Re: Momentum Investing
Posted: Mon May 21, 2012 9:14 am
LW,
Can we comprimise at $1 Trillion?
Can we comprimise at $1 Trillion?
Permanent Portfolio Forum
https://www.gyroscopicinvesting.com/forum/
https://www.gyroscopicinvesting.com/forum/viewtopic.php?t=2315
For sound money nancyboys such as myself, the mere mention of any denomination larger than a Sacagawea dollar necessitates the use of smelling salts.moda0306 wrote: Can we comprimise at $1 Trillion?
Gold... and I mean the quality of the banter, not the barbarous relic currency.Lone Wolf wrote:For sound money nancyboys such as myself, the mere mention of any denomination larger than a Sacagawea dollar necessitates the use of smelling salts.moda0306 wrote: Can we comprimise at $1 Trillion?
I was actually just confirming Lone Wolf's monetary orientation.Sound Money Nancyboy wrote:MT used it in a post I just read. Made me laugh for about two minutes. I'll eventually change it back, though.MachineGhost wrote:
Funny, new name!
Ready for something more advanced? ;DOdysseusa wrote: Current relative strength of cash, bond, gold, stock as of May 21, 2012
When you use stop losses, you lower the overall win probability so it does not give you "more chances of winning". What is the optimal stop loss has to be derived from backtesting. Too small is bad just as too big is bad. It should reflect the individual volatility of each investment as well.Odysseusa wrote: Please make sure you set a stop-loss at 7% to 8% to give you more chances of winning.
Please see an example below. We have four chances to make it right without losing.
position 1: $100,000 * 93% = $93,000 (lose 7%)
position 2: $100,000 * 93% = $86,490 (lose 7%)
position 3: $86,490 * 93% = $80,435 (lose 7%)
position 4: $80,435 * 125% = $100,544 (gain 25%)
You'd need an annual return of around 16.5% for 30 years to achieve that.Odysseusa wrote: Goal: Turn $10K into $1MIL using momentum investing with 4 main assets: cash, bond, gold, stock
AdamA wrote:You'd need an annual return of around 16.5% for 30 years to achieve that.Odysseusa wrote: Goal: Turn $10K into $1MIL using momentum investing with 4 main assets: cash, bond, gold, stock
Let us know how you do.![]()
NewPPer wrote: An interesting article on momentum investing:
http://www.theglobeandmail.com/globe-in ... le2365067/
The six basic asset classes: three-month Canadian treasury bills, long-term Canadian bonds, the S&P/TSX composite, the S&P 500, international stocks (via the EAFE index), and gold, essentially mimic the PP (Canadian, US, and Int'l make up the stock portion).
Looking at the historical returns of the PP (https://web.archive.org/web/20160324133 ... l-returns/) I decided to test the theory (results below). Investing a theoretical $10,000 in gold in 1973 (since based on the 1972 gold would be the place to put your money).
Year Allocation Amount Gain
1973 (100% gold): $17,560 75.6%
1974 (100% gold): $29,939 70.5%
1975 (100% gold): $23,143 -22.7%
1976 (100% TSM): $29,322 26.7%
1977 (100% TSM): $28,091 -4.2%
1978 (100% gold): $38,400 36.7%
1979 (100% gold): $90,740 136.3%
1980 (100% gold): $100,540 10.8%
1981 (100% TSM): $96,820 -3.7%
1982 (100% STB): $115,700 19.5%
1983 (100% LTB): $116,510 0.7%
1984 (100% TSM): $121,753 4.5%
1985 (100% LTB): $159,497 31.0%
1986 (100% TSM): $185,176 16.1%
1987 (100% LTB): $179,806 -2.9%
1988 (100% gold): $151,576 -15.7%
1989 (100% TSM): $195,382 28.9%
1990 (100% TSM): $183,659 -6.0%
1991 (100% STB): $203,311 10.7%
1992 (100% TSM): $223,235 9.8%
1993 (100% TSM): $246,898 10.6%
1994 (100% gold): $241,466 -2.2%
1995 (100% TSM): $327,910 35.8%
1996 (100% TSM): $396,772 21.0%
1997 (100% TSM): $519,771 31.0%
1998 (100% TSM): $640,878 23.3%
1999 (100% TSM): $793,407 23.8%
2000 (100% TSM): $709,306 -10.6%
2001 (100% LTB): $739,806 4.3%
2002 (100% STB): $798,990 8.0%
2003 (100% gold): $955,592 19.6%
2004 (100% TSM): $1,075,041 12.5%
2005 (100% TSM): $1,139,544 6.0%
2006 (100% gold): $1,401,639 23.0%
2007 (100% gold): $1,834,746 30.9%
2008 (100% gold): $1,924,639 4.9%
The results look pretty good to me. 8 years of negative return. 28 years of positive return. Definitely more volatility than the PP, but whereas the PP 10K grows to $317,220 from 1973-2008, this Momentum Strategy grows from 10k to $1,924,639, a whopping $1.6M more. I'm not quite savvy enough to figure out what the CAGR works out to be.
This seems like a very attractive VP option to me.
Thoughts?