Is this the latest one that you signed up and which one you were able to backtest so many centuries?
Tactical Asset Allocation + HBPP an intriguing combo
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- InsuranceGuy
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Re: Tactical Asset Allocation + HBPP an intriguing combo
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Last edited by InsuranceGuy on Mon Mar 08, 2021 6:12 pm, edited 1 time in total.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Re: Tactical Asset Allocation + HBPP an intriguing combo
Unless you are willing to share signals on a regular basis, it is hard to follow your version.InsuranceGuy wrote: ↑Sun Jun 02, 2019 11:12 pmNot all strategies are created the same. My modified version of GEM has a rolling 12-month return of +11.4% (unlevered).
- InsuranceGuy
- Executive Member
- Posts: 425
- Joined: Sun Mar 29, 2015 1:44 pm
Re: Tactical Asset Allocation + HBPP an intriguing combo
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Last edited by InsuranceGuy on Mon Mar 08, 2021 6:12 pm, edited 1 time in total.
Re: Tactical Asset Allocation + HBPP an intriguing combo
I am trying to make peace with whipsaws. I looked at using 10-mo MA to go in and out of the S&P500 and intermediate Treasuries since 1987, so 32+ years.
18 whipsaws, median return of that set of whips was -2.08% compared to buy-and-hold. 17 of 18 whipsaws had a return equal to or less than 0%. Some year had three whips.
And yet, the method worked great on every measure people say they care about. But it's low on the "I feel great after my trade last month" measure.
18 whipsaws, median return of that set of whips was -2.08% compared to buy-and-hold. 17 of 18 whipsaws had a return equal to or less than 0%. Some year had three whips.
And yet, the method worked great on every measure people say they care about. But it's low on the "I feel great after my trade last month" measure.
Re: Tactical Asset Allocation + HBPP an intriguing combo
iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.
USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades
VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades
The link to the backtest is here.
The conventional ETFs spend a lot of trades thrashing around, whipsawing, and doing damage... and that encompasses two important periods of volatility... late 2015/early 2016, and late September 2018 really to the present. The volatility managed ETFs give market returns, but are just a lot quieter, which is exactly what Gary Antonacci says Dual Momentum needs... it does not work well with volatile ETFs. So, here are some calmer products, and Dual Momentum seems to act better using them. Ironically, I bought USMV for my wife, but buy-and-hold. I just didn't think to DM test it.
So in the future I will be reporting the use of GEM Dual Momentum using USMV and ACWV. When I think about how much aggravation these ETFs would have saved me had I been using them in Dual Momentum mode... well, you know the story in investing, it involves regrets and remorse.
USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades
VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades
The link to the backtest is here.
The conventional ETFs spend a lot of trades thrashing around, whipsawing, and doing damage... and that encompasses two important periods of volatility... late 2015/early 2016, and late September 2018 really to the present. The volatility managed ETFs give market returns, but are just a lot quieter, which is exactly what Gary Antonacci says Dual Momentum needs... it does not work well with volatile ETFs. So, here are some calmer products, and Dual Momentum seems to act better using them. Ironically, I bought USMV for my wife, but buy-and-hold. I just didn't think to DM test it.
So in the future I will be reporting the use of GEM Dual Momentum using USMV and ACWV. When I think about how much aggravation these ETFs would have saved me had I been using them in Dual Momentum mode... well, you know the story in investing, it involves regrets and remorse.
USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Cool! Thanks for sharing.ochotona wrote: ↑Sun Jun 16, 2019 10:21 am iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.
USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades
VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades
...
USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Don't the underlying indexes on these go back to 1988 for the US one and 1993 for the All-Country World one? If MSCI creates an index they usually have full monthly total return data for it available free on their website. I know PV can't test indexes directly (unless they are already saved as portfolios with custom assigned ticker symbols) but wouldn't it be possible to manually test these at least back to 1994 given the underlying indexes?ochotona wrote: ↑Sun Jun 16, 2019 10:21 am iShares has a set of lower volatility ETFs which could produce better GEM signals which are less "whippy" than using regular S&P 500 and ACWI ex-US ETFs. These are USMV and ACWV. Let's compare them to VOO and VEU. Unfortunately, the history is very limited, only spans 2013-2019.
USMV/ACWV CAGR 13.19%, maxDD -7.56%, 5 trades
VOO/VEU CAGR 7.94%, maxDD -14.04%, 10 trades
The link to the backtest is here.
The conventional ETFs spend a lot of trades thrashing around, whipsawing, and doing damage... and that encompasses two important periods of volatility... late 2015/early 2016, and late September 2018 really to the present. The volatility managed ETFs give market returns, but are just a lot quieter, which is exactly what Gary Antonacci says Dual Momentum needs... it does not work well with volatile ETFs. So, here are some calmer products, and Dual Momentum seems to act better using them. Ironically, I bought USMV for my wife, but buy-and-hold. I just didn't think to DM test it.
So in the future I will be reporting the use of GEM Dual Momentum using USMV and ACWV. When I think about how much aggravation these ETFs would have saved me had I been using them in Dual Momentum mode... well, you know the story in investing, it involves regrets and remorse.
USMV trades free at Schwab, ACWV does not. AGG trades for free at Schwab now, which Gary uses.
Re: Tactical Asset Allocation + HBPP an intriguing combo
"The iShares Edge MSCI Min Vol USA ETF seeks to track the investment results of an index composed of U.S. equities that, in the aggregate, have lower volatility characteristics relative to the broader U.S. equity market."
It's not a generic index, it's proprietary. They don't even name it. BUT...
Paul Novell has synthetic USMV data going back to 1999, he tells me USMV works fine for tactical asset allocation schemes. Woo-hoo!
It's not a generic index, it's proprietary. They don't even name it. BUT...
Paul Novell has synthetic USMV data going back to 1999, he tells me USMV works fine for tactical asset allocation schemes. Woo-hoo!
Re: Tactical Asset Allocation + HBPP an intriguing combo
If someone will find where the data is and post it here (link to) I’ll run the backtest and post results.
And thanks..,very interesting twist.
And thanks..,very interesting twist.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Novell didn't share the data with me, but he did plug the synthetic USMV data into his proprietary model and ran in it place of SPY, and it was better. The GEM public model is also better 2013-2019. I also looked at the Invesco vs. iShares min vol ETFs, and iShares were far and away better. Yup, this is a cool twist.
In fairness to myself... I bought USMV buy-and-hold for the Mrs. before all of this 2018-2019 volatility erupted. But now that we've had the short VIX trade destroyed, and the Christmas 2018 end of the world, plus the late 2015 thing, I think we have some nice views into how the ETF performs under stress. It works as designed.
The only thing I worry about has been voiced publicly, and I think it's happening now... when things go pear-shaped, everyone piles into USMV. Everyone gets on the same side of the boat. It's way oversold now, possibly a bad deal if you buy it today.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Ochotona, kbg,ochotona wrote: ↑Mon Jun 17, 2019 1:48 pmNovell didn't share the data with me, but he did plug the synthetic USMV data into his proprietary model and ran in it place of SPY, and it was better. The GEM public model is also better 2013-2019. I also looked at the Invesco vs. iShares min vol ETFs, and iShares were far and away better. Yup, this is a cool twist.
In fairness to myself... I bought USMV buy-and-hold for the Mrs. before all of this 2018-2019 volatility erupted. But now that we've had the short VIX trade destroyed, and the Christmas 2018 end of the world, plus the late 2015 thing, I think we have some nice views into how the ETF performs under stress. It works as designed.
The only thing I worry about has been voiced publicly, and I think it's happening now... when things go pear-shaped, everyone piles into USMV. Everyone gets on the same side of the boat. It's way oversold now, possibly a bad deal if you buy it today.
I checked the underlying index for these ETFs; it appears that they are all based on regular minimum volatility indexes from MSCI and are not proprietary; see:
https://www.ishares.com/us/products/239 ... tility-etf
https://www.ishares.com/us/products/239 ... tility-etf
https://www.ishares.com/us/products/239 ... tility-etf
Go to any of these links, choose the "Key Facts" tab, and see what the underlying benchmark index is.
I have downloaded the appropriate indexes from the MSCI website and uploaded a zipped file of them to:
http://www.filedropper.com/msciminimumvolindexes
The US minimum volatility index goes back to mid-1988 and the ACWI minimum volatility index (which includes all the countries of the world including the USA and everywhere else) goes back to mid-1993; I also included the EAFE minimum volatility index (which underlies the ETF EFAV) and which goes back to mid-1988 as well; you can either use this to backtest a EAFE-US minimum volatility DM back to 1990 or--provided you can figure out how to weight EAFE vs US each year depending on roughly how much of the world's market cap the US was vs the EAFE--use it to create a quasi-ACWI minimum volatility index back to the late 1980s for a US-ACWI minimum volatility DM (using the EAFE + US "synthetic ACWI index" until mid-1993 and then the actual ACWI one after that); otherwise the US-ACWI minimum volatility DM will have to start in 1995 since the ACWI min vol index starts in mid-1993 and 1994 was the first full year to give you twelve months of returns to look at.
BTW, I checked (just from mid-2017 onwards to May 2019) both the monthly MSCI US min vol index returns vs USMV and the monthly MSCI ACWI min vol index returns vs ACWV; the monthly correlations on the returns were 0.9990 for the US one vs its underlying index and 0.9971 for the ACWI one vs its underlying index (in other words an almost perfect correlation in both cases); I think that shows that these ETFs are indeed based on these indexes, track them fairly well, and as such said indexes can safely be used to extend the backtest before 2013 and even before 1999.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Awesome work D1984, I'll download the data and run it through portfolio visualizer when I have time. I think a three-way (Triple Momentum) contest would be useful also using min vol US, EFA, EM indices. I can try "take the best of each", or "take the top two of three". It should be informative.
Re: Tactical Asset Allocation + HBPP an intriguing combo
USMV is god-awful overbought now. It's horrible. I'm not touching it no matter how FOMO.
Re: Tactical Asset Allocation + HBPP an intriguing combo
So the bond choice is AGG for the backtest? I'll probably find a Vanguard bond mutual fund to test
Re: Tactical Asset Allocation + HBPP an intriguing combo
USMV and EFAV for the stock component, VBMFX and VFISX for the bond component 1992-May 2019
13.07 CAGR/11.54 Max DD Sharpe .49
13.07 CAGR/11.54 Max DD Sharpe .49
Re: Tactical Asset Allocation + HBPP an intriguing combo
If you want to take it back to 1990 you can use FFXSX (or maybe 80/20 or 85/15 FIGTX/CASHX rebalanced monthly or annually in PV and saved as a portfolio with a custom ticker symbol) as an alternative to VFISX since that only goes back to 1992.
I am working on getting data for what % of world market cap was US and what percent was other countries so as to be able to create a crude synthetic ACWI minimum volatility pre-1993 which can then be blended into the actual index starting in May 1993...that way ACWV can be compared against USMV as well.
EDIT: I just noticed that you said the Sharpe was 0.49. That seems awfully low for a portfolio with a 13.07% CAGR and an 11.54% maxDD; even a fund like Wellesley (VWINX)--which is no one's idea of a risky portfolio--had a Sharpe of 0.92 for 1992-present and it had a CAGR during this time period of just over 8% and a maxDD of 18.82%.
I'm just curious...what was the Sortino ratio of the USMV/EFAV DM portfolio?
Re: Tactical Asset Allocation + HBPP an intriguing combo
Agree on the SR...weird.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Shootout between VFINX Vanguard S&P500 mutual fund vs. USA MIN VOL index
1990-Present, Absolute Momentum, 12 month lookback only
VFINX CAGR = 11.30%, MAXDD = -16.3%, SORTINO = 1.23, 21 trades
USA MIN VOL CAGR = 11.94%, MAXDD = -11.5%, SORTINO = 1.76, 25 trades (didn't expect this)
Pretty cool, but the questions for me are... do you trust the index, and do you want to tilt toward that particular factor? Like I said, my spouse already owns it. Do I want to buy more? hmmmmm......
1990-Present, Absolute Momentum, 12 month lookback only
VFINX CAGR = 11.30%, MAXDD = -16.3%, SORTINO = 1.23, 21 trades
USA MIN VOL CAGR = 11.94%, MAXDD = -11.5%, SORTINO = 1.76, 25 trades (didn't expect this)
Pretty cool, but the questions for me are... do you trust the index, and do you want to tilt toward that particular factor? Like I said, my spouse already owns it. Do I want to buy more? hmmmmm......
Re: Tactical Asset Allocation + HBPP an intriguing combo
I think we all have to be cognizant of the fact that as soon as something gets turned into an investable product it becomes a mechanism for bringing efficiency to that element of the market. It will be interesting to see how it works going forward. The longer I’m around this stuff the more I become impressed with the S&P 500. Ultimately it’s a momentum fight amongst America’s most successful companies...that’s been a good combo and hard to beat.
Re: Tactical Asset Allocation + HBPP an intriguing combo
Do you simply buy and hold s&p? Buy at dips, minus 10% and lower?Kbg wrote: ↑Fri Jun 21, 2019 9:52 am I think we all have to be cognizant of the fact that as soon as something gets turned into an investable product it becomes a mechanism for bringing efficiency to that element of the market. It will be interesting to see how it works going forward. The longer I’m around this stuff the more I become impressed with the S&P 500. Ultimately it’s a momentum fight amongst America’s most successful companies...that’s been a good combo and hard to beat.
Re: Tactical Asset Allocation + HBPP an intriguing combo
My personal 25% (leveraged) is the Nasdaq 100. Mainly I just rebalance when I think it is a good time to rebalance. I have a BUNCH of indicators that are all automated in their production. My basic process is...do I need to rebalance based on bands. If the answer is yes, then I start a bit of market timing to time the rebalance. Every once in awhile I get a screaming buy or sell signal and if there is anything to rebalance then I will rebalance. For example if my mix was at 30, 26, 24, 20 I may look at the left or right end if there is an applicable signal. If there was a signal on the two in the middle I'm doing nothing. With 3x ETFs you can get a lot of movement very quickly. If I was unleveraged I'd probably just band rebalance.
All the above is an example of my basic methodology, not the specifics.
All the above is an example of my basic methodology, not the specifics.
Re: Tactical Asset Allocation + HBPP an intriguing combo
On a 3 6 12 month basis, Canada is outperforming the USA. I like Canada. I need to buy some EWC on July 1 when I trade.
EWC 10.19%
SPY 9.61%
EWC 10.19%
SPY 9.61%
Re: Tactical Asset Allocation + HBPP an intriguing combo
The GEM portfolio is in US Equities for July 2019 (SPY, IVV, VOO, SCHX).
Having said that, I am doubting the ability of the 12-month lookback to perform accurately past the end of September, due to the extreme volatility of Q4 2019. This is a bad feature of this particular simple way to calculate momentum. It could very well post a "BUY" signal for late 2019 / early 2020 simply due to the trough in the stock market in late 2018 / early 2019.
I find that an 18 month simple moving average has similar results to the 12-month lookback, so I'll be reporting that from now on.
I'll still be comparing S&P 500 stocks vs. ACWI ex-US (I'll use the CWI ETF, it outperforms VEU) using the 12-month lookback to find out which to invest in, I just won't use the 12-month lookback to go risk-on / risk-off.
{FYI - I'm not using the above. I'm following the Economic Pulse model, which I can't disclose, but I don't want to leave readers in the lurch}
Having said that, I am doubting the ability of the 12-month lookback to perform accurately past the end of September, due to the extreme volatility of Q4 2019. This is a bad feature of this particular simple way to calculate momentum. It could very well post a "BUY" signal for late 2019 / early 2020 simply due to the trough in the stock market in late 2018 / early 2019.
I find that an 18 month simple moving average has similar results to the 12-month lookback, so I'll be reporting that from now on.
I'll still be comparing S&P 500 stocks vs. ACWI ex-US (I'll use the CWI ETF, it outperforms VEU) using the 12-month lookback to find out which to invest in, I just won't use the 12-month lookback to go risk-on / risk-off.
{FYI - I'm not using the above. I'm following the Economic Pulse model, which I can't disclose, but I don't want to leave readers in the lurch}