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Lowell Herr  

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  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    No, I am not familiar with Decision Moose.

    Lowell
    May 21, 2015. 10:51 PM | Likes Like |Link to Comment
  • Dual Momentum: A Simple Yet Successful Portfolio Management Strategy [View article]
    The link to "Deciphering the Dual Momentum Strategy" should be the following.

    http://bit.ly/1DhueiZ

    Lowell
    http://itawealth.com
    May 21, 2015. 03:14 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Fred and TMD,

    To account for inflation, I've developed what I call the Retirement Ratio. All this amounts to is a modification of the Sortino Ratio. Inflation and retirement withdrawal rate are factored into the Sortino Ratio. Here is an explanation.

    http://bit.ly/1b3rcXY

    Lowell
    Apr 26, 2015. 07:25 AM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    TMD,

    I remember the 1967 - 1982 period, but paid little attention to the stock market other than to save and invest. It was a great time to be socking money away in the stock market - building a base for the great bull market. Do to the war, it was also a time of unrest in society and that was not helpful to the market.

    I'm not convinced we will not experience another "flat market." From everything I read, we could be entering another period when market returns will not match historical market returns. Like back-testing, we need to live with uncertainty. ;)

    Lowell
    http://itawealth.com
    Apr 25, 2015. 11:51 AM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Fred,

    "In your ranking system, in addition to momentum over a two time periods, 20% of the ranking comes from volatility measures. Instead of using both momentum and volatility, couldn't volatility be incorporated into momentum by using Sharpe/Sortino measurements of momentum and skipping the separate volatility measure?"

    In reply to your question above, the ETF ranking spreadsheet permits the user to select either standard deviation (mean variation) or semi-mean variation (distant relative to Sortino ratio). In addition, one can determine the number of days for either deviation calculation. Days can also be varied to calculate performance results.

    Many investors are reluctant to invest all their money in one ETF as advocated by Antonacci in his GEM model. To add a bit of diversity, I am working on a worksheet that is a supplement to the ETF ranking spreadsheet. If interested, here is a "Camtasia" showing how one might spread investments out over a few more high ranking ETFs.

    http://bit.ly/1ySV9Wc

    Lowell
    http://itawealth.com
    Apr 22, 2015. 12:49 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Hi Fred,

    Again, excuse me if you have seen this before, but I tried to reduce the Dual Momentum concept to a few paragraphs in this blog post. See link below. In this blog entry I mention the 7.1.3 spreadsheet, something I use to rank ETFs. This SS is undergoing a revision where smoothing calculations will be used to reduce portfolio volatility.

    http://bit.ly/1DhueiZ

    Most investors prefer less volatile portfolios, particularly volatility to the down side. ;)

    As for the SPY-TLT pair, I'm somewhat suspicious when I see TLT taking a major role as it has had an exceptional run. Will that repeat? Likely not.

    Lowell
    Apr 22, 2015. 08:48 AM | Likes Like |Link to Comment
  • SYLD: An ETF You Can Buy And Hold Forever [View article]
    Since inception I would call SYLD nearly equivalent to VTI, not better. Looks like an index fund to me, but with a higher expense ratio.

    http://yhoo.it/1Gdz9b4#{%22range%22%3A%222y%...

    Lowell
    http://itawealth.com
    Apr 20, 2015. 03:05 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Govind,

    Exactly. A straight forward statement of ACWX instead of ACWI ex. U.S. is less confusing. Regardless of the tricky tickers, the thesis of my article is the uncertainty that surrounds the activity of back-testing. The following article points out flaws I did not address.

    http://bit.ly/1Eejs2Z

    Hope the link works. Antonacci mentions this paper in his book.

    Lowell
    Apr 19, 2015. 09:54 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Fred,

    I hope I am not repeating material you already know.

    1. If using only two ETFs such as SPY and TLT, TLT acts as a low volatile security and as such is a brake to major market declines. I prefer to use SHY as the cutoff ETF as it has very low volatility. This is the absolute momentum part of the strategy as one does not invest in ETFs that are under-performing the cutoff or "circuit breaker" ETF.
    2. The relative momentum operation kicks in when one ranks SPY with TLT or what other ETFs one might be using. Of course these ETFs need to be performing above the cutoff ETF (SHY in my case.)

    Using the combination of absolute and relative momentum is known as the Dual Momentum strategy - made famous by Gray Antonacci.

    The argument is that this combination of absolute and relative momentum styles will reduce portfolio volatility, minimize draw-downs, and increase the Return/Volatility ratio.

    Lowell
    http://itawealth.com
    Apr 18, 2015. 02:46 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Here is the link to an academic article titled, "Pseudo-Mathematics and Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance."

    http://bit.ly/1Eejs2Z

    The mathematics is minimized in this article compared to another one I read by some of the same authors.

    Lowell
    http://itawealth.com
    Apr 18, 2015. 02:29 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Back-Testing Enthusiasts:

    Here is a link that shines additional light on the subject of back-testing. There are embedded links within this link.

    http://bit.ly/1GUf6yc

    Lowell
    http://itawealth.com
    Apr 17, 2015. 01:50 PM | Likes Like |Link to Comment
  • Is It Time To Rethink An Allocation To Gold? [View article]
    Gary,

    Not yet is my position since GLD is still declining more per day over the past three months compared to the per day returns over the past six months. In other words, the absolute acceleration percentage is still negative. I would at least wait until the acceleration is positive.

    Lowell
    http://itawealth.com
    Apr 16, 2015. 04:51 PM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Back-Testing

    Investors interested in digging deeper into back-testing portfolios will find this blog of interest.

    http://bit.ly/1D6LS89

    Lowell
    Apr 16, 2015. 06:05 AM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Just a reminder.

    Let's keep to the topic of the article which is - beware of single back-test results as there are many inherent uncertainty factors that work their way into portfolio return and volatility conclusions.

    Lowell
    http://itawealth.com
    Apr 16, 2015. 05:06 AM | Likes Like |Link to Comment
  • Back-Testing Results Are Filled With Uncertainty - Turn On Your 'Doubt Meter' [View article]
    Hardog,

    In my article I attempted to identify factors that are under the control of a back-tester. While your list might impact the results, all but stock selection are out of our control. I even modified the stock selection variable by using ETFs.

    Lowell
    http://itawealth.com
    Apr 15, 2015. 01:23 PM | Likes Like |Link to Comment
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