I 'eat my own dog food', meaning that I invest in the DMS strategies. I want to briefly go over two slight deviations that I make in my personal investing compared to the DMS strategies.

DBMF & CTA
First let me say that following the DMS strategies works extremely well for me, I just follow what they say to do, it works out to my benefit compared to using my own personal thoughts and judgements about what do to with investments at any given point in time. The models are far more objective.

Anywhere that the Managed Future ETF DBMF is used in DMS individual strategies, or in a holding as in the Model Aggressive Portfolio, in my accounts, I actually split that 1/2 to DBMF and 1/2 to CTA. I don't see that it would be a bad idea to go 1/3rd each into DBMF, KMLM, and CTA; but since DBMF and KMLM tend to move more similarly to each other I don't go thirds. This was driven from a bit of FOMO as CTA just kept ripping while DBMF kept drifting lower. I am not at all giving up on DBMF, but I appreciate the combination of DBMF+CTA. I have thought about changing Bamboo Allocation to include CTA, but for now will leave as is with DBMF.


BND & CAOS
The Bamboo Allocations are were designed to be the buy and hold part of your portfolio. Something more diverse than a 60/40, with lower volatility and good long term performance, unaffected by going Risk On and Risk Off - riding out ups and downs but with a 60% holding of non-equity market holdings.

I have recently become aware of the Alpha Architect ETF CAOS. I just love it for Bamboo to replace the Bond holding, but CAOS is fairly new and doesn't have long term performance results.

CAOS is a tail risk ETF but unlike the others that I aware of, it tends to generally match the Total Bond performance day in and day out (with less volatility) with the added kicker of large increases when there are big drops in the market.

I will be swapping out BND for CAOS in my personal Bamboo Allocations, with the idea of just holding it. However, if when encounter a large drop in the markets, if CAOS results in outsized gains as a result, I will likely sell the CAOS and park that money in another Alpha Architect ETF, BOXX, for a year and then re-deploy into CAOS. Hopefully this will make positive gains when market chaos reigns, with CAOS.

I did a Zoom presentation on the Bamboo Allocation Strategies, and the Model Portfolio's to the AAII Silicon Valley Computerized Investor Group last week. As I was preparing my information to go over, I realized that the Model Moderate Portfolio had too much maximum leverage. While the average leverage was only 104%, the maximum leverage was 170%, that's pretty aggressive.

The Model Moderate Portfolio had a change of the mix of strategies in it which brought down the maximum leverage to 149%, and the average leverage remains at 104%. If 149% max leverage is too high for anybody's definition of Moderate, I don't think I would argue that. However, out of 537 months from 1980 through now, only 44 of those months had 125% or higher leverage, 38 of those 44 months being at 149%. The percent of months over 125% is 8%, and 7% were at 149% leverage.

The Model Aggressive Portfolio, should really be called the Model Very Aggressive Portfolio, it now has an average leverage of 127% and a maximum leverage of 220%. It previously had a maximum leverage of 237%.

The Model Conservative Portfolio is unchanged.

All three Model Portfolios have outstanding returns, and most particularly risk adjusted returns, it is how I invest for me and mine.

Happy investing.

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Which of the many benchmarks is the correct one to use? We have the S&P 500, the Dow, 60/40, Aggregate Bonds, QQQ…

At the end of the day, I think there are two primary ways that I see fit to pick the right benchmark. One is that the benchmark be relevant to the investment. In other words, If you are looking at a Value stock strategy, why would you benchmark it to something other than a value index. If you're looking at a broad US stock strategy, I would think the S&P or Total US Market would be the right benchmark, etc. The other way I see to pick the right benchmark is when it comes to your personal risk comfort. If you are not willing to ride out the volatility and drawdowns of the S&P 500, then it may not be the right benchmark for you, maybe some other allocation such as the 60/40 is more appropriate.

Sometimes I struggle with which benchmark to compare a specific strategy to, I often think I should just compare everything to a 60/40 which I think is probably a more common approach by the masses than the S&P. But for strategies with higher return, I tend to think it makes sense to match them to the S&P. Wiggle room here for sure and I am not sure there is a correct answer.

Model Portfolios have been in the reporting deck, and I've been talking about them for a while now, I am super excited about the three Model Portfolios and the returns and associated metrics with them. On the metrics pages for the Model Portfolios, there are comparative benchmarks for both the Russell 1000 and a 60/40 portfolio, same as with the metrics for the individual strategies.

My apologies to who sent me a note a while back and asked why I didn't use BIL / Cash returns as one of the Risk Off options for the Triad strategies. Ironically this is one of the changes that I made from GPM to GPMv is adding BIL as a Risk Off option, but inexplicably left it out of Triad. It doesn't make a large difference including or excluding BIL, but it does lower the Ulcer Index a little bit and ultimately a worthy inclusion especially as it is more adaptable to higher rate periods.

Sorry that I don't remember who asked me about this, would like to give credit where credit is due, thank you.

GPMv is a strategy that was not home grown at Dual Momentum Systems, it started off as a well known strategy by Keuning & Keller. I wrote about how I came back to GPM with interest, and had some thoughts up how to better suit it for me, this writeup talks about that process, worthy of a first read or a refresher. Article: GPMv is Born

It has now been two years since the birth of GPMv which seems like a good time to check in on it and see how it is doing compared to the original GPM strategy.

Both GPM and GPMv have underperformed relative to their 1980 to current, or 2000 to current performance, just to get that out of the way, the real question is how did the GPM Variant perform to the original in the 24 months after it was developed.

Pretty darn well!


Not only has GPMv returned 9.15% more gains than GPM over the past two years, but it managed to do it with 10% lower Maximum Drawdown than GPM did also. Certainly this outperformance to GPM shouldn't be expected to persist, however, it does illustrate that so far the changes which made GPMv different from GPM have indeed played out rather well so far.

Compared to a 60/40 portfolio over the past two years, GPM underperformed the 60/40 benchmark by 6.20%, and GPMv outperformed the 60/40 benchmark by 2.95%.