PP Inspired Momentum - A Comprehensive Approach
Moderator: Global Moderator
Re: PP Inspired Momentum - A Comprehensive Approach
Here is a comparative return from different assets for the last decade.
Nobody knows what will the next ten years bring. The last could be first and vice versa.
Nobody knows what will the next ten years bring. The last could be first and vice versa.
- Attachments
-
- Assets income 2010-2019.jpg (107.54 KiB) Viewed 10139 times
- mathjak107
- Executive Member
- Posts: 4456
- Joined: Fri Jun 19, 2015 2:54 am
- Location: bayside queens ny
- Contact:
Re: PP Inspired Momentum - A Comprehensive Approach
nice up to date chart.
the only problem with static charts as i call it is, it does not reflect the same assets used in conjunction with each other in a portfolio .
ala it would not reflect rebalancing in to gold or treasuries when they were beaten up over long periods of time and then suddenly explode upwards . once they do they buy more of that lead horse equities then say a total bond fund would and returns are actually bolstered .
that same lump of gold in isolation shows no benefit and just sits as a lump ...so it is portfolio action working as a team that counts .
in fact there are years my insight model portfolio has not one fund beating the market . yet because in the portfolio each fund is used through it;'s sweet spot and then swapped for a better choice, the portfolio beat a total market or s&p 500 fund without any fund beating it on a yearly basis .
this is why looking at funds and asset classes in isolation is no where near the real deal as to what they produce as a team in a comprehensive portfolio
the only problem with static charts as i call it is, it does not reflect the same assets used in conjunction with each other in a portfolio .
ala it would not reflect rebalancing in to gold or treasuries when they were beaten up over long periods of time and then suddenly explode upwards . once they do they buy more of that lead horse equities then say a total bond fund would and returns are actually bolstered .
that same lump of gold in isolation shows no benefit and just sits as a lump ...so it is portfolio action working as a team that counts .
in fact there are years my insight model portfolio has not one fund beating the market . yet because in the portfolio each fund is used through it;'s sweet spot and then swapped for a better choice, the portfolio beat a total market or s&p 500 fund without any fund beating it on a yearly basis .
this is why looking at funds and asset classes in isolation is no where near the real deal as to what they produce as a team in a comprehensive portfolio
Re: PP Inspired Momentum - A Comprehensive Approach
Would you share your code for the value asset allocation and overall sizing? I really dislike excel for complex computations. If you have the above in python that would be awesome. If you prefer not to disclose, no worries. I can decode the spreadsheet with time. I just find it annoying as heck to do so.InsuranceGuy wrote: ↑Thu Jan 02, 2020 12:33 amI have both, I have a script in python that I use to stress test the model parameters that I only update once a year and a spreadsheet that links to yahoo finance for quick mid-month and month-end performance metrics.
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:06 pm, edited 1 time in total.
Re: PP Inspired Momentum - A Comprehensive Approach
Historical returns of different portfolios, diverse and an "average" investor.
Source from J.P. Morgan Asset Management:
https://am.jpmorgan.com/blob-gim/138340 ... M_1Q20.pdf
2mathjak107: Hope that helps in regards to what you were asking.
Source from J.P. Morgan Asset Management:
https://am.jpmorgan.com/blob-gim/138340 ... M_1Q20.pdf
2mathjak107: Hope that helps in regards to what you were asking.
- Attachments
-
- photo_2020-01-06_12-50-27.jpg (116.8 KiB) Viewed 9775 times
Re: PP Inspired Momentum - A Comprehensive Approach
Hope Mr. IG does not mind my postings. If it's inconvenient, please do not hesitate to let me know.
People from "Irrelevant investor" evaluated longest drawdowns in real prices since 1926.
On the graph, you can see that so-called risk-free investments (especially US bonds and T-bills) lose a lot in the long run, considering inflation.
For S&P500, the longest drawdown, considering inflation, was from 2000 to 2013. For standard 60/40, the period was shorter, just 11 years (1972 -1983).
People from "Irrelevant investor" evaluated longest drawdowns in real prices since 1926.
On the graph, you can see that so-called risk-free investments (especially US bonds and T-bills) lose a lot in the long run, considering inflation.
For S&P500, the longest drawdown, considering inflation, was from 2000 to 2013. For standard 60/40, the period was shorter, just 11 years (1972 -1983).
- Attachments
-
- longest drawdown.jpg (67.96 KiB) Viewed 9656 times
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:06 pm, edited 1 time in total.
Re: PP Inspired Momentum - A Comprehensive Approach
Robeco has published interesting statistics. Interestingly enough, the Momentum factor is ahead of the market in all the decades, starting from 1930s.
- Attachments
-
- photo_2020-02-03_01-26-16.jpg (73.11 KiB) Viewed 9533 times
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:06 pm, edited 1 time in total.
Re: PP Inspired Momentum - A Comprehensive Approach
Happyman,
Do you know which Robeco publication/paper/article this came from? It appears to be from one by a Mr. Van Vliet of their Low-Vol/Conservative Equity and Quant departments but I can't seem to locate it on Robeco's site. Can you let me know where I can obtain the full paper? Thank you.
Re: PP Inspired Momentum - A Comprehensive Approach
Hi D1984,
Got my piece from a professional network. Try contacting them and see if they point you to the source.
Let us know how it goes.
Got my piece from a professional network. Try contacting them and see if they point you to the source.
Let us know how it goes.
Re: PP Inspired Momentum - A Comprehensive Approach
Hi Happyman,
Can you please at least give me the name/title of the paper in question? It's somewhat difficult to ask anyone for a paper if one does not know exactly what said paper is even called. Thank you.
Re: PP Inspired Momentum - A Comprehensive Approach
Sorry man. Can't seem to find the source. Have saved only the table.
Re: PP Inspired Momentum - A Comprehensive Approach
Does anyone read fund perspectives? My broker has sent me one for SPDR fund. I reckon besides the maintenance fees it is not that helpful.
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:06 pm, edited 1 time in total.
- vnatale
- Executive Member
- Posts: 9490
- Joined: Fri Apr 12, 2019 8:56 pm
- Location: Massachusetts
- Contact:
Re: PP Inspired Momentum - A Comprehensive Approach
Does everyone here really mean "prospectuses"? Or, are fund "perspectives" something I've been unaware of until now?InsuranceGuy wrote: ↑Sat Feb 22, 2020 3:56 pm I find fund perspectives to be less than helpful as well.
Vinny
Above provided by: Vinny, who always says: "I only regret that I have but one lap to give to my cats." AND "I'm a more-is-more person."
Re: PP Inspired Momentum - A Comprehensive Approach
To MAY to, To MAH to :-)
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:05 pm, edited 1 time in total.
Re: PP Inspired Momentum - A Comprehensive Approach
Thank you IG for allowing me to post some graphs and tables here. After some thought given to the nature of my postings and the character of your thread, I decided it would be more fitting to have a separate thread for that. Here is the link,
viewtopic.php?f=10&t=10421
viewtopic.php?f=10&t=10421
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:05 pm, edited 4 times in total.
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:05 pm, edited 1 time in total.
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: PP Inspired Momentum - A Comprehensive Approach
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 5:05 pm, edited 1 time in total.
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm