Reminder of Bamboo Portfolio allocation strategies, post on the front page of the website currently.

Not an April Fools Joke - I was able to find annual data for Managed Futures from the Barclays CTA Index from 1980 through 1999, so I will be able to extend the Bamboo Portfolios back to 1980. It would be great to have monthly data for the Barclays CTA Index for that time period, if you have or have access to it, please reach out. I will just use the annual returns broken down to monthly increments for the mean time - hope to be able to put out the extended reports soon, anxious to see how they look!

I’ve been so busy with Bamboo, that I’m just going to ask that you look to the reports for all the fun data this month, almost no changes to investment strategies for April, GPMv has a minor increase in conviction and a change to Commodities, all else the same.



Full Dual Momentum Reporting Deck

New DMS Bamboo Portfolio allocation Reporting Deck

Allocation worksheet


Subscribe to the monthly emails (free) in order to get the Reporting Decks at the end of the month without delay.

Please see the reporting deck linked below for full month, year, and far further back results.
Good start to the year, I’ll have the Allocation Strategies post up in about a week.

Enjoy

Full reporting Deck
Allocation worksheet

If you are a thrill seeker, I do still update the three “High Test
strategies just don’t post them in the main deck, High Test Reporting Deck

Please see the reporting deck linked below for full month, year, and far further back results.

I came to realize that sometimes the published results are updated after the fact, so I fully updated 2022 and 2023 monthly results in my database, not sure if it is dividend activity not captured in the month it took place or what. The changes weren’t large but I wanted to make sure I had the ‘final final’ numbers.

The fixed allocation DMS-4ETF, and I’ve got a variation of it that I think is worthwhile have been getting some of my attention, I owe info on this, I hope very soon.

Happy New Year to you, and a quick look back at the year in DMS Strategies 2023.

GPMv: The most conservative strategy had the lowest full year return of 2.83%. It also had the lowest drawdowns this past year, and on a percentage basis substantially lower than the 60/40 drawdown. However, compared to the 60/40 the returns for the year were paltry, knock this up to a great rebound year for bonds in 2023, and the Magnificent 7 driving the market this past year. 60/40 took advantage of both. Not that GPMv is really designed to target the 60/40, it is targeted at ultra low drawdowns and good long term gains.

Triad Strategies: These are billed as a better 60/40 for the future, but they had a misstep this year only returning roughly half what the 60/40 does. The strategy is not broken, the foundation of it is solid, it has had this sort of under performance in the past, it has a terrific long term record and is designed to be far more broad and adaptable than a 60/40 - it was not designed to take advantage of the Magnificent 7’s stellar year. Lick your wounds and continue on with Triad.

The Russell: This never leveraged strategy had a solid year coming in at just under 16% for the year with a low drawdown of just 6.45%. I still like this strategy very much.

Global Navigator+: The same 6.45% drawdown as The Russell, just slightly lower performance, this variation of GEM is still a winner, and always posed to take advantage when International equities outperform.

LT Gain Strategies: These strategies only invest in the Large Cap US when invested, as a result they both had very good years even with larger than the S&P Drawdowns.

Full reporting Deck

Allocation worksheet

June was a fabulous month for the overall Market (at least as defined by the Russell 1000 (or the S&P 500). Ditto July, while not quite as big of gains as June, July continued the upward trend very nicely.
Dual Momentum Systems is a passion project, I do it because I love it, but more directly because I needed to find a better way to invest my own money. No small effort goes into the strategies, and reporting decks for all to see and use. I sincerely hope that you are using the information for your personal gain and insight. 

Thank you very much to the people who have made contributions which help pay for the hosting and subscription costs necessary to make this possible. 

I prefer to reach out once in a great while to ask for some help, I have no interest in charging an ongoing subscription. 

If you find the strategies and their presentation useful, please help out with a contribution that you feel is appropriate, it will be much appreciated, thank you. 

Thank you for your patronage. Your support can be directed here. 


I gave some thought to my personal portfolio allocations this month and made some adjustments. Previously I was allocating 25% to the Russell Midcap, and 15% to DBMF, a Managed Futures ETF; I decided to drop the buy and hold IWR and increase my DBMF to 20%. DBMF only has a few years of actual history, but I was able to find the Societe Generale CTA Index going back to 2000 which is the benchmark for DBMF. DBMF will deviate from its benchmark because it isn’t designed to follow it, but in general it is a decent proxy in order to go back to 2000 and see how it may look. Managed Futures really complement equities as an alternative, they move very differently and tend to do better when equities aren’t doing great. The long term average of the CTA index isn’t as high as my strategies, but that’s ok, they work nicely together smoothing out the returns and lessening the drawdowns a bit.

I am including a few charts down below the usual charts included in the month end email showing how these portfolios play out from 2000 forward.

Very little changes from July to August, outlined in the image below and in the Reporting Deck available here. The official month end numbers haven’t come out yet so I am publishing with what I have available and will update after the final numbers drop. I’ll update the Reporting Deck online at that time, shouldn’t affect any of the investments but want to use the final numbers to keep it clean.

Here is the allocation spreadsheet in case that helps working with multiple strategies. Just enter the percent allocated to the strategies, and the amount of money to allocate overall to the strategies, and it tells you which ETF’s that you should be holding in what quantities. Excel Allocation Workbook for August 2023.

Don’t forget that you can track the strategies any day of the month from this URL.

Cheers

June was a fabulous month for the overall Market (at least as defined by the Russell 1000 (or the S&P 500).

Quick reminder to check out the Google Colab’s which show where the next months investments will be, if the month ends as it is when you run it. Laurent was skilled and gracious enough to code the DMS strategies into Google Colab where you can run the strategies to see what they will be invested in as of the information on hand. Check it out on the website from the Menu select “Strategy Next Month”.

This year has been a very narrow outperformance by a handful of stocks, which is driving up the major indexes of which they are a large part because they are market weighted indexes. It can often be advantageous to be diversified and hold investments different from the big indexes, however, it is not without some pain when seemingly only the big indexes are doing well. If your allocation isn’t performing as well as the big indexes this year, your time will come. It’s ok to look different and perform different than do the big indexes.

Small note, the version of Excel on my daily driver, an iMac, is having issues this month printing out the PDF, so I printed it out from my work machine which is Windows based - so if the reporting deck looks a little different, that is why.

Very little change from June to July, outlined in the image below and in the Reporting Deck available here.

This year to date:

GPMv has relatively struggled this year, it is inherently a protective and cautious strategy. Note that GPMv is doing ever so slightly better than GPM year to date, both are slightly down.

Triad/Triad+/Triad++ are doing well and are up 5.73%/10.7%/12.12% YTD. Even though they are more cautious and far more diversified than the major markets, they are doing a great job this YTD.

The Russell has solid returns this year, it is ahead of a 60/40 and a bit behind the major markets, doing what it is supposed to do.

Global Navigator+ GN looks different than the market and will sometimes mimic its performance, other times not. GN was holding International in May when it underperformed. YTD GN+ is slightly ahead of a 60/40. It is not currently leveraged because when it went out of treasuries and into equities, International was the investment. By the time it switched to US equities it did so in unleveraged equities.

LT Gain+/LT Gain++ These strategies are doing fantastic YTD with returns of nearly 25% and 35%. They have been in leveraged US markets this year other than March when they hid out in treasuries.

Here is the allocation spreadsheet in case that helps working with multiple strategies. Just enter the percent allocated to the strategies, and the amount of money to allocate overall to the strategies, and it tells you which ETF’s that you should be holding in what quantities. Excel Allocation Workbook for July 2023.