If you include the dividends in decision making, over the ~130 year time period (instead of starting over each decade), which wins?
Absolute Momentum: $90,254
Stocks Only: $1,247,873
And no, I didn't forget a digit in the AM number.
Ok, nevermind, the spreadsheet had a major error. When calculating the growth, dividends were being included for Stocks Only, but they were mistakenly being left out for AM. When I include dividends for AM as well:
Absolute Momentum:
$3,350,259Stocks Only:
$1,247,873When I look at only 1950-2014:
Absolute Momentum:
$14,459Stocks Only:
$10,895When I look at only 1950-2014, change the lookback method from "simple 6-month total return" to "10-month rolling average based on price index", start with $10k instead of $100, and switch to nominal values instead of real values (in an attempt to match the portfoliovizualizer.com methodology):
Absolute Momentum:
$8,160,627.77 (compared to PV's $10,721,680)
Stocks Only:
$10,602,478.35 (compared to PV's $10,468,979)
And, all-of-the-previous except using real values rather than nominal:
Absolute Momentum:
$1,795,613.77Stocks Only:
$1,089,485.08So, I'm still not very confident that I have everything correct. It's nice to see that one of my values when using PV's method was pretty close, but then the AM value wasn't. And then I'm not sure why the "winner" would flip when switching from nominal to real values.
I think the upshot is: spreadsheets Я hard!