After a short trading week we review the 5-tranche Rutherford portfolio and look for possible adjustments in Tranche 1. But first, let’s remind ourselves of current holdings: Major holdings in Tranche 1 are in VWO, PCY, AGG and BIL (in lieu of Cash)- a fairly defensive selection of assets. So let’s check on how the […]
Refining the LRPC Momentum System – The LRPC_BHS System: Part 7 – Out-Of-Sample Testing: BlackRock iShares
The next portfolio that we will look at is one comprised mainly of ETFs from the BlackRock iShares collection. This includes U.S. and International bond and equity products including broader market coverage from the Russell 1000/2000 index lists and “value” focus. Asset classes not available from BlackRock (at least for a significant time) are covered […]
Refining the LRPC Momentum System – The LRPC_BHS System: Part 1 – Adding Short-Term Heikin-Ashi Signals
This post describes the results of back-tests run by Herb Haynes using his back-tester modified to accommodate new system parameters suggested by HedgeHunter. This reflects the outcomes of a collaborative project but all errors are the sole responsibility of HedgeHunter. [Note: This Post was updated on 16 November, 2018 to accommodate requests from members to change nomenclature for […]
Is The Dual Momentum System Broken?
I recently received a message asking whether I thought that the Dual Momentum (DM) Model was less effective than other systems. First let me define how I interpret “Dual Momentum Model”. In this case I interpret it in the same way as used by Gary Antonacci in his book “Dual Momentum Investing” i.e. the selection […]
Stock Fund Portfolios Update – 26 October 2018
With all the action in the markets it has been three weeks since I last reported on the performance of stock portfolios generated from our knowledge of the Holdings of top Hedge Fund managers as reported in their 13-F SEC filings. So let’s take a look at the carnage generated in these portfolios: In general […]
Rutherford Portfolio Review (Tranche 5) – 19 October 2018
The recent pull-back in market prices has resulted in the sale of many positions in my portfolios – including the Rutherford Portfolio. The Rutherford Portfolio is setup to demonstrate the impact of timing/review-date luck on portfolio performance by splitting the nominal $100,000 portfolio into five tranches of ~$20k each. Each tranche is reviewed on a […]
Rutherford Portfolio Review (Tranche 3) – 5 October 2018
This week we (officially) review Tranche 3 of the 5-tranche Rutherford Portfolio. However, due to the recent market weakness we will also be looking at the portfolio as a whole. Presently, all five tranches are equally ($) invested in VTI (US Equities), VNQ (US Real Estate), PCY (Emerging Market Bonds) and AGG (US Aggregate Bond […]
Stock Fund Portfolios Update – 7 September 2018
Last week I started to track the performance of some hypothetical stock portfolios based on stocks held by a number of prominent Hedge Fund managers as reported in their 13F regulatory filings to the SEC. I pointed out that this should not be misconstrued as suggesting that I might duplicate their performance – rather as […]
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