SCV+Momemtum Permanent Portfolio

[MachineGhost]

That's fine, at this point most of what I'm looking at falls in a similar category. What kind of drawdown/UPI are you seeing for that return? Just trying to benchmark with some of my better scenarios.

Off the top of my head, it was 10%-11% CAR with -19% MaxDD.

Thanks, I see about the same thing.

So let us know how much momentum adds to it, if at all. I'm curious.

[InsuranceGuy]

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[MachineGhost]

Thanks, I see about the same thing.

So let us know how much momentum adds to it, if at all. I'm curious.

Roughly an additional 1% return or 3% drawdown reduction.

Hmm, is that gonna make up for the increased transaction costs and taxes? It seems tempting not to bother. I know even a fraction of a percent compounds but there's the emotional issues in having to do additional transanctions beyond just the macro aspect.

[InsuranceGuy]

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[ochotona]

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.

[InsuranceGuy]

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[ochotona]

I will find the symbols I ran through portfoliovisualizer.com

[ochotona]

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.

[InsuranceGuy]

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[InsuranceGuy]

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[ochotona]

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.

[stuper1]

Hey InsuranceGuy,

How often do you have to check in on your portfolio with your new strategy? Is it monthly?

[Kbg]

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?

[MachineGhost]

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?

[MachineGhost]

OK you caught my attention...proprietary?

http://www.gyroscopicinvesting.com/foru ... DD#p151996

[Kbg]

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.

[InsuranceGuy]

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[InsuranceGuy]

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[InsuranceGuy]

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[InsuranceGuy]

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[MachineGhost]

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?

[InsuranceGuy]

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