Today is the regular schedule for updating the Galileo. I thought about skipping this review as the Galileo is small and the default look-back setting (shown in the first screenshot) provide the same recommendation as last month. Using the default settings shown below, the recommendation is to keep 100% of the portfolio invested in SPTM or the U.S. Equities commission free ETF at TDAmeritrade.
Default Look-Back: Two look-back periods are used with the BHS model portfolios and I’ve also been using these settings with the Dual Momentum portfolios. A 50% and 30% weight are respectively assigned to the 60- and 100-trading day look-backs.
Based on extensive back-testing, the Score Rank Weightings are listed in the right-hand side of the screenshot.
Twelve-Month Look-Back: Gary Antonacci, author of the Dual Momentum book, advocates a 12-month look-back period or 252 trading days. Does the longer look-back change as we move from the default settings to a 252 trading day look-back?
To make the change, increase the 60-day look-back to 252 and alter the weights. See the second arrow on the right. Move the 50% weight up to 98 and change LRS2 from 30% to 1% and Volatility Weight from 20% to 1%. By using 1% instead of 0% we maintain the calculations going on beneath the surface of the spreadsheet. These changes essentially take the “default” BHS spreadsheet and changes it into a 12-month look-back spreadsheet.
The results are not too surprising as this look-back has one invested in SPAB or bonds. To pull off this change, I needed to go back as far as the Kipling 3.5 version as there are some internal calculations operating in the recent Kipling that foul up the momentum ranking when the look-back is set to anything above 185 trading days.
When the look-back is set to one year, switches between SPTM, SPDW, and SPAB are slower to react. Even when using the default settings, the Kipling did not pick up the January uptick as we were in bonds when the equities market took off.