Please meet Global Navigator and The Russell

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Re: Please meet Global Navigator and The Russell

Post by modeljc » Mon Feb 08, 2021 3:51 pm

StrategyDriven wrote:
Mon Feb 08, 2021 3:27 pm
modeljc wrote:
Mon Feb 08, 2021 3:02 pm
StrategyDriven wrote:
Mon Feb 08, 2021 2:53 pm
modeljc wrote:
Mon Feb 08, 2021 2:42 pm
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.
The thing I like about the models is when Risk is off you have made something to give up. You don't get the top or the bottom of the market but when risk is off for a couple of months you still have a nice warm feeling in EDV. EDV made about +7% in March-May 2020; and got most all of your money back. Nice returns when the world is falling apart and nobody could see anything but Tech and it was going down also. Out of the box and Risk is on with all of your money can make for large returns because the drawdown can be limited a lot for a period like 2009.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Feb 08, 2021 3:54 pm

modeljc wrote:
Mon Feb 08, 2021 3:51 pm
StrategyDriven wrote:
Mon Feb 08, 2021 3:27 pm
modeljc wrote:
Mon Feb 08, 2021 3:02 pm
StrategyDriven wrote:
Mon Feb 08, 2021 2:53 pm
modeljc wrote:
Mon Feb 08, 2021 2:42 pm
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.
The thing I like about the models is when Risk is off you have made something to give up. You don't get the top or the bottom of the market but when risk is off for a couple of months you still have a nice warm feeling in EDV. EDV made about +7% in March-May 2020; and got most all of your money back. Nice returns when the world is falling apart and nobody could see anything but Tech and it was going down also. Out of the box and Risk is on with all of your money can make for large returns because the drawdown can be limited a lot for a period like 2009.
Yep.

In fast and furious drops like we had in 2020, the pain of the drop is over quick and the recovery begins. But in drops like late 2007 through 2009 that are long and protracted, that's when it really feels terrific to be in Treasuries and out of equities.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Thu Feb 18, 2021 5:59 pm

Here is a sneak peak at a new Metrics page that I've been working on, the more I got into it, the more I like the idea of having all the metrics for the strategies.

DMS Strategies Metrics
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sat Feb 27, 2021 12:10 pm

No change of investment for any of the strategies for the month of March 2021.

The strategies are all off to a terrific year, in spite of giving back some gains at the end of February.

Year to Date Results:

S&P500 1.72%
Nasdaq 100 0.13%

Global Navigator 2.56%
The Russell 7.25%
USA S-M-L 22.70%
MAX PAIN 33.76%


New to the reporting this month are Metrics. There is a sheet of Metrics from 2000 through current, one for the 2000 Decade, the 2010 Decade, and the 2020 Decade to date. These are a great way to quantify the returns, volatility and the risk adjusted performance. Maximum Drawdown is a single point of pain in any investment, but it doesn’t quantify the overall drawdown history, the Ulcer Index is a metric pertaining to all downside volatility, the higher the Ulcer Index the more volatile. I like looking at this index a lot, and then I compare the risk adjusted measures like the UPI, Sortino, and Gain to Pain.

Happy Investing

February 2021 Deck
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Re: Please meet Global Navigator and The Russell

Post by modeljc » Sat Feb 27, 2021 2:15 pm

StrategyDriven wrote:
Sat Feb 27, 2021 12:10 pm
No change of investment for any of the strategies for the month of March 2021.

The strategies are all off to a terrific year, in spite of giving back some gains at the end of February.

Year to Date Results:

S&P500 1.72%
Nasdaq 100 0.13%

Global Navigator 2.56%
The Russell 7.25%
USA S-M-L 22.70%
MAX PAIN 33.76%


New to the reporting this month are Metrics. There is a sheet of Metrics from 2000 through current, one for the 2000 Decade, the 2010 Decade, and the 2020 Decade to date. These are a great way to quantify the returns, volatility and the risk adjusted performance. Maximum Drawdown is a single point of pain in any investment, but it doesn’t quantify the overall drawdown history, the Ulcer Index is a metric pertaining to all downside volatility, the higher the Ulcer Index the more volatile. I like looking at this index a lot, and then I compare the risk adjusted measures like the UPI, Sortino, and Gain to Pain.

Happy Investing

February 2021 Deck

Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sat Feb 27, 2021 2:34 pm

modeljc wrote:
Sat Feb 27, 2021 2:15 pm
Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.
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Re: Please meet Global Navigator and The Russell

Post by modeljc » Sat Feb 27, 2021 6:10 pm

StrategyDriven wrote:
Sat Feb 27, 2021 2:34 pm
modeljc wrote:
Sat Feb 27, 2021 2:15 pm
Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.
Can you share your allocation for March 2021.

Think you had some global tech and the rest in Russull/USA
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Sun Feb 28, 2021 11:01 am

modeljc wrote:
Sat Feb 27, 2021 6:10 pm
StrategyDriven wrote:
Sat Feb 27, 2021 2:34 pm
modeljc wrote:
Sat Feb 27, 2021 2:15 pm
Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.
Can you share your allocation for March 2021.

Think you had some global tech and the rest in Russull/USA
I'm pretty leveraged in the riskier strategies right now, with more stimulus I think the ride will be upward for a while, not in a straight line as recent volatility has shown. I'm in The Russell USA S-M-L and MAX PAIN, and in two M1 Hedge Fund Follower strategies: Coateu and Global Tiger.
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Re: Please meet Global Navigator and The Russell

Post by modeljc » Mon Mar 01, 2021 10:01 am

StrategyDriven wrote:
Sat Feb 27, 2021 2:34 pm
modeljc wrote:
Sat Feb 27, 2021 2:15 pm
Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.
One twist that might do 2 0r 3% improvement would be 70% Russell and 30% Global. The model would only do VXUS when it is stronger than VTI. When VTI is the signal you use the signal for the Russell. It appears this would provide better results 16 years out of 21. Equal results in 2 years.

Could you look at this without spending a lot of time?
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Mar 01, 2021 10:36 am

modeljc wrote:
Mon Mar 01, 2021 10:01 am
StrategyDriven wrote:
Sat Feb 27, 2021 2:34 pm
modeljc wrote:
Sat Feb 27, 2021 2:15 pm
Looks like the combo got changed. From 40%/60% to 70% Russell and 30% USA. I like that a lot better. We have visited about the levered products and the possible counterparty credit risk. Also using EDV when things turn funny. Might warm to the combo.
I will showcase different combinations over time, obviously there are many different combinations that a person could do, sometimes it will be a more conservative one other times moderate and others are aggressive. Choose what makes sense for you.
One twist that might do 2 0r 3% improvement would be 70% Russell and 30% Global. The model would only do VXUS when it is stronger than VTI. When VTI is the signal you use the signal for the Russell. It appears this would provide better results 16 years out of 21. Equal results in 2 years.

Could you look at this without spending a lot of time?
Here is the metrics page for 30% Global Navigator 70% The Russell
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Fri Mar 12, 2021 4:28 pm

Strategy results can be seen from this google sheets link: http://tiny.cc/DMSupdates
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue Mar 30, 2021 10:11 am






Hi folks,

There are several changes to the strategies for April, want to get this out a little before the month is over to give time to take it all in before making any investment changes for April 2021. The goal is to improve the strategies both in terms of strategy components used and their liquidity, and the actual strategies and offering a great selection of strategies which encompass the spectrum from conservative to [extremely] aggressive. Getting all these changes implemented at once and then we’re done for a while.

I have also attached a copy of the reporting deck with results through this morning, March 30, 2021 - the month is not completed and investments for April may still change until the month has finished. DO NOT use the deck for seeing which strategy component to be invested in for April, rather, look at the strategies, the Metrics, charts, etc. With all the changes outlined before, it may help to see it the deck with these new changes.



Dual Momentum Systems
Strategy Changes for April 2021



Strategy Changes for Improved Liquidity

Higher net worth investors have made me aware of the importance of liquidity/tradability when investing large amounts into a strategy. If you, for example, are placing a trade for $25,000 or $500,000 into an ETF, it’s not likely an issue for any of the ETF’s in these strategies. If, however, if you are fortunate enough to be placing a trade for $1,000,000 or $2,500,000 or more then the liquidity of several of the ETF’s become an issue even with careful trade execution.

Neither USA S-M-L nor MAX PAIN are suitable for large allocations because the 3X leveraged ETF's for S&P MidCap 400 are not liquid enough. The Treasuries ETF used in some cases aren't as liquid as they could be.

UMDD in MAX PAIN will be replaced with MIDU. This is still not liquid enough for large retail investors (without very care trade execution), but a better choice for the rest of us. These two ETF’s perform virtually identical, moving to the more liquid option.

The Vanguard Long Term Treasury ETF VGLT used in several strategies is being replaced with TLT which is far more liquid. These two ETF’s perform virtually identical, moving to the more liquid option.

MAX PAIN previously used TYD for some months when in Treasuries, it will now use EDV for improved liquidity.


Strategy Deletions and Additions

When Smart Leverage was introduced (going into leveraged ETF’s after an outsized drawdown in the market) it didn’t fit perfectly with the original The Russell because the Russell MidCap Value (a component of The Russell) has no leveraged ETF available. The Russell MidCap Value is being replaced with the Russell 2000 which has a liquid 2X version so that all the base components in The Russell can now be leveraged up when Smart Leverage is triggered. This change reduces the CAGR on historical results just less than 1%, but the Ulcer Index is reduced by over 40%; a worthwhile trade off.

USA S-M-L is gone! It is a great strategy and have my own capital committed to it. But it isn’t friendly for large portfolios so I am replacing it with a more aggressive version of The Russell which is also very good. While the new, more aggressive version of The Russell has 2% lower historical CAGR than USA S-M-L, it also has an Ulcer Index that is more than 30% lower. This swap of strategies makes sense because The Russell XXL can accommodate small fry's to big fish investors who like this aggressive strategy, USA S-M-L only fit the small fry investor. The Russell XXL is far less volatile than USA S-M-L and has excellent risk adjusted performance.

The Russell XXL is unleveraged most of the time which helps account for it's low volatility and high risk adjusted performance metrics. Smart Leverage is successful in capturing more upside when the odds are in our favor. The Russell XXL is going to have a large allocation in my personal portfolio.

Historical results show The Russell XXL invested as follows:
62% of the months in unleveraged equities
8% of the months in 3X leveraged equities
6% of the months in 3X Long Term Treasuries
24% of the months in Extended Duration Treasuries (unleveraged)

The Russell OG (OG = original before Smart Leverage) is back! I am bringing back the original The Russell strategy which has the components: Russell 1000, Russell MidCap Growth, Russell MidCap Value as a non-leveraged strategy. It is very conservative, it does not incorporate Smart Leverage yet handily outperforms the S&P 500 over time with far less drawdown. It has terrific return and performance metrics This is a great strategy for anybody who isn’t comfortable with the leverage that Smart Leverage introduces to the strategies.

The Russell is the newer strategy with Smart Leverage, The Russell OG is the original strategy without leverage and it retains using the Russell MidCap Value while the newer The Russell swaps out MidCap Value for the Russell 2000.

Reporting Changes

I am taking the Combo strategy out of the reports. The charts and tables are too crowded. It was nice to be able to show various combinations of the strategies. But by looking at the Metrics pages you can make an intelligent choice about which strategies you may want to combine in your personal portfolio by looking at the CAGR, Ulcer Index, and various risk adjusted performance metrics.
If you're conservative but maybe a bit moderate, then combine mostly Global Navigator and The Russell OG with some The Russell.
If you can handle some volatility in your portfolio and will sleep at night occasionally being leveraged up when the odds are in your favor, then go with predominantly with the new The Russell XXL, maybe add some Global Navigator and or The Russell OG with it to moderate.
If you are an investing psychopath devoid of emotion during otherwise painful drawdowns and only want the highest possible returns then go 100% MAX PAIN.

The Reporting Deck now includes investor size appropriateness ratings for the strategies. Classifications are:
Whale = Strategy allocation > $2,500,000
Big Fish = Strategy allocation of $500,000 - $2,500,000
Small Fry = Strategy allocation up to $500,000

PRELIMINARY March 2021 DECK
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Wed Mar 31, 2021 11:21 pm

All strategies for March 2021 had positive results, it would have been great to capture the mid-month highs! USA S-M-L and MAX PAIN has incredible mid-month gains that they gave up, barely seeking out positive months.

If you missed the email sent yesterday documenting the strategy changes, don’t forget to read through it. As mentioned, USA S-M-L is being replaced with The Russell XXL, if you’re not ready to exit USA S-M-L just yet, it would still be in UWM for April.

Month Results
4.54% S&P 500
1.87% Global Navigator
5.33% The Russell OG
1.39% The Russell
1.39% The Russell XXL
1.23% MAX PAIN

2021 YTD Results
6.34% S&P 500
4.47% Global Navigator
12.97% The Russell OG
12.90% The Russell
12.90% The Russell XXL
35.40% MAX PAIN


April 2021 Strategy Investments
VTI Global Navigator
IWS The Russell OG
IWM The Russell
IWM The Russell XXL
URTY MAX PAIN

VTI outperformed VXUS and Global Navigator exited the Foreign position it held for 4 months and came back to the good ole USA.
The S&P MidCap 400 outperformed the Russell 2000 this month, but not enough to have a higher rating for our weighted lookback, so we remain in Russell 2000 for MAX PAIN, but know that it could go to MIDU from URTY next month if this trend continues.



Here is a YTD chart of the strategies with daily detail. You can see that MAX PAIN was flying so high up to 03/15/2021. I don’t invest on what I think the market will do, I let the monthly prices flow in and run them through the models to tell me how to invest. However, it sure feels like we have massive GDP growth and a booming economy ahead of us, maybe this is already all priced into the markets, or maybe we have more room to run? Time will tell.

You might notice that you don’t see a red line for The Russell strategy. This is because it is being covered by The Russell XXL. Most of the time these two strategies are invested in the same investment. They differ when they go into Treasuries and after Smart Leverage, XXL being more aggressive in both of those situations.

Image

March 2021 Deck
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Apr 05, 2021 1:57 pm

Hello?

Just checking, is anybody here other than modeljc following along here to some degree or another? I thought this was a place where these strategies would be welcomed and well appreciated, but it's been pretty much crickets other than some back and forth with modeljc.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Mon Apr 05, 2021 4:09 pm

StrategyDriven wrote:
Mon Apr 05, 2021 1:57 pm
Hello?

Just checking, is anybody here other than modeljc following along here to some degree or another? I thought this was a place where these strategies would be welcomed and well appreciated, but it's been pretty much crickets other than some back and forth with modeljc.
I am interested....a couple of questions though:

1. I checked this thread twice over; I didn't see any mention of what the "MAX PAIN" strategy was.....which ETFs does it use and what switching model does it use?

EDIT: Nix the above; I found the answer to question #1 on your latest DocDroid link.

2. Given that the Russell and Global Navigator switch out to a 2X leveraged ITT ETF during down market periods what would happen in a long-term rising rate environment like 1954-1981? The asset the strategy was supposed to hunker down and be safe in would be losing money in many of the down years (leveraged ITTs would've done great in 1960, would've done OK in 1957 and 1962, would've been down a tiny bit or flat in 1966, and then would've done pretty poorly during the 1969-70, 1973-74, 1977, and 1980 and 1981-early 82 bear markets). Does the strategy really give up that much overall return by being in a plain vanilla ITT fund rather than a 2X leveraged ITT fund? I'm just concerned that the 40+ year bond bull market may end at some point (indeed, it may've already ended in late 2020) and a leveraged ITT ETF might be going down at the same time equities are.

3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
Last edited by D1984 on Mon Apr 05, 2021 4:24 pm, edited 1 time in total.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Mon Apr 05, 2021 4:21 pm

StrategyDriven wrote:
Mon Apr 05, 2021 1:57 pm
Hello?

Just checking, is anybody here other than modeljc following along here to some degree or another? I thought this was a place where these strategies would be welcomed and well appreciated, but it's been pretty much crickets other than some back and forth with modeljc.
Can you also please re-up the returns data file for the strategies? The Zippyshare link on page 1 of this thread is now expired. Thank you.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Apr 05, 2021 5:42 pm

D1984 wrote:
Mon Apr 05, 2021 4:09 pm
2. Given that the Russell and Global Navigator switch out to a 2X leveraged ITT ETF during down market periods what would happen in a long-term rising rate environment like 1954-1981? The asset the strategy was supposed to hunker down and be safe in would be losing money in many of the down years (leveraged ITTs would've done great in 1960, would've done OK in 1957 and 1962, would've been down a tiny bit or flat in 1966, and then would've done pretty poorly during the 1969-70, 1973-74, 1977, and 1980 and 1981-early 82 bear markets). Does the strategy really give up that much overall return by being in a plain vanilla ITT fund rather than a 2X leveraged ITT fund? I'm just concerned that the 40+ year bond bull market may end at some point (indeed, it may've already ended in late 2020) and a leveraged ITT ETF might be going down at the same time equities are.
Global Navigator, The Russell OG, and The Russell all use TLT (non-leveraged long term treasuries) whenever they are out of equities. The Russell XXL & MAX PAIN both use TMF only for the 1st month out of equities, which is 3X long term treasuries, and then EDV which is extended duration treasuries for subsequent months while out of equities.

Because the strategies use some Russell Indexes which I think were created in 1995, I can't tell you how they would have done in time frames prior to that.

You detail years when you say would have been good or bad, but you don't know which of those periods the strategy would have been in or out of equities. I fully understand the concern of treasury yields, my take on it is that treasuries will still be a flight to safety investment during times when the sh*t hits the fan in the equities market, generally speaking we're not in treasuries for extended periods of time, but rather than being truly risk off in T-Bills, we look to make money when out of equities.

What I can tell you is that if you are bothered by the prospect of treasuries failing you when the strategies call for them, you can go into BND, AGG, or an intermediate Treasury ETF like IEF instead.

You ask how much if the returns are from the treasuries, if you look at the reporting deck, there are sections for each strategy and there are charts with time and gains for each strategy component, this answers your question with numbers. For example, over the past 20 years The Russell XXL strategy would have been in Treasuries 28% of the time and 17% of the gains came from Treasuries. For Global Navigator, over the past 20 years it would have been in Treasuries 28% of the time also, and had 23% of it's returns come from TLT, long term treasuries. MAX PAIN only derived 11% of it's gains from Treasuries.
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
If you have access to daily or monthly Russell index data to 1979 I would be extremely interested in obtaining it, I was only ever able to get back to 1995. I used to report back to 1996, but changed it to 2000 to coincide with the next full decade. I would happily do the work to see results further back in time if good data is available. From the FTSE Russell website I see data available back to:

Russell Indexes Used:

1995 for Russell 1000 (Investopedia says it was created in 1984)
1995 for Russell MidCap Value (created in 1995 per FTSE Russell) link
1995 for Russell MidCap Growth (created in 1995 per FTSE Russell) link
1995 for Russell 2000 (Investopedia says it was created in 1984)

Looks like I'm limited to 1996. I could potentially check how Global Navigator handled Black Monday in 1987 if I could get decent monthly total return data prior to that date forward.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Apr 05, 2021 6:02 pm

D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
btw - I just recalled hearing Meb Faber talk about Black Monday, and that if your timing strategy was faster than a 200 day, you got out before the tumble, which means that my strategies would have all been out before that day, they move faster than 200 by quite a lot. This past year they got out of the markets at the end of February. The Pro is getting in and out a bit quicker, the Con is sometimes whipsaw.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Mon Apr 05, 2021 6:15 pm

D1984 wrote:
Mon Apr 05, 2021 4:21 pm
StrategyDriven wrote:
Mon Apr 05, 2021 1:57 pm
Hello?

Just checking, is anybody here other than modeljc following along here to some degree or another? I thought this was a place where these strategies would be welcomed and well appreciated, but it's been pretty much crickets other than some back and forth with modeljc.
Can you also please re-up the returns data file for the strategies? The Zippyshare link on page 1 of this thread is now expired. Thank you.
https://docdro.id/3XAIlTh
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Tue Apr 06, 2021 5:16 pm

StrategyDriven wrote:
Mon Apr 05, 2021 5:42 pm
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
2. Given that the Russell and Global Navigator switch out to a 2X leveraged ITT ETF during down market periods what would happen in a long-term rising rate environment like 1954-1981? The asset the strategy was supposed to hunker down and be safe in would be losing money in many of the down years (leveraged ITTs would've done great in 1960, would've done OK in 1957 and 1962, would've been down a tiny bit or flat in 1966, and then would've done pretty poorly during the 1969-70, 1973-74, 1977, and 1980 and 1981-early 82 bear markets). Does the strategy really give up that much overall return by being in a plain vanilla ITT fund rather than a 2X leveraged ITT fund? I'm just concerned that the 40+ year bond bull market may end at some point (indeed, it may've already ended in late 2020) and a leveraged ITT ETF might be going down at the same time equities are.
Global Navigator, The Russell OG, and The Russell all use TLT (non-leveraged long term treasuries) whenever they are out of equities. The Russell XXL & MAX PAIN both use TMF only for the 1st month out of equities, which is 3X long term treasuries, and then EDV which is extended duration treasuries for subsequent months while out of equities.

Because the strategies use some Russell Indexes which I think were created in 1995, I can't tell you how they would have done in time frames prior to that.

You detail years when you say would have been good or bad, but you don't know which of those periods the strategy would have been in or out of equities. I fully understand the concern of treasury yields, my take on it is that treasuries will still be a flight to safety investment during times when the sh*t hits the fan in the equities market, generally speaking we're not in treasuries for extended periods of time, but rather than being truly risk off in T-Bills, we look to make money when out of equities.

What I can tell you is that if you are bothered by the prospect of treasuries failing you when the strategies call for them, you can go into BND, AGG, or an intermediate Treasury ETF like IEF instead.

You ask how much if the returns are from the treasuries, if you look at the reporting deck, there are sections for each strategy and there are charts with time and gains for each strategy component, this answers your question with numbers. For example, over the past 20 years The Russell XXL strategy would have been in Treasuries 28% of the time and 17% of the gains came from Treasuries. For Global Navigator, over the past 20 years it would have been in Treasuries 28% of the time also, and had 23% of it's returns come from TLT, long term treasuries. MAX PAIN only derived 11% of it's gains from Treasuries.
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
If you have access to daily or monthly Russell index data to 1979 I would be extremely interested in obtaining it, I was only ever able to get back to 1995. I used to report back to 1996, but changed it to 2000 to coincide with the next full decade. I would happily do the work to see results further back in time if good data is available. From the FTSE Russell website I see data available back to:

Russell Indexes Used:

1995 for Russell 1000 (Investopedia says it was created in 1984)
1995 for Russell MidCap Value (created in 1995 per FTSE Russell) link
1995 for Russell MidCap Growth (created in 1995 per FTSE Russell) link
1995 for Russell 2000 (Investopedia says it was created in 1984)

Looks like I'm limited to 1996. I could potentially check how Global Navigator handled Black Monday in 1987 if I could get decent monthly total return data prior to that date forward.
Thanks for the reply (on the Russell stuff and on how much it was in Treasuries)!

The plain (i.e. not specifically targeted to growth or value) Russell large cap and small cap indexes (Russell 1000 and Russell 2000) go back to 1979 (well, technically 12-31-1978). IIRC the ones targeted to growth and value go back to the mid-1980s (1984 or 1985); I also believe the mid-cap ones (for plain midcap, for growth, and for value) go back to 1985.

Daily TR data for these may only start in 1995 but the monthly TR data starts well before that.

Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.

Thank you as well for re-upping the return spreadsheet.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Tue Apr 06, 2021 5:28 pm

StrategyDriven wrote:
Mon Apr 05, 2021 6:02 pm
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
btw - I just recalled hearing Meb Faber talk about Black Monday, and that if your timing strategy was faster than a 200 day, you got out before the tumble, which means that my strategies would have all been out before that day, they move faster than 200 by quite a lot. This past year they got out of the markets at the end of February. The Pro is getting in and out a bit quicker, the Con is sometimes whipsaw.
Good to know.

I wonder what would happen to strategies like these in a sudden no-warning "thunderbolt out of the blue" crash like in May 1940, March 1939, or March 1938 (although for that last one equities might've been in enough of a downtrend already that the system would've been in bonds by then anyhow). I know the Russell indexes don't go back that far but there might be a good enough substitute....see, both Siamond on the Bogleheads board (they used data from Ken French at Dartmouth) and Tyler--of this very board and of PortfolioCharts fame--(he used CRSP data IIRC) have computed monthly TR indexes for all nine sectors of the style box (i.e. LCG, LCB, LCV, MCG, MCB, MCV, SCG, SCB, SCV) going back to the mid-1920s. These should be fairly accurate proxies for their respective equivalent Russell indices (i.e. LCB for Russell 1000, MCG for Russell Midcap Growth, SCV, for Russell 2000 Value, etc) since Russell doesn't have earnings quality and positive-for-at-least-four-quarters earnings requirements for entry into its indices like S&P does (for instance, recall that Tesla was only allowed into the S&P 500 when it could show four consecutive quarters of positive earnings); Russell just requires the companies to be of the proper size for the index category (for instance, large-cap for the Russell 1000) and being value or growth stocks for the value or growth sub-index versions of its indices.

If I could get you this data as well could you please run the backtests on these back to 1926 or 1927 (if you need monthly LTT or ITT data back that far Siamond at Bogleheads should have that as well)?
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue Apr 06, 2021 5:51 pm

D1984 wrote:
Tue Apr 06, 2021 5:28 pm
StrategyDriven wrote:
Mon Apr 05, 2021 6:02 pm
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
btw - I just recalled hearing Meb Faber talk about Black Monday, and that if your timing strategy was faster than a 200 day, you got out before the tumble, which means that my strategies would have all been out before that day, they move faster than 200 by quite a lot. This past year they got out of the markets at the end of February. The Pro is getting in and out a bit quicker, the Con is sometimes whipsaw.
Good to know.

I wonder what would happen to strategies like these in a sudden no-warning "thunderbolt out of the blue" crash like in May 1940, March 1939, or March 1938 (although for that last one equities might've been in enough of a downtrend already that the system would've been in bonds by then anyhow). I know the Russell indexes don't go back that far but there might be a good enough substitute....see, both Siamond on the Bogleheads board (they used data from Ken French at Dartmouth) and Tyler--of this very board and of PortfolioCharts fame--(he used CRSP data IIRC) have computed monthly TR indexes for all nine sectors of the style box (i.e. LCG, LCB, LCV, MCG, MCB, MCV, SCG, SCB, SCV) going back to the mid-1920s. These should be fairly accurate proxies for their respective equivalent Russell indices (i.e. LCB for Russell 1000, MCG for Russell Midcap Growth, SCV, for Russell 2000 Value, etc) since Russell doesn't have earnings quality and positive-for-at-least-four-quarters earnings requirements for entry into its indices like S&P does (for instance, recall that Tesla was only allowed into the S&P 500 when it could show four consecutive quarters of positive earnings); Russell just requires the companies to be of the proper size for the index category (for instance, large-cap for the Russell 1000) and being value or growth stocks for the value or growth sub-index versions of its indices.

If I could get you this data as well could you please run the backtests on these back to 1926 or 1927 (if you need monthly LTT or ITT data back that far Siamond at Bogleheads should have that as well)?
Siamond's data is no good for testing because it is annual, gotta have monthly to backtest on it for strategies like mine. I'm not familiar with those crashes you mentioned in the 1930's and 1940's, but if it's something like the Flash Crash, that can't be avoided unless there was previous downturns in the market which signaled an exit (similar to how we got out at the end of February 2020, avoiding the bigger drop in March.

What I would more like to to stress, is that more important than which fast acting crash the strategies avoided and which they didn't, more importantly, the way the strategies works is to get you out of protracted downturns and do much better than a buy and hold investor. Even a downturn like March 2020 which came back so quick and strong, and previous to that in October and December 2018 where it snapped right back, the strategies do avoid the pain of going down before bouncing back, but the true benefit is getting out like they did in December 2007 and staying out through April 2009, not only saved a ton of drawdown, but actually made money during that time frame instead of losing 39% like the SPY did.

Regarding back testing, if I can get Total US Market, or even just S&P 500 monthly total return data AND a T-Bill/CASHX type monthly total return then I can tell you which months the strategies would have been out of equities. Testing on IWB and VTI or SPY does make small differences, I use IWB for my strategies which use Russell Components, and VTI for Global Navigator which has no Russell components. But they're all extremely similar other than maybe a month here or there which is in vs out.
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Re: Please meet Global Navigator and The Russell

Post by StrategyDriven » Tue Apr 06, 2021 5:52 pm

D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Wed Apr 07, 2021 11:43 pm

StrategyDriven wrote:
Tue Apr 06, 2021 5:51 pm
D1984 wrote:
Tue Apr 06, 2021 5:28 pm
StrategyDriven wrote:
Mon Apr 05, 2021 6:02 pm
D1984 wrote:
Mon Apr 05, 2021 4:09 pm
3. Has this strategy been backtested to the inception of the Russell indices back in 1979? I'd be interested to see how it would've handled the 1987 crash if nothing else.
btw - I just recalled hearing Meb Faber talk about Black Monday, and that if your timing strategy was faster than a 200 day, you got out before the tumble, which means that my strategies would have all been out before that day, they move faster than 200 by quite a lot. This past year they got out of the markets at the end of February. The Pro is getting in and out a bit quicker, the Con is sometimes whipsaw.
Good to know.

I wonder what would happen to strategies like these in a sudden no-warning "thunderbolt out of the blue" crash like in May 1940, March 1939, or March 1938 (although for that last one equities might've been in enough of a downtrend already that the system would've been in bonds by then anyhow). I know the Russell indexes don't go back that far but there might be a good enough substitute....see, both Siamond on the Bogleheads board (they used data from Ken French at Dartmouth) and Tyler--of this very board and of PortfolioCharts fame--(he used CRSP data IIRC) have computed monthly TR indexes for all nine sectors of the style box (i.e. LCG, LCB, LCV, MCG, MCB, MCV, SCG, SCB, SCV) going back to the mid-1920s. These should be fairly accurate proxies for their respective equivalent Russell indices (i.e. LCB for Russell 1000, MCG for Russell Midcap Growth, SCV, for Russell 2000 Value, etc) since Russell doesn't have earnings quality and positive-for-at-least-four-quarters earnings requirements for entry into its indices like S&P does (for instance, recall that Tesla was only allowed into the S&P 500 when it could show four consecutive quarters of positive earnings); Russell just requires the companies to be of the proper size for the index category (for instance, large-cap for the Russell 1000) and being value or growth stocks for the value or growth sub-index versions of its indices.

If I could get you this data as well could you please run the backtests on these back to 1926 or 1927 (if you need monthly LTT or ITT data back that far Siamond at Bogleheads should have that as well)?
Siamond's data is no good for testing because it is annual, gotta have monthly to backtest on it for strategies like mine. I'm not familiar with those crashes you mentioned in the 1930's and 1940's, but if it's something like the Flash Crash, that can't be avoided unless there was previous downturns in the market which signaled an exit (similar to how we got out at the end of February 2020, avoiding the bigger drop in March.
Siamond had Ken French actually calculate monthly total returns and not just annual; this was a few years back (circa 2018ish/2019ish IIRC). Tyler over at Portfoliocharts calculated monthly TRs as well. Please check your PM inbox.
Last edited by D1984 on Wed Apr 07, 2021 11:46 pm, edited 1 time in total.
D1984
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Re: Please meet Global Navigator and The Russell

Post by D1984 » Wed Apr 07, 2021 11:46 pm

StrategyDriven wrote:
Tue Apr 06, 2021 5:52 pm
D1984 wrote:
Tue Apr 06, 2021 5:16 pm
Give me a day or two and I'll see what I can dig up; I can probably get the monthly TR data even if I can't get the daily TR data.
Monthly is all I use.

https://gofile.io/d/vWcOca
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