SCV+Momemtum Permanent Portfolio

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

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ochotona
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Re: SCV+Momemtum Permanent Portfolio

Post by ochotona » Wed Jun 22, 2016 5:06 am

I tried Dual Momentum on the oldest SCHV and MCB mutual funds which date back 20+ years, and it didn't work, but Large Caps worked with DM.
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InsuranceGuy
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Re: SCV+Momemtum Permanent Portfolio

Post by InsuranceGuy » Wed Jun 22, 2016 8:59 pm

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ochotona
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Re: SCV+Momemtum Permanent Portfolio

Post by ochotona » Wed Jun 22, 2016 9:37 pm

I will find the symbols I ran through portfoliovisualizer.com
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Re: SCV+Momemtum Permanent Portfolio

Post by ochotona » Fri Jul 15, 2016 6:59 pm

Here are two small and mid cap mutual funds with a long history.

SWSSX and VIMSX, for example, are two symbols that don't behave the same way in the PortfolioVisualizer Dual Momentum calculator as, say, SWPPX, an SP500 mutual fund with a long history.

I don't know why DM doesn't work as well for these funds.
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Re: SCV+Momemtum Permanent Portfolio

Post by InsuranceGuy » Sun Jul 24, 2016 11:02 pm

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Updated SCV+Momemtum Results

Post by InsuranceGuy » Thu Sep 08, 2016 1:12 am

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Re: SCV+Momemtum Permanent Portfolio

Post by ochotona » Thu Sep 08, 2016 5:55 am

Just as an aside, I notice in my 401k and HSA some of the non-US equity fund offerings are closing in on the US funds, on a 1 year lookback momentum basis. Emerging markets has been hot.
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Re: SCV+Momemtum Permanent Portfolio

Post by stuper1 » Thu Sep 08, 2016 12:13 pm

Hey InsuranceGuy,

How often do you have to check in on your portfolio with your new strategy? Is it monthly?
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Re: Updated SCV+Momemtum Results

Post by Kbg » Thu Sep 08, 2016 3:28 pm

InsuranceGuy wrote:Well I wanted to do some exhaustive testing before I sharing after the results from my latest scenarios came out so well. I can't find any reason to not believe the results other than that it seems too good to be true. I have tested out of sample using my conceptually simple model and continue to see fantastic results.

My goal was to get roughly double the HBPP returns with HBPP drawdowns while not using leverage as I'm too risk averse to gamble with my money. I'm not going to reveal the exact details but I have laid out the framework in my Equity Returns with 1/2 HBPP MaxDD thread, and as the title of this thread indicates I add a small value twist and a couple of model enhancements.

My full backtest from 1970-2015 gives:

Code: Select all

CAGR      18%
MaxDD    -23%
UPI       3.4
Trades/yr 5.4
*Note trades/yr count both entering a position and exiting a position so really 2.7 round-trip trades which seems reasonable

So basically double the HBPP returns with only slightly higher MaxDD and a high UPI. I am satisfied with the results and will begin trading the strategy this coming month. I'll post performance updates over time for those interested.

OK you caught my attention...proprietary?
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Re: Updated SCV+Momemtum Results

Post by MachineGhost » Thu Sep 08, 2016 3:31 pm

InsuranceGuy wrote: My full backtest from 1970-2015 gives:

Code: Select all

CAGR      18%
MaxDD    -23%
UPI       3.4
Trades/yr 5.4
*Note trades/yr count both entering a position and exiting a position so really 2.7 round-trip trades which seems reasonable

So basically double the HBPP returns with only slightly higher MaxDD and a high UPI. I am satisfied with the results and will begin trading the strategy this coming month. I'll post performance updates over time for those interested.
The above is very hard to believe for an "all weather" portfolio. What do you attribute the huge outperformance to?
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: Updated SCV+Momemtum Results

Post by MachineGhost » Thu Sep 08, 2016 3:34 pm

Kbg wrote:OK you caught my attention...proprietary?
http://www.gyroscopicinvesting.com/foru ... DD#p151996
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: Updated SCV+Momemtum Results

Post by Kbg » Thu Sep 08, 2016 3:46 pm

MachineGhost wrote:
Kbg wrote:OK you caught my attention...proprietary?
http://www.gyroscopicinvesting.com/foru ... DD#p151996
I recall this thread...it 18 CAGR/23 Max DD that caught my attention.
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Re: SCV+Momemtum Permanent Portfolio

Post by InsuranceGuy » Thu Sep 08, 2016 8:55 pm

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Re: SCV+Momemtum Permanent Portfolio

Post by InsuranceGuy » Thu Sep 08, 2016 8:56 pm

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Re: Updated SCV+Momemtum Results

Post by InsuranceGuy » Thu Sep 08, 2016 9:15 pm

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Re: Updated SCV+Momemtum Results

Post by InsuranceGuy » Thu Sep 08, 2016 9:38 pm

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Re: Updated SCV+Momemtum Results

Post by MachineGhost » Thu Sep 08, 2016 10:26 pm

InsuranceGuy wrote:Both momentum and value focused strategies boost returns, yet at the same time momentum and value are negatively correlated. Minimum volatility is then used as a tactical allocation strategy. Combining strategies boosts returns and lowers drawdowns. The trick is to no optimize the process so you don't kill your tax efficiency with excessive trading.
Now when you say momentum, you're still talking about applying tactical momentum to the PP as a whole and not just investing in momentum stocks and value stocks in the Prosperity sector, right?
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: Updated SCV+Momemtum Results

Post by InsuranceGuy » Thu Sep 08, 2016 10:41 pm

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