July 2023

Jul 29, 2023

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.

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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