Good point Tyler,
This strategy is definitely for folks that can exhibit some patience and not be too concerned with yearly returns. In retirement accounts you can afford to do this where you can't even access the money for 20+ years. But it is a good point, and humans (myself included) can have a hard time sticking with a strategy when it is under performing.
Part of the reason for its under-performance in that time period is how hard hit emerging markets was in 2015 (lost 15% vs a 1% gain for the S&P 500). Emerging markets has big boom years but... it has also has big bust years. If you remove emerging markets as an option in this rotation strategy, the overall returns go down, but its much more consistent. I actually have to do this anyways in my 401k because the emerging markets fund has a 90 day redemption period. I've attached the returns of this version.
Here are the returns going back to 1997: https://engineeredportfolio.files.wordpress.com/2017/02/asset-class-rotation-strategy-no-emerging-markets1.jpg
One other point is that this type of strategy is probably a good idea for some percentage of your retirement account, not the whole thing. I for example have allocated 50% to this, the rest is in a buy-and-hold strategy.