Interesting Portfolio

A place to talk about speculative investing ideas for the optional Variable Portfolio

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Kbg
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Interesting Portfolio

Post by Kbg » Mon Jul 11, 2022 5:50 pm

I've been reading a really quite boring finance book lately and came across a chart/section of the book that essentially stated long bonds and commodities cycle opposite to each other...so I said to myself...hmmm...what if we try something like QQQ, TLT/EDV and DBC in a hold two momentum or some other dual momentum kinda portfolio mix.

Turns out it has worked quite well. Anyway, there's the hint, details over to your own personal research effort if interested.
D1984
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Re: Interesting Portfolio

Post by D1984 » Tue Jul 12, 2022 8:31 pm

Kbg wrote:
Mon Jul 11, 2022 5:50 pm
I've been reading a really quite boring finance book lately and came across a chart/section of the book that essentially stated long bonds and commodities cycle opposite to each other...so I said to myself...hmmm...what if we try something like QQQ, TLT/EDV and DBC in a hold two momentum or some other dual momentum kinda portfolio mix.

Turns out it has worked quite well. Anyway, there's the hint, details over to your own personal research effort if interested.
Just a quick request for clarification: When you said "hold two momentum" did you mean a dual momentum setup that is designed to hold the two highest-performing assets (i.e. it might hold QQQ and EDV, or EDV and DBC, or QQQ and DBC) or some kind of momentum system that always holds, say, QQQ but switches between either EDV or DBC as the other holding depending on trend/momentum of those two assets?
Kbg
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Re: Interesting Portfolio

Post by Kbg » Wed Jul 13, 2022 9:36 am

Correct, hold two.

Also, segment your lookbacks vs. going with a single momentum value. Really you should always segment vs. using a single value for any momentum system...puts the math on your side and reduces the "luck" factor. Segmenting won't give you the best historical performance in hindsight, but it won't give you the worst either.
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seajay
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Re: Interesting Portfolio

Post by seajay » Fri Jul 15, 2022 8:26 am

Momentum works, until it doesn't - such as when it repeatedly zig-zags in/out again.

Counter cycles can often be observed in a broad range of assets. Gold/Silver ratio, Gold/Dow ratio ...etc. If looking to reduce exposure to the worst asset then a variant might be to equal weight domestic/international stock, gold/silver, short/long dated bills/bonds. 16.6% in the years worst performing asset, rather than the PP's 25%. Or 83% Golden Butterfly alongside 17% silver.
Kbg
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Re: Interesting Portfolio

Post by Kbg » Mon Jul 18, 2022 5:25 pm

seajay wrote:
Fri Jul 15, 2022 8:26 am
Momentum works, until it doesn't - such as when it repeatedly zig-zags in/out again.

16.6% in the years worst performing asset, rather than the PP's 25%. Or 83% Golden Butterfly alongside 17% silver.
Uh...the front part of that sentence would be a momentum play as well.

Also, if you are going to diversify stock market risk with a shiny metal pick the one that is less correlated and that would not be silver.

But if we are going to use silver I think the percentage should be 16.834.

But yes, I will agree that flat zig zaggy sucks for momentum systems
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