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

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

Moderator: Global Moderator

User avatar
Kbg
Executive Member
Executive Member
Posts: 1021
Joined: Fri May 23, 2014 4:18 pm

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

Post by Kbg » Fri Aug 03, 2018 10:21 pm

ochotona wrote:
Fri Aug 03, 2018 5:53 pm
I can dream, right?

The GEM pops out of stocks in 2019
Just as the 10 year Treasury hits 4%
Just as gold dives under $1000 because of the strong Dollar due to 4% bond yields

I rebalance gold back up to 10%, dump my stocks and go to bonds, and my retirement plan will work OK with 4% CAGR so who cares if no stocks?

After three years, in 2022, I buy back into the S&P500 at 1000. In the meantime, the banks did more QE, so my bond holdings have appreciated.

By 2026, my portfolio has doubled. I retire. The wheels fall off of the US Dollar due to trillion dollar deficits, gold goes to $5000 per ounce. Because I converted my IRA to Roth IRA, I escape most of the massively increased taxes needed to pay for Boomer retirement benefits.

I can dream, right?
https://www.youtube.com/watch?v=621Nk3Ubz4A
User avatar
ochotona
Executive Member
Executive Member
Posts: 2148
Joined: Fri Jan 30, 2015 5:54 am

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.
HappyMan
Full Member
Full Member
Posts: 67
Joined: Thu Nov 09, 2017 7:01 am

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
User avatar
ochotona
Executive Member
Executive Member
Posts: 2148
Joined: Fri Jan 30, 2015 5:54 am

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.
User avatar
ochotona
Executive Member
Executive Member
Posts: 2148
Joined: Fri Jan 30, 2015 5:54 am

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
User avatar
Kbg
Executive Member
Executive Member
Posts: 1021
Joined: Fri May 23, 2014 4:18 pm

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
HappyMan
Full Member
Full Member
Posts: 67
Joined: Thu Nov 09, 2017 7:01 am

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!
User avatar
Kbg
Executive Member
Executive Member
Posts: 1021
Joined: Fri May 23, 2014 4:18 pm

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.
User avatar
ochotona
Executive Member
Executive Member
Posts: 2148
Joined: Fri Jan 30, 2015 5:54 am

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.
User avatar
ochotona
Executive Member
Executive Member
Posts: 2148
Joined: Fri Jan 30, 2015 5:54 am

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?
HappyMan
Full Member
Full Member
Posts: 67
Joined: Thu Nov 09, 2017 7:01 am

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
User avatar
Kbg
Executive Member
Executive Member
Posts: 1021
Joined: Fri May 23, 2014 4:18 pm

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
Post Reply