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 » Sun Jan 13, 2019 11:55 am

TrickPony wrote:
Sun Jan 13, 2019 11:23 am
I was thinking of keeping 50% of my portfolio in a pure HB PP & 50% in the GEM model. Under "risk of times" you would be 75% in stocks and in bad times only 25% equity. With this setup you always have a little skin in the game.
Exactly. Easy to live with. Follow the two models. Live your life.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Sun Jan 13, 2019 5:41 pm

I am migrating to the portfolio models in the Economic Pulse Newsletter, available by subscription only from Investingforaliving.us

These models are very similar to the Antonacci GEM models. But, I can't discuss them, because the content is copyrighted. I won't update the GEM signals any longer. Don't worry, you can always get a fresh signal for the GEM by clicking on this link.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Mon Jan 14, 2019 8:12 pm

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

Post by ochotona » Tue Jan 15, 2019 5:25 am

Kbg wrote:
Mon Jan 14, 2019 8:12 pm
https://blog.thinknewfound.com/2019/01/ ... entum-gem/
A must read.
The Economic Pulse portfolios are either much less fragile due to the use of economic data, or they are curve-fit to the hilt. Their drawdowns are much less than GEM. -15% vs -25%. They have an EM portfolio, which I think is important.

Even so, GEM is still better than buy and hodl.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Tue Jan 15, 2019 9:33 am

ochotona wrote:
Tue Jan 15, 2019 5:25 am
Kbg wrote:
Mon Jan 14, 2019 8:12 pm
https://blog.thinknewfound.com/2019/01/ ... entum-gem/
A must read.
The Economic Pulse portfolios are either much less fragile due to the use of economic data, or they are curve-fit to the hilt. Their drawdowns are much less than GEM. -15% vs -25%. They have an EM portfolio, which I think is important.

Even so, GEM is still better than buy and hodl.
Could be my bias, but I'd lean towards overfit. See Figure 3 here: https://investingforaliving.us/economic ... ewsletter/, the title is 6 Factor COMP Probit Model.

Funny enough they use 6 factors to predict the 7 economic downturns since 1973, though I'm guessing there are more parameters in their model in order to get the signal to show up within 1 month of the start of each downturn.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue Jan 15, 2019 11:04 am

It will be interesting in 30 more years to see how it all played out!
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Tue Jan 15, 2019 1:15 pm

InsuranceGuy wrote:
Tue Jan 15, 2019 9:33 am
ochotona wrote:
Tue Jan 15, 2019 5:25 am
Kbg wrote:
Mon Jan 14, 2019 8:12 pm
https://blog.thinknewfound.com/2019/01/ ... entum-gem/
A must read.
The Economic Pulse portfolios are either much less fragile due to the use of economic data, or they are curve-fit to the hilt. Their drawdowns are much less than GEM. -15% vs -25%. They have an EM portfolio, which I think is important.

Even so, GEM is still better than buy and hodl.
Could be my bias, but I'd lean towards overfit. See Figure 3 here: https://investingforaliving.us/economic ... ewsletter/, the title is 6 Factor COMP Probit Model.

Funny enough they use 6 factors to predict the 7 economic downturns since 1973, though I'm guessing there are more parameters in their model in order to get the signal to show up within 1 month of the start of each downturn.
With regard to the COMP model, what we know is they have zero basis to conclude anything nor will they likely in our lifetimes. Not saying having a macro model isn't a good thing. I have one, but it's main purpose is to hopefully ID how "bad" a bear could be vs. timing. If macro tubes then I expect a worse drawdown and act accordingly. However, if you look at associated performance data a HUGE component of outperformance is not when you get out but equally as much as when you get back in. Bull markets after major bears are large and fast moving and it really hurts to miss some of that (or any of it)

While what they have is proprietary so it's hard to tell, it appears to me they do not use a single lookback in their momentum models. I was pleasantly surprised/pleased that the thinknewfound guys validated something that I had come to a conclusion on a couple of years back. Just wish they would have went shorter than 6 months in their analysis. In any event, for what they point out I do not use a single lookback per the by the book DM rules.

Ocho...IIRC correctly you were using this service, you left and now you are back again?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue Jan 15, 2019 4:22 pm

I was with Gary Antonacci's proprietary model, got tired of paying the fees and the black box, then yanked my money back. Economic Pulse is new for me. It's low cost but I still get their signals, I get to manage the trades and customize around the edges, my assets stay put. This is a good fit. If I don't like it I just go back to GEM.

But I really want a plan for Emerging Markets. GMO, Research Affiliates, others ID EM as the probably best performing market in the next decade. Public GEM model doesn't explicitly treat EM.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Tue Jan 15, 2019 5:21 pm

GEM with QQQ/EEM does quite nicely.

1. Backtest is way short - bad

2. Still have the dollar effect

3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good

If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Tue Jan 15, 2019 8:41 pm

Kbg wrote:
Tue Jan 15, 2019 5:21 pm
GEM with QQQ/EEM does quite nicely.

1. Backtest is way short - bad

2. Still have the dollar effect

3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good

If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
veiex is an older EM mutual fund. There must be a NASDAQ mutual...
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by D1984 » Wed Jan 16, 2019 1:52 am

ochotona wrote:
Tue Jan 15, 2019 8:41 pm
Kbg wrote:
Tue Jan 15, 2019 5:21 pm
GEM with QQQ/EEM does quite nicely.

1. Backtest is way short - bad

2. Still have the dollar effect

3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good

If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
veiex is an older EM mutual fund. There must be a NASDAQ mutual...
RYOCX (a NASDAQ-100 index fund) goes back to early 1994; there are no EM index funds that far back that I know of but MADCX (Blackrock's actively managed emerging market fund) goes back to the late 1980s. The MSCI EM index goes back to 1988 (daily TR) and the S&P IFC EM index Tr (monthly) goes back to 1976; before that you'd need to go to GFD which has an Emerging Markets index that goes back monthly to 1925....but GFD costs around $23K a year if you are not affiliated with a college or university.

If you want you can (IIRC) input NASDAQ-100 index daily index into the system as a benchmark or portfolio if you want to go back farther than 1995 (you would need to create an Excel or CSV or text file of it and add the expense ratio back in, though); Yahoo Finance has it back to 1985 and there are other sources of it (GTR1) for a backtested created version back to 1972.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Wed Jan 16, 2019 2:16 am

Details on Economic Pulse COMP models

https://drive.google.com/file/d/1sqb1c7 ... p=drivesdk
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