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 Nov 26, 2017 9:20 am

HappyMan wrote:BTW, why add TLT, GLD, and cash to the mix? For example, some analytics say that GLD will go down for a good while.
The idea behind this post and my portfolio is I'm adding to the robustness of the HBPP structure by adding trend-following global equities. This allows me to increase the equity slice without making the whole portfolio more risky that a regular HBPP.

Currently,
10% gold / platinum / agricultural commodities
10% cash
30% bonds (but medium duration, not long)
50% equities

As far as gold... the only function of gold is to embarrass people who try to guess what the price will be, as far as any of us here can tell. I don't think it's a worthwhile activity, beyond the amusement factor.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Sun Nov 26, 2017 11:32 am

Summoning the inner HB Yoda for HappyMan: Do, or do not. There is no predict.
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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 11:47 am

Kbg wrote:Summoning the inner HB Yoda for HappyMan: Do, or do not. There is no predict.
And Dual Momentum GEM also does not predict... it just follows the price action. No one has to forecast anything.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Sun Nov 26, 2017 11:54 am

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

Post by ochotona » Thu Nov 30, 2017 5:29 pm

No change to the GEM portfolio for December 2017. Still in 81% SWISX + 19% SCHE, or 100% in VEU.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Fri Dec 01, 2017 4:50 am

I was backtesting what you are proposing and got some strange results as the optimal allocation based on the backtest was to not use the HBPP at all and just to use the GEM allocation strategy for 100% of your money. I thought about it more and convinced myself that the GEM system generated enough excess returns with little enough added volatility for that to make sense. I took it a step further and I was able to use some of the other successful modifications I have made to the HBPP to enhance the GEM strategy returns further but ultimately I prefer using a REIT as my 5th asset as opposed to International Stocks.

Anyways, the thing that bothered me is that I when I compared my GEM results using the asset class returns I have previously mined to those published on the optimum momentum site and there are some significant discrepancies in recent history and even more the further you go back. As a word of caution I do think the GEM momentum system is a good system, but I am apprehensive about the returns shown on Antonacci's site.

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

Post by HappyMan » Fri Dec 01, 2017 11:16 am

ochotona wrote:No change to the GEM portfolio for December 2017. Still in 81% SWISX + 19% SCHE, or 100% in VEU.
Curious, what was November return in percentage?
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Fri Dec 01, 2017 12:38 pm

0.6% in November
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Mr Vacuum » Fri Dec 01, 2017 8:52 pm

InsuranceGuy wrote:I was backtesting what you are proposing and got some strange results as the optimal allocation based on the backtest was to not use the HBPP at all and just to use the GEM allocation strategy for 100% of your money. I thought about it more and convinced myself that the GEM system generated enough excess returns with little enough added volatility for that to make sense. I took it a step further and I was able to use some of the other successful modifications I have made to the HBPP to enhance the GEM strategy returns further but ultimately I prefer using a REIT as my 5th asset as opposed to International Stocks.

Anyways, the thing that bothered me is that I when I compared my GEM results using the asset class returns I have previously mined to those published on the optimum momentum site and there are some significant discrepancies in recent history and even more the further you go back. As a word of caution I do think the GEM momentum system is a good system, but I am apprehensive about the returns shown on Antonacci's site.

IG
Hmm, that would be troubling. My tests mostly matched Antonacci’s month for month since 1988, but I see differences before that, which I chalk up to evidently backfilling different data for the S&P 500 total returns with my numbers rolled from Shiller. I also don’t have aggregate bonds data and use 5 year Treasuries instead, which affects all the risk off months. And I don’t trust my synthetic Tbills all that much, which affects whether it’s in stocks or not any given month. All in all I didn’t expect an exact match and I didn’t get it :) But it was enough to test the concepts and see how it works.

Are you seeing discrepancies not explained by any of the above?

I found it surprising and disappointing when Antonacci removed the page that listed what asset GEM was in each month historically. That was there when I built my spreadsheet and it helped a lot to check my logic.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by HappyMan » Fri Dec 01, 2017 9:22 pm

ochotona wrote:0.6% in November
Oddly, SCHF and DBAW resulted in negative 0.69%.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by InsuranceGuy » Sat Dec 02, 2017 6:16 am

Mr Vacuum wrote:Hmm, that would be troubling. My tests mostly matched Antonacci’s month for month since 1988, but I see differences before that, which I chalk up to evidently backfilling different data for the S&P 500 total returns with my numbers rolled from Shiller. I also don’t have aggregate bonds data and use 5 year Treasuries instead, which affects all the risk off months. And I don’t trust my synthetic Tbills all that much, which affects whether it’s in stocks or not any given month. All in all I didn’t expect an exact match and I didn’t get it :) But it was enough to test the concepts and see how it works.

Are you seeing discrepancies not explained by any of the above?

I found it surprising and disappointing when Antonacci removed the page that listed what asset GEM was in each month historically. That was there when I built my spreadsheet and it helped a lot to check my logic.
I match closer using the S&P only as the on/off switch on the recent data, but still see some significant differences in the older than 1990 or so. I also use 5 year Treasuries which I knew would be different. I'll have to play with it more I guess.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Mr Vacuum » Sat Dec 02, 2017 6:52 am

Gotta wonder what Antonacci used pre-1988.
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