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Lowell Herr  

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  • 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
  • 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
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