Questions about strategies
QUESTION:
Hi randyharris,
I came across your work on DM strategies and i'd like to thank you for sharing that. I have a few questions:
- How are you deciding the strategy for June 2021 when May 2021 isn't over? Your strategies rebalance every month(if theres a need) so shouldn't you take into account May's contribution and decide the strategy at the last min of the last trading day in each month?
- Are you personally invested in any of these strategies? In your comments, you mentioned "The Russell" but that was a year ago. since then have you switched to the later strategies in the pdf like max pain?
- I'm following an adaptive allocation - min variance strategy. It has done well for the available data but i feel its just a best fit as any slight deviation from the parameters like timing period/volatility period etc. would drastically decrease the performance. I have no tax on capital gains and still young, so have no problem in going with any strategy. Im thinking of going with Max Pain/Russell XXL, what do you suggest? i wont take it as a financial advice, just your suggestion.
- I'm trying to follow above strategy as accurately as possible which means buying in last 5min of each trading month, I am able to replicate the PV results accurately so no problem with signals. i also have access to after-hours so not a problem even if i miss the trading hours. How does the actual rebalance timing matter in these DM strategies? Does rebalancing 1day before/after affect the performance? Can i rebalance at any time of the last trading day in each month? Im asking this because the above strategy doesn't work very well if the timing is off even by 1 day(which also is one of the reasons why i think this is a best fit strategy that wouldn't work in future).
- How do i get access to the strategy monthly investments/signals in future? I believe you said its free in some comment which I am very thankful for but where can i get it in advance and not after the month started/is over?
I'm also very interested to receive the monthly updates on your work if its not a problem for you.
Thank you very much for your help.
ANSWERS:
1) June investment selections won’t be final until May is over, that is correct.
2) I have about 10% of my invested assets in global technology, around 30% in investment real estate, and the rest is all in my strategies. Its been this way since about 2017.
3) You sound aggressive by nature at this point, maybe something like 20% The Russell OG, 20% Global Navigator, 20% The Russell XXL, 20% Global Navigator XL, and 20% MAX PAIN.
4) Tests that I have seen which tracked which day was rebalanced from both Gary Antonnaci and Allocate Smartly have shown that rebalancing a day or two into the new month makes no noticeable difference over time. Sure it may be +/- a percent any given month but it tended to equal out over time.
5) You can sign up for my reports at: https://dualmomentumsystems.com/more/subscribe/
I send them out usually the night of the last trading day of the month, which is when I have access to the full month total return data. I used to send out notifications the day before, but too many times there was big enough action on the last day to change what it was the day before - I hate having to go back to people and say sorry! I know that I said this month the strategy would be in A, but because of the crazy day yesterday now we need to be in B. I avoid that by not compiling everything until the month is fully over.