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

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

Postby ochotona » Mon Mar 20, 2017 11:30 am

If you take a Gary Antonacci Dual Momentum GEM and replace the equity portion of the HBPP with it, you get a great combo, and it's now easily testable using the "core-satellite" feature on Portfoliovisualizer.com

For core, put the non-equity parts of the HBPP: TLT, GLD, and symbol CASHX (or SHY if you prefer), at 1/3 each (they have to total to 100%)

For satellite, use Dual Momentum, 12 month period, hold one asset at a time, symbols VFINX, VGTSX, and hold assets in cash when not invested, or some other bond fund of your preference... VBMFX for example.

Start with 75% core, 25% satellite. Then increase to 30%, 35%, 40% satellite (GEM), etc...

The Sharpe and Sortino ratios evolve to really nice levels, I saw a Sortino as high as 1.75 appear. The CAGR goes up also.

I think this could be a superb retirement portfolio, as long as you don't mind the monthly GEM dance. Because the GEM hacks the equity drawdown approximately in half, you need less of the other HBPP assets to buffer the equity, which makes it grow more, if you prefer more growth due to your age. Having less gold and TLT is sort of good also, because they are volatile assets also. And it's less of a bet on US equities vs non-US.

I think 40% GEM, 20% TLT, 20% cash, 20% gold is a sweet-spot. But I need to make a testing matrix and write more of this stuff down.

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