Tactical Asset Allocation + HBPP an intriguing combo

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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Sep 01, 2018 5:15 pm

No change to the GEM for September 2018. Still 100% in US stock ETFs like SCHX, IVV, VOO, etc.

In other threads, I expressed a desire to di-worse-ify into other types of funds available in my retirement plans that have very strong momentum, but I'm still going to use the SP500 momentum measurement as a risk kill-switch for all risk assets, when that moment arrives someday... the business cycle has not been outlawed.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sun Sep 30, 2018 5:46 am

Is it time to replace IVV with QQQ? They are correlated. Once below, QQQ now brings almost double the return since Feb 2017. Disadvantage - Schwab and co charges buy/sell fees.

https://www.portfoliovisualizer.com/bac ... ion2_2=100
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Sep 30, 2018 6:21 am

No change to the GEM portfolio for October 2018. Still 100% in US stock ETFs like SCHX, IVV, VOO, etc.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Wed Oct 31, 2018 5:16 pm

No change to the GEM portfolio for November 2018. Still 100% in US stock ETFs like SCHX, IVV, VOO, etc.

IVV had a total return over the past year of +7.34%, which is a buy signal. But, it is below it's own 200 day moving average, which is a sell signal. Which one is right?

Both one year total return and 200 day moving average work as safety switches over the long term, but they go off at different times. It's important to choose which to use and stick by your choice and don't second-guess it.

You can even trade 1/2 your portfolio with one, and 1/2 with the other. The AlphaArchitect guys do that. Just be consistent.

I like one year total return because it trades less. I dislike trading, for me it's emotionally taxing. You can get caught by a spiky market and make moves you later regret.

https://gemsignals.blogspot.com
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Sat Nov 17, 2018 3:35 pm

Another account went 100% bonds. 3 of 5 now in bonds.

I'm a member of allocate smartly and going back to 1990 they have a 50/50 of PP and GEM vs. a 60/40 as follows:

9.1 CAGR vs. 8.5/-13.3 vs. 29.5% max dd/Sharpe .81 vs. .66
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sun Nov 18, 2018 10:44 pm

Kbg wrote:
Sat Nov 17, 2018 3:35 pm
Another account went 100% bonds. 3 of 5 now in bonds.

I'm a member of allocate smartly and going back to 1990 they have a 50/50 of PP and GEM vs. a 60/40 as follows:

9.1 CAGR vs. 8.5/-13.3 vs. 29.5% max dd/Sharpe .81 vs. .66
Hi,

Which bonds? If you do not mind me asking, what's the principle behind the selection process?

Cheers!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Mon Nov 19, 2018 9:12 am

HappyMan wrote:
Sun Nov 18, 2018 10:44 pm
Kbg wrote:
Sat Nov 17, 2018 3:35 pm
Another account went 100% bonds. 3 of 5 now in bonds.

I'm a member of allocate smartly and going back to 1990 they have a 50/50 of PP and GEM vs. a 60/40 as follows:

9.1 CAGR vs. 8.5/-13.3 vs. 29.5% max dd/Sharpe .81 vs. .66
Hi,

Which bonds? If you do not mind me asking, what's the principle behind the selection process?

Cheers!
These accounts are all in retirement accounts of one kind or another from current or previous companies I've worked for. So I really don't have a choice except for one account. Basically, I just look to match the GEM method of selecting a broad bond market index (such as the ETF AGG) which they all have.

Having noted the above...I do run a bond momentum system in a taxable account I have that uses ETFs that invest in various US bond types with a broad international bond index thrown in as well. The bond types are...short and intermediate term treasuries, short and intermediate high yield bonds, mortgage bonds, and floating rate bonds. This year has been in high yield or ST HY the entire year but I suspect when December rolls around I will be rotating into floating rate bonds.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue Nov 20, 2018 4:35 pm

End of month equity sale looking more likely after today's wretch.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Nov 23, 2018 3:32 pm

It feels to me exactly like 39 months ago, when oil was crashing, equities were rolling over, and one-by-one the trendfollowers went risk-off. Then central banks mounted a YUUUGE stimulus program. I guess we are at the end of the stimulus and tax-cut sugar high. What's next?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Fri Nov 23, 2018 9:16 pm

ochotona wrote:
Fri Nov 23, 2018 3:32 pm
It feels to me exactly like 39 months ago, when oil was crashing, equities were rolling over, and one-by-one the trendfollowers went risk-off. Then central banks mounted a YUUUGE stimulus program. I guess we are at the end of the stimulus and tax-cut sugar high. What's next?
A rally?

https://www.youtube.com/watch?v=B5-IpSYbeiQ
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Sat Nov 24, 2018 11:05 am

4 of 5 in bonds
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Dec 01, 2018 7:33 am

No change to the GEM portfolio for December 2018. Still 100% in US stock ETFs like SCHX, IVV, VOO, etc. (1-year look-back, and using 4-week T-Bills as the risk-free rate).
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Dec 08, 2018 5:02 pm

If you look at a chart of PTLC, you can see where it popped out of equities. Interesting. I wonder when VMOT goes... maybe end of month.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sat Dec 08, 2018 9:18 pm

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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Dec 09, 2018 8:00 am

Sorry but GEM is still invested. There is an error in that sheet.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sun Dec 09, 2018 8:33 am

That's what I thought as well. Hmm, perhaps they've modified their formula?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Mon Dec 10, 2018 12:20 am

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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Dec 10, 2018 2:52 am

InsuranceGuy wrote:
Mon Dec 10, 2018 12:20 am
That sheet is correct, I think you are just reading it wrong. It is saying that if December ended today that you would switch out to bonds.
If only there were a way to find out for sure ...
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by stuper1 » Mon Dec 10, 2018 11:11 am

If December ends today, then we have bigger problems than worrying about which asset to be invested in.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Mon Dec 10, 2018 8:14 pm

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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Dec 10, 2018 9:39 pm

That's a very important point. Thank you for taking the time to research it.
InsuranceGuy wrote:
Mon Dec 10, 2018 8:14 pm
HappyMan wrote:
Mon Dec 10, 2018 2:52 am
If only there were a way to find out for sure ...
With a little math we can confirm:

IVV closed Nov 30 at $278
IVV closed today at $266
MTD IVV return of -4.32% (266/278-1)

BND closed Nov 30 at $78.14 with $0.192 dividend, so $77.948 adjusted close
BND closed today at $78.64
MTD BND return of 0.89% (77.948/78.64-1)

Image

They show a Dec 2018 return of 4.32% in the far right column which matches the IVV return implying GEM is still invested in IVV. If they were in BND their Dec return would instead be +0.89%.

The signal assumes the month ended today per their disclaimer (Signals only valid after Close of Month) which would imply a projected switch to BND at the end of Dec 2018.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Dec 10, 2018 9:52 pm

Ohhhh OK
Partial month results. Not the signal for the month.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Dec 17, 2018 3:46 pm

I can't wait to sell this binch on December 31
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Mon Dec 17, 2018 7:22 pm

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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Dec 17, 2018 8:05 pm

InsuranceGuy wrote:
Mon Dec 17, 2018 7:22 pm
ochotona wrote:
Mon Dec 17, 2018 3:46 pm
I can't wait to sell this binch on December 31
I'm just glad my model bailed at the end of November.
That's my price for having a less-twitchy model. Deeper draws.
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