I see. Would you count May as month one for your approach?

Also, would it not be a more conservative approach? Wait longer and for more confirmations?

Hi,

After April, the holdings remain at 50% IVV/50% IAU, though VBR got dangerously close to IVV. Hence, a couple of questions. The strategy stays with IVV until there is even 0.01 % difference? Have you considered the situation when they break even?

ochotona wrote: ↑Tue May 29, 2018 1:35 pm FAGIX data is at Morningstar, Stockcharts, Fidelity of course. It's a Fidelity mutual fund.

I was wondering about that. If you look at its Asset Allocation, then it FAGIX is only 17-18% in US stocks, the most (almost 70%) is in bonds.

Thank you! A great composition! Where do you look up FAGIX signals? Did a simple backtest. Probably not doing it right. Got a CAGR of over 8%. How do you set it up? Thanks! https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&startYear=1985&a...

Did a simple backtest. Probably not doing it right. Got a CAGR of over 8%. How do you set it up? https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&startYear=1985&endYear=2018&initialAmount=10000&symbols=FAGIX%2C+SWPPX&singl...

ochotona wrote: ↑Tue May 22, 2018 8:41 pm For the benefit of new readers:

http://gemsignals.blogspot.com/2018/05/ ... ap-of.html

Nice summary!

D1984 wrote: ↑Wed May 23, 2018 2:01 am
I am trying to backtest GEM to see how it would've done in the rising rate period of 1963 to early 1970. ...

Hi,

Please let us know about your findings.

with 91% of companies reporting earnings for 1st quarter , they are up 26% over last year . Hi, Where can one find these statistics? Also, is there a way to track hit-or-miss of forecast on earnings? In other words, when they forecast earnings of a company, is there statistics whether they hit or m...

An indicator of some sort is even sweeter! Let the guy know we are ears around here

Is the market getting hot again?

Gut feelings are welcome

[quote="InsuranceGuy"][/quote]

Hi,

Before volatility calculations, the equation remains 50% IVV/50% IAU. Right?

No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU. When you get a chance, can you please look up CAGR and other statistics of your mix of GEM+HBPP. Thanks! 55% gem, 45% core Core = 22% cash, 78% bonds From 1999-2017 7% cagr, max drawdown -8.71%, Sortino 1.38 No g...

ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.

When you get a chance, can you please look up CAGR and other statistics of your mix of GEM+HBPP. Thanks!

InsuranceGuy wrote:
I could make that spreadsheet update automatically every time you open it, there might be a better way but I'm still looking for it.

You are truly dedicated to your approach. I hope it works out and more people use it. Thanks!

I created something simple on google sheets real quick that will give you something close enough. I just used 90 real days which will usually be 59-61 trading days. https://docs.google.com/spreadsheets/d/16NmNMvyiip67WtCotvot-41_LEN9twTb8uIRej58fkE/edit?usp=sharing Thanks! A titanic job well done. ...

Where can one check volatility of the last 60 days? Just download the closing prices for the last 60 days into excel and then use the STDEV function. I admire your skills with formulas and Excel. The rest of us need little bit more explanation. If we need STDEV function, will PortfolioVisualizer wo...

It is getting clearer. I don't have any that are publicly shareable due to size, but maybe I could paste some values into Google Sheets at some point. Sounds like a good idea. The idea of this is that you start with 50%/50% for pairs or 100% for a single asset class. Then you scale it down if needed...

Hi IG, I like how more information is coming out. Appreciate that. Found the first paper online: http://www.optimalmomentum.com/RiskPremiaHarvesting.pdf The process of selection seems somewhat complicated. Let's take it step by step. Suppose, one is using the strategy today. (I'll copy and correct f...

IG, Nice job on outlining drawbacks of Dual Momentum. People here like to backtest things. Can you link your portfolio to something like https://www.portfoliovisualizer.com/ or at least provide tickers for holdings. Questions: - How do you spread percentage-wise a depo among the six areas? - How did...

I didn't notice you could save the URLs for each test! That's handy. I don't have saved tests, I just recorded the results in my notes... It is quite handy. In your notes, is there Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation? So far, th...

You simulate the GEM using the Market Timing Tools, Dual Momentum option. Then, you save the results AS BENCHMARK. Then they are always available for you to compare to any other three static portfolios, which is what I think you want to do. I think I've got it: https://www.portfoliovisualizer.com/t...

Can someone advise how to measure GEM using Portfolio Visualizer? I am trying to compare it with three other portfolios. Link to the three, https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=4&startYear=1985&firstMonth=1&endYear=2018&lastMonth=12&endDate=03...

Just curious, any other component in your portfolio is currently bringing profit?

"It's Time To Be Alert!"

An article on zerohedge compares the current situation to that of 1929, when S&P saw a drawdown almost 50%.

https://www.zerohedge.com/news/2018-03- ... e-be-alert

"This Week's ETF Launches: Vanguard (Yes, Vanguard) Launches Suite of Active-Factor ETFs" They are: The five individual factor ETFs – the Vanguard U.S. Minimum Volatility ETF (VFMV n/a), the Vanguard U.S. Liquidity Factor ETF (VFLQ n/a), the Vanguard U.S. Momentum Factor ETF (VFMO n/a), th...