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

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

Post by HappyMan » Mon Apr 16, 2018 3:12 am

ochotona wrote: 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/tes ... odWeight=0
ochotona wrote: I've said it before, I'll say it again... I think roughly 50% GEM and the rest in cash, bonds, and gold is just about a magical combination. It grows much better than native HBPP, but it has the similar drawdown (pucker factor) and risk-adjusted return. I think it's close to ideal.
Do you have by any chance a saved link to this combination?

Honestly, I thought DM was best long-term investment strategy based on previous earnings, and then I found out about the other three portfolios, which are 50% better.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Apr 16, 2018 5:23 am

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

Post by HappyMan » Mon Apr 16, 2018 8:09 am

ochotona wrote: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, the best I have for $10K invested since March 2006:

Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation
$38,586 12.75% 34.02% -20.47% -29.93% 1.04 1.71 0.85
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Apr 30, 2018 6:08 pm

No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Apr 30, 2018 11:25 pm

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

Post by ochotona » Tue May 01, 2018 5:42 am

HappyMan wrote:
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!
55% gem, 45% core

Core = 22% cash, 78% bonds

From 1999-2017

7% cagr, max drawdown -8.71%, Sortino 1.38

No gold records beyond 2005 (simulator uses gld)
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by modeljc » Tue May 01, 2018 7:00 pm

ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
Thanks! When I look at the charts lines cross but still no change. I guess they can cross back.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Tue May 01, 2018 11:46 pm

ochotona wrote:
HappyMan wrote:
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!
55% gem, 45% core

Core = 22% cash, 78% bonds

From 1999-2017

7% cagr, max drawdown -8.71%, Sortino 1.38

No gold records beyond 2005 (simulator uses gld)
Many thanks!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri May 11, 2018 4:17 pm

It's a very real possibility we switch back to US stocks at the end of May.
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A recap of the GEM methodology

Post by ochotona » Tue May 22, 2018 8:41 pm

D1984
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by D1984 » Wed May 23, 2018 2:01 am

Ochotona (or anyone else who may have this info),

I am trying to backtest GEM to see how it would've done in the rising rate period of 1963 to early 1970. I have monthly foreign stock index total return data of sorts for 1962 to 1969 but as GEM only starts in 1971 as per Antonacci's website I still need 1970 data. I know EAFE (which is what I will be using since MSCI ex-US or ACWi does not go back that far) started on 12-31-1969 so do you know of any way to get the monthly Total Return data for EAFE for January 1970 to December 1970? I will be using S&P 500 TR monthly returns (which I have back to 1926) for US equities so no problem there. Also, what about intermediate-term bond returns monthly for this period? I suppose they will have to be interpolated from yields based on how the yield rose or fell on, say, the 5-year or 7-year Treasury unless you know of where to find monthly total returns for bonds for the 1960s. Thank you.

EDIT - I just found monthly 1970 data for the MSCI EAFE TR...it will require some manual "chart scraping" to convert a chart to percentage returns but it's only 12 months so shouldn't take too long to do.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Wed May 23, 2018 11:02 am

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.
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