Tactical Asset Allocation + HBPP an intriguing combo
Moderator: Global Moderator
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Because if you want to follow the GEM prescription precisely, ACWI ex-US is about 19% - 20% EM. It's everything in the world except US. I have thought about omitting it, but... I don't have the data to prove that would be a good idea.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
We have a different ball game now that China is in the "EM" indexes, but formerly EM was pretty much a play on commodities...I would say just buy the ETF, but I saw your reason for MFs so that makes sense.ochotona wrote:Because if you want to follow the GEM prescription precisely, ACWI ex-US is about 19% - 20% EM. It's everything in the world except US. I have thought about omitting it, but... I don't have the data to prove that would be a good idea.
Anyone have a clue what his proprietary mix has in it?
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
-
- Senior Member
- Posts: 126
- Joined: Sat Sep 24, 2016 5:39 pm
- Location: NJ and India
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Fidelity explained that the early redemption fee is a decision by the fund manager. If a fund manager feels he needs to hold the money for a specified period I n order to boost performance then he is able to make the restriction, charge an early redemption fee.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Correcting my earlier comment: the Fidelity funds (at least the S&P 500 Index and Global Ex-US funds) do not currently have short term redemption fees. It seems like I saw that on FSBAX or FSTMX at some point, but I may be remembering only PRPFX. However, they have very clear rules against excessive trading. If you do two 30-day round trips in and out of a fund in 90 days or four across all Fidelity funds in a 12 month period, they'll lock you out of fund purchases for at least 85 days. In that case you're left to call and ask nicely or switch to ETFs anyway. It's rare for GEM to swing enough to violate those rules, so it's not out of the question to use the funds until it does, but it's something to remember.
As an aside, I noticed FSGDX has steadily underperformed VEU and related iShares ETFs the past few years. That would need to be understood before one used it.
As an aside, I noticed FSGDX has steadily underperformed VEU and related iShares ETFs the past few years. That would need to be understood before one used it.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Are you able to say what assets were/are in the mix? If not, no worries.ochotona wrote:I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
-
- Senior Member
- Posts: 126
- Joined: Sat Sep 24, 2016 5:39 pm
- Location: NJ and India
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I was told that the mgr of FTIPX requires a holding period of 90 days. If a withdrawal is made before 90 days then there is a 1% charge.Mr Vacuum wrote:Correcting my earlier comment: the Fidelity funds (at least the S&P 500 Index and Global Ex-US funds) do not currently have short term redemption fees. It seems like I saw that on FSBAX or FSTMX at some point, but I may be remembering only PRPFX. However, they have very clear rules against excessive trading. If you do two 30-day round trips in and out of a fund in 90 days or four across all Fidelity funds in a 12 month period, they'll lock you out of fund purchases for at least 85 days. In that case you're left to call and ask nicely or switch to ETFs anyway. It's rare for GEM to swing enough to violate those rules, so it's not out of the question to use the funds until it does, but it's something to remember.
As an aside, I noticed FSGDX has steadily underperformed VEU and related iShares ETFs the past few years. That would need to be understood before one used it.
And that FUSVX and FSITX do not have any restrictions.
- dualstow
- Executive Member
- Posts: 14309
- Joined: Wed Oct 27, 2010 10:18 am
- Location: synagogue of Satan
- Contact:
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Some of these might be your kind of thing, ocho, et al.
https://www.bogleheads.org/forum/viewto ... 0&t=222780
I always enjoy grap's posts.
https://www.bogleheads.org/forum/viewto ... 0&t=222780
I always enjoy grap's posts.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I know what's in the proprietary model, but it would not be ethical for me to disclose.Kbg wrote:Are you able to say what assets were/are in the mix? If not, no worries.ochotona wrote:I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
FWIW, the GEM model is still 100% in ACWI-ex US stocks, that would be the Vanguard ETF $VEU. I personally use 81% $SWISX and 19% $SCHE. This has been the allocation from June 1, 2017, and the next evaluation will be September 30, 2017.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
GEM is still in non-US stocks for October 2017. I thought it might flip. The month ain't over 'til it's over.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Schwab Mutual Funds and ETF
SWPPX tracks the S&P500 index. The momentum score is 23.57%
Mixing together SWISX 81%, SCHE 19% will approximate the ACWI ex-US. The momentum score is 23.38%
Using these securities, GEM is in the S&P500
But, if you are using Vanguard ETFs
VOO tracks the S&P500. The momentum score is 23.76%
VOO tracks the ACWI ex-US. The momentum score is 23.52%
Using these securities, GEM is in the ACWI ex-US
So a bit of tracking error and confusion for November 2017! With scores that close... does it even matter which set of scores are "right"? I have a suggestion... wait two weeks. I will issue a mid-month report.
SWPPX tracks the S&P500 index. The momentum score is 23.57%
Mixing together SWISX 81%, SCHE 19% will approximate the ACWI ex-US. The momentum score is 23.38%
Using these securities, GEM is in the S&P500
But, if you are using Vanguard ETFs
VOO tracks the S&P500. The momentum score is 23.76%
VOO tracks the ACWI ex-US. The momentum score is 23.52%
Using these securities, GEM is in the ACWI ex-US
So a bit of tracking error and confusion for November 2017! With scores that close... does it even matter which set of scores are "right"? I have a suggestion... wait two weeks. I will issue a mid-month report.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
In large part because of the whackiness of November 2016, which created an interesting blip between the S&P 500 and international markets. Unless the S&P goes crazy this month, it’s clearly international next month. I reckon it doesn’t matter what you do when it’s this close as long as you don’t make exactly the wrong choice every time it happens
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I just really despise getting whipsawed, because it's really big sums. Since we know the past volatility occurred, I figure we might as well take it into account. It's just discarding outliers to get a cleaner dataset.Mr Vacuum wrote:In large part because of the whackiness of November 2016, which created an interesting blip between the S&P 500 and international markets. Unless the S&P goes crazy this month, it’s clearly international next month. I reckon it doesn’t matter what you do when it’s this close as long as you don’t make exactly the wrong choice every time it happens
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Hi,ochotona wrote:Schwab Mutual Funds and ETF
SWPPX tracks the S&P500 index. The momentum score is 23.57%
Mixing together SWISX 81%, SCHE 19% will approximate the ACWI ex-US. The momentum score is 23.38%
Using these securities, GEM is in the S&P500
Why do you prefer mutual funds over ETFs?
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I am getting to know mutual funds again because it can be difficult to trade ETFs without getting your wallet picked. You have to avoid market open, market close, use limit orders, trade small blocks, or else you could get a bad price. With mutual funds you don't have to do any of that you just put in the order it trades at the NAV price after market close.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
You bring up an interesting aspect of mutual funds. It explains your precision with the percents on your blog, to which I subscribed. Currently, I am all in ETFs (SCHF and DBAW) but your posts put me on the fence now.
Antonacci lists these benefits of ETFs over mutual funds:
- lower operating expenses ,
- more trading liquidity ,
- more transparency ,
- and more efficient tax structures.
How do you handle these while staying with mutual funds?
Edited: grammar.
Antonacci lists these benefits of ETFs over mutual funds:
- lower operating expenses ,
- more trading liquidity ,
- more transparency ,
- and more efficient tax structures.
How do you handle these while staying with mutual funds?
Edited: grammar.
Last edited by HappyMan on Tue Nov 14, 2017 6:28 am, edited 1 time in total.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The Schwab ETFs and Mutual Funds have same expense ratios (very low), the MF is liquid once a day!, I trade in an IRA so tax efficient is moot for me, both track indices so totally transparent.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Could not respond on your blog, but Gary Antonacci talks about different models on pages 98 and 101-122 in his FAQ,ochotona wrote: ...
"On page 101 and 112 of my book I give a simplified logic for GEM so anyone can easily implement it using a free charting website. There is a minor difference if you calculate the signals as I discus on page 98 of my book. I mention there that I determine absolute momentum using only the S&P 500 index, since the U.S. leads world equity markets. I cite a supporting reference. This means we may occasionally be in aggregate bonds if the trend in U.S. stocks is down even when non-U.S. stocks are the strongest asset. "
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Thanks! After some reflection, I like the simpler approach; I just hate getting whipsawed, so any excuse to avoid trading I'll take. The simpler approach trades less. And I just don't know how persistent the role of US Stocks as bellwether to the world will be, what with the rise of the China, the Asian Tigers, India, etc.HappyMan wrote:Could not respond on your blog, but Gary Antonacci talks about different models on pages 98 and 101-122 in his FAQ,
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Here is also a review of the strategy with lists of advantages and disadvantages,
http://awealthofcommonsense.com/2015/07 ... -momentum/
As the author rightfully noticed, GEM overperform S&P before 2009 because it does better in bearish markets. Perhaps, someone can give it another evaluation during the current bullish market.
http://awealthofcommonsense.com/2015/07 ... -momentum/
As the author rightfully noticed, GEM overperform S&P before 2009 because it does better in bearish markets. Perhaps, someone can give it another evaluation during the current bullish market.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
GEM has been trailing the SP500 since the bull market began, but it has done fine. The real payback comes over the completion of the market cycle.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
BTW, why add TLT, GLD, and cash to the mix? For example, some analytics say that GLD will go down for a good while.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The idea behind this post and my portfolio is I'm adding to the robustness of the HBPP structure by adding trend-following global equities. This allows me to increase the equity slice without making the whole portfolio more risky that a regular HBPP.HappyMan wrote:BTW, why add TLT, GLD, and cash to the mix? For example, some analytics say that GLD will go down for a good while.
Currently,
10% gold / platinum / agricultural commodities
10% cash
30% bonds (but medium duration, not long)
50% equities
As far as gold... the only function of gold is to embarrass people who try to guess what the price will be, as far as any of us here can tell. I don't think it's a worthwhile activity, beyond the amusement factor.