Tactical Asset Allocation + HBPP an intriguing combo

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HappyMan
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Sat Jun 01, 2019 7:10 am

Good to know about iShares. Schwab seems to be working hard

GEM's rolling 12-month return is -5.47%.
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sat Jun 01, 2019 7:16 am

Some other strategies have **cough** "made a change" **cough** this month, but the info is copyrighted so I can't say any more.
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Kbg
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Sat Jun 01, 2019 10:25 am

It’s interesting running this strategy not using the all or nothing method, tranching and different mutual funds. There is quite a bit of variation. I’m on a 5 week cycle due to trading frequency limitations and I think one account is (us/int/bnd) 90/0/10 and another 60/10/30 with the rest in between.

Update - this week's account moves to a classic 60/40.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Sun Jun 02, 2019 10:14 pm

ochotona wrote:
Sat Jun 01, 2019 7:16 am
Some other strategies have **cough** "made a change" **cough** this month, but the info is copyrighted so I can't say any more.
Is this the latest one that you signed up and which one you were able to backtest so many centuries?
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InsuranceGuy
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by InsuranceGuy » Sun Jun 02, 2019 11:12 pm

HappyMan wrote:
Sat Jun 01, 2019 7:10 am
Good to know about iShares. Schwab seems to be working hard

GEM's rolling 12-month return is -5.47%.
Not all strategies are created the same. My modified version of GEM has a rolling 12-month return of +11.4% (unlevered).
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Mon Jun 03, 2019 5:33 am

HappyMan wrote:
Sun Jun 02, 2019 10:14 pm
ochotona wrote:
Sat Jun 01, 2019 7:16 am
Some other strategies have **cough** "made a change" **cough** this month, but the info is copyrighted so I can't say any more.
Is this the latest one that you signed up and which one you were able to backtest so many centuries?
All the way to 1492
HappyMan
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Mon Jun 03, 2019 5:37 am

InsuranceGuy wrote:
Sun Jun 02, 2019 11:12 pm
HappyMan wrote:
Sat Jun 01, 2019 7:10 am
Good to know about iShares. Schwab seems to be working hard

GEM's rolling 12-month return is -5.47%.
Not all strategies are created the same. My modified version of GEM has a rolling 12-month return of +11.4% (unlevered).
Unless you are willing to share signals on a regular basis, it is hard to follow your version.
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InsuranceGuy
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by InsuranceGuy » Mon Jun 03, 2019 9:27 am

HappyMan wrote:
Mon Jun 03, 2019 5:37 am
InsuranceGuy wrote:
Sun Jun 02, 2019 11:12 pm
HappyMan wrote:
Sat Jun 01, 2019 7:10 am
Good to know about iShares. Schwab seems to be working hard

GEM's rolling 12-month return is -5.47%.
Not all strategies are created the same. My modified version of GEM has a rolling 12-month return of +11.4% (unlevered).
Unless you are willing to share signals on a regular basis, it is hard to follow your version.
I'll update my thread tonight with a tracking section. It doesn't trade often but I believe I have shared all of the signals for the past 12 months.
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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Thu Jun 06, 2019 8:30 pm

I am trying to make peace with whipsaws. I looked at using 10-mo MA to go in and out of the S&P500 and intermediate Treasuries since 1987, so 32+ years.

18 whipsaws, median return of that set of whips was -2.08% compared to buy-and-hold. 17 of 18 whipsaws had a return equal to or less than 0%. Some year had three whips.

And yet, the method worked great on every measure people say they care about. But it's low on the "I feel great after my trade last month" measure.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sun Jun 16, 2019 10:21 am

iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.

USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades

VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades

The link to the backtest is here.

The conventional ETFs spend a lot of trades thrashing around, whipsawing, and doing damage... and that encompasses two important periods of volatility... late 2015/early 2016, and late September 2018 really to the present. The volatility managed ETFs give market returns, but are just a lot quieter, which is exactly what Gary Antonacci says Dual Momentum needs... it does not work well with volatile ETFs. So, here are some calmer products, and Dual Momentum seems to act better using them. Ironically, I bought USMV for my wife, but buy-and-hold. I just didn't think to DM test it.

So in the future I will be reporting the use of GEM Dual Momentum using USMV and ACWV. When I think about how much aggravation these ETFs would have saved me had I been using them in Dual Momentum mode... well, you know the story in investing, it involves regrets and remorse.

USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Sun Jun 16, 2019 5:42 pm

ochotona wrote:
Sun Jun 16, 2019 10:21 am
iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.

USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades

VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades

...

USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
Cool! Thanks for sharing.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by D1984 » Sun Jun 16, 2019 9:47 pm

ochotona wrote:
Sun Jun 16, 2019 10:21 am
iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.

USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades

VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades

The link to the backtest is here.

The conventional ETFs spend a lot of trades thrashing around, whipsawing, and doing damage... and that encompasses two important periods of volatility... late 2015/early 2016, and late September 2018 really to the present. The volatility managed ETFs give market returns, but are just a lot quieter, which is exactly what Gary Antonacci says Dual Momentum needs... it does not work well with volatile ETFs. So, here are some calmer products, and Dual Momentum seems to act better using them. Ironically, I bought USMV for my wife, but buy-and-hold. I just didn't think to DM test it.

So in the future I will be reporting the use of GEM Dual Momentum using USMV and ACWV. When I think about how much aggravation these ETFs would have saved me had I been using them in Dual Momentum mode... well, you know the story in investing, it involves regrets and remorse.

USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
Don't the underlying indexes on these go back to 1988 for the US one and 1993 for the All-Country World one? If MSCI creates an index they usually have full monthly total return data for it available free on their website. I know PV can't test indexes directly (unless they are already saved as portfolios with custom assigned ticker symbols) but wouldn't it be possible to manually test these at least back to 1994 given the underlying indexes?
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