Re: SCV+Momemtum Permanent Portfolio
Posted: Wed Jun 22, 2016 5:06 am
I tried Dual Momentum on the oldest SCHV and MCB mutual funds which date back 20+ years, and it didn't work, but Large Caps worked with DM.
Permanent Portfolio Forum
https://www.gyroscopicinvesting.com/forum/
https://www.gyroscopicinvesting.com/forum/viewtopic.php?t=8329
InsuranceGuy wrote:Well I wanted to do some exhaustive testing before I sharing after the results from my latest scenarios came out so well. I can't find any reason to not believe the results other than that it seems too good to be true. I have tested out of sample using my conceptually simple model and continue to see fantastic results.
My goal was to get roughly double the HBPP returns with HBPP drawdowns while not using leverage as I'm too risk averse to gamble with my money. I'm not going to reveal the exact details but I have laid out the framework in my Equity Returns with 1/2 HBPP MaxDD thread, and as the title of this thread indicates I add a small value twist and a couple of model enhancements.
My full backtest from 1970-2015 gives:*Note trades/yr count both entering a position and exiting a position so really 2.7 round-trip trades which seems reasonableCode: Select all
CAGR 18% MaxDD -23% UPI 3.4 Trades/yr 5.4
So basically double the HBPP returns with only slightly higher MaxDD and a high UPI. I am satisfied with the results and will begin trading the strategy this coming month. I'll post performance updates over time for those interested.
The above is very hard to believe for an "all weather" portfolio. What do you attribute the huge outperformance to?InsuranceGuy wrote: My full backtest from 1970-2015 gives:*Note trades/yr count both entering a position and exiting a position so really 2.7 round-trip trades which seems reasonableCode: Select all
CAGR 18% MaxDD -23% UPI 3.4 Trades/yr 5.4
So basically double the HBPP returns with only slightly higher MaxDD and a high UPI. I am satisfied with the results and will begin trading the strategy this coming month. I'll post performance updates over time for those interested.
http://www.gyroscopicinvesting.com/foru ... DD#p151996Kbg wrote:OK you caught my attention...proprietary?
I recall this thread...it 18 CAGR/23 Max DD that caught my attention.MachineGhost wrote:http://www.gyroscopicinvesting.com/foru ... DD#p151996Kbg wrote:OK you caught my attention...proprietary?
Now when you say momentum, you're still talking about applying tactical momentum to the PP as a whole and not just investing in momentum stocks and value stocks in the Prosperity sector, right?InsuranceGuy wrote:Both momentum and value focused strategies boost returns, yet at the same time momentum and value are negatively correlated. Minimum volatility is then used as a tactical allocation strategy. Combining strategies boosts returns and lowers drawdowns. The trick is to no optimize the process so you don't kill your tax efficiency with excessive trading.