Tactical Asset Allocation + HBPP an intriguing combo

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

Moderator: Global Moderator

User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Mon Sep 30, 2019 6:28 pm

IBKR charges USD 0.005 per share to trade. It sounds like Schwab charge MORE than that to their customers, but we don't know it because the charges are not line-items. I am trying to get my hands on more information. They sell their order flow to 3rd party trading desks and earn commissions form it. Every years they earn $100s of millions in this manner.
User avatar
Kbg
Executive Member
Executive Member
Posts: 1440
Joined: Fri May 23, 2014 4:18 pm

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Mon Sep 30, 2019 8:48 pm

I don’t have Schwab so I can’t compare, but pure commission wise if you are swinging a really big bat fixed commission is cheaper than IB.

IB provides a ton of methods to control your trade. Of note, as of Friday IB now offers a commission free trading account for US stocks and ETFs.
User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Tue Oct 01, 2019 7:39 pm

The GEM portfolio is in US Equities for October 2019 (SPY, IVV, VOO, SCHX)
User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Wed Oct 30, 2019 9:38 pm

The GEM portfolio is in US Equities for November 2019 (SPY, IVV, VOO, SCHX). It's early to call it, but a change is highly unlikely.
HappyMan
Senior Member
Senior Member
Posts: 108
Joined: Thu Nov 09, 2017 7:01 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Wed Nov 06, 2019 3:00 am

Here is a Canadian version of GEM, Hot Potato Portfolio,

https://www.moneysense.ca/save/investin ... portfolio/
User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

PODCASTS

Post by ochotona » Sat Nov 23, 2019 7:28 am

User avatar
TrickPony
Junior Member
Junior Member
Posts: 6
Joined: Tue Jan 12, 2016 11:28 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by TrickPony » Sat Nov 23, 2019 3:21 pm

Thanks for the info.
User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Fri Nov 29, 2019 2:16 pm

The GEM portfolio is in US Equities for December 2019 (SPY, IVV, VOO, SCHX).
User avatar
ochotona
Executive Member
Executive Member
Posts: 2920
Joined: Fri Jan 30, 2015 5:54 am

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Tue Dec 31, 2019 9:45 am

The GEM portfolio is in US Equities for January 2020 (SPY, IVV, VOO, SCHX).
User avatar
rocketdog
Executive Member
Executive Member
Posts: 688
Joined: Fri Dec 07, 2012 3:35 pm

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

Post by rocketdog » Tue Dec 31, 2019 10:11 am

ochotona wrote:
Thu Jun 01, 2017 2:06 pm
I have almost entirely exited US equities. I bought CWI ETF of global stocks excluding US. VEU is another choice. This was the May 31 Dual Momentum signal.

It feels strange. Now the financial news is oddly not relevant. I'm dependent on Mario Draghi, PBoC, BOJ more than Yellen.
It's fun to look at old posts like this to see what people were doing with their portfolios and checking to see if it was the right decision or not. In this case... not. From 5/31/2017 (the date of the GEM signal) to 12/31/2019, here are the performance differences of the funds mentioned:

SPY: +40%
CWI: +16%
VEU: +16%

So if you had switched from SPY to either CWI or VEU on 5/31/2017 and held until now, you would have forfeited 24% of your potential profits within a mere 2-1/2 years, for an annualized under-performance of nearly 10%.

So much for momentum signals... :o
User avatar
Kbg
Executive Member
Executive Member
Posts: 1440
Joined: Fri May 23, 2014 4:18 pm

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

Post by Kbg » Tue Dec 31, 2019 11:24 am

rocketdog wrote:
Tue Dec 31, 2019 10:11 am
ochotona wrote:
Thu Jun 01, 2017 2:06 pm
I have almost entirely exited US equities. I bought CWI ETF of global stocks excluding US. VEU is another choice. This was the May 31 Dual Momentum signal.

It feels strange. Now the financial news is oddly not relevant. I'm dependent on Mario Draghi, PBoC, BOJ more than Yellen.
It's fun to look at old posts like this to see what people were doing with their portfolios and checking to see if it was the right decision or not. In this case... not. From 5/31/2017 (the date of the GEM signal) to 12/31/2019, here are the performance differences of the funds mentioned:

SPY: +40%
CWI: +16%
VEU: +16%

So if you had switched from SPY to either CWI or VEU on 5/31/2017 and held until now, you would have forfeited 24% of your potential profits within a mere 2-1/2 years, for an annualized under-performance of nearly 10%.

So much for momentum signals... :o
Well, how about let's just say you don't actually understand the profit/loss profile of a momentum system and this one in particular.

Correct on underperformance. I do not run the classic GEM so my performance stats are different but the version I run since the date cited has the following stats.

5.06 CAGR vs.
13.74 for a buy and hold of the S&P 500 equivalent asset
5.46 for a buy and hold of the ex US equivalent asset
3.70 for a buy and hold of the US bond asset

But that is only half of the story...if we throw in MaxDDs we find the following:
-19.36 MaxDD for S&P 500
-21.51 MaxDD for ex-US
-3.57 MaxDD for Bonds

System MaxDD -9.11

NOT a newsflash to anyone who has studied the system - in a strong US bull stock market the system underperforms

So please post this exact same post when one of three things happens and I promise to run the numbers and post them

1. Intl outpeform US
2. Bonds outpeform anything
3. a bear market
User avatar
rocketdog
Executive Member
Executive Member
Posts: 688
Joined: Fri Dec 07, 2012 3:35 pm

Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by rocketdog » Tue Dec 31, 2019 1:46 pm

People obsess over max drawdowns WAY too much. Unless you're in retirement (or close to it) you should ignore drawdowns entirely. In fact, you should greedily view them as ideal buying opportunities.

The market only took 3 years to completely recover from the Great Recession, and that was after a drawdown of 40%! So if you were a buyer of stocks during that period (rather than selling in a panic), then you made out like a bandit.

"Be greedy when others are fearful, and fearful when others are greedy." - some smart investor guy :)
Post Reply