Please meet Global Navigator and The Russell

[StrategyDriven]

This post is long so here’s a preview of the two strategy results to help decide if you want to continue.



These are dual momentum strategies that I and some family and friends have been investing in for a few years. Countless hours were invested by me to get to this point, I believe these strategies may be of interest to others, here they are!

Investing in these strategies is more complex than buying and holding a basket of ETF’s, but all in all it’s a pretty simple affair. There could be a change of investment at any given month end, on average trades are made about once every 4 months. The goal is to realize greater than market returns with lower drawdowns compared to the market. The greater than market returns goals shouldn’t not be expected to continuously happen on a monthly, quarterly, or even annual basis, but rather to persist over longer time periods.

I was heavily influenced by Gary Antonocci's dual momentum work (www.OptimalMomentum.com) In a nutshell, Gary firmly believes and shows why he loves to invest in dual momentum, the strategy invests in either the US Market or ACWX when invested in equities, and in AGG bonds when out of equities. Gary's strategy beats the market over time with much less drawdown, though it has underperformed in the 2010 decade.

To some extent, any strategy has a bit of data mining in it, my strategies are not heavily data mined, they are not optimized to look great over past periods. Sure some times I'll have an idea and run it on a 20+ year time frame to check it out, but that's about the extent of the data mining in these strategies. These strategies aren’t optimized and tweaked for the best backtested results. I heavily invested in them myself and want to keep a realistic perspective.

These two strategies both use a weighted average look back period, 25% of the 1 month return, 25% of the 3 month return, and 50% of the 6 month return. I know that this weighted return has performed better than a 200 day look back period over recent years, I also know that over the long run, it does no better than the 200 day look back period. I use it because I like the quicker action, even though it can sometimes lead to whipsaw.

Global Navigator, similar to Gary's Global Equities Momentum, GEM, strategy, invests in either VTI - Total US Market, or in ACWX - All Country World ex-US. When out of equities it invests in UST, a 2X Intermediate Treasury ETF. A person can deviate here given their risk tolerance. UBT for the high flyer, or maybe VGIT for a more timid investor.

The Russell is similar to Global Navigator but remains in the USA. It invests in either IWB, IWP, or IWS. The Russell 1000, Russell Midcap Growth, or Russell Midcap Value. This strategy does remarkably well compared to the SPY/IWB in prolonged periods where these two aren't doing well, like the 2000’s decade where the US Markets had negative return yet The Russell had impressive gains. The Russell also killed it during the 2010 decade, no idea if it will continue this hot hand, I invest in both strategies to cover the bases, by no means to I view The Russell as superior just because it’s done better over the past 10 years, the next 10 years could be different with foreign markets outperforming the US.

After running these for my own investments for several years, and always looking for material improvements I had pretty much stopped looking because when tested, the ideas just didn’t pan out. But I eventually had an idea which really got me excited in how well it works with these strategies, the gains are greatly increased without substantial downside risk. This idea was Smart Leverage. After an outsized drawdown in the markets, the strategies will initiate and then confirm a Leverage Trigger. After confirmation, the next time the strategies go back into equities, they go into 2X leveraged ETF's until there is a regular change of investment in the strategies. For example, after the drop early in 2020, both strategies went out of equities for March, and then back into equities in June. Both strategies issued confirmed Leverage Triggers prior to June, and both went into 2X funds starting in June 2020. Global Navigator went into SSO and is still in it today (November 2020), and will remain in it until there is a change of investment in that strategy. The Russell went into QLD in June, but in September the strategy switched to IWB and exited the leveraged investment. From 1996 through 2020, Smart Leverage has significantly increased the returns without causing crazy bad drawdowns.

Smart Leverage ETF’s are:
Global Navigator: VTI -> SSO, ACWX -> EFO
The Russell: IWB -> SSO, IWP -> QLD, IWS -> IWS (no 2X funds similar to IWS)

While leverage is used, not all the time, The Russell is only invested in leveraged equity ETF’s about 10% of the time, Global Navigator about 17% of the time. But they lever up at times when it more often than not pays off handsomely.

Charts and data on the two strategies are below. These strategies may or may not be of interest to you. Remember this is not investment advise, and that past investment performance is not indicative of future performance. I am not trying to sell you anything or make money off you in any way shape or form.

I have approximately 75% of my invested assets into these two strategies (I also have money in a 2X Permanent Portfolio.) One thing to keep in mind is that these strategies do not mimic the S&P, they will at times move with the S&P, but often move differently. These types of strategies may or may not outshine the market any given month, quarter, or year. Over the longer term though, you should have marketed improvements over the index market performance with less drawdown.

If this just isn't your sort of thing, please just move on. If you're curious and have questions, or constructive criticism, I'd love to have a discussion.

If you would like to join the monthly email distribution for these strategies, shoot me a PM with your email address.

Click on the thumbnails below for larger size images.

[StrategyDriven]

For December 2020, there is a change of investment in both Global Navigator and The Russell.

Global Navigator exits its leverage holding SSO and goes foreign with ACWX.

The Russell exits the Russell MidCap Growth, IWP, and enters the Russell MidCap Value, IWS.

I will place my trades to execute late Monday afternoon, the last trading day of November.


Download PDF here


*** 11/30/2020 Update *** This morning the IWS had a much larger drop than IWP and it's now a horserace regarding whether we stick with IWP or IWS for December. I'll likely wait to make The Russell change, if necessary, on the first trading day of December instead of today.

No change with Global Navigator, it still switches to ACWX for the first time since November 2017.


*** 11/30/2020 Update with 45 minute left in trading ***
I took a look just now with less than an hour left to trade in November:

The Russell - IWP held it’s current position and no change for The Russell this month.

Global Navigator is switching to Foreign, ACWX.

[StrategyDriven]

November 2020 is in the books. Fact Sheets available here.

[modeljc]

For December 2020, there is a change of investment in both Global Navigator and The Russell.

Global Navigator exits its leverage holding SSO and goes foreign with ACWX.

The Russell exits the Russell MidCap Growth, IWP, and enters the Russell MidCap Value, IWS.

I will place my trades to execute late Monday afternoon, the last trading day of November.


Download PDF here


*** 11/30/2020 Update *** This morning the IWS had a much larger drop than IWP and it's now a horserace regarding whether we stick with IWP or IWS for December. I'll likely wait to make The Russell change, if necessary, on the first trading day of December instead of today.

No change with Global Navigator, it still switches to ACWX for the first time since November 2017.


*** 11/30/2020 Update with 45 minute left in trading ***
I took a look just now with less than an hour left to trade in November:

The Russell - IWP held it’s current position and no change for The Russell this month.

Global Navigator is switching to Foreign, ACWX.

Wow! Lots of long hard work on the three models. I have been following an approach like the global Navigator on paper. Can you refresh me on how the SELL signals come into play. You do a look back for one, three, and six months with a chart. When it breaks SHY when do you sell? Is it based on a weighted average. And what if one does not break down ect. Hope this is clear. My question is trying to work this out so I can do it on my own.

[StrategyDriven]

Wow! Lots of long hard work on the three models. I have been following an approach like the global Navigator on paper. Can you refresh me on how the SELL signals come into play. You do a look back for one, three, and six months with a chart. When it breaks SHY when do you sell? Is it based on a weighted average. And what if one does not break down ect. Hope this is clear. My question is trying to work this out so I can do it on my own.

Here is an image of the flow for The Russell before implementing Smart Leverage, it shows the flow nicely.



For Global Navigator my decision tree at the end of the month is:

• Is the VTI 25% of 1 month return + 25% of 3 month return + 50% of 6 month return positive?

• if No then buy Treasuries

• if Yes, is that weighted lookback higher than the weighted lookback of BIL

• if No then buy Treasuries

• if Yes, then buy either VTI or ACWX, whichever has the highest weighted lookback return.

You asked about the sell signals, I view it slightly different: Each new month may be a different holding, with my Global Navigator a component is held on average for over 4 months, so it's not a high frequency trading strategy at all. I prefer to queue up my trades the last afternoon of the month so that I'm positioned for the start of the new month, but you can skew it a few days either way with little effect over time. So each month when I update my model and look to see where we should be positioned, if there is a change from the current month, I sell the current and buy the new.

Several years ago when I started investing in these models, I had a little difficulty getting over a mental hurdle that I had with following the directive of the model and going 100% into something if I felt the market was currently overvalued. Others may or may not have this or other hangups. I've learned to not question it and just do what it says, of course the model doesn't always make the best decisions, but until I have the luxury of being able to trade in the past, from the future, these models do a heck of a lot better job than my subjective investing decisions, which is why I purposely went the direction of investing in strategies.

[pmward]

Several years ago when I started investing in these models, I had a little difficulty getting over a mental hurdle that I had with following the directive of the model and going 100% into something if I felt the market was currently overvalued. Others may or may not have this or other hangups. I've learned to not question it and just do what it says, of course the model doesn't always make the best decisions, but until I have the luxury of being able to trade in the past, from the future, these models do a heck of a lot better job than my subjective investing decisions, which is why I purposely went the direction of investing in strategies.

Yep, following the rules is the hardest part of a quant strategy. I look at it like a diet. If you follow the rules of your diet you will lose weight and reach your goals. If you break the rules of your diet it's basically impossible to reach your goals. Systematic strategies need to stay systematic. The moment discretion is brought in things go bad. Now they may not go back every time, but psychologically it's almost worse if someone makes a discretionary trade and succeeds... because they will be emboldened to do the same in the future. A good systematic strategy won't get every single trade right, but over the course of a whole market cycle it will generate alpha vs buy and hold and have a better risk profile.

[StrategyDriven]

Several years ago when I started investing in these models, I had a little difficulty getting over a mental hurdle that I had with following the directive of the model and going 100% into something if I felt the market was currently overvalued. Others may or may not have this or other hangups. I've learned to not question it and just do what it says, of course the model doesn't always make the best decisions, but until I have the luxury of being able to trade in the past, from the future, these models do a heck of a lot better job than my subjective investing decisions, which is why I purposely went the direction of investing in strategies.

Yep, following the rules is the hardest part of a quant strategy. I look at it like a diet. If you follow the rules of your diet you will lose weight and reach your goals. If you break the rules of your diet it's basically impossible to reach your goals. Systematic strategies need to stay systematic. The moment discretion is brought in things go bad. Now they may not go back every time, but psychologically it's almost worse if someone makes a discretionary trade and succeeds... because they will be emboldened to do the same in the future. A good systematic strategy won't get every single trade right, but over the course of a whole market cycle it will generate alpha vs buy and hold and have a better risk profile.

That's why almost all of my money is in strategies. I know from spending so much time investigating, modeling, and building my own variants, that they take their own path which diverge from market returns, however, over time they tend to hit the win-win with higher returns and lower drawdowns. That's what I like. If you'd like my full month end distribution just pm your email, it's kept private - I'm not affiliated with anybody or selling anything, just trying to share the love.

[modeljc]

Several years ago when I started investing in these models, I had a little difficulty getting over a mental hurdle that I had with following the directive of the model and going 100% into something if I felt the market was currently overvalued. Others may or may not have this or other hangups. I've learned to not question it and just do what it says, of course the model doesn't always make the best decisions, but until I have the luxury of being able to trade in the past, from the future, these models do a heck of a lot better job than my subjective investing decisions, which is why I purposely went the direction of investing in strategies.

Yep, following the rules is the hardest part of a quant strategy. I look at it like a diet. If you follow the rules of your diet you will lose weight and reach your goals. If you break the rules of your diet it's basically impossible to reach your goals. Systematic strategies need to stay systematic. The moment discretion is brought in things go bad. Now they may not go back every time, but psychologically it's almost worse if someone makes a discretionary trade and succeeds... because they will be emboldened to do the same in the future. A good systematic strategy won't get every single trade right, but over the course of a whole market cycle it will generate alpha vs buy and hold and have a better risk profile.

That's why almost all of my money is in strategies. I know from spending so much time investigating, modeling, and building my own variants, that they take their own path which diverge from market returns, however, over time they tend to hit the win-win with higher returns and lower drawdowns. That's what I like. If you'd like my full month end distribution just pm your email, it's kept private - I'm not affiliated with anybody or selling anything, just trying to share the love.

Thanks very much for the generous repy on how to apply the signals.

[modeljc]

Several years ago when I started investing in these models, I had a little difficulty getting over a mental hurdle that I had with following the directive of the model and going 100% into something if I felt the market was currently overvalued. Others may or may not have this or other hangups. I've learned to not question it and just do what it says, of course the model doesn't always make the best decisions, but until I have the luxury of being able to trade in the past, from the future, these models do a heck of a lot better job than my subjective investing decisions, which is why I purposely went the direction of investing in strategies.

Yep, following the rules is the hardest part of a quant strategy. I look at it like a diet. If you follow the rules of your diet you will lose weight and reach your goals. If you break the rules of your diet it's basically impossible to reach your goals. Systematic strategies need to stay systematic. The moment discretion is brought in things go bad. Now they may not go back every time, but psychologically it's almost worse if someone makes a discretionary trade and succeeds... because they will be emboldened to do the same in the future. A good systematic strategy won't get every single trade right, but over the course of a whole market cycle it will generate alpha vs buy and hold and have a better risk profile.

That's why almost all of my money is in strategies. I know from spending so much time investigating, modeling, and building my own variants, that they take their own path which diverge from market returns, however, over time they tend to hit the win-win with higher returns and lower drawdowns. That's what I like. If you'd like my full month end distribution just pm your email, it's kept private - I'm not affiliated with anybody or selling anything, just trying to share the love.

Thanks very much for the generous repy on how to apply the signals.

Can you give use the rules for smart leverage? How much decline do you need to see before you use it. It appears to be automatic when entering the three Russell indexes. How about when you have risk off in bonds.

[StrategyDriven]

Can you give use the rules for smart leverage? How much decline do you need to see before you use it. It appears to be automatic when entering the three Russell indexes. How about when you have risk off in bonds.

Mod, I'm going to stay a little tight lipped about that part of the strategy - how and when the strategy confirms the Leverage Trigger to enter into a 2X ETF instead of 1X. I can tell you that it only happens after an outsized drawdown on a month end basis. If the market had a flash crash type drop that corrected by the end of the month, this would not confirm the trigger, the markets have to realize a larger than normal drop in the markets on a month end basis. The strategies exit the leveraged position when the Dual Momentum model has a normal change of investment. Since 1996 The Russell has had 7 instances of going into 2X funds, the durations are: 1 month, 1 month, 9 months, 4 months, 10 months, 3 months, and 3 months. Only 31 months our of 300 had leverage, 10.33% of the overall months, and 216 of the total months were in equities, so the 31 leveraged months is 14.35% of the equity invested month.

My goal was to enter a leveraged play from a systematic rules based perspective, when there is a high chance of capturing more upside.

Some more dirt for you.

Smart Leverage Instance - months held - summed return (ie 5% month 1 and 6% month 2 is 11%)
#1, 1 month, 12.46%
#2, 1 month, -23.81%
#3, 9 months, 70.4%
#4, 4 months, 41.02%
#5 10 months, 33.7%
#6 3 months, 24.12%
#7, 3 months, 50.00%

I'm not a gambler, but from a gambling perspective, those are pretty spectacular odds. Total summed returns for those months are 197.89%, roughly double what it would have been without Smart Leverage. Truth is that using a 3X ETF works even better, but it also includes possibility of larger losses for any given month which I'm not willing to endure, so 2X for this is my limit. If 2X is too much for anybody, a person could hold a mixture of VTI/SPY and SSO to get some leverage between 1 and 2X.

[modeljc]

Can you give use the rules for smart leverage? How much decline do you need to see before you use it. It appears to be automatic when entering the three Russell indexes. How about when you have risk off in bonds.

Mod, I'm going to stay a little tight lipped about that part of the strategy - how and when the strategy confirms the Leverage Trigger to enter into a 2X ETF instead of 1X. I can tell you that it only happens after an outsized drawdown on a month end basis. If the market had a flash crash type drop that corrected by the end of the month, this would not confirm the trigger, the markets have to realize a larger than normal drop in the markets on a month end basis. The strategies exit the leveraged position when the Dual Momentum model has a normal change of investment. Since 1996 The Russell has had 7 instances of going into 2X funds, the durations are: 1 month, 1 month, 9 months, 4 months, 10 months, 3 months, and 3 months. Only 31 months our of 300 had leverage, 10.33% of the overall months, and 216 of the total months were in equities, so the 31 leveraged months is 14.35% of the equity invested month.

My goal was to enter a leveraged play from a systematic rules based perspective, when there is a high chance of capturing more upside.

Some more dirt for you.

Smart Leverage Instance - months held - summed return (ie 5% month 1 and 6% month 2 is 11%)
#1, 1 month, 12.46%
#2, 1 month, -23.81%
#3, 9 months, 70.4%
#4, 4 months, 41.02%
#5 10 months, 33.7%
#6 3 months, 24.12%
#7, 3 months, 50.00%

I'm not a gambler, but from a gambling perspective, those are pretty spectacular odds. Total summed returns for those months are 197.89%, roughly double what it would have been without Smart Leverage. Truth is that using a 3X ETF works even better, but it also includes possibility of larger losses for any given month which I'm not willing to endure, so 2X for this is my limit. If 2X is too much for anybody, a person could hold a mixture of VTI/SPY and SSO to get some leverage between 1 and 2X.

I think I can figure it out. This year was a big clue. I did register for you month end signals and If you keep sending them I should be OK at age 83. Thanks

[modeljc]

Can you give use the rules for smart leverage? How much decline do you need to see before you use it. It appears to be automatic when entering the three Russell indexes. How about when you have risk off in bonds.

Mod, I'm going to stay a little tight lipped about that part of the strategy - how and when the strategy confirms the Leverage Trigger to enter into a 2X ETF instead of 1X. I can tell you that it only happens after an outsized drawdown on a month end basis. If the market had a flash crash type drop that corrected by the end of the month, this would not confirm the trigger, the markets have to realize a larger than normal drop in the markets on a month end basis. The strategies exit the leveraged position when the Dual Momentum model has a normal change of investment. Since 1996 The Russell has had 7 instances of going into 2X funds, the durations are: 1 month, 1 month, 9 months, 4 months, 10 months, 3 months, and 3 months. Only 31 months our of 300 had leverage, 10.33% of the overall months, and 216 of the total months were in equities, so the 31 leveraged months is 14.35% of the equity invested month.

My goal was to enter a leveraged play from a systematic rules based perspective, when there is a high chance of capturing more upside.

Some more dirt for you.

Smart Leverage Instance - months held - summed return (ie 5% month 1 and 6% month 2 is 11%)
#1, 1 month, 12.46%
#2, 1 month, -23.81%
#3, 9 months, 70.4%
#4, 4 months, 41.02%
#5 10 months, 33.7%
#6 3 months, 24.12%
#7, 3 months, 50.00%

I'm not a gambler, but from a gambling perspective, those are pretty spectacular odds. Total summed returns for those months are 197.89%, roughly double what it would have been without Smart Leverage. Truth is that using a 3X ETF works even better, but it also includes possibility of larger losses for any given month which I'm not willing to endure, so 2X for this is my limit. If 2X is too much for anybody, a person could hold a mixture of VTI/SPY and SSO to get some leverage between 1 and 2X.

I think I can figure it out. This year was a big clue. I did register for you month end signals and If you keep sending them I should be OK at age 83. Thanks

I figure when risk is off there is not trigger. Just use smart leverage. When risk is on only use it if certain conditions are met. Any more clues that you can talk about?

[StrategyDriven]

I figure when risk is off there is not trigger. Just use smart leverage. When risk is on only use it if certain conditions are met. Any more clues that you can talk about?

I’ll let you know if we had a confirmed Leverage Trigger and enter into a 2X ETF, every month I confirm that we either stay the course with the current investment or switch into something else. There is no guess work.

[modeljc]

I figure when risk is off there is not trigger. Just use smart leverage. When risk is on only use it if certain conditions are met. Any more clues that you can talk about?

I’ll let you know if we had a confirmed Leverage Trigger and enter into a 2X ETF, every month I confirm that we either stay the course with the current investment or switch into something else. There is no guess work.

With about 3 or 4 trades per year you would have 30 to 40 trades in 10 years. What is your percentage estimate on the number of false or wip saw trades in a 10year period?

[StrategyDriven]

I figure when risk is off there is not trigger. Just use smart leverage. When risk is on only use it if certain conditions are met. Any more clues that you can talk about?

I’ll let you know if we had a confirmed Leverage Trigger and enter into a 2X ETF, every month I confirm that we either stay the course with the current investment or switch into something else. There is no guess work.

With about 3 or 4 trades per year you would have 30 to 40 trades in 10 years. What is your percentage estimate on the number of false or wip saw trades in a 10year period?

I couldn't meaningfully estimate, so instead here is the entire history of the two strategies, you can look through the history of what what held and for how long, for a better feel for it.

Global Navigator & The Russell History.xlsx

[StrategyDriven]

Unless the last day of the year is a doozy, the investment selections for both Global Navigator and The Russell are unchanged for January.

Global Navigator: VXUS
The Russell: IWP

I'll post the end of month and year results a day or two after the year is complete, I like getting the final numbers from PortfolioVisualizer after the month is completed.

[modeljc]

Unless the last day of the year is a doozy, the investment selections for both Global Navigator and The Russell are unchanged for January.

Global Navigator: VXUS
The Russell: IWP

I'll post the end of month and year results a day or two after the year is complete, I like getting the final numbers from PortfolioVisualizer after the month is completed.

Some way the global Navigator was 100% in ACWX for three months. Now the global Navigator is in VXUS for three months. What is correct?

[StrategyDriven]

ACWX and VXUS are virtually identical ETF's. I was persuaded by an individual to switch from ACWX to VXUS for it's 10X larger AUM, 1/3rd as large fee and 3X trading volume. It was the right thing to do.

If you are in ACWX currently, I'd hold it until there is a change. You can see from 11/01/2020 to date, they are almost identical.

[modeljc]

ACWX and VXUS are virtually identical ETF's. I was persuaded by an individual to switch from ACWX to VXUS for it's 10X larger AUM, 1/3rd as large fee and 3X trading volume. It was the right thing to do.

If you are in ACWX currently, I'd hold it until there is a change. You can see from 11/01/2020 to date, they are almost identical.

VXUS is picking up .72% in six months over ACWX. I will take it! Another fine tune might be to use VXF in the Russell test.

[StrategyDriven]

The Russell had a surprise winner for the end of the month, IWP is out, IWS is in. And with that last minute change, I'm going to stop giving what it looks like the investment will be until the month is fully over, just confuses things when they don't go the way they look like they will and change on the last day of the month.

Full results deck for the year and more are here at this link.

[StrategyDriven]

The Russell had a surprise winner for the end of the month, IWP is out, IWS is in. And with that last minute change, I'm going to stop giving what it looks like the investment will be until the month is fully over, just confuses things when they don't go the way they look like they will and change on the last day of the month.

Full results deck for the year and more are here at this link.

I messed up and showed IWS instead of IWP for January's The Russell selection, it was looking to February, not January - they're very close and ironically IWS is down less today... whoops.

Personally I'm going to just let IWS ride for the month.

[modeljc]

The Russell had a surprise winner for the end of the month, IWP is out, IWS is in. And with that last minute change, I'm going to stop giving what it looks like the investment will be until the month is fully over, just confuses things when they don't go the way they look like they will and change on the last day of the month.

Full results deck for the year and more are here at this link.

I messed up and showed IWS instead of IWP for January's The Russell selection, it was looking to February, not January - they're very close and ironically IWS is down less today... whoops.

Personally I'm going to just let IWS ride for the month.

My numbers are IWS 20.00 and IWP 19.8625. They are very small to make a trade difference in my view. If I had a live trade in IWP I might not trade as the in and out will kill returns. Did a small position for IWS and VXUS. It was easy as I did not need to sell IWP which was up 4.7% on a paper trade for December. Numbers are from Stock Charts.

[StrategyDriven]

My numbers are IWS 20.00 and IWP 19.8625. They are very small to make a trade difference in my view. If I had a live trade in IWP I might not trade as the in and out will kill returns. Did a small position for IWS and VXUS. It was easy as I did not need to sell IWP which was up 4.7% on a paper trade for December. Numbers are from Stock Charts.

The weighted lookback is 25% of the 1 month return, 25% of the 3 month return and 50% of the 6 month return.

At the end of December, IWP had a weighted lookback of 19.89%, and IWS 18.55%.

I don't guess and stay in one over another for seemingly logical or gut decisions, I do whatever the strategy indicates the current holding should be.

The Pro of slicing up the US market into not just IWB, but IWB/IWP/IWS is that you are able to better capture upside; the Con is that there is more switching involved.

[modeljc]

My numbers are IWS 20.00 and IWP 19.8625. They are very small to make a trade difference in my view. If I had a live trade in IWP I might not trade as the in and out will kill returns. Did a small position for IWS and VXUS. It was easy as I did not need to sell IWP which was up 4.7% on a paper trade for December. Numbers are from Stock Charts.

The weighted lookback is 25% of the 1 month return, 25% of the 3 month return and 50% of the 6 month return.

At the end of December, IWP had a weighted lookback of 19.89%, and IWS 18.55%.

I don't guess and stay in one over another for seemingly logical or gut decisions, I do whatever the strategy indicates the current holding should be.

The Pro of slicing up the US market into not just IWB, but IWB/IWP/IWS is that you are able to better capture upside; the Con is that there is more switching involved.

I can't get you weighted lookback. I used Stock Charts. I may have used Dec. 30 vs Dec 31st? Can you share what service you use for your lookback? Just trying to get on the same page with your signals.

[StrategyDriven]

My numbers are IWS 20.00 and IWP 19.8625. They are very small to make a trade difference in my view. If I had a live trade in IWP I might not trade as the in and out will kill returns. Did a small position for IWS and VXUS. It was easy as I did not need to sell IWP which was up 4.7% on a paper trade for December. Numbers are from Stock Charts.

The weighted lookback is 25% of the 1 month return, 25% of the 3 month return and 50% of the 6 month return.

At the end of December, IWP had a weighted lookback of 19.89%, and IWS 18.55%.

I don't guess and stay in one over another for seemingly logical or gut decisions, I do whatever the strategy indicates the current holding should be.

The Pro of slicing up the US market into not just IWB, but IWB/IWP/IWS is that you are able to better capture upside; the Con is that there is more switching involved.

I can't get you weighted lookback. I used Stock Charts. I may have used Dec. 30 vs Dec 31st? Can you share what service you use for your lookback? Just trying to get on the same page with your signals.

I use PortfolioVisualizer. In order to calculate it manually, you take the past 6 months returns, to an equity change by month then you can calculate the 3 and 6 month returns, 1 month is the most recent. You need to run the equity out for the 3 and 6 month returns, you can't just add the monthly numbers together, that doesn't compound.

for an example, if an ETF has returns:

Jan 3.0%, Feb -0.5%, Mar 1.0%, April 2.2%, May 3.0%, June -1.9%.

The 1 month return is -1.9%
The 3 month return is 1.043%
The 6 month return is 3.777%

And the 25% 1 month, 25% 3 month and 50% 6 month weighted return is: 1.67425%