PP/GB Inspired Momentum - A Comprehensive Approach

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

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HappyMan
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Fri Apr 27, 2018 4:13 am

InsuranceGuy wrote:
I could make that spreadsheet update automatically every time you open it, there might be a better way but I'm still looking for it.
You are truly dedicated to your approach. I hope it works out and more people use it. Thanks!
InsuranceGuy
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Sun Apr 29, 2018 6:53 pm

I made a spreadsheet that shows sample calculations for everything. Again this is not optimized but a sample, it is left to the reader to make optimizations based on their investment goals.

https://docs.google.com/spreadsheets/d/ ... sp=sharing

Here is an explanation of the various abbreviations made:
STT (Short Term Treasury)/LCB (Large Cap Blend)/SCV (Small Cap Value)/LTT (Long Term Treasury)/GLD (Gold)
Nom Retn (Nominal Return)/XS Retn (Return Excess of STT)
Mom Ind/Val Ind (Momentum/Value Inclusion Indicator)
Vol (Volatility)
Alloc (Portfolio Allocation)
Adj Alloc (Allocation Adjusted for Portfolio Returns)
Mo Retn (100% Stock/HBPP/Mom+Val+Vol Monthly Return)
YTD Retn (100% Stock/HBPP/Mom+Val+Vol Year to Date Return)
Roll 3 Yr (100% Stock/HBPP/Mom+Val+Vol Rolling 3 Year Return)
Roll 10 Yr (100% Stock/HBPP/Mom+Val+Vol Rolling 10 Year Return)
InsuranceGuy wrote:I could make that spreadsheet update automatically every time you open it, there might be a better way but I'm still looking for it.
That spreadsheet now automatically updates on open.
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Wed May 02, 2018 9:59 am

[quote="InsuranceGuy"][/quote]

Hi,

Before volatility calculations, the equation remains 50% IVV/50% IAU. Right?
InsuranceGuy
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Wed May 02, 2018 11:45 pm

HappyMan wrote: Hi,

Before volatility calculations, the equation remains 50% IVV/50% IAU. Right?
Before and after volatility calculations the allocation is currently 50% IVV/50% IAU currently. The "Adj Alloc" is only used for calculating portfolio returns.

IG
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Thu May 31, 2018 10:31 pm

Hi,

After April, the holdings remain at 50% IVV/50% IAU, though VBR got dangerously close to IVV. Hence, a couple of questions. The strategy stays with IVV until there is even 0.01 % difference? Have you considered the situation when they break even?
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Fri Jun 01, 2018 11:33 pm

HappyMan wrote:
Thu May 31, 2018 10:31 pm
Hi,

After April, the holdings remain at 50% IVV/50% IAU, though VBR got dangerously close to IVV. Hence, a couple of questions. The strategy stays with IVV until there is even 0.01 % difference? Have you considered the situation when they break even?
HappyMan -

I actually trade a slightly more aggressive and sophisticated set of rules where I require an asset class to be the best for 2 months in a row before I switch.

IG
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Sun Jun 03, 2018 2:15 am

I see. Would you count May as month one for your approach?

Also, would it not be a more conservative approach? Wait longer and for more confirmations?
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Sun Jun 03, 2018 9:16 am

HappyMan wrote:
Sun Jun 03, 2018 2:15 am
I see. Would you count May as month one for your approach?

Also, would it not be a more conservative approach? Wait longer and for more confirmations?
There are tradeoffs to this approach. It does seem to get better predictability but there are some cases where you do not get out of a sticky situation as early as you'd hope. All said, this particular modification does reduce volatility.

This is just one of multiple modifications that I have made to increase returns as my goal is to keep a high allocation in equities.

IG
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Fri Nov 30, 2018 10:54 pm

Well my approach diverged from GEM to 50% Large Cap/50% Cash at the end of October and now 100% Cash today. Makes me wonder what is coming up, but my best guess is that I'll be back to REITs at the end of December.

IG
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Tue Jan 01, 2019 12:16 am

Looks like the late afternoon rally of REITs put me in 50% REITs (VNQ)/50% Cash. Will be interesting to see how this correction ultimately does over the coming months (or years?)...

It's been a little bit surreal to be out of stocks for the first time in quite awhile, that said it avoided some of the December mayhem.
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ochotona
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by ochotona » Tue Jan 01, 2019 5:15 am

Look at SCHH as an alternative to VNQ...
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Re: PP/GB Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Tue Jan 01, 2019 9:57 am

Huh, I've never looked much at the Schwab funds as I usually use iShares given they have such high volume/low expense ratios and are free for the most part at Fidelity. I use VNQ because IYR does not have a very low expense ratio, but SCHH doesn't look like a bad alternative. Thanks for the tip!

IG
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