Please meet Global Navigator and The Russell

[modeljc]

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

Here's where I have them as of right now.


Fact Sheets mid-month, not final for Feb!

How do you get to look forward for a month or half month?

The lookback is 1 month (January), 3 month (Jan Dec Nov), etc.

So I’m using current MTD returns up to when the month has finalized.

Football today. But always thinking. Can you share why you have limited the test back models just to Russell or VXUS. Why not go with the strongest dog out there. Thinking why not VXF now? Or EEM or QQQ or GLD in the future! I know you done a lot of backtesting but this seems to me a way to pick up extra returns without the leveraged products.

[StrategyDriven]

Football today. But always thinking. Can you share why you have limited the test back models just to Russell or VXUS. Why not go with the strongest dog out there. Thinking why not VXF now? Or EEM or QQQ or GLD in the future! I know you done a lot of backtesting but this seems to me a way to pick up extra returns without the leveraged products.

Dual momentum strategies tend to work best on large, diverse, geographically large indices. I push the envelope a bit with The Russell in splitting up the US Market into sub-sections. I’ve played before with other smaller geographical indices, Emerging, Frontier Markets, etc. I was never successful in coming up with sustainable, risk adjusted returns that I liked. Which is how Global Navigator and The Russell ended up to become what they are.

[StrategyDriven]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

[modeljc]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

[StrategyDriven]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

Just working on the reporting mid-month, I'm not interested in mid-month results for the strategies at all.

[modeljc]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

Just working on the reporting mid-month, I'm not interested in mid-month results for the strategies at all.

I'm happy so far. Only did a small position. Thanks!

[StrategyDriven]

2020 Year End Reporting Deck


I have recently revamped the reporting for the strategies, here is 2020 Year End with the revised reporting.

[StrategyDriven]

January results are in, strategy updates, reporting updates, positions for February are included in the report linked just below.

January 2021 Report, with February strategy positions.

[StrategyDriven]

Only Feb 8th and everything is just on fire, makes me feel bubblicious.

[modeljc]

Only Feb 8th and everything is just on fire, makes me feel bubblicious.

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

[modeljc]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

I'm nervous because of how well I've done this year to date, up over 12.5% so far, feeling fortunate and vulnerable at the same time.

[modeljc]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

I'm nervous because of how well I've done this year to date, up over 12.5% so far, feeling fortunate and vulnerable at the same time.

The thing I like about the models is when Risk is off you have made something to give up. You don't get the top or the bottom of the market but when risk is off for a couple of months you still have a nice warm feeling in EDV. EDV made about +7% in March-May 2020; and got most all of your money back. Nice returns when the world is falling apart and nobody could see anything but Tech and it was going down also. Out of the box and Risk is on with all of your money can make for large returns because the drawdown can be limited a lot for a period like 2009.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

I'm nervous because of how well I've done this year to date, up over 12.5% so far, feeling fortunate and vulnerable at the same time.

The thing I like about the models is when Risk is off you have made something to give up. You don't get the top or the bottom of the market but when risk is off for a couple of months you still have a nice warm feeling in EDV. EDV made about +7% in March-May 2020; and got most all of your money back. Nice returns when the world is falling apart and nobody could see anything but Tech and it was going down also. Out of the box and Risk is on with all of your money can make for large returns because the drawdown can be limited a lot for a period like 2009.

Yep.

In fast and furious drops like we had in 2020, the pain of the drop is over quick and the recovery begins. But in drops like late 2007 through 2009 that are long and protracted, that's when it really feels terrific to be in Treasuries and out of equities.

[StrategyDriven]

Here is a sneak peak at a new Metrics page that I've been working on, the more I got into it, the more I like the idea of having all the metrics for the strategies.

DMS Strategies Metrics

[StrategyDriven]

No change of investment for any of the strategies for the month of March 2021.

The strategies are all off to a terrific year, in spite of giving back some gains at the end of February.

Year to Date Results:

S&P500 1.72%
Nasdaq 100 0.13%

Global Navigator 2.56%
The Russell 7.25%
USA S-M-L 22.70%
MAX PAIN 33.76%


New to the reporting this month are Metrics. There is a sheet of Metrics from 2000 through current, one for the 2000 Decade, the 2010 Decade, and the 2020 Decade to date. These are a great way to quantify the returns, volatility and the risk adjusted performance. Maximum Drawdown is a single point of pain in any investment, but it doesn’t quantify the overall drawdown history, the Ulcer Index is a metric pertaining to all downside volatility, the higher the Ulcer Index the more volatile. I like looking at this index a lot, and then I compare the risk adjusted measures like the UPI, Sortino, and Gain to Pain.

Happy Investing

February 2021 Deck

[modeljc]

No change of investment for any of the strategies for the month of March 2021.

The strategies are all off to a terrific year, in spite of giving back some gains at the end of February.

Year to Date Results:

S&P500 1.72%
Nasdaq 100 0.13%

Global Navigator 2.56%
The Russell 7.25%
USA S-M-L 22.70%
MAX PAIN 33.76%


New to the reporting this month are Metrics. There is a sheet of Metrics from 2000 through current, one for the 2000 Decade, the 2010 Decade, and the 2020 Decade to date. These are a great way to quantify the returns, volatility and the risk adjusted performance. Maximum Drawdown is a single point of pain in any investment, but it doesn’t quantify the overall drawdown history, the Ulcer Index is a metric pertaining to all downside volatility, the higher the Ulcer Index the more volatile. I like looking at this index a lot, and then I compare the risk adjusted measures like the UPI, Sortino, and Gain to Pain.

Happy Investing

February 2021 Deck

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

[StrategyDriven]

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.

[modeljc]

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.

Can you share your allocation for March 2021.

Think you had some global tech and the rest in Russull/USA

[StrategyDriven]

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.

Can you share your allocation for March 2021.

Think you had some global tech and the rest in Russull/USA

I'm pretty leveraged in the riskier strategies right now, with more stimulus I think the ride will be upward for a while, not in a straight line as recent volatility has shown. I'm in The Russell USA S-M-L and MAX PAIN, and in two M1 Hedge Fund Follower strategies: Coateu and Global Tiger.

[modeljc]

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.

One twist that might do 2 0r 3% improvement would be 70% Russell and 30% Global. The model would only do VXUS when it is stronger than VTI. When VTI is the signal you use the signal for the Russell. It appears this would provide better results 16 years out of 21. Equal results in 2 years.

Could you look at this without spending a lot of time?

[StrategyDriven]

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.

I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.

One twist that might do 2 0r 3% improvement would be 70% Russell and 30% Global. The model would only do VXUS when it is stronger than VTI. When VTI is the signal you use the signal for the Russell. It appears this would provide better results 16 years out of 21. Equal results in 2 years.

Could you look at this without spending a lot of time?

Here is the metrics page for 30% Global Navigator 70% The Russell

[StrategyDriven]

Strategy results can be seen from this google sheets link: http://tiny.cc/DMSupdates