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  • Momentum Model Recommends Investors Move To Cash [View article]
    2sd,

    There was not a lot of curve fitting in the study. 1) Long before launching the back-test study we were using 10 ETFs plus SHY to build portfolios. Only recently did I add VOE, VBR, and BIV for this back-test. 2) The 33-Day review period is something I've been using for a few years. This rotates the update throughout the month rather than always doing it at a fixed period in the month. The 20% weight to volatility is something I've been using for a long time.

    We avoided over curve fitting. This model is now under testing with several portfolios going forward.

    Lowell
    Aug 18, 2015. 03:35 PM | Likes Like |Link to Comment
  • Momentum Model Recommends Investors Move To Cash [View article]
    Billinsd,

    Yes, equal percentages are invested in each ETF. Right now, since no ETF is performing above SHY, 100% is invested in either SHY or kept in a money market.

    In the above back-test, a maximum of two ETFs were invested in at anyone time unless there is a tie.

    Lowell
    Aug 18, 2015. 03:28 PM | Likes Like |Link to Comment
  • Momentum Model Recommends Investors Move To Cash [View article]
    2sd,

    Yes, I am aware of the longer look-back period Antonacci recommends in his papers and Dual Momentum book. Our research found different results and than could well be due to the ETFs we selected and the time period used for the back-testing analysis. The fellows who ran the back tests did not rely on one or two tests, but ran thousands including out-of-sample data that went back into the mid-1990s. In some earlier article you might see that we weighted the shorter time period with 50%. That was wrong or did not generate the greatest return/volatility ratio and that is the reason for the changes you see in the above table.

    Antonacci found even older data to use in his studies, but we did not have investable data that went back as far as one might prefer, particularly when using SHY as the cutoff ETF.

    Lowell
    http://itawealth.com
    Aug 18, 2015. 03:13 PM | 1 Like Like |Link to Comment
  • Momentum Principles Applied To Expanded 'Swensen 6' Portfolio [View article]
    Richard,

    Those are 14 trading days or approximately three weeks. This setting for the mean-variance worked very well in the back tests.

    The spreadsheet also has an option to set volatility using semi-variance and 63 trading days works well for this setting.

    Lowell
    Jul 27, 2015. 06:30 PM | Likes Like |Link to Comment
  • Momentum Principles Applied To Expanded 'Swensen 6' Portfolio [View article]
    Alphabetahybrid,

    While investing anomalies tend to attenuate over time, I doubt momentum models will follow this path. 1) There are multiple applications when it comes to using momentum principles. These variations are likely to prevent momentum models from disappearing. 2) Momentum appears to be driven by investing behavior. It is very hard to change human nature. (g)

    Only time will answer this question. My main grievance against the momentum models is related to taxes. I think it is best to use momentum in tax deferred accounts due to the different tax rates between short- and long-term gains.

    Lowell
    Jul 23, 2015. 09:55 AM | 1 Like Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Ip300,

    There are ties. If this occurs, split the money equally.

    Lowell
    http://itawealth.com
    Jul 10, 2015. 07:08 AM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Here is a link to a blog post dealing with the "noise" surrounding the day selected for reviewing and rebalancing a portfolio.

    http://bit.ly/1D1iqlf

    The data shows the advantage of tranche investing.

    Lowell
    Jul 8, 2015. 02:09 PM | Likes Like |Link to Comment
  • Backtesting With Synthetic And Resampled Market Histories [View article]
    Hi Ernie,

    In addition to the "noise" created by delaying a day or so to make an investment decision, we also have the issue of "intra-day noise" or the variations created by the price fluctuation within a normal day of trading. If I understand back-testing, prices are fixed using the end-of-day value while an alternative model would use the average between high and low prices of the day.

    As Mr. Picerno points out, we should dismiss or at least question back-tests that come from a single sample. In addition to questioning single sample results, what about published results that are given to the nearest hundredth decimal place. Now that is laughable.

    Lowell
    http://itawealth.com
    Jul 6, 2015. 12:52 PM | 1 Like Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Bazooooka,

    While I do not use leverage, options, etc., one investor and author on my blog does use options with a portfolio called the Hawking. He also will use options with his Rutherford portfolio.

    I have not been successful using inverse ETFs so I gave that up. This is not to say someone with more skill could not hedge a portfolios such as that described above.

    Lowell
    http://itawealth.com
    Jul 1, 2015. 09:05 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Masmon,

    A "noise" factor was introduced in the back-tests that continue to be investigated over at ITA. As investors, we rarely make all our portfolio adjustments on the specified date of the portfolio review. For example, if we set limit or Trailing Stop Loss Orders, those orders are likely to trade a few days after the review date. For this reason, a "noise" factor of -2 to 5 days is introduced in the Monte Carlo analysis. What this means is that for some runs the trades are made two days before scheduled and other times the trades are made up to five days after the scheduled review. These variations have a major impact on the final performance results.

    These are just some of the reasons why I am not satisfied with one shot analysis runs.

    Lowell
    http://itawealth.com
    Jun 30, 2015. 01:07 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Investors interested in back-testing procedures will find this series of "Robust" articles of interest. This is the first of three currently available with more to come.

    http://tinyurl.com/pl5...

    Lowell
    http://itawealth.com
    Jun 29, 2015. 01:52 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Google "robust ITA momentum" and you will find numerous links to research that is related to momentum investing.

    Lowell
    Jun 29, 2015. 11:17 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Masmon,

    If you are following the "Robust" series of articles (http://itawealth.com) you will see that a one time back-test can be misleading. However, the general trend is positive. That gives the investor the edge, even if the final results vary.

    Lowell
    Jun 29, 2015. 08:02 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Bunny,

    Yes it is, but there are differences. The review period is different, but the major difference is the look-back period. Antonacci uses a 12-month look-back, but we found that is too long. Granted, we did not use 40 years of data for back-testing as our securities did not go back that far.

    Lowell
    http://itawealth.com
    Jun 25, 2015. 12:44 PM | 1 Like Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Another portfolio to watch is the Galileo as I am using a momentum model with that portfolio.

    Lowell
    http://itawealth.com
    Jun 24, 2015. 03:51 PM | Likes Like |Link to Comment
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