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Dual Momentum Recommendation Calls For 100% In U.S. Equities

Oct. 16, 2015 12:50 PM ET23 Comments
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Dual Momentum* investors working with three ETFs plus SHY as the cutoff or "circuit breaker" are recommended to remain 100% invested in U.S. Equities (VTI). Check out the screen shot below.

The look-back period is 252 trading days or one year. The following table comes from a spreadsheet known as the Kipling Tranche 1.7 and more information can be found by clicking on this link.

Swensen Six Recommendations: Investors who prefer more diversification than is available from three ETFs, should take a look at the "Swensen Six" and apply the Tranche Model. The Tranche Model is designed to reduce the problem of "luck-of-review-day" that plagues most investors who update and rebalance their portfolio on a regular basis. Without going into a lot of detail, the Tranche Model recommends investing in four (4) ETFs at this time. The data is accurate as of 10/15/2015.

Following the model below, an investor would invest in SHY, VNQ, TLT, and TIP as shown in the Required column. I would round the purchases to the nearest 50 shares.

In this second model, the look-back periods are 60 trading days with a 50% weight, 100 trading days with a 30% weight, and a 20% weight assigned to 14 trading days volatility. A maximum of two (2) ETFs are assigned to each portfolio and I am using eight (8) portfolio offsets.

* Dual Momentum is a trademark of Gary Antonacci.

Analyst's Disclosure: I am/we are long VTI, VNQ, TLT.

Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.

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