Tactical Asset Allocation + HBPP an intriguing combo

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

Moderator: Global Moderator

Post Reply
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Mon Mar 20, 2017 11:30 am

If you take a Gary Antonacci Dual Momentum GEM and replace the equity portion of the HBPP with it, you get a great combo, and it's now easily testable using the "core-satellite" feature on Portfoliovisualizer.com

For core, put the non-equity parts of the HBPP: TLT, GLD, and symbol CASHX (or SHY if you prefer), at 1/3 each (they have to total to 100%)

For satellite, use Dual Momentum, 12 month period, hold one asset at a time, symbols VFINX, VGTSX, and hold assets in cash when not invested, or some other bond fund of your preference... VBMFX for example.

Start with 75% core, 25% satellite. Then increase to 30%, 35%, 40% satellite (GEM), etc...

The Sharpe and Sortino ratios evolve to really nice levels, I saw a Sortino as high as 1.75 appear. The CAGR goes up also.

I think this could be a superb retirement portfolio, as long as you don't mind the monthly GEM dance. Because the GEM hacks the equity drawdown approximately in half, you need less of the other HBPP assets to buffer the equity, which makes it grow more, if you prefer more growth due to your age. Having less gold and TLT is sort of good also, because they are volatile assets also. And it's less of a bet on US equities vs non-US.

I think 40% GEM, 20% TLT, 20% cash, 20% gold is a sweet-spot. But I need to make a testing matrix and write more of this stuff down.
Last edited by ochotona on Sun Jan 27, 2019 10:44 am, edited 1 time in total.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Fri May 05, 2017 9:00 pm

The $IVV SP500 ETF and the $VEU all-world ex-US ETF are neck and neck. The GEM Dual Momentum answer to "what to do about richly valued US stocks" might simply be... LEAVE THEM! But I trade on the first of each month, so I have to wait 17 more trading days.
thisisallen
Senior Member
Senior Member
Posts: 126
Joined: Sat Sep 24, 2016 5:39 pm
Location: NJ and India

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

Post by thisisallen » Sat May 06, 2017 4:12 am

This website updates the signals for this strategy. (And some other ones also). So at the first of each month you can easily see which fund to choose.
http://indexswingtrader.blogspot.in/p/s ... gnals.html
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sat May 06, 2017 6:50 am

thisisallen wrote:This website updates the signals for this strategy. (And some other ones also). So at the first of each month you can easily see which fund to choose.
http://indexswingtrader.blogspot.in/p/s ... gnals.html
Good site, thanks. I track different ETFs and mutual funds, the results aren't exactly the same, but I think on June 1 I'll be pivoting away from the S&P500.
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

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

Post by Mr Vacuum » Sat May 06, 2017 12:58 pm

Thanks, ocho. I missed this thread and the new tool before. It was tedious trying to synthesize such testing before.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » 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.
User avatar
dualstow
Executive Member
Executive Member
Posts: 11782
Joined: Wed Oct 27, 2010 10:18 am
Contact:

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

Post by dualstow » Thu Jun 01, 2017 2:32 pm

Why no US equities? You're in Texas.
Were you watching Marc Faber on CNBC yesterday or something?
traveling...
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Thu Jun 01, 2017 6:31 pm

I only follow the price action for GEM. I am trying to switch the argumentative part of my brain off and follow the model strictly. The 27/7 fake news cycle doesn't enter into the decision loop.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sat Jul 08, 2017 8:55 pm

I am publishing the GEM signals at https://gemsignals.blogspot.com/
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

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

Post by Mr Vacuum » Sat Jul 08, 2017 9:34 pm

I like your take on using mutual funds. Fidelity charges short term redemption fees, which would kill on a whipsaw. I assume Schwab doesn't do that or you wouldn't trade them.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sat Jul 08, 2017 9:41 pm

Mr Vacuum wrote:I like your take on using mutual funds. Fidelity charges short term redemption fees, which would kill on a whipsaw. I assume Schwab doesn't do that or you wouldn't trade them.
My Schwab adviser told me verbally there is no short-term redemption problem. But, in the T&C, they always reserve the right to clamp down, at their discretion, on frequent trading. The way I'm going to play it is I'm not going to completely round-trip out of SWPPX or SWISX. I'll sell 99.8% of my holdings and keep a little bit. Maybe that will give me some cover. Of course, GEM only trades once a month at most.

If I get caught in the fine print and a trade gets refused or I get a nastygram, well, I'll just have to fail-over to something else until the coast is clear. SCHX for SWPPX, SCHF for SWISX. Or I'll get my adviser to take it up with management to tell the compliance critters to leave me the heck alone. I have enough there that I have some weight.
Kbg
Executive Member
Executive Member
Posts: 1951
Joined: Fri May 23, 2014 4:18 pm

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

Post by Kbg » Sat Jul 08, 2017 10:11 pm

Och,

Why emerging markets?
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sun Jul 09, 2017 6:41 am

Because if you want to follow the GEM prescription precisely, ACWI ex-US is about 19% - 20% EM. It's everything in the world except US. I have thought about omitting it, but... I don't have the data to prove that would be a good idea.
Kbg
Executive Member
Executive Member
Posts: 1951
Joined: Fri May 23, 2014 4:18 pm

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

Post by Kbg » Sun Jul 09, 2017 12:09 pm

ochotona wrote:Because if you want to follow the GEM prescription precisely, ACWI ex-US is about 19% - 20% EM. It's everything in the world except US. I have thought about omitting it, but... I don't have the data to prove that would be a good idea.
We have a different ball game now that China is in the "EM" indexes, but formerly EM was pretty much a play on commodities...I would say just buy the ETF, but I saw your reason for MFs so that makes sense.

Anyone have a clue what his proprietary mix has in it?
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sun Jul 09, 2017 3:58 pm

I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
thisisallen
Senior Member
Senior Member
Posts: 126
Joined: Sat Sep 24, 2016 5:39 pm
Location: NJ and India

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

Post by thisisallen » Sun Jul 09, 2017 7:45 pm

Fidelity explained that the early redemption fee is a decision by the fund manager. If a fund manager feels he needs to hold the money for a specified period I n order to boost performance then he is able to make the restriction, charge an early redemption fee.
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

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

Post by Mr Vacuum » Tue Jul 11, 2017 8:24 pm

Correcting my earlier comment: the Fidelity funds (at least the S&P 500 Index and Global Ex-US funds) do not currently have short term redemption fees. It seems like I saw that on FSBAX or FSTMX at some point, but I may be remembering only PRPFX. However, they have very clear rules against excessive trading. If you do two 30-day round trips in and out of a fund in 90 days or four across all Fidelity funds in a 12 month period, they'll lock you out of fund purchases for at least 85 days. In that case you're left to call and ask nicely or switch to ETFs anyway. It's rare for GEM to swing enough to violate those rules, so it's not out of the question to use the funds until it does, but it's something to remember.

As an aside, I noticed FSGDX has steadily underperformed VEU and related iShares ETFs the past few years. That would need to be understood before one used it.
Kbg
Executive Member
Executive Member
Posts: 1951
Joined: Fri May 23, 2014 4:18 pm

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

Post by Kbg » Wed Jul 12, 2017 7:56 am

ochotona wrote:I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
Are you able to say what assets were/are in the mix? If not, no worries.
thisisallen
Senior Member
Senior Member
Posts: 126
Joined: Sat Sep 24, 2016 5:39 pm
Location: NJ and India

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

Post by thisisallen » Wed Jul 12, 2017 8:08 am

Mr Vacuum wrote:Correcting my earlier comment: the Fidelity funds (at least the S&P 500 Index and Global Ex-US funds) do not currently have short term redemption fees. It seems like I saw that on FSBAX or FSTMX at some point, but I may be remembering only PRPFX. However, they have very clear rules against excessive trading. If you do two 30-day round trips in and out of a fund in 90 days or four across all Fidelity funds in a 12 month period, they'll lock you out of fund purchases for at least 85 days. In that case you're left to call and ask nicely or switch to ETFs anyway. It's rare for GEM to swing enough to violate those rules, so it's not out of the question to use the funds until it does, but it's something to remember.

As an aside, I noticed FSGDX has steadily underperformed VEU and related iShares ETFs the past few years. That would need to be understood before one used it.
I was told that the mgr of FTIPX requires a holding period of 90 days. If a withdrawal is made before 90 days then there is a 1% charge.
And that FUSVX and FSITX do not have any restrictions.
User avatar
dualstow
Executive Member
Executive Member
Posts: 11782
Joined: Wed Oct 27, 2010 10:18 am
Contact:

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

Post by dualstow » Thu Jul 13, 2017 7:11 am

Some of these might be your kind of thing, ocho, et al.

https://www.bogleheads.org/forum/viewto ... 0&t=222780

I always enjoy grap's posts.
traveling...
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Fri Jul 14, 2017 10:39 pm

Kbg wrote:
ochotona wrote:I was in the proprietary model with Gary, and I was unhappy because I did not understand why changes were being made.
Are you able to say what assets were/are in the mix? If not, no worries.
I know what's in the proprietary model, but it would not be ethical for me to disclose.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sat Sep 09, 2017 11:39 am

FWIW, the GEM model is still 100% in ACWI-ex US stocks, that would be the Vanguard ETF $VEU. I personally use 81% $SWISX and 19% $SCHE. This has been the allocation from June 1, 2017, and the next evaluation will be September 30, 2017.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Sat Sep 30, 2017 1:49 pm

GEM is still in non-US stocks for October 2017. I thought it might flip. The month ain't over 'til it's over.
User avatar
ochotona
Executive Member
Executive Member
Posts: 3214
Joined: Fri Jan 30, 2015 5:54 am

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

Post by ochotona » Tue Oct 31, 2017 7:37 pm

Schwab Mutual Funds and ETF

SWPPX tracks the S&P500 index. The momentum score is 23.57%

Mixing together SWISX 81%, SCHE 19% will approximate the ACWI ex-US. The momentum score is 23.38%

Using these securities, GEM is in the S&P500


But, if you are using Vanguard ETFs


VOO tracks the S&P500. The momentum score is 23.76%

VOO tracks the ACWI ex-US. The momentum score is 23.52%

Using these securities, GEM is in the ACWI ex-US


So a bit of tracking error and confusion for November 2017! With scores that close... does it even matter which set of scores are "right"? I have a suggestion... wait two weeks. I will issue a mid-month report.
Mr Vacuum
Executive Member
Executive Member
Posts: 164
Joined: Tue Jan 19, 2016 11:51 am

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

Post by Mr Vacuum » Tue Oct 31, 2017 8:50 pm

In large part because of the whackiness of November 2016, which created an interesting blip between the S&P 500 and international markets. Unless the S&P goes crazy this month, it’s clearly international next month. I reckon it doesn’t matter what you do when it’s this close as long as you don’t make exactly the wrong choice every time it happens ;)
Post Reply