PP Inspired Momentum - A Comprehensive Approach

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InsuranceGuy
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Thu Jan 02, 2020 12:33 am

Kbg wrote:
Wed Jan 01, 2020 9:41 pm
IG,

Do you have the calculations in a programming language or is the spreadsheet your implementation?
I have both, I have a script in python that I use to stress test the model parameters that I only update once a year and a spreadsheet that links to yahoo finance for quick mid-month and month-end performance metrics.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Thu Jan 02, 2020 4:00 am

Here is a comparative return from different assets for the last decade.

Nobody knows what will the next ten years bring. The last could be first and vice versa.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by mathjak107 » Thu Jan 02, 2020 4:18 am

nice up to date chart.

the only problem with static charts as i call it is, it does not reflect the same assets used in conjunction with each other in a portfolio .

ala it would not reflect rebalancing in to gold or treasuries when they were beaten up over long periods of time and then suddenly explode upwards . once they do they buy more of that lead horse equities then say a total bond fund would and returns are actually bolstered .

that same lump of gold in isolation shows no benefit and just sits as a lump ...so it is portfolio action working as a team that counts .

in fact there are years my insight model portfolio has not one fund beating the market . yet because in the portfolio each fund is used through it;'s sweet spot and then swapped for a better choice, the portfolio beat a total market or s&p 500 fund without any fund beating it on a yearly basis .

this is why looking at funds and asset classes in isolation is no where near the real deal as to what they produce as a team in a comprehensive portfolio
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Kbg
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by Kbg » Thu Jan 02, 2020 8:30 am

InsuranceGuy wrote:
Thu Jan 02, 2020 12:33 am
Kbg wrote:
Wed Jan 01, 2020 9:41 pm
IG,

Do you have the calculations in a programming language or is the spreadsheet your implementation?
I have both, I have a script in python that I use to stress test the model parameters that I only update once a year and a spreadsheet that links to yahoo finance for quick mid-month and month-end performance metrics.
Would you share your code for the value asset allocation and overall sizing? I really dislike excel for complex computations. If you have the above in python that would be awesome. If you prefer not to disclose, no worries. I can decode the spreadsheet with time. I just find it annoying as heck to do so. ;)
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InsuranceGuy
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Thu Jan 02, 2020 8:43 am

Kbg wrote:
Thu Jan 02, 2020 8:30 am
Would you share your code for the value asset allocation and overall sizing? I really dislike excel for complex computations. If you have the above in python that would be awesome. If you prefer not to disclose, no worries. I can decode the spreadsheet with time. I just find it annoying as heck to do so. ;)
I don't really do much in the way of asset allocation or sizing, for the most part it is just using building blocks and choosing the asset with the lowest volatility. If volatility is too high then scale it back 50% or to 0% for that month.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Mon Jan 06, 2020 2:13 am

Historical returns of different portfolios, diverse and an "average" investor.

Source from J.P. Morgan Asset Management:
https://am.jpmorgan.com/blob-gim/138340 ... M_1Q20.pdf

2mathjak107: Hope that helps in regards to what you were asking.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Mon Jan 13, 2020 7:50 am

Hope Mr. IG does not mind my postings. If it's inconvenient, please do not hesitate to let me know.

People from "Irrelevant investor" evaluated longest drawdowns in real prices since 1926.

On the graph, you can see that so-called risk-free investments (especially US bonds and T-bills) lose a lot in the long run, considering inflation.

For S&P500, the longest drawdown, considering inflation, was from 2000 to 2013. For standard 60/40, the period was shorter, just 11 years (1972 -1983).
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InsuranceGuy
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Mon Jan 13, 2020 9:11 am

No inconvenience by me.

Interesting that the risk-free investments can take a beating and it takes considerably more time to recover than equities.

Makes me feel better about keeping my money in equities as much of the time as possible.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Thu Feb 06, 2020 2:58 am

Robeco has published interesting statistics. Interestingly enough, the Momentum factor is ahead of the market in all the decades, starting from 1930s.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by InsuranceGuy » Thu Feb 06, 2020 9:10 am

First, thanks for sharing that info HappyMan!

Having seen similar analysis before, my line of thinking is that most of the factors have performed similarly from a return perspective. What they don't show is that the volatility of returns for momentum, low volatility and high dividend are much lower than the other factor returns. Effectively you can get the same returns as the market with less risk using these factors.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by D1984 » Wed Feb 12, 2020 2:41 am

HappyMan wrote:
Thu Feb 06, 2020 2:58 am
Robeco has published interesting statistics. Interestingly enough, the Momentum factor is ahead of the market in all the decades, starting from 1930s.
Happyman,

Do you know which Robeco publication/paper/article this came from? It appears to be from one by a Mr. Van Vliet of their Low-Vol/Conservative Equity and Quant departments but I can't seem to locate it on Robeco's site. Can you let me know where I can obtain the full paper? Thank you.
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Re: PP Inspired Momentum - A Comprehensive Approach

Post by HappyMan » Wed Feb 12, 2020 3:39 am

Hi D1984,

Got my piece from a professional network. Try contacting them and see if they point you to the source.

Let us know how it goes. ;)
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