Search found 176 matches

by InsuranceGuy
Sat Feb 16, 2019 10:10 pm
Forum: Variable Portfolio Discussion
Topic: Tactical Asset Allocation + HBPP an intriguing combo
Replies: 309
Views: 40891

Re: Tactical Asset Allocation + HBPP an intriguing combo

Tax efficiency aside...if you are trading this system you have to pay attention once a month anyway so the 5mins extra to make the trade doesn’t seem to be too onerous. I guess that is my issue, unfortunately 30% of my portfolio is not tax advantaged. It seems like if tax efficiency is not an issue...
by InsuranceGuy
Sat Feb 16, 2019 1:59 pm
Forum: Variable Portfolio Discussion
Topic: Tactical Asset Allocation + HBPP an intriguing combo
Replies: 309
Views: 40891

Re: Tactical Asset Allocation + HBPP an intriguing combo

Kbg - I agree that the 3 month lookback is diluted when you ensemble 3, 6, and 12 month lookbacks. This appears to be because the 6 and 12 month lookbacks both vote similarly, so they simply outvote the 3 month 2-1. That said, at least ensembling reduces trading volume, while averaging models as you...
by InsuranceGuy
Sat Feb 09, 2019 9:58 am
Forum: Variable Portfolio Discussion
Topic: Tactical Asset Allocation + HBPP an intriguing combo
Replies: 309
Views: 40891

Re: Tactical Asset Allocation + HBPP an intriguing combo

Being lazy, gun-shy, and fully prone to trader's remorse as I am, now I'm circling back to looking at 12 month as a very well proven durable lookback, but "ensembling" (good word) 10 11 12 13 14 months together to cancel out short-term noise. 19 trades in 21 years. I'm down with that. This in not a...
by InsuranceGuy
Fri Feb 08, 2019 7:04 pm
Forum: Variable Portfolio Discussion
Topic: Tactical Asset Allocation + HBPP an intriguing combo
Replies: 309
Views: 40891

Re: Tactical Asset Allocation + HBPP an intriguing combo

So I tested the GEM with 4 6 8 10 12 month lookbacks contributing to the signal, equal weights, normalized per Portfolio Visualizer, CAGR 11.48% from 1998-2018. If you trade five separate tranches at the end of each month, 4 6 8 10 12 months, then you give up about 1% in return. And I don't have a ...
by InsuranceGuy
Sat Feb 02, 2019 2:44 pm
Forum: Variable Portfolio Discussion
Topic: PP Inspired Momentum - A Comprehensive Approach
Replies: 27
Views: 4478

Re: PP Inspired Momentum - A Comprehensive Approach

Yeah, you are hanging with the rough crowd now. ;) Of note, throughout my writing I’ve continuously emphasized “when combined with a large cash balance.” I am not a fan of holding cash unless the market looks broken, so I have just kept my gambling (leveraged) investments to a percentage that I am ...
by InsuranceGuy
Fri Feb 01, 2019 9:16 pm
Forum: Variable Portfolio Discussion
Topic: PP Inspired Momentum - A Comprehensive Approach
Replies: 27
Views: 4478

Re: PP/GB Inspired Momentum - A Comprehensive Approach

I should have mentioned that I took a page out of the Kbg playbook at the beginning of January and was too chicken to share it. I am now using 3x funds for 20% of my holdings for all but the Cash and International portion of my model as I can't find a 3x fund with enough volume for either of those. ...
by InsuranceGuy
Fri Feb 01, 2019 8:54 pm
Forum: Variable Portfolio Discussion
Topic: PP Inspired Leveraged Portfolios
Replies: 59
Views: 9744

Re: PP Inspired Leveraged Portfolios

Your posts inspired me towards the end of last year. I am now using 3x funds for 20% of my trend following model holdings which gets me to about 1.4x leverage overall. I'm using SPXL for IVV (S&P), DRN for VNQ (REIT), TMF for TLT, and UGLD for IAU. I find that absolute momentum seems to stay out of ...
by InsuranceGuy
Thu Jan 31, 2019 3:09 pm
Forum: Variable Portfolio Discussion
Topic: PP Inspired Momentum - A Comprehensive Approach
Replies: 27
Views: 4478

Re: PP/GB Inspired Momentum - A Comprehensive Approach

REITs looked good for the month. Looks like the model is moving from 50% REIT/50% Cash to 100% REIT. I'm still using VNQ as I like the MSCI REIT Index better than the Dow Jones RE Index, otherwise I'd consider moving to SCHH.
by InsuranceGuy
Fri Jan 18, 2019 10:58 pm
Forum: Variable Portfolio Discussion
Topic: Tactical Asset Allocation + HBPP an intriguing combo
Replies: 309
Views: 40891

Re: Dual Momentum GEM + HBPP a great combo, easy to test

GEM history since 1992: April 1994 - November 1994: a cluster of whipsaws, GEM was down -0.6%, and buy & hold was up +3.6%. Oh damn, I'm an idiot! GEM avoided most of two back to back bear markets... Tech Bubble 2000-2003, and Great Financial Crisis 2008-2009, each down -50% October 2015 - March 20...
by InsuranceGuy
Tue Jan 15, 2019 5:18 pm
Forum: Bonds
Topic: Bonds and IRAs
Replies: 12
Views: 398

Re: Bonds and IRAs

This article has some good info on how to balance tax rates between working and retirement. https://www.kitces.com/blog/tax-rate-eq ... nversions/
by InsuranceGuy
Tue Jan 15, 2019 3:35 pm
Forum: Bonds
Topic: Bonds and IRAs
Replies: 12
Views: 398

Re: Bonds and IRAs

If you have room to do Roth at 12% or lower taxes now, I would jump all over that. Odds seem high that tax rates will be headed up at some point. Even if that turns out to be incorrect, you will have lost little or nothing by doing Roth at 12% taxes. The only caveat would be if you are in a high-ta...
by InsuranceGuy
Tue Jan 15, 2019 3:10 pm
Forum: Bonds
Topic: Bonds and IRAs
Replies: 12
Views: 398

Re: Bonds and IRAs

If your marginal tax rate is 10% or 12% in 2018, then a Roth IRA seems very attractive. If your marginal tax rate is 22% or more, then the decision gets harder. You have to forecast what you think your tax rate in retirement might be. But again, you need to compare your current marginal rate agains...