Tactical Asset Allocation + HBPP an intriguing combo

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

Post by Mr Vacuum » Tue Oct 31, 2017 8:50 pm

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

Post by ochotona » Tue Oct 31, 2017 9:06 pm

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

Post by HappyMan » Fri Nov 10, 2017 4:52 am

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
Hi,

Why do you prefer mutual funds over ETFs?
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Nov 10, 2017 5:11 am

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

Post by HappyMan » Tue Nov 14, 2017 2:09 am

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.
Last edited by HappyMan on Tue Nov 14, 2017 6:28 am, edited 1 time in total.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue Nov 14, 2017 6:06 am

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

Post by HappyMan » Sun Nov 19, 2017 9:35 am

ochotona wrote: ...
Could not respond on your blog, but Gary Antonacci talks about different models on pages 98 and 101-122 in his FAQ,

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

Post by ochotona » Sun Nov 19, 2017 9:15 pm

HappyMan wrote:Could not respond on your blog, but Gary Antonacci talks about different models on pages 98 and 101-122 in his FAQ,
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.
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ochotona
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sat Nov 25, 2017 7:57 pm

Gary Antonacci interview on the Meb podcast:

http://mebfaber.2.cavendoclient.com/201 ... -momentum/
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Sun Nov 26, 2017 3:40 am

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

Post by ochotona » Sun Nov 26, 2017 8:00 am

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

Post by HappyMan » Sun Nov 26, 2017 8:59 am

BTW, why add TLT, GLD, and cash to the mix? For example, some analytics say that GLD will go down for a good while.
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