Please meet Global Navigator and The Russell

[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.

I use PortfolioVisualizer

Used Portfolio Visualizer got 20.265 for IWS and 20.951 for IWP. Used ETF Replay and got 20.275 for IWS and 20.951 for IWP. Anyway IWP is the winner. Probably includes dividends for ETF Replay. Both services are one day late reporting the last day of the month. Hard to do a trade before the end of the month unless you are willing to be wrong for one month. Maybe it does not matter.

[StrategyDriven]

Used Portfolio Visualizer got 20.265 for IWS and 20.951 for IWP. Used ETF Replay and got 20.275 for IWS and 20.951 for IWP. Anyway IWP is the winner. Probably includes dividends for ETF Replay. Both services are one day late reporting the last day of the month. Hard to do a trade before the end of the month unless you are willing to be wrong for one month. Maybe it does not matter.

For January, my Weighted Returns are:

Global Navigator:

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
VTI 17.31%
VXUS 17.92%

The Russell

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
IWB 16.63%
IWP 20.95%
IWS 20.25%

[modeljc]

Used Portfolio Visualizer got 20.265 for IWS and 20.951 for IWP. Used ETF Replay and got 20.275 for IWS and 20.951 for IWP. Anyway IWP is the winner. Probably includes dividends for ETF Replay. Both services are one day late reporting the last day of the month. Hard to do a trade before the end of the month unless you are willing to be wrong for one month. Maybe it does not matter.

For January, my Weighted Returns are:

Global Navigator:

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
VTI 17.31%
VXUS 17.92%

The Russell

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
IWB 16.63%
IWP 20.95%
IWS 20.25%

Thanks! I may go with middle of month for the lookback just to get out of the way of mangers making month end or quarterly changes.

[StrategyDriven]

Used Portfolio Visualizer got 20.265 for IWS and 20.951 for IWP. Used ETF Replay and got 20.275 for IWS and 20.951 for IWP. Anyway IWP is the winner. Probably includes dividends for ETF Replay. Both services are one day late reporting the last day of the month. Hard to do a trade before the end of the month unless you are willing to be wrong for one month. Maybe it does not matter.

For January, my Weighted Returns are:

Global Navigator:

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
VTI 17.31%
VXUS 17.92%

The Russell

VUSTX (Treasury Proxy) -2.27%
CASH 0.04%
IWB 16.63%
IWP 20.95%
IWS 20.25%

Thanks! I may go with middle of month for the lookback just to get out of the way of mangers making month end or quarterly changes.

So much easier to do month end, and results do not suffer. Studies have actually shown that trading the last day of the month to a couple days into the new month actually provide better results than during other times of the month.

[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.

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%

Sorry but I can't do this manually. I get the 1 month return at -1.9%. I just don't see how the 3 month or 6 month returns are done. If you compound the numbers you get much more than 1.043% for 3 months or 3.77% for 6 months. I do get the weighted return answers at 1.67425%. When you have time I would appreciate any help you can offer. I missing somthing.

[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%

Sorry but I can't do this manually. I get the 1 month return at -1.9%. I just don't see how the 3 month or 6 month returns are done. If you compound the numbers you get much more than 1.043% for 3 months or 3.77% for 6 months. I do get the weighted return answers at 1.67425%. When you have time I would appreciate any help you can offer. I missing somthing.

haha, I goofed when I did those returns, serves me right for not doing them in a spreadsheet, I was punching in numbers on a calculator.

Here is how it's done - and for what it's worth, you don't need to track the weighted averages, I do it all in my models.

[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.

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%

Sorry but I can't do this manually. I get the 1 month return at -1.9%. I just don't see how the 3 month or 6 month returns are done. If you compound the numbers you get much more than 1.043% for 3 months or 3.77% for 6 months. I do get the weighted return answers at 1.67425%. When you have time I would appreciate any help you can offer. I missing somthing.

haha, I goofed when I did those returns, serves me right for not doing them in a spreadsheet, I was punching in numbers on a calculator.

Here is how it's done - and for what it's worth, you don't need to track the weighted averages, I do it all in my models.

Wow! I feel better after my nap. I thought old age had me for sure. Thanks for you the example and it is clear to me how it is done manually. I was able to get your January numbers to the penny in ETF Replay and the portfolio visualizer. Seems a easy way to check signals. Happy today with IWS even if I should be in IWP. In my book maybe the tie goes to the up and coming. But Febuary seems a long way off.

[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.

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%

Sorry but I can't do this manually. I get the 1 month return at -1.9%. I just don't see how the 3 month or 6 month returns are done. If you compound the numbers you get much more than 1.043% for 3 months or 3.77% for 6 months. I do get the weighted return answers at 1.67425%. When you have time I would appreciate any help you can offer. I missing somthing.

haha, I goofed when I did those returns, serves me right for not doing them in a spreadsheet, I was punching in numbers on a calculator.

Here is how it's done - and for what it's worth, you don't need to track the weighted averages, I do it all in my models.

Wow! I feel better after my nap. I thought old age had me for sure. Thanks for you the example and it is clear to me how it is done manually. I was able to get your January numbers to the penny in ETF Replay and the portfolio visualizer. Seems a easy way to check signals. Happy today with IWS even if I should be in IWP. In my book maybe the tie goes to the up and coming. But Febuary seems a long way off.

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

[StrategyDriven]

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

Here's where I have them as of right now.


Fact Sheets mid-month, not final for Feb!

[modeljc]

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

Here's where I have them as of right now.


Fact Sheets mid-month, not final for Feb!

How do you get to look forward for a month or half month?

[StrategyDriven]

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

Here's where I have them as of right now.


Fact Sheets mid-month, not final for Feb!

How do you get to look forward for a month or half month?

The lookback is 1 month (January), 3 month (Jan Dec Nov), etc.

So I’m using current MTD returns up to when the month has finalized.

[modeljc]

Checked IWS and IWP as of January 6th. If you were buying today it would be IWS. 21.98 for IWS and IWP for 17.10. Value 28% stronger than growth.

Here's where I have them as of right now.


Fact Sheets mid-month, not final for Feb!

How do you get to look forward for a month or half month?

The lookback is 1 month (January), 3 month (Jan Dec Nov), etc.

So I’m using current MTD returns up to when the month has finalized.

Football today. But always thinking. Can you share why you have limited the test back models just to Russell or VXUS. Why not go with the strongest dog out there. Thinking why not VXF now? Or EEM or QQQ or GLD in the future! I know you done a lot of backtesting but this seems to me a way to pick up extra returns without the leveraged products.

[StrategyDriven]

Football today. But always thinking. Can you share why you have limited the test back models just to Russell or VXUS. Why not go with the strongest dog out there. Thinking why not VXF now? Or EEM or QQQ or GLD in the future! I know you done a lot of backtesting but this seems to me a way to pick up extra returns without the leveraged products.

Dual momentum strategies tend to work best on large, diverse, geographically large indices. I push the envelope a bit with The Russell in splitting up the US Market into sub-sections. I’ve played before with other smaller geographical indices, Emerging, Frontier Markets, etc. I was never successful in coming up with sustainable, risk adjusted returns that I liked. Which is how Global Navigator and The Russell ended up to become what they are.

[StrategyDriven]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

[modeljc]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

[StrategyDriven]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

Just working on the reporting mid-month, I'm not interested in mid-month results for the strategies at all.

[modeljc]

a preview of the updated monthly reporting deck, with numbers current through mid morning today.

Dual Momentum Systems January 2021

I was wondering why you are interested in mid month signal and reporting? Any history to make you sleep better? Is the month end signal getting stronger or weaker? Or just maybe a change is in the making?

Just working on the reporting mid-month, I'm not interested in mid-month results for the strategies at all.

I'm happy so far. Only did a small position. Thanks!

[StrategyDriven]

2020 Year End Reporting Deck


I have recently revamped the reporting for the strategies, here is 2020 Year End with the revised reporting.

[StrategyDriven]

January results are in, strategy updates, reporting updates, positions for February are included in the report linked just below.

January 2021 Report, with February strategy positions.

[StrategyDriven]

Only Feb 8th and everything is just on fire, makes me feel bubblicious.

[modeljc]

Only Feb 8th and everything is just on fire, makes me feel bubblicious.

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

[modeljc]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

[StrategyDriven]

Looks like you have stopped reporting Global/Russell 30/70%. It seemed to take some of the downside out and helped during times when the world is doing better than the U.S.

Correct, I switched to reporting that combination to one of 40% The Russell and 60% USA S-M-L with the last update. I can't show every combo of the strategies, even adding a couple takes a lot of real estate. No surprise, that this 40/60 is my personal allocation.

The numbers are still there so a little simple math and you can still get it. My numbers are +6.21 starting Jan. 1st 2021.

I'm nervous because of how well I've done this year to date, up over 12.5% so far, feeling fortunate and vulnerable at the same time.