Momentum
Posted: Thu Apr 14, 2011 4:12 am
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Clive, I appreciate your posts. I tend to agree with much of what you just said. I personally am using about 1/3rd of my assets in the HBPP and/or PRPFX. I actually look at that as similar to cash (stable). Of course I understand that this portion could have a DD, but so can cash as purchasing power fluctuates along with currency changes.
The rest of my money is put into two separate but similar momentum strategies, so essentially I have 1/3, 1/3, 1/3 in separate strategies. Many of the asset classes are shared or similar between the three strategies, so at any one time, I can have a significant portion of money in say stocks or gold (but never more than about 60% in any one asset).
With the limited, real back-testing I've done, I do think it's achievable to reach 15% CAGR, with relatively low volatility. I have found that there are multiple ways to apply momentum strategies, and many seem to produce similar results to one another. I even have a chart based, but highly qualitative momentum strategy that I keep tabs on, that seems to put me in a similar range of PA growth as the quantitative approach that you have outlined.