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 » Wed Feb 21, 2018 4:47 am

I was looking all the way back to 1992. But this isn't something I'm going to rush into. Maybe on the other side of the future valley, and after interest rates have been going up a while, or in retirement.

Guggenheim BulletShares has highly diversified target date junk offerings. If after the next recession I see yields get above 7% for my retirement target date, I think that would be a place to invest a big chunk in. 7% CAGR is my portfolio stretch goal. If I get 7% CAGR I'd be thrilled.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Feb 26, 2018 2:45 am

"This Week's ETF Launches: Vanguard (Yes, Vanguard) Launches Suite of Active-Factor ETFs"

They are:

The five individual factor ETFs – the Vanguard U.S. Minimum Volatility ETF (VFMV n/a), the Vanguard U.S. Liquidity Factor ETF (VFLQ n/a), the Vanguard U.S. Momentum Factor ETF (VFMO n/a), the Vanguard U.S. Quality Factor ETF (VFQY n/a) and the Vanguard U.S. Value Factor ETF (VFVA n/a)

One of them is momentum-related. Would be cool, if someone could mix momentum and value.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Mon Feb 26, 2018 3:36 pm

There are funds for that...
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Feb 26, 2018 8:17 pm

On a related note, my employer's 401(k) is moving from rip-off insurance company custody to Vanguard!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Mr Vacuum » Wed Feb 28, 2018 5:46 pm

ochotona wrote:On a related note, my employer's 401(k) is moving from rip-off insurance company custody to Vanguard!
Another one bites the dust. Nice!

TLT rallied in vain today, slipping to negative 12mo total return lookback vs. SHV for the first time in a few months. It looks to remain choppy the next couple months, but I guess that’s normal for bonds.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Wed Feb 28, 2018 7:14 pm

Back to the GEM portfolio: no change to the portfolio for March 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by modeljc » Thu Mar 01, 2018 8:06 am

ochotona wrote:Back to the GEM portfolio: no change to the portfolio for March 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.

Thanks for the update!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Mar 30, 2018 5:31 am

No change to the portfolio for April 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Apr 02, 2018 2:20 pm

bedraggled wrote:Dow 30, Dow transports and the S & P 500 are each below Dow theory sell signal. Must wait for the close. This is for a VP, I guess.
Yup, the cheese is getting ripe.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Thu Apr 05, 2018 10:45 pm

Just curious, any other component in your portfolio is currently bringing profit?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sun Apr 15, 2018 3:41 am

Can someone advise how to measure GEM using Portfolio Visualizer? I am trying to compare it with three other portfolios. Link to the three,

https://www.portfoliovisualizer.com/bac ... tion4_3=35

Wondering how to add GEM portfolio in the mix. Counting with a calculator brings meager $26,173 if invested $10,000 since 2007. Granted the span is short, it makes one think.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Apr 15, 2018 9:22 am

HappyMan wrote:Can someone advise how to measure GEM using Portfolio Visualizer? I am trying to compare it with three other portfolios. Link to the three,... Wondering how to add GEM portfolio in the mix. Counting with a calculator brings meager $26,173 if invested $10,000 since 2007. Granted the span is short, it makes one think.
There are a couple of things you could do.

You simulate the GEM using the Market Timing Tools, Dual Momentum option. Then, you save the results AS BENCHMARK. Then they are always available for you to compare to any other three static portfolios, which is what I think you want to do.

CORE-SATELLITE will let you blend a static (core) with a actively-traded (SATELLITE) portfolio, and one of the satellite options is Dual Momentum. Again, you can save the results are benchmark for future comparisons.

I've said it before, I'll say it again... I think roughly 50% GEM and the rest in cash, bonds, and gold is just about a magical combination. It grows much better than native HBPP, but it has the similar drawdown (pucker factor) and risk-adjusted return. I think it's close to ideal.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Apr 16, 2018 3:12 am

ochotona wrote: You simulate the GEM using the Market Timing Tools, Dual Momentum option. Then, you save the results AS BENCHMARK. Then they are always available for you to compare to any other three static portfolios, which is what I think you want to do.
I think I've got it:
https://www.portfoliovisualizer.com/tes ... odWeight=0
ochotona wrote: I've said it before, I'll say it again... I think roughly 50% GEM and the rest in cash, bonds, and gold is just about a magical combination. It grows much better than native HBPP, but it has the similar drawdown (pucker factor) and risk-adjusted return. I think it's close to ideal.
Do you have by any chance a saved link to this combination?

Honestly, I thought DM was best long-term investment strategy based on previous earnings, and then I found out about the other three portfolios, which are 50% better.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Apr 16, 2018 5:23 am

I didn't notice you could save the URLs for each test! That's handy. I don't have saved tests, I just recorded the results in my notes...
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Apr 16, 2018 8:09 am

ochotona wrote:I didn't notice you could save the URLs for each test! That's handy. I don't have saved tests, I just recorded the results in my notes...
It is quite handy. In your notes, is there Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation?

So far, the best I have for $10K invested since March 2006:

Final Balance, CAGR, Best Year, Worst Year, Max. Drawdown, Sharpe Ratio, Sortino Ratio, US Mkt Correlation
$38,586 12.75% 34.02% -20.47% -29.93% 1.04 1.71 0.85
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Mon Apr 30, 2018 6:08 pm

No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Mon Apr 30, 2018 11:25 pm

ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
When you get a chance, can you please look up CAGR and other statistics of your mix of GEM+HBPP. Thanks!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue May 01, 2018 5:42 am

HappyMan wrote:
ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
When you get a chance, can you please look up CAGR and other statistics of your mix of GEM+HBPP. Thanks!
55% gem, 45% core

Core = 22% cash, 78% bonds

From 1999-2017

7% cagr, max drawdown -8.71%, Sortino 1.38

No gold records beyond 2005 (simulator uses gld)
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by modeljc » Tue May 01, 2018 7:00 pm

ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
Thanks! When I look at the charts lines cross but still no change. I guess they can cross back.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Tue May 01, 2018 11:46 pm

ochotona wrote:
HappyMan wrote:
ochotona wrote:No change to the portfolio for May 2018. Still in 81% SCHF + 19% SCHE, or 100% in VEU.
When you get a chance, can you please look up CAGR and other statistics of your mix of GEM+HBPP. Thanks!
55% gem, 45% core

Core = 22% cash, 78% bonds

From 1999-2017

7% cagr, max drawdown -8.71%, Sortino 1.38

No gold records beyond 2005 (simulator uses gld)
Many thanks!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri May 11, 2018 4:17 pm

It's a very real possibility we switch back to US stocks at the end of May.
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A recap of the GEM methodology

Post by ochotona » Tue May 22, 2018 8:41 pm

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

Post by D1984 » Wed May 23, 2018 2:01 am

Ochotona (or anyone else who may have this info),

I am trying to backtest GEM to see how it would've done in the rising rate period of 1963 to early 1970. I have monthly foreign stock index total return data of sorts for 1962 to 1969 but as GEM only starts in 1971 as per Antonacci's website I still need 1970 data. I know EAFE (which is what I will be using since MSCI ex-US or ACWi does not go back that far) started on 12-31-1969 so do you know of any way to get the monthly Total Return data for EAFE for January 1970 to December 1970? I will be using S&P 500 TR monthly returns (which I have back to 1926) for US equities so no problem there. Also, what about intermediate-term bond returns monthly for this period? I suppose they will have to be interpolated from yields based on how the yield rose or fell on, say, the 5-year or 7-year Treasury unless you know of where to find monthly total returns for bonds for the 1960s. Thank you.

EDIT - I just found monthly 1970 data for the MSCI EAFE TR...it will require some manual "chart scraping" to convert a chart to percentage returns but it's only 12 months so shouldn't take too long to do.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Wed May 23, 2018 11:02 am

D1984 wrote:
Wed May 23, 2018 2:01 am

I am trying to backtest GEM to see how it would've done in the rising rate period of 1963 to early 1970. ...
Hi,

Please let us know about your findings.
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Re: A recap of the GEM methodology

Post by HappyMan » Wed May 23, 2018 11:04 am

ochotona wrote:
Tue May 22, 2018 8:41 pm
For the benefit of new readers:

http://gemsignals.blogspot.com/2018/05/ ... ap-of.html
Nice summary!
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