Author Topic: Dual Momentum Investing  (Read 1941925 times)

forummm

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Re: Dual Momentum Investing
« Reply #400 on: April 29, 2015, 07:11:26 PM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

Absolutely.

brooklynguy

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Re: Dual Momentum Investing
« Reply #401 on: April 29, 2015, 07:37:42 PM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

Ha!  Now it makes sense -- like Dodge's unintentional meta thread on survivorship bias in action, this thread accidentally-on-purpose (or purposely-by-accident?) devolved into an increasingly fractious debate between two rapidly diverging camps in order to illustrate the power of momentum!

ferox

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Re: Dual Momentum Investing
« Reply #402 on: April 29, 2015, 09:14:27 PM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

So, how many posts would I need in my look back period in order to determine if I should post more (or less)?

milesdividendmd

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Re: Dual Momentum Investing
« Reply #403 on: April 29, 2015, 09:50:14 PM »
Doesn't really matter. (Between 3 and 12)

brooklynguy

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Re: Dual Momentum Investing
« Reply #404 on: April 30, 2015, 07:13:57 AM »
I'm glad the mood has lightened in here (before, you could have cut the tension with a falling knife), but hopefully I'm not the only one who still has any appetite for continuing the discussion.

Can anyone offer any explanation for why we should expect the specific lookback period(s) that worked in the past to continue to work in the future?  I read the London School of Economics-based materials that Miles linked to in post # 261, but as far as I can tell they don't address this question.  In fact, consistent with what has been observed by some of the folks in this thread, one of the authors stated:

Quote
Fair value is robust to the choice of inputs. Actually, you can use a blunt instrument and be relatively successful in fair value, but momentum is highly sensitive to execution. You need to look back on the holding period just right. Historic data flatters momentum. Momentum in stocks tends to have a period of about 6 months or 18 months; therefore, the annual data always flatters momentum because it is so sensitive to returns. The Sharpe ratio of momentum is a function of the look-back period. Get it wrong, and you get negative returns.

So fair value investors win overall. In fact, momentum investors are always buying after the price has gone up and selling after it has gone down. They are destined collectively to fail, and the fair value investors pick up what they lose.

(emphasis added)

forummm

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Re: Dual Momentum Investing
« Reply #405 on: April 30, 2015, 08:05:41 AM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

So, how many posts would I need in my look back period in order to determine if I should post more (or less)?

Doesn't really matter. (Between 3 and 12)

But you have to compare it to the risk-free thread.
http://forum.mrmoneymustache.com/off-topic/pictures-of-your-teeth/

ScroogeMcDutch

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Re: Dual Momentum Investing
« Reply #406 on: April 30, 2015, 09:43:15 AM »
I have been lurking mostly in this thread (or completely, can't remember) but the DM philosophy resonates with me. It is a sophistication on top of the buy & hold strategy and would love more discussion on it. Due to tax consequences and different tax regimes here in the Netherlands, for any privately owned securities avoiding a big drawdown is extremely important and a standard buy&hold doesn't really fit that well. As such I am considering such a strategy for my privately owned securities.

Below I point out a couple of my takes on the subject, and I can be massively wrong on them of course. I am just a learning investor and trying to make sense of contradicting views on a complicated subject.

I like B&H for it's simplicity and a bold belief in the broad stroked economy, but I also believe it's major pitfall - behavioral aspects - are the same thing that fuel the DM's edge over B&H in terms of avoiding a large drawdown. I see B&H proponents on other parts of the forum warn novice investors for their risk tolerance, and tell them they may just react differently to a large fall in the market than they think they do now (after a major bull market). This irrational (or unintelligent according to Benjamin Graham) is the reason individual investors tend to compared to the market.

Essentially B&H investors is a special case of the absolute momentum strategy, specifying a lookback period of infinite (or at least 20+ years). Stocks have historically shown to have the best results, and as such, we extrapolate that to the future and pick stocks as the asset class of choice for returns. A risk reducing method of introducing bonds is then added, as historically bonds are loosely negatively correlated with stock performance and historically has shown to reduce risk and volatility at the expense of relatively little performance. B&H expects a reversion to the mean for many aspects of the markets, but doesn't attempt to explain or posit why it will do this. From a theoretical point of view, it can be argued that stocks provide the best return at the expense of the highest risk. At the same time, this is not true for all stocks, just as it isn't true for all bonds that they have a lower risk/return compared to stocks.

The DM school is more about figuring out when the shoeshine boy is talking about buying stocks. It attempts to find an edge in human behavioral psychology and the performance of the financial markets. When are we deluding our collective selfs on financial market performance? It won't catch the exact tipping point, but it will catch the changes in mindset and behaviour at a relatively early stage. The explanation for the what and why would have to be found in psychology, which in and of itself is not an exact science. Neither is economics, and as such, standard scientific methods are difficult to justify as the reason a particular strategy should or should not work alone.

Basically, in summary:

B&H - investment strategy that relies solely on the return to the mean for all financial markets
DM/Technical analysis - investment strategy that relies solely on the behavioural psychological aspects of the markets
Fundamental Analysis - investment strategy that relies on parameters relative between securities and compared to the mean

B&H works as it is simple and the easiest strategy to stick to. As such it is suggested by Buffett and Bogle as the go-to strategy to match the market for the individual investor with a message to not try and strive for different results. That takes behavioural aspects into account and it doesn't even begin to suggest that it is the optimal theoretical strategy - only the most effective one for the most people. If anyone asks me what to do, this is also what I tell them to do, if they can spare the amount of money invested. (and people in the Netherlands are extremely risk averse, so this is already a paradigm shift for most).

DM obviously has a difficulty suggesting which lookback period to use and which asset classes to consider. The more asset classes, the more trading and switching occurs. Depending on the lookback period, the historically observed maximum drawdown also changes. One can always question whether or not a strategy will work in the future compared to history, and in the end, there is only one saying "Only time will tell". It makes sense that there is an extended period of time for major players to be selling their positions to the shoeshine boys and that during this period there is not a major appreciation or decline in price. It also makes sense you need particular period of time, and some leeway to avoid acting on noise (e.g. the 10% correction in October 2014) and at the same time to be able to act on signal (e.g. the 50%+ correction in 2008). In order to determine the right variables, it makes sense to look at the past, rather than approaching it theoretically. As long as the concepts on which the strategy is built, can be found as concepts in other parts of science as well.

But that's just my 2 cents ;-)





Crushtheturtle

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Re: Dual Momentum Investing
« Reply #407 on: April 30, 2015, 09:48:06 AM »
^^^ very well said, Mr. McDutch

Financial.Velociraptor

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Re: Dual Momentum Investing
« Reply #408 on: April 30, 2015, 10:26:41 AM »
Essentially B&H investors is a special case of the absolute momentum strategy, specifying a lookback period of infinite (or at least 20+ years).

Thanks for this.  I hadn't thought of B/H in those terms and it brought me a lot of clarity as to why the DM fan boys feel as they do.  Compelling argument.

skyrefuge

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Re: Dual Momentum Investing
« Reply #409 on: April 30, 2015, 10:37:54 AM »
Ok, but in our rapidly changing world, where the myriad factors you identified (and the nearly infinite number you did not identify) that contribute to the non-instantaneousness of the market's incorporation of price-moving information are not static, why should we expect the same lookback period that worked in the past to continue to work in the future?

We wouldn't necessarily expect the same lookback period that worked in the past to continue to work in the future. That's why our model has inputs. The output (the lookback period) can change as the inputs change.

And, since these factors were not static across history, why did the same lookback period work across all periods in the past (if that is indeed what the data say)?

Perhaps the model is relatively insensitive to changes in its inputs, so the output value truly remained the same over history; even though the inputs varied within a range, that was never enough to bump the output to another value. Maybe the output will change dramatically next year, and if it does, mdmd is fucked, since he's using backtesting rather than this non-existent model; he'll never know that his lookback period should have changed until it's too late.

Or, maybe the advantage created by DM is so great that even a poorly-fitted, static lookback period is still sufficient to generate outsized returns. Remember, the "guess" doesn't have to be timed right on every market swing for DM to be successful, it just has to be timed right on "enough" of them. The game of NFL football has changed a lot over the past 50 years, and while Tom Brady might not have been as successful if he played in 1965 instead of 2015, I bet he still would have been effective enough to be able to keep a job as an NFL quarterback.

brooklynguy

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Re: Dual Momentum Investing
« Reply #410 on: April 30, 2015, 11:03:03 AM »

Essentially B&H investors is a special case of the absolute momentum strategy, specifying a lookback period of infinite (or at least 20+ years). Stocks have historically shown to have the best results, and as such, we extrapolate that to the future and pick stocks as the asset class of choice for returns.

At the risk of reopening the whole "a priori / a posteriori" debate, I think you have articulated an elegant way of describing the argument Miles advocated for earlier that all the buy and hold index investors in the world picked their strategy because, and only because, they looked to the past and saw that it worked.

But, again, I don't think this is true, even if we assume, for the sake of argument, that it is history's "indexing worked" lesson that first put that strategy on the radar of every indexer in the world.  Instead, I think at least some B&H indexing proponents (including the strategy's founder) evaluated the logic of the strategy (which, of course, history tells us has worked in the past) and found it compelling.  And, even if that were not true, the fact remains that there is an underlying logic behind the strategy capable of being described.

Your argument is equivalent to saying that we expect the sun to rise tomorrow solely because we know it has done so every day in the past, and not because we expect the same physical forces that caused it to do so in the past (as evidenced by its uninterrupted track record of doing so every morning for the entire existence of the Earth) to continue to operate tomorrow.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #411 on: April 30, 2015, 11:25:15 AM »
The preliterate caveman who predicted that the sun would rise everyday for the next thousand years was everybit as accurate in his future predictions about the sun rising as the modern astrophysicist who understands why.

I'm not arguing that there is no value in understanding physics, (or that only empiricism works) I am merely pointing out that physics gives us no great advantages when it comes to predicting sunrises.

Bogle had a theory, Miljken had a theory, Joe Schmoe had a theory.  Theories are like assholes, everyones got one.

In my view Bogle's great insight was his theory that the market is a zero sum game and so costs matter.  And the reason we all believe that his idea had merit now is because indexing demonstrably works.  This is just another example of Dodge's oft repeated old saw about survivorship bias.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #412 on: April 30, 2015, 11:34:40 AM »
Ok, but in our rapidly changing world, where the myriad factors you identified (and the nearly infinite number you did not identify) that contribute to the non-instantaneousness of the market's incorporation of price-moving information are not static, why should we expect the same lookback period that worked in the past to continue to work in the future?

We wouldn't necessarily expect the same lookback period that worked in the past to continue to work in the future. That's why our model has inputs. The output (the lookback period) can change as the inputs change.

And, since these factors were not static across history, why did the same lookback period work across all periods in the past (if that is indeed what the data say)?

Perhaps the model is relatively insensitive to changes in its inputs, so the output value truly remained the same over history; even though the inputs varied within a range, that was never enough to bump the output to another value. Maybe the output will change dramatically next year, and if it does, mdmd is fucked, since he's using backtesting rather than this non-existent model; he'll never know that his lookback period should have changed until it's too late.

Or, maybe the advantage created by DM is so great that even a poorly-fitted, static lookback period is still sufficient to generate outsized returns. Remember, the "guess" doesn't have to be timed right on every market swing for DM to be successful, it just has to be timed right on "enough" of them. The game of NFL football has changed a lot over the past 50 years, and while Tom Brady might not have been as successful if he played in 1965 instead of 2015, I bet he still would have been effective enough to be able to keep a job as an NFL quarterback.

I would state it a little differently.

The market has already changed so profoundly over the last 200 years, technology, going off the gold standard, the rise of indexing, etc. etc. and yet the minimal duration and velocity of bear markets hasn't really changed at all (the fundamental observation upon which trendfollowing relies).  Why is that?  And why do you think it is probable for it to change in the future?

I attempt to answer my own question in my blog post "looking under stones."   My chief concerns being the rise of algorithmic (ie non human) trading, and indexing.

But in the end my feeling is that probability favors trendfollowing's future success.  I could be wrong of course.  But so could indexers who overweight equities....

brooklynguy

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Re: Dual Momentum Investing
« Reply #413 on: April 30, 2015, 12:40:36 PM »
The preliterate caveman who predicted that the sun would rise everyday for the next thousand years was everybit as accurate in his future predictions about the sun rising as the modern astrophysicist who understands why.

I'm not arguing that there is no value in understanding physics, (or that only empiricism works) I am merely pointing out that physics gives us no great advantages when it comes to predicting sunrises.

This is all true, and is entirely consistent with what I said.  My point was only that the occurrence of an event in the past does not, and cannot, in and of itself, imply that the event will repeat itself in the future.  In Dodge's coin flipping example, the one man out of a trillion who flipped 10,000 heads in a row is just as likely as anyone else to flip tails on his next coin toss.  We all, I think, agree on this point, which is why none of us would follow an every-7th-Tuesday type of strategy.

We wouldn't necessarily expect the same lookback period that worked in the past to continue to work in the future. That's why our model has inputs. The output (the lookback period) can change as the inputs change.

Right, but that's if we're using a model, which does not use "lookbacks," but generates "predictions."  In other words, the model, based on the various inputs, spits out an "output" in the form of a prediction of the duration of a directional price movement.

Quote
Perhaps the model is relatively insensitive to changes in its inputs, so the output value truly remained the same over history; even though the inputs varied within a range, that was never enough to bump the output to another value. Maybe the output will change dramatically next year, and if it does, mdmd is fucked, since he's using backtesting rather than this non-existent model; he'll never know that his lookback period should have changed until it's too late.

Or, maybe the advantage created by DM is so great that even a poorly-fitted, static lookback period is still sufficient to generate outsized returns. Remember, the "guess" doesn't have to be timed right on every market swing for DM to be successful, it just has to be timed right on "enough" of them. The game of NFL football has changed a lot over the past 50 years, and while Tom Brady might not have been as successful if he played in 1965 instead of 2015, I bet he still would have been effective enough to be able to keep a job as an NFL quarterback.

As you said, it sounds like the DM strategy, instead of building a predictive model, is using a static "lookback period" (or a range of lookback periods), borne entirely out a of backtesting quest to find the one(s) that worked, as a proxy for a model.  Do we have any reason to believe these static lookback periods will continue to serve as sufficiently reliable signals for the strategy to continue to work in the future?  I understand the notion that out-of-sample testing over a history that already includes profound market changes (if, indeed, that's what the data say) gives us good reason to suspect that such a reason exists (i.e., that this isn't just a 7th-Tuesday strategy) -- so what could that reason be?

milesdividendmd

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Re: Dual Momentum Investing
« Reply #414 on: April 30, 2015, 12:47:47 PM »
The coin flipping analogy is ham handed.  It conveniently ignores the results of out of sample and post description performance (ie robustness,) not to mention that  it was already discussed pages ago in Sol's "advice from a lottery winner" argument.  No need to dive back into this one as I think the argument has been made already on both sides.

brooklynguy

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Re: Dual Momentum Investing
« Reply #415 on: April 30, 2015, 12:55:22 PM »
Again, I'm not comparing dual momentum to the coin-tossing example, or the every-7th-Tuesday example.  I'm agreeing with you that favorable results of out of sample testing are good reason to believe that a strategy is not merely a 7th-Tuesday strategy.  And I'm asking, if that's what the data say about DM, then why?  (Perhaps no-one knows the reason, but a reason must exist, or else it would merely be a 7th-Tuesday strategy.)

It sounds like you have asked yourself the same question and are working on a blog post to lay out your answer.

ScroogeMcDutch

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Re: Dual Momentum Investing
« Reply #416 on: April 30, 2015, 03:25:01 PM »
Thanks for the kind reception of my post. I only began showing interest in investing after reading a lot of MMM and realizing that it was not necessarily the scary ghost I believed it was.

The 'why' behind DM would have to be found in sociology or mass behavioral psychology. And for that I again I point to the index proponents here that warn new investors (like myself) for taking on too much risk, without having experienced even a minor drawdown. "It's easy to see in hindsight that 2009 was a great investment year" is a quote I hear a lot. And also of people who were reluctant and hesitant to invest, even though they had a b&h strategy before 2009. "You have not seen a prolonged bear market" was another.

Why would such claims work to warn people of taking on too much risk, and why would they not work in favor of a strategy aimed at exploiting that?


Essentially B&H investors is a special case of the absolute momentum strategy, specifying a lookback period of infinite (or at least 20+ years). Stocks have historically shown to have the best results, and as such, we extrapolate that to the future and pick stocks as the asset class of choice for returns.

At the risk of reopening the whole "a priori / a posteriori" debate, I think you have articulated an elegant way of describing the argument Miles advocated for earlier that all the buy and hold index investors in the world picked their strategy because, and only because, they looked to the past and saw that it worked.

But, again, I don't think this is true, even if we assume, for the sake of argument, that it is history's "indexing worked" lesson that first put that strategy on the radar of every indexer in the world.  Instead, I think at least some B&H indexing proponents (including the strategy's founder) evaluated the logic of the strategy (which, of course, history tells us has worked in the past) and found it compelling.  And, even if that were not true, the fact remains that there is an underlying logic behind the strategy capable of being described.

Your argument is equivalent to saying that we expect the sun to rise tomorrow solely because we know it has done so every day in the past, and not because we expect the same physical forces that caused it to do so in the past (as evidenced by its uninterrupted track record of doing so every morning for the entire existence of the Earth) to continue to operate tomorrow.

I may be completely deluded here (and I'm not the best at actual argumentation) and I really want to understand more of the underlying theories, but why would a broad index of stocks (or any liquid asset) grow much faster than inflation? Shouldn't bankruptcies keep things in check? Where is this continual higher growth than inflation coming from? Is it just because some people/parties hold so incredibly many stocks and will keep on holding (e.g. Bill Gates, Buffett) that the price for which they're being traded is only the tip of the trading iceberg (as we measure stock value on price last traded, not on intrinsic value only)? Compounding also works on a larger scale and at some point stocks would represent basically all the value in the world?

I fully understand that any trading strategy will have to make up for the costs incurred by the trades and beat B&H indexing in some way. It just seems that B&H indexing can be more logically sound and proven in hard sciences, and as such perceived as accurate, where a DM behavioral type of trading is practically impossible to prove theoretically, but yet can be more effective*. I compare it a bit with the models we've had for traditional physics and relativistic. Are the formulas we learn in high school about speed, mass and kinetic energy wrong? About our perception of time? They're not, but Einstein figured out that they weren't entirely accurate and were only valid under certain circumstances. At higher speeds, other forces come into play and screw over our traditional formulas. Yet, in 99% of the cases where we want to figure out how much energy we'll need to propel an object of a certain mass to a certain speed, we're going to be using our high school formulas, because they're effective enough. Maybe the model for DM just assumes the price of the index is formed due to collective human behaviour, and B&H doesn't take that into account. Compared to physics, this is backward, as DM is a more complex model/theory than B&H, but the principles apply?

* As a side-track, I have been doing a lot of study into myer-briggs personality types. Folks over at personalityhacker.com renamed some of the difficult terms underneath the types, and basically distinguish between two rational decision making processes: Effectiveness and Accuracy. Something that is effective doesn't have to be accurate (for example, the sun comes up every day). Something that's accurate, doesn't have to be effective (for example, all the physics models that talk about rotating mass, inertia, you name it, to come to the conclusion that the earth spins around it's axis every 24 hours, and as such 24 hours since the last sunrise, we'll see another, given that the sun didn't explode). One is complicated and more accurate, yet doesn't make it more effective.

Leisured

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Re: Dual Momentum Investing
« Reply #417 on: May 01, 2015, 01:21:46 AM »
If momentum analysis does tell you when the market has stopped rising and may fall, then selling share index futures, or buying puts on individual large companies will make you money. This is separate from long term investing, so any profits on futures or puts offset the paper losses coming from buy and hold.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #418 on: May 01, 2015, 01:47:40 AM »

If momentum analysis does tell you when the market has stopped rising and may fall, then selling share index futures, or buying puts on individual large companies will make you money. This is separate from long term investing, so any profits on futures or puts offset the paper losses coming from buy and hold.

DM (more specifically absolute momentum) doesn't tell you when the market has stopped rising and may fall. It tells you when the market has already started falling significantly.

The longer the Lookback period is then the later you get this signal and the more specific the signal is for diagnosing bear markets (and the the less sensitive). (And the converse is true for shorter Lookback periods)

Whether or not this signal would give you an advantage in terms of selling futures or buying puts is a question whose answer I have no idea about, but it would be interesting to see a formal testing of your hypothesis.

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Re: Dual Momentum Investing
« Reply #419 on: May 01, 2015, 08:13:40 AM »
So did any DMers trade out their SP500/US market position for international today?

milesdividendmd and others, I am curious about one thing (maybe the book answers, but my library doesn't have a copy and I put in a request to purchase 2 months ago but no go so far). If I understand it, one of the major benefits to this strategy over buy/hold is getting out of equities when short-term treasuries are showing a superior return for the past 3-, 6-, 12-month lookback, i.e. the absolute momentum part. Why not just use that signal only, and ignore the relative momentum part. Keep a 70/30 US/international mix, and then the aggregate return for this dips below Tsys, get into bonds?

ChaseJuggler

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Re: Dual Momentum Investing
« Reply #420 on: May 01, 2015, 08:32:18 AM »
So did any DMers trade out their SP500/US market position for international today?

My numbers show them neck and neck for a 6 month lookback period. So I went with holding domestic since it's a) no trading required and b) lower expense ratio.

It was an exciting race though! I was kind of hoping to get to do something active with it. Oh well, maybe next month =)

boarder42

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Re: Dual Momentum Investing
« Reply #421 on: May 01, 2015, 08:33:04 AM »
So did any DMers trade out their SP500/US market position for international today?

milesdividendmd and others, I am curious about one thing (maybe the book answers, but my library doesn't have a copy and I put in a request to purchase 2 months ago but no go so far). If I understand it, one of the major benefits to this strategy over buy/hold is getting out of equities when short-term treasuries are showing a superior return for the past 3-, 6-, 12-month lookback, i.e. the absolute momentum part. Why not just use that signal only, and ignore the relative momentum part. Keep a 70/30 US/international mix, and then the aggregate return for this dips below Tsys, get into bonds?

i switched in my roth ... the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better. 

boarder42

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Re: Dual Momentum Investing
« Reply #422 on: May 01, 2015, 08:34:28 AM »
So did any DMers trade out their SP500/US market position for international today?

My numbers show them neck and neck for a 6 month lookback period. So I went with holding domestic since it's a) no trading required and b) lower expense ratio.

It was an exciting race though! I was kind of hoping to get to do something active with it. Oh well, maybe next month =)

on a 6 month lookback they arent close to neck and neck the international large caps beat the s&p by over 1% in the last 6months

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Re: Dual Momentum Investing
« Reply #423 on: May 01, 2015, 08:35:31 AM »
So did any DMers trade out their SP500/US market position for international today?

milesdividendmd and others, I am curious about one thing (maybe the book answers, but my library doesn't have a copy and I put in a request to purchase 2 months ago but no go so far). If I understand it, one of the major benefits to this strategy over buy/hold is getting out of equities when short-term treasuries are showing a superior return for the past 3-, 6-, 12-month lookback, i.e. the absolute momentum part. Why not just use that signal only, and ignore the relative momentum part. Keep a 70/30 US/international mix, and then the aggregate return for this dips below Tsys, get into bonds?

So the part of my portfolio that I set aside for this I did end up moving to an international index. It may depend on which exact funds you choose and your exact day. But the international index I chose outperformed S&P by about 2%.

boarder42

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Re: Dual Momentum Investing
« Reply #424 on: May 01, 2015, 08:39:14 AM »
yes 2% better

PathtoFIRE

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Re: Dual Momentum Investing
« Reply #425 on: May 01, 2015, 09:17:53 AM »
the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

Crushtheturtle

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Re: Dual Momentum Investing
« Reply #426 on: May 01, 2015, 09:22:31 AM »
the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

I would recommend going with a "happy medium" and enacting the strategy with one of your tax sheltered accounts until you are convinced- one way or another- of the strategy's effectiveness.

sol

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Re: Dual Momentum Investing
« Reply #427 on: May 01, 2015, 09:30:07 AM »
absolute momentum feels a bit like gambling/market timing.

It feels like market timing because is market timing, pure and simple.  There is no debate about that.

I'm sort of disappointed that the upshot of this thread, on this forum, is that so many people here are actually considering trying to time the market.  Good luck with that, noobs.

Or maybe do a little research to be reminded why this is a terrible idea.  Google "market timing" and the read the first 10 links that come up, and then kick yourself for ever thinking this was a good idea.  You'll feel like someone who just narrowly escaped a cult.

Chuck

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Re: Dual Momentum Investing
« Reply #428 on: May 01, 2015, 09:39:09 AM »
the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

I would recommend going with a "happy medium" and enacting the strategy with one of your tax sheltered accounts until you are convinced- one way or another- of the strategy's effectiveness.
This isn't a very good idea. By the time that effectiveness is proven, decades will have passed. That's a huge time investment, and a very poor one if the method doesn't pan out.

Back testing is all that it took to show me this was a bad idea. Changing variables (3/4/5/6 months) in a minor way has MASSIVE effects on total returns. That doesn't point to a sound foundation to this strategy. It's a sign that this strategy is built to perfectly perform to past returns, not future performance. For instance, absolute momentum with a 6 month lookback underperforms back to '83. However, a 3 month lookback wildly OVERPERFORMS. Why? The timing is a bit better by sheer luck.

I want none with a side of nope.
« Last Edit: May 01, 2015, 09:45:53 AM by Chuck »

Crushtheturtle

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Re: Dual Momentum Investing
« Reply #429 on: May 01, 2015, 09:41:49 AM »
absolute momentum feels a bit like gambling/market timing.

It feels like market timing because is market timing, pure and simple.  There is no debate about that.

I'm sort of disappointed that the upshot of this thread, on this forum, is that so many people here are actually considering trying to time the market.  Good luck with that, noobs.

Or maybe do a little research to be reminded why this is a terrible idea.  Google "market timing" and the read the first 10 links that come up, and then kick yourself for ever thinking this was a good idea.  You'll feel like someone who just narrowly escaped a cult.

I would submit that "market timing" is making allocation decisions based on a subjective guess on future market behavior. In constrast, this type of strategy changes allocation based on an objective, non-emotional measure of short term past market behavior. As has been noted previously I believe, Buy and Hold can be considered a sort of momentum strategy that uses a much greater "look back" period (years vs months). My opinion.

Chuck

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Re: Dual Momentum Investing
« Reply #430 on: May 01, 2015, 09:43:26 AM »

I would submit that "market timing" is making allocation decisions based on a subjective guess on future market behavior. In constrast, this type of strategy changes allocation based on an objective, non-emotional measure of short term past market behavior. As has been noted previously I believe, Buy and Hold can be considered a sort of momentum strategy that uses a much greater "look back" period (years vs months). My opinion.
Arbitrary timing and methodical timing are both market timing. One is based on your gut. The other is based on someone else's.

brooklynguy

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Re: Dual Momentum Investing
« Reply #431 on: May 01, 2015, 10:19:22 AM »
Arbitrary timing and methodical timing are both market timing. One is based on your gut. The other is based on someone else's.

Yup.  There's no reason a strategy's trading signal needs to be subjective in order for that strategy to constitute market timing.  The signal can be the market's movement over a specified lookback period (like absolute momentum), the investor's (or the investor's advisor's) gut feeling about market direction (a traditional market timing technique used by a large subset of the investing population), or the investor's interpretation of the messages perceived to be contained in chicken entrails (the "haruspicy method," which I just made up but no doubt is used by some (much smaller) subset of the investing population).  Even DM's strongest proponents don't disagree that it constitutes market timing; they're just arguing that it is a market timing technique that actually works.

Cheddar Stacker

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Re: Dual Momentum Investing
« Reply #432 on: May 01, 2015, 10:22:51 AM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

Absolutely.

Dualy noted.

Threads like this one are fun to read sometimes. Other times, including this one, make me realize just how smart some people are, which then makes me realize by comparison how simplistic I am when it comes to investing. I just don't care to understand all these little nuances that are often discussed. That reason alone is enough for me to be solidly in the "index" camp. Call it lazy if you want, but my brain does not have the capacity to "trump" all the great investing minds out there and come up with a strategy that beats theirs, or the general market. I'll take my chances being average in this department.

frugalnacho

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Re: Dual Momentum Investing
« Reply #433 on: May 01, 2015, 10:40:20 AM »
I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

Absolutely.

Dualy noted.

Threads like this one are fun to read sometimes. Other times, including this one, make me realize just how smart some people are, which then makes me realize by comparison how simplistic I am when it comes to investing. I just don't care to understand all these little nuances that are often discussed. That reason alone is enough for me to be solidly in the "index" camp. Call it lazy if you want, but my brain does not have the capacity to "trump" all the great investing minds out there and come up with a strategy that beats theirs, or the general market. I'll take my chances being average in this department.


RobertMa

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Re: Dual Momentum Investing
« Reply #434 on: May 01, 2015, 12:32:41 PM »
absolute momentum feels a bit like gambling/market timing.

It feels like market timing because is market timing, pure and simple.  There is no debate about that.

I'm sort of disappointed that the upshot of this thread, on this forum, is that so many people here are actually considering trying to time the market.  Good luck with that, noobs.

Or maybe do a little research to be reminded why this is a terrible idea.  Google "market timing" and the read the first 10 links that come up, and then kick yourself for ever thinking this was a good idea.  You'll feel like someone who just narrowly escaped a cult.

I for one have enjoyed this thread and I appreciate Miles for bringing this to my attention. My Roth is my usual fun money testbed while my other larger accounts boringly index. To me at least, this strategy seems to have potential and my Roth is in international developed today.

The above smacks of trying to enforce a set of Sacred Beliefs, which is typically antithetical to intellectual progress. Human thought didn't stop whenever Bogle printed his last book of scripture. And I assure you that not all those who experiment with something different are "noobs."

hodedofome

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Re: Dual Momentum Investing
« Reply #435 on: May 01, 2015, 12:46:57 PM »
In retirement accounts I switched to VXUS and in my trading account I bought 1/2 TLT 1/2 XIV and 5% of GVAL


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sol

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Re: Dual Momentum Investing
« Reply #436 on: May 01, 2015, 01:01:05 PM »
In retirement accounts I switched to VXUS and in my trading account I bought 1/2 TLT 1/2 XIV and 5% of GVAL

Awesome.  After all the talk above about how a theory has to be falsifiable to be scientific, this is the sort of test I was hoping for.  For all of you who have made this or similar trades, what's your evaluation period over which you will compare to buy and hold?

The only way to evaluate this strategy is to use it going forward, and the only way to know if that works is for someone to post their trades here for us to watch.  The past few market timing threads haven't worked out so well for the timers, as the market just keep going up.

Best of luck to you all.  I genuinely hope we all get rich.

forummm

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Re: Dual Momentum Investing
« Reply #437 on: May 01, 2015, 02:04:31 PM »
the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

I would recommend going with a "happy medium" and enacting the strategy with one of your tax sheltered accounts until you are convinced- one way or another- of the strategy's effectiveness.
This isn't a very good idea. By the time that effectiveness is proven, decades will have passed. That's a huge time investment, and a very poor one if the method doesn't pan out.

Back testing is all that it took to show me this was a bad idea. Changing variables (3/4/5/6 months) in a minor way has MASSIVE effects on total returns. That doesn't point to a sound foundation to this strategy. It's a sign that this strategy is built to perfectly perform to past returns, not future performance. For instance, absolute momentum with a 6 month lookback underperforms back to '83. However, a 3 month lookback wildly OVERPERFORMS. Why? The timing is a bit better by sheer luck.

I want none with a side of nope.

This kind of sensitivity to inputs is what I was attempting to examine with the simple backtests I did. But I got shouted down as being "not DM". I haven't had time to do more with the analysis. Some of the links proponents posted showed a pretty significant variability depending on the number of months, just as you say. Hence my comments about the choice of lookback period being prone to overfitting (which again was met with contrary statements).

A few days ago I brought up the topic of how some arbitrary and fixed lookback period was going to routinely beat the people looking at more detailed (and sometimes proprietary) data, especially since some studies showed that you need to be right on timing 70% or 80% of the time to profit at all from martket timing. So far I haven't heard any response to that question.

hodedofome

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Dual Momentum Investing
« Reply #438 on: May 01, 2015, 03:42:27 PM »
Forummm I may respond to your question in the future but it requires a long post and I don't have the time or inclination right now. I'll try to get to it sometime.


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milesdividendmd

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Re: Dual Momentum Investing
« Reply #439 on: May 01, 2015, 04:55:37 PM »

So did any DMers trade out their SP500/US market position for international today?

milesdividendmd and others, I am curious about one thing (maybe the book answers, but my library doesn't have a copy and I put in a request to purchase 2 months ago but no go so far). If I understand it, one of the major benefits to this strategy over buy/hold is getting out of equities when short-term treasuries are showing a superior return for the past 3-, 6-, 12-month lookback, i.e. the absolute momentum part. Why not just use that signal only, and ignore the relative momentum part. Keep a 70/30 US/international mix, and then the aggregate return for this dips below Tsys, get into bonds?

I traded from VIIIX TO FSPNX today based on a 6 month Lookback.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #440 on: May 01, 2015, 05:01:55 PM »

the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

My advice would be not to change a thing until you are 100% sure that you want to dip your feet into something new.

Do your due diligence.

Buying and holding is as solid an option as there is with a long track record of success. No need to rush, very little to gain from flip flopping back and forth between strategies.

Monkey Uncle

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Re: Dual Momentum Investing
« Reply #441 on: May 01, 2015, 05:15:23 PM »
I may be completely deluded here (and I'm not the best at actual argumentation) and I really want to understand more of the underlying theories, but why would a broad index of stocks (or any liquid asset) grow much faster than inflation? Shouldn't bankruptcies keep things in check? Where is this continual higher growth than inflation coming from? Is it just because some people/parties hold so incredibly many stocks and will keep on holding (e.g. Bill Gates, Buffett) that the price for which they're being traded is only the tip of the trading iceberg (as we measure stock value on price last traded, not on intrinsic value only)? Compounding also works on a larger scale and at some point stocks would represent basically all the value in the world?

The growth in a stock index comes from growth in the economy.  As the economy grows, corporate profits grow, which makes people willing to pay more for company stocks.  And growth in the economy comes from growth in either (1) population, or (2) per capita consumption rate, or (3) both.  B&H indexers are assuming that the economy will grow indefinitely, and that continued indefinite growth in market capitalization will follow.  But a quick look at index performance in countries where the population is no longer growing should give indexers pause.  See: Japan since the late 1980s bubble popped, France and Britain since the 2000 bubble popped.  Germany's market seems to have found a way to continue growing.  Although I haven't really looked into it, my guess would be that they found a way to tap the export markets (i.e., sell to economies that are still growing).

Monkey Uncle

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Re: Dual Momentum Investing
« Reply #442 on: May 01, 2015, 05:18:20 PM »
In retirement accounts I switched to VXUS and in my trading account I bought 1/2 TLT 1/2 XIV and 5% of GVAL

Awesome.  After all the talk above about how a theory has to be falsifiable to be scientific, this is the sort of test I was hoping for.  For all of you who have made this or similar trades, what's your evaluation period over which you will compare to buy and hold?

The only way to evaluate this strategy is to use it going forward, and the only way to know if that works is for someone to post their trades here for us to watch.  The past few market timing threads haven't worked out so well for the timers, as the market just keep going up.

Best of luck to you all.  I genuinely hope we all get rich.

It'll be 30 years before we know whether it worked.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #443 on: May 01, 2015, 05:19:06 PM »

absolute momentum feels a bit like gambling/market timing.

It feels like market timing because is market timing, pure and simple.  There is no debate about that.

I'm sort of disappointed that the upshot of this thread, on this forum, is that so many people here are actually considering trying to time the market.  Good luck with that, noobs.

Or maybe do a little research to be reminded why this is a terrible idea.  Google "market timing" and the read the first 10 links that come up, and then kick yourself for ever thinking this was a good idea.  You'll feel like someone who just narrowly escaped a cult.

It's market timing. No question.

But I am not sure what is gained by this sort of judgemental message?

Defend your strategy. Poke holes in mine. That is interesting, helpful and constructive.

But dismissing another's' strategy because it shares a label with other bad strategies makes as muck sense as equating indexing with gold bugerry since both are "buy and hold."

milesdividendmd

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Re: Dual Momentum Investing
« Reply #444 on: May 01, 2015, 05:21:16 PM »

the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

I would recommend going with a "happy medium" and enacting the strategy with one of your tax sheltered accounts until you are convinced- one way or another- of the strategy's effectiveness.
This isn't a very good idea. By the time that effectiveness is proven, decades will have passed. That's a huge time investment, and a very poor one if the method doesn't pan out.

Back testing is all that it took to show me this was a bad idea. Changing variables (3/4/5/6 months) in a minor way has MASSIVE effects on total returns. That doesn't point to a sound foundation to this strategy. It's a sign that this strategy is built to perfectly perform to past returns, not future performance. For instance, absolute momentum with a 6 month lookback underperforms back to '83. However, a 3 month lookback wildly OVERPERFORMS. Why? The timing is a bit better by sheer luck.

I want none with a side of nope.

Interesting take. Why not share your backtesting?  You might teach us (or yourself) something.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #445 on: May 01, 2015, 05:31:20 PM »

I'm tempted to say that we should all stop racing to post our latest thoughts and instead take the time to digest (and let others digest) the lengthy posts that just keep coming, each of which requires (and deserves) a significant amount of mental unpacking, but I wouldn't be able to follow my own advice.

We all just get caught up in the momentum.

Absolutely.

Dualy noted.

Threads like this one are fun to read sometimes. Other times, including this one, make me realize just how smart some people are, which then makes me realize by comparison how simplistic I am when it comes to investing. I just don't care to understand all these little nuances that are often discussed. That reason alone is enough for me to be solidly in the "index" camp. Call it lazy if you want, but my brain does not have the capacity to "trump" all the great investing minds out there and come up with a strategy that beats theirs, or the general market. I'll take my chances being average in this department.

Nothing average about indexing, and you are plenty smart Cheddar.

Sticking to buy and hold and rebalancing with discipline isn't easy, I know.

milesdividendmd

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Re: Dual Momentum Investing
« Reply #446 on: May 01, 2015, 05:39:33 PM »

the reason being that relative and absolute individually have both been shown to outperform the balanced buy and hold.  and when combined they do even better.

Got it. So in multiple places on this thread, MDMD has mentioned that the safety nature of the strategy appeals to him, and I agree, that's what really lit my interest. I would almost rather forgo trading among classes, and just stay at a comfortable balance (70US/30international), and watch for a signal to exit to bonds. I know the backtests show it to be inferior, but it feels a little less like gambling. Ah fuck it, who am I kidding, even just using absolute momentum feels a bit like gambling/market timing. So then I say no, I won't do it, I'll just stay buy/hold. But then I think, well it's just my 401k portfolio I'm talking about, and that's only 31% of my total investments, I should get over myself and try a little market timing. Then I think, well why stop there, the wife's TSP looks ripe for this method too. And then I'm back to where I started, feeling like I'm missing out if I don't take this seriously. I've basically been going through this cycle nearly every week for the past 2 months. It's getting tiring.

I would recommend going with a "happy medium" and enacting the strategy with one of your tax sheltered accounts until you are convinced- one way or another- of the strategy's effectiveness.
This isn't a very good idea. By the time that effectiveness is proven, decades will have passed. That's a huge time investment, and a very poor one if the method doesn't pan out.

Back testing is all that it took to show me this was a bad idea. Changing variables (3/4/5/6 months) in a minor way has MASSIVE effects on total returns. That doesn't point to a sound foundation to this strategy. It's a sign that this strategy is built to perfectly perform to past returns, not future performance. For instance, absolute momentum with a 6 month lookback underperforms back to '83. However, a 3 month lookback wildly OVERPERFORMS. Why? The timing is a bit better by sheer luck.

I want none with a side of nope.

This kind of sensitivity to inputs is what I was attempting to examine with the simple backtests I did. But I got shouted down as being "not DM". I haven't had time to do more with the analysis. Some of the links proponents posted showed a pretty significant variability depending on the number of months, just as you say. Hence my comments about the choice of lookback period being prone to overfitting (which again was met with contrary statements).

A few days ago I brought up the topic of how some arbitrary and fixed lookback period was going to routinely beat the people looking at more detailed (and sometimes proprietary) data, especially since some studies showed that you need to be right on timing 70% or 80% of the time to profit at all from martket timing. So far I haven't heard any response to that question.

Including 2 imperfectly correlated assets and  cash/short term treasuries with a specific Lookback period (between 3 and 12 months) determining allocation is dual momentum.

What you previously called sensitivity analysis was quite simply not a test of dual momentum. It was not a question of "shouting you down."


milesdividendmd

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Re: Dual Momentum Investing
« Reply #447 on: May 01, 2015, 05:45:57 PM »

In retirement accounts I switched to VXUS and in my trading account I bought 1/2 TLT 1/2 XIV and 5% of GVAL

Awesome.  After all the talk above about how a theory has to be falsifiable to be scientific, this is the sort of test I was hoping for.  For all of you who have made this or similar trades, what's your evaluation period over which you will compare to buy and hold?

The only way to evaluate this strategy is to use it going forward, and the only way to know if that works is for someone to post their trades here for us to watch.  The past few market timing threads haven't worked out so well for the timers, as the market just keep going up.

Best of luck to you all.  I genuinely hope we all get rich.

Follow along Sol. I'm 100% FSPNX.

The real world comparison is a 75/25 stock/bond portfolio with 40% equities being foreign/emerging markets, and 7% REITS. (What I had before I switched over seven months ago.)

You can also follow along this guy too who publishes his DM allocation each month.

http://www.scottsinvestments.com/2013/06/11/dual-etf-momentum-portfolio-june-update-backtests/

hodedofome

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Dual Momentum Investing
« Reply #448 on: May 01, 2015, 08:20:17 PM »
Instead of writing out an original reply to parameter values and back tests, I'll just post some pictures of The Way of the Turtle by Curtis Faith. I highly recommend the book as it dives deep into human biases and the good, bad and the ugly of systematic trading systems, especially those used by managed futures trend following funds.










There's a lot more in the book but this is a decent primer.


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milesdividendmd

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Re: Dual Momentum Investing
« Reply #449 on: May 02, 2015, 12:13:30 AM »
Interesting passages Hoded.

New book on my list. A lot of overlap with Taleb's Anti-fragile it seems, though more limited in scope.