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  • The 1 Page Portfolio Plan [View article]
    Capa4fun,

    A 20% weight is applied to volatility and in this example I use a mean-variation calculation over a 14 day period. The spreadsheet is set up to use semi-variation, but back tests indicate there is little advantage to using semi-variance.

    Lowell
    http://itawealth.com
    Jun 23, 2015. 08:12 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Freedominvestor,

    Here are some early results using this model. To go back as far as 9/24/1996 one must use index funds so here are the four. VTSMX, VGTSX, VBMFX and VFISX as the cutoff security. I won't go into all the details other than to say that the momentum portfolio had an average return of 598% with an average draw-down of 11.4%. The maximum DD, using 100 iterations in a Monte Carlo test was 24%. As a benchmark, VTSMX returned 347% with a maximum DD of 47%. BTW, the momentum portfolio was reviewed every 33 days.

    The protection is there if one uses this type of model.

    Lowell
    http://itawealth.com
    Jun 22, 2015. 09:55 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    I've not done much research into using sectors with the Dual Momentum strategy. The key is to find low correlated ETFs so there is "shelter" when a bear market hits.

    What is missing in Antonacci's book is a method for ranking the sectors. This is necessary to take advantage of the relative momentum factor. The ranking of ETFs problem is solved so it is a matter of back-testing sectors. Unfortunately there is little historical data available.

    Lowell
    http://itawealth.com
    Jun 20, 2015. 08:46 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    No slippage was used, but shifting the starting day more than accounts for slippage. Another option would be to use the average price during the day rather than end of day price. Of course this complicates the back-test algorithm.

    In general, a back-test provides a general view as there are many uncertainties that cause back-tested results to differ from a "real" portfolio.

    What I am looking for in a back-tested model is this - does it give an edge to the investor? Further, I am looking for a robust model rather than optimized model as the optimized model is unlikely to be repeated.

    Lowell
    Jun 15, 2015. 04:11 PM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Augustus,

    Apologies. I was wrong in my instructions. Multiply the weight by the ranking and you will come up with the correct value. For example, .3*1 + .5*1 + .2*11 = 3.

    Lowell
    Jun 15, 2015. 09:31 AM | 1 Like Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Donald,

    Here is another link with a few more adjustments.

    http://bit.ly/1FTTA7S

    Lowell
    Jun 14, 2015. 09:13 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Donald,

    One of the best places to go is StockCharts. You will need to set up your own EMAs and after you Update or save the changes, be sure to use or change to Linkable Version. Then you can click back to this saved URL and all your changes will remain. Just experiment. Here is a link I provided.

    http://bit.ly/1L8h3Jo

    Lowell
    http://itawealth.com
    Jun 14, 2015. 09:05 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    EdwardjK,

    I add that second risk reducer of not holding ETFs that are under-performing their 195-Day Exponential Moving Average. The Monte Carlo analysis did not take that into consideration.

    Yes, the spreadsheet is available, but it is not free.

    Lowell
    http://itawealth.com
    Jun 13, 2015. 10:56 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Algochris,

    In the article, I stuck with the single risk reducing model, selling ETFs when they under-perform SHY as those were the rules for the Monte Carlo calculation. However, one can add a second risk reducer by using a sell rule similar to the 200 SMA. You will note a column labeled 195. That is the 195-Day Exponential Moving Average and it is negative (RED) for GSG. In fact GSG is priced 8.9% below its 195-Day EMA. Personally, I would not be holding GSG at this time as I sell ETFs that are priced below their 195-Day EMA.

    I use the 195 EMA as it is faster moving than the 200 Day SMA and I prefer to move faster than the 200 Day crowd.

    Lowell
    http://itawealth.com
    Jun 13, 2015. 09:28 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Augustus,

    The mean-variance is a standard deviation calculation. The spreadsheet also permits one to choose a semi-variance calculation.

    The weight is calculated from the performance values for ROC1 and ROC2 times the weight assigned to each. In addition, volatility is also factored into the calculation with the percentage weight also entering the calculation.

    Lowell
    http://itawealth.com
    Jun 13, 2015. 09:18 AM | Likes Like |Link to Comment
  • Applying A Dual Momentum Model To The IVY 10 Portfolio [View article]
    Mike,

    If you are enjoying Mebane Faber's work, also consider reading Gary Antonacci's book, Dual Momentum.

    Lowell
    http://itawealth.com
    Jun 12, 2015. 07:44 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Scctty,

    You are correct and I'm in error. Antonacci does use aggregate bonds while using T-bills as the performance reference.

    Lowell
    May 23, 2015. 01:45 PM | 1 Like Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Bazoooka,

    While the GEM results are "eye catchng," I do have some concerns if one is using this model in a taxable account. Assuming a 28% tax bracket it is worth a little time to figure out what additional percentage needs to be tacked on to a momentum model return in order to out perform a buy and hold strategy.

    In a recent 8-year study, a momentum model (not too different from GEM) ends up with a few trades per month. Even with commission free ETFs there is bid-ask slippage.

    Lowell
    May 23, 2015. 01:41 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Noumann,

    The MAR value is zero in the spreadsheet used in this article.

    Lowell
    May 22, 2015. 03:43 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Noumann,

    I would need to dig into the spreadsheet to see what it is. I think it is zero, but I'm not sure. In the portfolio tracking spreadsheet I use the following.

    The Minimum Acceptable Return (MAR) is the ITA Index or a customized benchmark for each portfolio I track. The customized benchmark (ITA Index) is built around a Strategic Asset Allocation (SAA) plan even though I will deviate from the SAA when using a momentum model.

    I have a portfolio tracking spreadsheet that does all the grunt work.

    Lowell
    http://itawealth.com
    May 22, 2015. 01:39 PM | Likes Like |Link to Comment
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