Exactly so, which is why blending the two strategies makes so much sense.
Tactical Asset Allocation + HBPP an intriguing combo
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Re: Dual Momentum GEM + HBPP a great combo, easy to test
Dual Momentum GEM has issued a SELL signal today. I sold today, only have a 5.5% equity allocation now, will keep these.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Alpharchitect current allocations
Zero exposure to domestic equities.
Zero exposure to international equities.
Zero exposure to REITs.
Zero exposure to commodities
Half exposure to long-term bonds.
Zero exposure to domestic equities.
Zero exposure to international equities.
Zero exposure to REITs.
Zero exposure to commodities
Half exposure to long-term bonds.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test
From Allocate Smartly:
(The site analyzes tactical asset allocation strategies)
“TAA’s performance to start the new year is likely to be extreme (either extremely good or extremely mediocre). As we show in the data dump below, TAA is now postured very defensively. The average allocation to defensive asset classes stands at 88%. Those are levels not seen since the 2008-09 Global Financial Crisis. If we see a strong market recovery to start the year, TAA is going to be left underperforming on the sidelines. But if recent market weakness continues, TAA is going to be riding high and dry. This remains a “hero or zero” moment for TAA.”
(The site analyzes tactical asset allocation strategies)
“TAA’s performance to start the new year is likely to be extreme (either extremely good or extremely mediocre). As we show in the data dump below, TAA is now postured very defensively. The average allocation to defensive asset classes stands at 88%. Those are levels not seen since the 2008-09 Global Financial Crisis. If we see a strong market recovery to start the year, TAA is going to be left underperforming on the sidelines. But if recent market weakness continues, TAA is going to be riding high and dry. This remains a “hero or zero” moment for TAA.”
Re: Dual Momentum GEM + HBPP a great combo, easy to test
It's not a hero or zero moment for me. I'm going to judge it on where I stand in 2026, retirement day.thisisallen wrote: ↑Fri Jan 04, 2019 10:24 pm From Allocate Smartly:
(The site analyzes tactical asset allocation strategies)
“TAA’s performance to start the new year is likely to be extreme (either extremely good or extremely mediocre). As we show in the data dump below, TAA is now postured very defensively. The average allocation to defensive asset classes stands at 88%. Those are levels not seen since the 2008-09 Global Financial Crisis. If we see a strong market recovery to start the year, TAA is going to be left underperforming on the sidelines. But if recent market weakness continues, TAA is going to be riding high and dry. This remains a “hero or zero” moment for TAA.”
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Looks like I sold low and will be buying back in high. Good recipe to end up in the poor house.
Kurt
Kurt
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The month is not over! Maybe we get whipsawed back... but maybe not. Who can predict the stock market over the next 30, 60, 90 days? No one!
You most assuredly don't know that you'll end up in the poor house over the full duration of your portfolio life. Decades of data suggests otherwise, and you can verify it independently.
GEM lags in bull markets, but hugely leads in bear markets. Everyone should know this. There are lots of trades that don't work out, but the ones that do hit big. It's the same thing for the HBPP, or any disciplined investment strategy for that matter. If you're not prepared for a bad trade, don't be in the financial markets. Buy a CD.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
This is a valuable piece of information. Thanks for sharing.ochotona wrote: ↑Wed Jan 09, 2019 2:00 pm
GEM lags in bull markets, but hugely leads in bear markets. Everyone should know this. There are lots of trades that don't work out, but the ones that do hit big. It's the same thing for the HBPP, or any disciplined investment strategy for that matter. If you're not prepared for a bad trade, don't be in the financial markets. Buy a CD.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test
Ocho, you’re playing poker with your financial future (all-in, all-out) and rationalizing the outcome to a PP investor that incurs a loss from time to time.ochotona wrote: ↑Wed Jan 09, 2019 2:00 pmThe month is not over! Maybe we get whipsawed back... but maybe not. Who can predict the stock market over the next 30, 60, 90 days? No one!
You most assuredly don't know that you'll end up in the poor house over the full duration of your portfolio life. Decades of data suggests otherwise, and you can verify it independently.
GEM lags in bull markets, but hugely leads in bear markets. Everyone should know this. There are lots of trades that don't work out, but the ones that do hit big. It's the same thing for the HBPP, or any disciplined investment strategy for that matter. If you're not prepared for a bad trade, don't be in the financial markets. Buy a CD.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The data does not support that assertion.buddtholomew wrote: ↑Thu Jan 10, 2019 6:56 am Ocho, you’re playing poker with your financial future (all-in, all-out) and rationalizing the outcome to a PP investor that incurs a loss from time to time.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test
Just curious, can you answer these questions?ochotona wrote: ↑Fri Jan 11, 2019 10:06 amThe data does not support that assertion.buddtholomew wrote: ↑Thu Jan 10, 2019 6:56 am Ocho, you’re playing poker with your financial future (all-in, all-out) and rationalizing the outcome to a PP investor that incurs a loss from time to time.
What were your stocks down YTD when the sell signal was triggered? How much more have you lost since the sell signal through yesterday? I suspect the answer is 15-20%. Compare that figure to a buy and hold investment over the same period. Is it worth it?
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The sell signal was Dec 31. Judging one's strategy on a handful of days will never work no matter what the strategy. Think full market cycle.
Though if we get into a choppy whipsaw market, the thought of going to a buy and hold PP to wait out the vol storm seems appealing. PP has always been a great bear market allocation.
Though if we get into a choppy whipsaw market, the thought of going to a buy and hold PP to wait out the vol storm seems appealing. PP has always been a great bear market allocation.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I was thinking of keeping 50% of my portfolio in a pure HB PP & 50% in the GEM model. Under "risk of times" you would be 75% in stocks and in bad times only 25% equity. With this setup you always have a little skin in the game.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
Exactly. Easy to live with. Follow the two models. Live your life.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I am migrating to the portfolio models in the Economic Pulse Newsletter, available by subscription only from Investingforaliving.us
These models are very similar to the Antonacci GEM models. But, I can't discuss them, because the content is copyrighted. I won't update the GEM signals any longer. Don't worry, you can always get a fresh signal for the GEM by clicking on this link.
These models are very similar to the Antonacci GEM models. But, I can't discuss them, because the content is copyrighted. I won't update the GEM signals any longer. Don't worry, you can always get a fresh signal for the GEM by clicking on this link.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
The Economic Pulse portfolios are either much less fragile due to the use of economic data, or they are curve-fit to the hilt. Their drawdowns are much less than GEM. -15% vs -25%. They have an EM portfolio, which I think is important.Kbg wrote: ↑Mon Jan 14, 2019 8:12 pm https://blog.thinknewfound.com/2019/01/ ... entum-gem/
A must read.
Even so, GEM is still better than buy and hodl.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test
[deleted]
Last edited by InsuranceGuy on Mon Mar 08, 2021 8:00 pm, edited 1 time in total.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
It will be interesting in 30 more years to see how it all played out!
Re: Dual Momentum GEM + HBPP a great combo, easy to test
With regard to the COMP model, what we know is they have zero basis to conclude anything nor will they likely in our lifetimes. Not saying having a macro model isn't a good thing. I have one, but it's main purpose is to hopefully ID how "bad" a bear could be vs. timing. If macro tubes then I expect a worse drawdown and act accordingly. However, if you look at associated performance data a HUGE component of outperformance is not when you get out but equally as much as when you get back in. Bull markets after major bears are large and fast moving and it really hurts to miss some of that (or any of it)InsuranceGuy wrote: ↑Tue Jan 15, 2019 9:33 amCould be my bias, but I'd lean towards overfit. See Figure 3 here: https://investingforaliving.us/economic ... ewsletter/, the title is 6 Factor COMP Probit Model.ochotona wrote: ↑Tue Jan 15, 2019 5:25 amThe Economic Pulse portfolios are either much less fragile due to the use of economic data, or they are curve-fit to the hilt. Their drawdowns are much less than GEM. -15% vs -25%. They have an EM portfolio, which I think is important.Kbg wrote: ↑Mon Jan 14, 2019 8:12 pm https://blog.thinknewfound.com/2019/01/ ... entum-gem/
A must read.
Even so, GEM is still better than buy and hodl.
Funny enough they use 6 factors to predict the 7 economic downturns since 1973, though I'm guessing there are more parameters in their model in order to get the signal to show up within 1 month of the start of each downturn.
While what they have is proprietary so it's hard to tell, it appears to me they do not use a single lookback in their momentum models. I was pleasantly surprised/pleased that the thinknewfound guys validated something that I had come to a conclusion on a couple of years back. Just wish they would have went shorter than 6 months in their analysis. In any event, for what they point out I do not use a single lookback per the by the book DM rules.
Ocho...IIRC correctly you were using this service, you left and now you are back again?
Re: Dual Momentum GEM + HBPP a great combo, easy to test
I was with Gary Antonacci's proprietary model, got tired of paying the fees and the black box, then yanked my money back. Economic Pulse is new for me. It's low cost but I still get their signals, I get to manage the trades and customize around the edges, my assets stay put. This is a good fit. If I don't like it I just go back to GEM.
But I really want a plan for Emerging Markets. GMO, Research Affiliates, others ID EM as the probably best performing market in the next decade. Public GEM model doesn't explicitly treat EM.
But I really want a plan for Emerging Markets. GMO, Research Affiliates, others ID EM as the probably best performing market in the next decade. Public GEM model doesn't explicitly treat EM.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
GEM with QQQ/EEM does quite nicely.
1. Backtest is way short - bad
2. Still have the dollar effect
3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good
If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
1. Backtest is way short - bad
2. Still have the dollar effect
3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good
If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
veiex is an older EM mutual fund. There must be a NASDAQ mutual...Kbg wrote: ↑Tue Jan 15, 2019 5:21 pm GEM with QQQ/EEM does quite nicely.
1. Backtest is way short - bad
2. Still have the dollar effect
3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good
If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
Re: Dual Momentum GEM + HBPP a great combo, easy to test
RYOCX (a NASDAQ-100 index fund) goes back to early 1994; there are no EM index funds that far back that I know of but MADCX (Blackrock's actively managed emerging market fund) goes back to the late 1980s. The MSCI EM index goes back to 1988 (daily TR) and the S&P IFC EM index Tr (monthly) goes back to 1976; before that you'd need to go to GFD which has an Emerging Markets index that goes back monthly to 1925....but GFD costs around $23K a year if you are not affiliated with a college or university.ochotona wrote: ↑Tue Jan 15, 2019 8:41 pmveiex is an older EM mutual fund. There must be a NASDAQ mutual...Kbg wrote: ↑Tue Jan 15, 2019 5:21 pm GEM with QQQ/EEM does quite nicely.
1. Backtest is way short - bad
2. Still have the dollar effect
3. Normally when the US market leads it's tech driven, normally when Emerging leads it's commodities driven - good
If one was to do this...probably need to study up on how China is handled. Obviously this is aggressive.
If you want you can (IIRC) input NASDAQ-100 index daily index into the system as a benchmark or portfolio if you want to go back farther than 1995 (you would need to create an Excel or CSV or text file of it and add the expense ratio back in, though); Yahoo Finance has it back to 1985 and there are other sources of it (GTR1) for a backtested created version back to 1972.