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Lowell Herr  

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  • The 1 Page Portfolio Plan [View article]
    Yes, going to SHY when all other securities in the portfolio are performing below SHY is a way to avoid major bear markets. Another option is to move to a money market.

    The 33-day review period will catch most bear markets as bear markets take time to develop. The spreadsheet has other early warning signals such as the "Golden Cross." This is when the 13-Day Exponential Moving Average moves from above to below its 49-Day EMA.

    I sent you the information on SS access.

    Lowell
    http://itawealth.com
    Jun 24, 2015. 11:38 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Here is the logic behind using the 33-day review period.

    http://bit.ly/1Nb3Mxd

    Lowell
    Jun 24, 2015. 11:29 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    TMD,

    How true as to correlations going to 1 in bear markets such as we experienced in 2008 and early 2009. When you see the graphs presented on the above approach you will see this model helped to avoid the cratering of the portfolio.

    Most of the testing took place on a portfolio made up of 10 ETFs plus SHY. We used the Rutherford 10 for most of the back-testing. If you search "Rutherford 10" you will see a lot of references to this portfolio - a live portfolio managed by HedgeHunter.

    Lowell
    Jun 24, 2015. 08:32 AM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    If I missed sending someone information, let me know as the SA notification icon is not working all that well.

    Lowell
    Jun 23, 2015. 08:53 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    The spreadsheet picks up returns over specified periods. I use 87 to 91 days for ROC1 and set the weight to 30%. For Return of Capital (ROC2) the number of calendar days is set to 145 with a weight of 50%. Volatility is set to 20%.

    There are different Exponential Moving Averages measured as well as the "Golden Cross." These are explained in more detail on the blog.

    If you want more information I suggest you check out the 7.1.3 spreadsheet, soon to become 8.0.

    Lowell
    Jun 23, 2015. 08:52 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Makatol,

    I'll send you the information in a moment. To answer the Canada question, while I've not sought out Canadian ETFs, they must be available. Here is what to look for.

    Find an ETF that covers the entire equity spectrum of Canada. Next, find an ETF that closely matches VEU as VEU not only includes developed, but emerging market equities as well. Third, look for an intermediate to long-term bond ETF. The last ingredient in this mixture is to find a low volatile treasury ETF. Again, look for something that closely tracks SHY.

    Lowell
    http://itawealth.com
    Jun 23, 2015. 03:45 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    The spreadsheet I use is extremely easy to use. After the securities are selected - only three plus SHY in this example, it is a one click operation every 33 days. It does not get much easier than this.

    Lowell
    http://itawealth.com
    Jun 23, 2015. 01:34 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Sunny,

    The momentum model does provide for global diversification. Yes, it is a mechanical model and does not require specific insights.

    Using SHY as the "circuit breaker" ETF keeps one out of major problems when bear markets strike.

    Lowell
    Jun 23, 2015. 12:18 PM | 1 Like Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Berloe,

    Stocks will work but it is important that they carry low correlations. It is easier to find low correlated ETFs and there is much greater safety in putting 100% in an ETF such as VTI vs. investing the entire portfolio in one stock.

    I can only speak to back-tests and out-of-sample tests run thus far. More reporting will soon be showing up on my blog.

    Lowell
    Jun 23, 2015. 12:15 PM | Likes Like |Link to Comment
  • The 1 Page Portfolio Plan [View article]
    Yes, I will contact you as to what to do.

    Lowell
    Jun 23, 2015. 08:13 AM | Likes Like |Link to Comment
  • 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 | 1 Like 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
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