. If the economy is bad and inflation is low, interest rates are lowered to stimulate the economy. This makes loans cheap and encourages companies to invest. If the economy is doing well, on the other hand, this will lead to price increases. The central bank is slowing down by raising interest rates, which means that loans become more expensive again and demand declines. The short-term interest rate (overnight money rate) is the same as the gross domestic product.
The dollar is an important influencing factor for the export-oriented German economy. Not only is the majority of German products marketed in the USA, the strength of the dollar also determines energy prices such as oil and natural gas. The dollar also serves as a world trade currency in relation to other countries, whereby a strong dollar always leads to cheaper production at home.
The seasonal fluctuations of stock markets ( Halloween effect ) have already been examined through numerous analyzes. Scientists Ben Jacobsen and Cherry Yi Zhang from Massey University have made a significant contribution in the recent past . In an extensive study from 2012, they examined data from 108 countries since the year 1693. It was shown that the effect could be confirmed in 75% of the cases and even intensified. Seasonality is particularly pronounced in Germany. The exact causes for this have not yet been adequately determined. It is believed that people have a habit of cycles such as B. Sowing and Harvesting. The vacation time can also have an important influence.
Development so far
Unlike numerous other publications and indicator systems, the "encoder system" has proven itself to this day. From the beginning of 1993 to March 2019, investors with the Gebert strategy would have achieved a total profit of more than 2,600 percent. On the other hand, anyone who has always invested in the DAX through a buy-and-hold strategy (e.g. via a certificate or ETF) would have made a profit of only 650 percent in the same time. 1,000 euros would have become over 27,000 euros in the first case and only around 7,500 euros in the second.
With this result, the Gebert stock market indicator even makes investment legend Warren Buffett look old. So was z. For example, at the height of the dot-com bubble, a sell signal is generated, which largely spares the investor the crash and the subsequent bear market. The chart also shows, however, that there are phases in which a significant underperformance occurs because you are not invested according to the number of points, or the end of a downward movement is still with you. From the first publication to 2008, z. B. the significant increase before the financial crisis is not recorded. Conversely, however, the model blew up again in November 2008, so that the final phase of the sharp correction was still taken from a higher level. On the other hand, one was also invested from March 2009 in order to participate strongly in the resurrection of the stock market. Very few indicator models succeeded in doing this, as most of them did not give an entry signal again until the summer of 2009. According to the indicator system, the worsening of the Greek crisis in July 2011 was also mastered excellently, because there was no investment here from May 2011 to November 2011 and therefore safe from high price losses.
The development to date from 1963 to 2019 shows that only two investment phases have been completed with negative results. On the one hand, this was from November 1, 2002 to May 2, 2003 with −6.8% and from March 1, 2018 to July 2, 2018 with −1.9%. Overall, the Gebert system has so far achieved an average return of + 15% p. a. before taxes and expenses.
It is also noteworthy that even the application of the sub-indicators alone led to an increase in returns (overperformance) compared to the buy-and-hold strategy of the DAX.
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Cons and Limits
Despite the convincing overall results, the indicator is rather unsuitable for institutional investors in particular. A major reason is that the system only works for the German stock market. The system does not work for the US market, with the equivalent values of US inflation and FED interest rate decisions, and also not in Asia. According to Thomas Gebert, further expansion to other markets will not generate any noteworthy benefit here, as this would make a portfolio more complex, but not better diversified. He has therefore not examined other markets in more detail.
For the investor, there may be psychological dangers in particular, which require great discipline. Under certain circumstances, for example, there is no investment for several years that has to be endured. This "endurance" leads to internal criticism and negative customer opinions, especially among institutional investors.
There is also the risk of not letting the system work automatically but of overriding it with discretionary decisions. However, this often leads to negative results. In addition, due to unforeseeable drawdowns , it is not possible to use the system in connection with a benchmark concept with narrow tracking error specifications or stop-loss marks.
Despite the great accuracy for rising prices, the signals cannot be used for short investments, as too many false signals are generated and the advantages of the indicators are nullified.
A source of danger that cannot be influenced also arises from the ECB. Since this has always focused more strongly on combating inflation, the interest rate cuts often came about late, when the markets had already seen a good part of the downward trend. The positive partial signal of the stock market indicator derived from this tended to be later in the course of time. In contrast, the Fed is much more proactive and, in addition to the inflation target, also has growth and employment in mind.
The Gebert indicator is therefore only suitable for medium and long-term investments in the private sector or for social trading .
literature
- Thomas Gebert, Paul Hüsgen: Stock market indicators . Börsenmedien AG, 4th edition, 1998, ISBN 978-3-922669-13-5 .
- Thomas Gebert: The great Gebert. Börsenbuchverlag, 1st edition, 2015, ISBN 978-3-86470-254-9 .
- Institutional Money, specialist magazine: Börsenindikator Deutschland: Amazingly simple success concept. Edition 2/2012.
- Marko Gränitz: Thomas Gebert: This is how my stock market indicator works . Interview. In: TRADERS´ . No. 5 , 2015, p. 88-93 .
- Oliver Paesler: Investing money with the Gebert stock market indicator . In: TRADERS´ . No. 8 , 2019, pp. 60-65 .
Web links
- ECB main refinancing rate
- Eurostat inflation rate
- Deutsche Bundesbank euro reference rate
- The Halloween Indicator (PDF)
Individual evidence
- ↑ Paul Hüsgen, Thomas Gebert: Stock market indicators . Börsenbuch-Verlag, Kulmbach 1997, ISBN 3-922669-13-1 .
- ↑ The Halloween Indicator
- ↑ a b c d e f Institutional Money, specialist magazine: Börsenindikator Deutschland: Amazingly simple success concept. Edition 2/2012.