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

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

Postby ochotona » Fri May 05, 2017 9:00 pm

The $IVV SP500 ETF and the $VEU all-world ex-US ETF are neck and neck. The GEM Dual Momentum answer to "what to do about richly valued US stocks" might simply be... LEAVE THEM! But I trade on the first of each month, so I have to wait 17 more trading days.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby thisisallen » Sat May 06, 2017 4:12 am

This website updates the signals for this strategy. (And some other ones also). So at the first of each month you can easily see which fund to choose.
http://indexswingtrader.blogspot.in/p/s ... gnals.html
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Sat May 06, 2017 6:50 am

thisisallen wrote:This website updates the signals for this strategy. (And some other ones also). So at the first of each month you can easily see which fund to choose.
http://indexswingtrader.blogspot.in/p/s ... gnals.html


Good site, thanks. I track different ETFs and mutual funds, the results aren't exactly the same, but I think on June 1 I'll be pivoting away from the S&P500.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby Shawn Hoover » Sat May 06, 2017 12:58 pm

Thanks, ocho. I missed this thread and the new tool before. It was tedious trying to synthesize such testing before.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Thu Jun 01, 2017 2:06 pm

I have almost entirely exited US equities. I bought CWI ETF of global stocks excluding US. VEU is another choice. This was the May 31 Dual Momentum signal.

It feels strange. Now the financial news is oddly not relevant. I'm dependent on Mario Draghi, PBoC, BOJ more than Yellen.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby dualstow » Thu Jun 01, 2017 2:32 pm

Why no US equities? You're in Texas.
Were you watching Marc Faber on CNBC yesterday or something?
Etymology of "dismantle"- to pull down castle walls, but to lit. pull down a cloak.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Thu Jun 01, 2017 6:31 pm

I only follow the price action for GEM. I am trying to switch the argumentative part of my brain off and follow the model strictly. The 27/7 fake news cycle doesn't enter into the decision loop.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Sat Jul 08, 2017 8:55 pm

I am publishing the GEM signals at https://gemsignals.blogspot.com/
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby Shawn Hoover » Sat Jul 08, 2017 9:34 pm

I like your take on using mutual funds. Fidelity charges short term redemption fees, which would kill on a whipsaw. I assume Schwab doesn't do that or you wouldn't trade them.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby ochotona » Sat Jul 08, 2017 9:41 pm

Shawn Hoover wrote:I like your take on using mutual funds. Fidelity charges short term redemption fees, which would kill on a whipsaw. I assume Schwab doesn't do that or you wouldn't trade them.


My Schwab adviser told me verbally there is no short-term redemption problem. But, in the T&C, they always reserve the right to clamp down, at their discretion, on frequent trading. The way I'm going to play it is I'm not going to completely round-trip out of SWPPX or SWISX. I'll sell 99.8% of my holdings and keep a little bit. Maybe that will give me some cover. Of course, GEM only trades once a month at most.

If I get caught in the fine print and a trade gets refused or I get a nastygram, well, I'll just have to fail-over to something else until the coast is clear. SCHX for SWPPX, SCHF for SWISX. Or I'll get my adviser to take it up with management to tell the compliance critters to leave me the heck alone. I have enough there that I have some weight.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Postby Kbg » Sat Jul 08, 2017 10:11 pm

Och,

Why emerging markets?

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