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  • 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 | 1 Like 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 | 1 Like 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
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    MRJustice,

    The spreadsheet, while only showing three ETFs in this article, has the option of holding up to 40 securities. What I've found is that it is best to begin with 10 to 15 low correlated securities. RYH certainly could be one of those. I have not included it in any correlation analysis. I'm looking for ETFs that have a correlation below 0.80.

    Lowell
    http://itawealth.com
    May 22, 2015. 12:08 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    You should be able to read the very first post on the Rutherford as it is not protected.

    Lowell
    May 22, 2015. 12:02 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Scctty,

    I'm not understanding your point. In Antonacci's GEM model only three asset classes are used. Bonds are not one of the asset classes. I'm missing something so please clarify.

    Lowell
    May 22, 2015. 09:12 AM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Sfreewell,

    No, I've not back-tested the GEM version of Dual Momentum. On my blog there is a portfolio (Rutherford Portfolio) that is managed using a similar approach. Real results are provided. Here is one link you might find of interest.

    http://bit.ly/1AjxizI

    ITA momentum managed portfolios use different look-back periods and right now this variable is undergoing serious testing.

    Lowell
    http://itawealth.com
    May 22, 2015. 09:03 AM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    Masmon,

    I used a 12-month look-back as that is what Gary Antonacci recommends from his 40-year database. Personally, I use a shorter look-back to reduce volatility. Several fellows are helping me do some testing to see if shorter periods enhance returns while reducing risk.

    Lowell
    http://itawealth.com
    May 22, 2015. 07:34 AM | 1 Like Like |Link to Comment
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