Tactical Asset Allocation + HBPP an intriguing combo
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Re: Tactical Asset Allocation + HBPP an intriguing combo
So the bond choice is AGG for the backtest? I'll probably find a Vanguard bond mutual fund to test
Re: Tactical Asset Allocation + HBPP an intriguing combo
USMV and EFAV for the stock component, VBMFX and VFISX for the bond component 1992-May 2019
13.07 CAGR/11.54 Max DD Sharpe .49
13.07 CAGR/11.54 Max DD Sharpe .49
Re: Tactical Asset Allocation + HBPP an intriguing combo
If you want to take it back to 1990 you can use FFXSX (or maybe 80/20 or 85/15 FIGTX/CASHX rebalanced monthly or annually in PV and saved as a portfolio with a custom ticker symbol) as an alternative to VFISX since that only goes back to 1992.
I am working on getting data for what % of world market cap was US and what percent was other countries so as to be able to create a crude synthetic ACWI minimum volatility pre-1993 which can then be blended into the actual index starting in May 1993...that way ACWV can be compared against USMV as well.
EDIT: I just noticed that you said the Sharpe was 0.49. That seems awfully low for a portfolio with a 13.07% CAGR and an 11.54% maxDD; even a fund like Wellesley (VWINX)--which is no one's idea of a risky portfolio--had a Sharpe of 0.92 for 1992-present and it had a CAGR during this time period of just over 8% and a maxDD of 18.82%.
I'm just curious...what was the Sortino ratio of the USMV/EFAV DM portfolio?
Re: Tactical Asset Allocation + HBPP an intriguing combo
Agree on the SR...weird.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Shootout between VFINX Vanguard S&P500 mutual fund vs. USA MIN VOL index
1990-Present, Absolute Momentum, 12 month lookback only
VFINX CAGR = 11.30%, MAXDD = -16.3%, SORTINO = 1.23, 21 trades
USA MIN VOL CAGR = 11.94%, MAXDD = -11.5%, SORTINO = 1.76, 25 trades (didn't expect this)
Pretty cool, but the questions for me are... do you trust the index, and do you want to tilt toward that particular factor? Like I said, my spouse already owns it. Do I want to buy more? hmmmmm......
1990-Present, Absolute Momentum, 12 month lookback only
VFINX CAGR = 11.30%, MAXDD = -16.3%, SORTINO = 1.23, 21 trades
USA MIN VOL CAGR = 11.94%, MAXDD = -11.5%, SORTINO = 1.76, 25 trades (didn't expect this)
Pretty cool, but the questions for me are... do you trust the index, and do you want to tilt toward that particular factor? Like I said, my spouse already owns it. Do I want to buy more? hmmmmm......
Re: Tactical Asset Allocation + HBPP an intriguing combo
I think we all have to be cognizant of the fact that as soon as something gets turned into an investable product it becomes a mechanism for bringing efficiency to that element of the market. It will be interesting to see how it works going forward. The longer I’m around this stuff the more I become impressed with the S&P 500. Ultimately it’s a momentum fight amongst America’s most successful companies...that’s been a good combo and hard to beat.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Do you simply buy and hold s&p? Buy at dips, minus 10% and lower?Kbg wrote: ↑Fri Jun 21, 2019 9:52 amI think we all have to be cognizant of the fact that as soon as something gets turned into an investable product it becomes a mechanism for bringing efficiency to that element of the market. It will be interesting to see how it works going forward. The longer I’m around this stuff the more I become impressed with the S&P 500. Ultimately it’s a momentum fight amongst America’s most successful companies...that’s been a good combo and hard to beat.
Re: Tactical Asset Allocation + HBPP an intriguing combo
My personal 25% (leveraged) is the Nasdaq 100. Mainly I just rebalance when I think it is a good time to rebalance. I have a BUNCH of indicators that are all automated in their production. My basic process is...do I need to rebalance based on bands. If the answer is yes, then I start a bit of market timing to time the rebalance. Every once in awhile I get a screaming buy or sell signal and if there is anything to rebalance then I will rebalance. For example if my mix was at 30, 26, 24, 20 I may look at the left or right end if there is an applicable signal. If there was a signal on the two in the middle I'm doing nothing. With 3x ETFs you can get a lot of movement very quickly. If I was unleveraged I'd probably just band rebalance.
All the above is an example of my basic methodology, not the specifics.
All the above is an example of my basic methodology, not the specifics.
Re: Tactical Asset Allocation + HBPP an intriguing combo
On a 3 6 12 month basis, Canada is outperforming the USA. I like Canada. I need to buy some EWC on July 1 when I trade.
EWC 10.19%
SPY 9.61%
EWC 10.19%
SPY 9.61%
Re: Tactical Asset Allocation + HBPP an intriguing combo
The GEM portfolio is in US Equities for July 2019 (SPY, IVV, VOO, SCHX).
Having said that, I am doubting the ability of the 12-month lookback to perform accurately past the end of September, due to the extreme volatility of Q4 2019. This is a bad feature of this particular simple way to calculate momentum. It could very well post a "BUY" signal for late 2019 / early 2020 simply due to the trough in the stock market in late 2018 / early 2019.
I find that an 18 month simple moving average has similar results to the 12-month lookback, so I'll be reporting that from now on.
I'll still be comparing S&P 500 stocks vs. ACWI ex-US (I'll use the CWI ETF, it outperforms VEU) using the 12-month lookback to find out which to invest in, I just won't use the 12-month lookback to go risk-on / risk-off.
{FYI - I'm not using the above. I'm following the Economic Pulse model, which I can't disclose, but I don't want to leave readers in the lurch}
Having said that, I am doubting the ability of the 12-month lookback to perform accurately past the end of September, due to the extreme volatility of Q4 2019. This is a bad feature of this particular simple way to calculate momentum. It could very well post a "BUY" signal for late 2019 / early 2020 simply due to the trough in the stock market in late 2018 / early 2019.
I find that an 18 month simple moving average has similar results to the 12-month lookback, so I'll be reporting that from now on.
I'll still be comparing S&P 500 stocks vs. ACWI ex-US (I'll use the CWI ETF, it outperforms VEU) using the 12-month lookback to find out which to invest in, I just won't use the 12-month lookback to go risk-on / risk-off.
{FYI - I'm not using the above. I'm following the Economic Pulse model, which I can't disclose, but I don't want to leave readers in the lurch}
Re: Tactical Asset Allocation + HBPP an intriguing combo
Paul Novell was on Meb Faber's podcast recently.
https://mebfaber.com/2019/07/01/the-bes ... dels-fail/
https://mebfaber.com/2019/07/01/the-bes ... dels-fail/
Re: Tactical Asset Allocation + HBPP an intriguing combo
The GEM portfolio is in US Equities for August 2019 (SPY, IVV, VOO, SCHX)
Re: Tactical Asset Allocation + HBPP an intriguing combo
I am concerned USMV is too crowded a trade. Still using SP500 cap weighted ETFs.
That said, for my wife's purely buy-and-hold portfolio, I am using ACWV, iShares MSCI Min Vol Global ETF. I think over a period of time it will be more suitable for her than VT, which she was in before.
That said, for my wife's purely buy-and-hold portfolio, I am using ACWV, iShares MSCI Min Vol Global ETF. I think over a period of time it will be more suitable for her than VT, which she was in before.
Re: Tactical Asset Allocation + HBPP an intriguing combo
The GEM portfolio is in US Equities for September 2019 (SPY, IVV, VOO, SCHX).
Re: Tactical Asset Allocation + HBPP an intriguing combo
I'm in a 401(k) which I detest. The two best funds I have access to are Invesco S&P500 Equal Weight (VADAX), and American Funds New World Fund® Class R-3 (RNWCX). The later is a global fund, actively managed and costly, and heavily EM weighted, almost 1/2 EM. I get assailed by ridiculous fees. You know what it is. Thankfully, when I turn 59.5 I can do an in-service transfer and rip the accumulated funds out.
Being half EM sounds like a recipe for failure, but I have noticed that as on Aug 30, RNWCX beats VADAX on a 12-mo momentum basis, so I switched over to it. I'm trying to run something like a GEM in my 401(k) and hope I don't hit any frequent trading limits. I should be OK.
Interesting observation I thought others would like to hear. The US vs International, the passive vs active worms may be turning.
Being half EM sounds like a recipe for failure, but I have noticed that as on Aug 30, RNWCX beats VADAX on a 12-mo momentum basis, so I switched over to it. I'm trying to run something like a GEM in my 401(k) and hope I don't hit any frequent trading limits. I should be OK.
Interesting observation I thought others would like to hear. The US vs International, the passive vs active worms may be turning.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Honestly, I wouldn't be surprised at all to see active start working again when we do get the next "paradigm shift". Especially since active fees have dropped considerably in the last few years. I mean, there are some solid active funds now under 1% ER (like the highly regarded Contrafund).
Re: Tactical Asset Allocation + HBPP an intriguing combo
How much does Interactive Brokers save you in trading friction? Are their order executions that much better than Schwab, Fidelity, etc for trading ETFs? That might be a consideration for a momentum investor.
Re: Tactical Asset Allocation + HBPP an intriguing combo
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.
Re: Tactical Asset Allocation + HBPP an intriguing combo
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.
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.
Re: Tactical Asset Allocation + HBPP an intriguing combo
The GEM portfolio is in US Equities for October 2019 (SPY, IVV, VOO, SCHX)
Re: Tactical Asset Allocation + HBPP an intriguing combo
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.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Here is a Canadian version of GEM, Hot Potato Portfolio,
https://www.moneysense.ca/save/investin ... portfolio/
https://www.moneysense.ca/save/investin ... portfolio/
PODCASTS
PODCASTS
Gary Antonacci
https://www.stitcher.com/s?eid=60239439&refid=asa
Paul Novell
https://www.stitcher.com/s?eid=65459054&refid=asa
Gary Antonacci
https://www.stitcher.com/s?eid=60239439&refid=asa
Paul Novell
https://www.stitcher.com/s?eid=65459054&refid=asa
Re: Tactical Asset Allocation + HBPP an intriguing combo
Thanks for the info.