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Lowell Herr

 
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  • Modifying The Dual Momentum Strategy [View article]
    Don,

    High volatility is considered bad. The 20% allocated to volatility is a way to find ETFs (or other securities) that have low volatility.

    Lowell
    http://itawealth.com
    Nov 25, 2014. 10:11 PM | Likes Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    Spangler,

    What you say above is what I observe in my portfolio tracking. When the market begins to sag, the portfolios improve with respect to the benchmarks. However, when the market takes off, portfolio returns lag the benchmarks.

    While I am not wishing for a bear market, neither do I dread a correction as I want to see how the momentum model works with out-of-sample data.

    Lowell
    Nov 25, 2014. 12:18 PM | Likes Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    Stephen,

    Return issues are related to the long (12-month) look-back period. I use a ranking combination that uses the model discussed in the article.

    I'm testing this approach going forward as that is the real proof as to whether the model works. In addition, I have three passively managed portfolios I'm tracking as a relative check on portfolio performance.

    Lowell
    Nov 25, 2014. 12:13 PM | Likes Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    Tmow,

    Another variation is to hold ETFs that continue to outperform SHY, but may not be in the top two performing securities. This will reduce portfolio churning and has a greater chance of including VTI, a well diversified ETF as it covers the entire U.S. Equities market.

    Lowell
    Nov 25, 2014. 07:54 AM | Likes Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    Spangler,

    Good point as there is the possibility, in the above portfolio, of ending up with all investments concentrated in commodities (DBC) and gold (GLD). While this is unlikely, it is still a possibility. I'm not sure how comfortable I would be if that is what the model recommended. It comes down to - What confidence do I have in the model?

    An alternative is to increase the number of possible holdings from two to something higher, an application I use for larger portfolios. Back-testing shows the returns are lower, as you suggest, when the number of holdings are increased.

    Lowell
    http://itawealth.com
    Nov 25, 2014. 06:24 AM | 1 Like Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    Don,

    If you click on the first table you will see the period is 63 days and it is a semi-variance rather than a mean-variance calculation. Reasons for these choices are available on my blog, but one needs to dig to find them.

    The spreadsheet has the flexibility to vary the number of days and to use a mean or standard deviation calculation.

    Lowell
    Nov 24, 2014. 10:13 PM | Likes Like |Link to Comment
  • Modifying The Dual Momentum Strategy [View article]
    106232,

    Yes, ranking software is available. Contact me for more information. The data is downloaded automatically from Yahoo Finance.

    Lowell
    http://itawealth.com
    Nov 24, 2014. 05:39 PM | Likes Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    Privately,

    Thank you for the thoughtful response. I agree with you as to placing critical information in a safety deposit box. A safe or secure place is preferred.

    As for active vs. passive management, I already made that move years ago as I use either a passive management style or semi-active approach. In other words, the portfolios could remain dormant for many months if not years.

    Lowell
    Nov 24, 2014. 08:34 AM | Likes Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    57,

    I like your plan. It shows advanced planning. One only hopes the investment fees are low.

    Lowell
    Nov 22, 2014. 01:59 PM | 1 Like Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    RF,

    Your remarks brought a laugh from me. I'm still chuckling.

    Lowell
    Nov 22, 2014. 10:17 AM | 2 Likes Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    SD,

    A very useful article and not unlike what I am doing with a number of portfolios I track on my blog. Reducing risk by using SHY as a "circuit breaker" ETF is key to holding the draw-down percentage to a minimum.

    Lowell
    Nov 22, 2014. 08:18 AM | Likes Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    Jim,

    Is it "Main Street Stock Investor?"

    Lowell
    Nov 22, 2014. 07:58 AM | Likes Like |Link to Comment
  • Who Will Manage The Family Portfolio When I Die? [View article]
    Cross,

    I was not thinking "fortune." Something more modest, but still not a trivial amount that needs care and attention so as to provide a living income for the "uninterested" spouse.

    Lowell
    http://itawealth.com
    Nov 22, 2014. 07:57 AM | 6 Likes Like |Link to Comment
  • Dual Momentum: How To Implement Strategy For Higher Returns With Lower Risk [View article]
    Cliff,

    I include both TLT and TIP as potential investments based on a ranking algorithm. Instead of using only three or four securities, I expand the number to a minimum of 10 low correlated ETFs.

    Lowell
    Nov 18, 2014. 01:57 PM | Likes Like |Link to Comment
  • Dual Momentum: How To Implement Strategy For Higher Returns With Lower Risk [View article]
    "Also, a personal note, no one should use TLT as a part of paired switching for verification since the two spikes in its historical performance, when spread over the short observation period, can add material return. You can use TLT in the future but backtesting with TLT is skewed, in my opinion. I also do not believe that the TLT spikes will be reproduced in the future."

    Spangler,

    I agree with the above statement and it is a point that cannot be overemphasized.

    Lowell
    Nov 18, 2014. 12:46 PM | Likes Like |Link to Comment
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