Introducing, the Stock Barbell

Discussion of the Stock portion of the Permanent Portfolio

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Kbg
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Introducing, the Stock Barbell

Post by Kbg » Mon Sep 09, 2019 10:29 pm

This is awesome. As PPers we are familiar with the bond barbell. I thought this a cool idea which merits further research.

https://www.fortunefinancialadvisors.co ... m-barbell/
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Cortopassi
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Re: Introducing, the Stock Barbell

Post by Cortopassi » Mon Sep 09, 2019 11:09 pm

Are there actual ETFs that mimic the momentum and lo-vol portions?
D1984
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Re: Introducing, the Stock Barbell

Post by D1984 » Tue Sep 10, 2019 1:09 am

Cortopassi wrote:
Mon Sep 09, 2019 11:09 pm
Are there actual ETFs that mimic the momentum and lo-vol portions?
SPLV for the low vol index and MTUM for the momentum one IIRC; if you didn't want to just use all SPLV for the low vol one (due to sector concentration risk....i.e. consumer staples, utilities, and health care are overweight in the low volatility index compared to the S&P 500 as a whole) then you could split the low vol portion of the portfolio into a mixture of SPLV, USMV, and XRLV.

Alternatively you could go for maybe a 47% MTUM, 3% TQQQ, 40% SPLV, and 10% BTAL...will likely have a tiny bit lower return than just a pure 50/50 low vol/momentum barbell but probably will have a higher Shape and Sortino due to its lower drawdowns during major bear markets (2008-09 and 2000-02); BTAL has only been around since 2011 but the index underlying it has daily backtested data back to 1-1-2002 and the actual methodology behind the index (or something that was almost a clone of it) was backtested to 1-1-1990 monthly by BNP Paribas.
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Re: Introducing, the Stock Barbell

Post by Cortopassi » Tue Sep 10, 2019 8:33 am

Thanks. Seems to be a good combo, at least for the past 5 years or so.

This is where, in the past, I would have probably sold out of my VTI and switched to this strategy. No doubt, out of MTUM, SPLV, SPY and VTI, VTI has the lowest 5 year return (but also the lowest expense ratio, and I don't know if that is figured into these charts).

So I'd consider it at some point. I'd be interested in other people's takes (Tyler?)

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Kbg
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Re: Introducing, the Stock Barbell

Post by Kbg » Tue Sep 10, 2019 8:44 am

IIRC both sides' indexes were highlighted, some googling will enable one to find out the ETFs associated with each version.

https://www.etf.com/channels/momentum-etfs

https://etfdb.com/etfs/investment-style/high-momentum/

https://www.etf.com/channels/low-volatility-etfs

https://etfdb.com/etfs/investment-style/low-volatility/

I'm not surprised at all this works. Almost always if you get two assets together that tend to work on opposite ends of some phenomena they do better when combined than individually. This aspect of things, I do not worry about. I'd be more concerned with outperformance going away as factors get commoditized into ETFs that become popular.
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