Search found 286 matches

by LHerr
Sat Jun 13, 2015 9:35 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Let me try this. Applying a Dual Momentum model with the IVY or Faber 10 from 6/30/2006 through 6/11/2015 showed positive results. These are averages from a Monte Carlo analysis. Dual Momentum return is 240% vs. 77% for the VTTVX benchmark. This is a stock and bond fund. Max. DD for the Dual Momentu...
by LHerr
Sat Jun 13, 2015 8:38 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

[OT link removed by admin LadyGeek]
by LHerr
Sat Jun 06, 2015 11:02 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Does the momentum model really work? That is the underlying question of this Dual Momentum Investing topic. While the anomaly seems to have merit, I think the jury is still out, despite the claims by Gary Antonacci made in his recent book. The only way I know to answer the question is to test the mo...
by LHerr
Sat Jun 06, 2015 8:36 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

"If the 12 months is correct, then in order to stay ahead of the crowd, one would still have to shorten the look back period to get the signals faster. This will lead to more whipsawing and increased trading costs until the benefit is arbitraged away." Dad2000, I use commission free ETFs s...
by LHerr
Fri Jun 05, 2015 1:55 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Garland, Massive trading is unlikely to happen as investors are reviewing portfolios at different times of the month and the look-back periods are not the same for everyone. In addition not everyone is using the same set of ETFs to populate the portfolio nor is everyone using the same cutoff ETF. Th...
by LHerr
Fri Jun 05, 2015 10:38 am
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

Steven,

Expect your bond fund will decrease in value when interest rates begin to rise. For this reason I am holding very few dollars in bonds.

LHerr
by LHerr
Thu Jun 04, 2015 2:46 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Dual Momentum Investing - How we propose to evaluate the DM model. 1. Several of my Internet friends are running systematic back-tests on the various variables inherent in the DM model. These include Monte Carlo runs showing statistical results that include wide ranges of volatility. Variables under...
by LHerr
Thu Jun 04, 2015 10:13 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Yogiyoda, "The book’s Absolute Momentum guessed the direction of the market incorrectly more than 50% of the time." The above quote caught my eye. By "market" I assume you are referring to the performance of something like SPY, VTSMX, or VTI. Is this a correct assumption. Antonac...
by LHerr
Thu Jun 04, 2015 7:39 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

"If you switch from ETF's to the mutual fund equivalents (VTSMX VGTSX VBMFX) you can work back to '97. Sure, in real life you would have to use multiple funds to avoid frequent trading restrictions but it's reasonable for data approximations. 5 month look back, not using any additional cutoff o...
by LHerr
Wed Jun 03, 2015 7:58 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Here is performance data using the three index funds recommended for the Bogleheads Three Security portfolio. The starting date was July 30, 2002 or going back as far as SHY data is available. SHY is the cutoff ETF. Note the Dual Momentum portfolio Maximum Draw-Down of 16.3% vs. the MDD for SPY of 5...
by LHerr
Wed Jun 03, 2015 8:26 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

"I will certainly post my progress on this thread."

Yesterdaysnews,

What ETFs or index funds are you using to populate your portfolio and what look-back period are you using?

LHerr
by LHerr
Tue Jun 02, 2015 7:52 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

It is possible to apply the Dual Momentum model to the Bogleheads Three Portfolio. While I've yet to run any back-tests, my guess is that one would do better due to avoiding deep bear markets.

LHerr
by LHerr
Tue Jun 02, 2015 6:43 am
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

LittleD,

I've found that selecting low correlated ETFs for the potential building blocks of a portfolio is beneficial.

LH
by LHerr
Mon Jun 01, 2015 4:46 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

ginmqi, "The one thing I do not like about the book is that the author states his favorite strategy is the sector rotation momentum using the Morningstar 11 sector divides and trading those ETFs' momentums. Of course does not give any specifics on how to do that actually and....as we get more i...
by LHerr
Mon Jun 01, 2015 3:12 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

Yesterdaysnews,

My primary ETFs are VTI, VEA (or VEU), VWO, BIV with SHY as the circuit breaker ETF.

With some portfolios I am using a few more low correlated ETFs.

LH
by LHerr
Mon Jun 01, 2015 2:31 pm
Forum: Investing - Theory, News & General
Topic: Dual Momentum Investing
Replies: 255
Views: 57663

Re: Dual Momentum Investing

RunningRad, While I am late to this discussion, I have a few comments to add. I too read Gary Antonacci's Dual Momentum book several months ago and am testing the model with several portfolios to see if and how well it works. The GEM portfolio, as described in the book, is easy to set up and manage....
by LHerr
Sun Oct 12, 2014 8:08 am
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

In addition to investing in three funds, I would add a risk reduction model to accompany this approach to investing. Sometime over the next few weeks I'll run an analysis to explain what I mean by reducing portfolio risk. BTW, my three securities of choice are: VTI, VEU, and BND. Physlab [OT link re...
by LHerr
Tue Sep 16, 2014 12:23 pm
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

What's that? Please explain? What I do is rank the ETFs used in a portfolio. For example, a Three Fund Portfolio might include VTI, VEU, BND, and SHY (fourth ETF) as the cutoff ETF. Using a ranking system based on three metrics, one checks to see if any of the critical ETFs (VTI, VEU, or BND) are p...
by LHerr
Tue Sep 16, 2014 11:04 am
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

The one addition I would add to The Three Fund Portfolio is a risk reduction model that would prevent major draw-downs.
by LHerr
Mon Sep 15, 2014 4:55 pm
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

Hi LHerr, I have read more about the Three Fund Portfolio the last few years than ever before. The benefits are overwhelming. I was disappointed when Vanguard added the new Total International Bond Index Fund as I thought the Three Fund Portfolio did the trick! Best. I agree as the expense ratios a...
by LHerr
Sun Sep 14, 2014 9:58 am
Forum: Investing - Theory, News & General
Topic: The Three-Fund Portfolio
Replies: 3184
Views: 1975647

Re: The Three Fund Portfolio

Michael Edessess and his three co-authors of "The 3 Simple Rules of Investing," also recommend a simple portfolio similar to The Three Fund Portfolio. The book is an interesting read as these authors dismantle many investment myths.
by LHerr
Sun Feb 05, 2012 12:45 pm
Forum: Investing - Theory, News & General
Topic: Active vs. Passive Investing Returns
Replies: 7
Views: 1121

Re: Active vs. Passive Investing Returns

The author of the paper, "Active vs. Passive Investing: Does Passive Outperform" makes a valid point in the following statement. "There is really NO research that even starts to measure the returns of individual investors over time. The necessity to distinguish between active and pass...
by LHerr
Sat Feb 04, 2012 8:26 am
Forum: Investing - Theory, News & General
Topic: Active vs. Passive Investing Returns
Replies: 7
Views: 1121

Re: Active vs. Passive Investing Returns

"Most blatant was the "passive investors aren't really passive, they are just hibernating active investors who will choose the exact wrong moment to take action... and that's why they will under-perform" Just plain ignorant." To clarify the difference between active, index and pa...
by LHerr
Fri Feb 03, 2012 9:24 pm
Forum: Investing - Theory, News & General
Topic: Active vs. Passive Investing Returns
Replies: 7
Views: 1121

Re: Active vs. Passive Investing Returns

Paul,

I agree, the author missed the point. Here is the link to reactions to Section 1 of 12 sections. I plan to post a response each business day to the 12 sections. So far I posted two.

[commercial link removed by admin LadyGeek]

LHerr
by LHerr
Thu Feb 02, 2012 2:47 pm
Forum: Investing - Theory, News & General
Topic: Active vs. Passive Investing Returns
Replies: 7
Views: 1121

Active vs. Passive Investing Returns

Does Passive Outperform? This twelve page paper provides an interesting outline (twelve points with many following bullets) of problems related to the passive vs. active argument. Here is the link to the paper. http://www.retailinvestor.org/activeVSpassive.html The paper generated sufficient interes...
by LHerr
Sun May 08, 2011 12:36 pm
Forum: Investing - Theory, News & General
Topic: Target Limits for Rebalancing
Replies: 13
Views: 1690

"One argument favoring larger bands is that you can ride momentum longer, which is basically increasing risk/reward. It probably doesn't make a huge difference most of the time." I've found that asset classes tend to run longer in both directions than one might expect. Based on an 18-yr st...
by LHerr
Sat May 07, 2011 4:26 pm
Forum: Investing - Theory, News & General
Topic: Target Limits for Rebalancing
Replies: 13
Views: 1690

My target is 50:50. I rebalance when something hits 55%, but not always back all the way to 50%. As I meant to convey in my original question, you then use a target limit of 5%. Assume you include REITs as an asset class. Do you also use a +/-5% limit for that particular asset class or is it a larg...
by LHerr
Sat May 07, 2011 3:49 pm
Forum: Investing - Theory, News & General
Topic: Target Limits for Rebalancing
Replies: 13
Views: 1690

Target Limits for Rebalancing

What rebalancing target limits do investors set for asset classes? 10%, 15%, 20%, 25% or higher?

LHerr
by LHerr
Wed Mar 09, 2011 1:25 pm
Forum: Investing - Theory, News & General
Topic: Active Share and Mutual Fund Performance
Replies: 9
Views: 2484

Check out this interview with Martijn Cremers. http://www.morningstar.com/cover/videocenter.aspx?id=372751 Several points. 1) Note that the comparison was to "closet mutual funds." This phrase tweaked my interest so I looked up Martijn Cremers and I found an article that brings up point #2...
by LHerr
Tue Mar 08, 2011 9:08 am
Forum: Investing - Theory, News & General
Topic: Rebalance?
Replies: 16
Views: 2612

I use a threshold limit of 25% for each asset class. Rebalancing takes place when the threshold is violated.

Once a portfolio is in balance, new cash and dividends makes it easy to keep each asset class in balance.

LHerr
by LHerr
Mon Mar 07, 2011 7:27 pm
Forum: Investing - Theory, News & General
Topic: A question on risk and AA
Replies: 9
Views: 1164

"LHerr, curious, what tool(s) were used for the analysis? I'd imagine portfolio 2 would (significantly?) reduce fat left tails, but not sure if that was figured into the statistical analysis." Tom, I used Quantext Portfolio Planner (QPP) to come up with the Return/Risk ratio. I used data f...
by LHerr
Mon Mar 07, 2011 5:17 pm
Forum: Investing - Theory, News & General
Topic: A question on risk and AA
Replies: 9
Views: 1164

I wrote a book you should read titled " All About Asset Allocation ". It goes a long way toward answering your questions on the relationships between asset class risk, return, and the long-term benefit of not-perfect correlation among various asset class risks and returns. Rick Ferri I to...
by LHerr
Mon Mar 07, 2011 4:56 pm
Forum: Investing - Theory, News & General
Topic: A question on risk and AA
Replies: 9
Views: 1164

"Let's consider two portfolios: Portfolio 1: 90% TSM 10% BONDS Portfolio 2: 50% TSM 20% SCV 30% BONDS In my naive mind, I believe that these two portfolios are approximately equal in risk/volatility. Portfolio 1 is 90% equities, but the equities are not super risky ones. Portfolio 2 is only 70%...
by LHerr
Sun Mar 06, 2011 6:41 pm
Forum: Personal Investments
Topic: Random Acts of Kindness?
Replies: 41
Views: 6221

Re: Random Acts of Kindness?

I don't give to charities as much as I should, but I do work with Habitat For Humantiy (couple days a year), regularly pick up litter with my son, give blood, and buy strangers breakfast on Sunday mornings (without them knowing who did). I was wondering today what other ways people give back to the...
by LHerr
Sun Mar 06, 2011 9:02 am
Forum: Investing - Theory, News & General
Topic: top 3 ETF screener websites
Replies: 4
Views: 1327

Re: top 3 ETF screener websites

Buckeye78 wrote:what are the top 3 websites for detailed screening of ETF's? Thank you.
Check this one out to see if it meets your needs.

http://etfdb.com/screener/

LHerr
by LHerr
Sun Mar 06, 2011 8:36 am
Forum: Investing - Theory, News & General
Topic: Use of Short ETFs
Replies: 17
Views: 2628

"if you have an Investment Policy Statement, stick to it. (I'm guessing your IPS doesn't say anything about buying SDS when you think the market might be getting overheated.) If you don't have one, create one." "Fred," Thanks and you make a lot of good points. First, my IPS does ...
by LHerr
Sun Mar 06, 2011 8:13 am
Forum: Investing - Theory, News & General
Topic: Use of Short ETFs
Replies: 17
Views: 2628

livesoft wrote:Why would you want to use one of these ETFs when you could simply sell VTI short?
Do you ever short ETFs and if so, what conditions trigger such action?

LHerr
by LHerr
Sun Mar 06, 2011 8:08 am
Forum: Investing - Theory, News & General
Topic: Use of Short ETFs
Replies: 17
Views: 2628

livesoft wrote:Why would you want to use one of these ETFs when you could simply sell VTI short?
Assume I don't want to toy with VTI for asset allocation reasons.

LHerr
by LHerr
Sun Mar 06, 2011 8:04 am
Forum: Investing - Theory, News & General
Topic: Harry Markowitz on cap-weighting
Replies: 7
Views: 1658

Arnott's book is well worth reading. So far, I have not invested in any "Fundamental Index" funds as their track record is too short.

It seems to me that one can tilt a portfolio toward value and small-cap index funds and accomplish much the same effect at lower cost.

LHerr
by LHerr
Sun Mar 06, 2011 7:57 am
Forum: Investing - Theory, News & General
Topic: Use of Short ETFs
Replies: 17
Views: 2628

Use of Short ETFs

With over 90% of the stocks in the S&P 500 now above their 200-Day MA, the market is considered to be quite high. Assuming this position to be true, are any Bogleheads using short or ultra-short ETFs such as SH or SDS as a hedge against a market correction? Hedging via the use of short ETFs is d...
by LHerr
Thu Mar 03, 2011 6:50 pm
Forum: Investing - Theory, News & General
Topic: Rebalancing
Replies: 12
Views: 1390

"Is there a particular time of year that is best for rebalancing one's portfolio?" Instead of a time of year I set threshold limits for the different asset classes and rebalance when those limits are violated. Right now I am using 25% limits so rebalancing is not a frequent event. If one i...
by LHerr
Fri Feb 18, 2011 1:34 pm
Forum: Investing - Theory, News & General
Topic: Dividend Growth Rate of Broad Market
Replies: 0
Views: 417

Dividend Growth Rate of Broad Market

Would anyone know where I might find the growth rate of dividends for a broad market index such as the VTSMX fund? The S&P 500 would also work.

I know where to find the dividend yield, but I am looking for the growth rate over the last 30 to 50 years. Thanks in advance.

LHerr
by LHerr
Mon Feb 07, 2011 10:02 am
Forum: Investing - Theory, News & General
Topic: book recommendations for a retired mathphobe?
Replies: 12
Views: 1851

The two easiest books on investments are: 1) "The Investment Answer" by Daniel Goldie and Gordon Murray and 2) "The Elements of Investing" by Burton Malkiel and Charles Ellis. Both books emphasize index investing, asset allocation, rebalancing when needed and a few other basics o...
by LHerr
Sun Jan 16, 2011 1:25 pm
Forum: Investing - Theory, News & General
Topic: Tilting
Replies: 16
Views: 2508

Re: Tilting

Small/Value tilting is relatively common based on many years of data. Can anyone comment on the worthiness of of just a small tilt (without the value component) to an equitites portfolio? Same question regarding the value of tilting a bond portfolio toward Intermediate duration. Thanks, enjoy the d...
by LHerr
Sat Dec 11, 2010 2:41 pm
Forum: Investing - Theory, News & General
Topic: What parameters do you track in your portfolio spreadsheet?
Replies: 89
Views: 22698

Re: What parameters do you track in your portfolio spreadshe

What parameters do you track in your portfolio spreadsheet or other portfolio tracking system you might have (if any)? I am using a Google Spreadsheet and I am tracking a variety of numbers specific to my portfolio that I find helpful. I do this using several sheets in one document. I use a spreads...
by LHerr
Thu Dec 02, 2010 12:34 pm
Forum: Investing - Theory, News & General
Topic: Power of Passive Investing
Replies: 0
Views: 495

Power of Passive Investing

Kudos to Rick Ferri for his latest book, "The Power of Passive Investing." My copy arrived yesterday and I am using the index to check on topics of interest. I was pleased to see attention given to benchmarking the portfolio, with particular attention paid to developing an appropriate benc...
by LHerr
Wed Nov 17, 2010 5:01 pm
Forum: Investing - Theory, News & General
Topic: DFA joins Commodities bandwagon
Replies: 46
Views: 6828

Out of interest to see the correlation between some major asset classes, I ran an analysis using VTI, VEU, VWO, DJP (commodities), and TIP. To keep it simple, I allocated 20% to each ETF and used the last three years of data. DJP has a correlation of 79% or rather a high correlation with the makeup ...
by LHerr
Tue Nov 02, 2010 5:29 pm
Forum: Investing - Theory, News & General
Topic: Importance of Asset Allocation
Replies: 27
Views: 3011

"Gibson and others have written about portfolios containing REITS and other classes. In Gibson's Asset Allocation book, a quick easy read, he shows how using very different, uncorrelated classes including REITS (and commodities IIRC) can lead to drastically different returns. Mostly with graphs...
by LHerr
Tue Nov 02, 2010 1:45 pm
Forum: Investing - Theory, News & General
Topic: Importance of Asset Allocation
Replies: 27
Views: 3011

"Well, I don't understand this. We can not control market movement, so what can we do about it? " In two words - Not Much . On any given day, if the broad market moves up, my index oriented portfolio also moves up. When the broad market declines, my portfolio usually declines. I define &qu...