McClintock Dual Momentum Portfolio Review: 1 May 2023

Fishing vessel, Judy, docked in Newport, Oregon

McClintock is one of two Dual Momentum™ portfolios tracked here at ITA.  Both DM portfolios (McClintock and Pauling) are under close observation due to declining performance as readers will see in a moment.  Dual Momentum™ is an investing model based on two momentum principles, Absolute and Relative.  Three basic asset classes are involved and they are: U.S. Equities (VTI or ESGV), International Equities (VEU), and Bonds (BND or AGG).  Here are the critical rules assuming one is using ESGV, VEU, and BND as is the case with the McClintock portfolio and a one-year look-back performance period.

• Is ESGV > VEU?  If yes, then ask, is ESGV > BND?  If yes, investing 100% in ESGV.  In a bull market one is invested in ESGV or VTI.
• If ESGV < VEU then ask, is VEU > BND?  If yes, invest 100% in VEU.  This is the current situation with the McClintock.
• If VEU < BND then invest 100% in BND.

Even though a $50 book has been written on this subject, the above rules sum up the basic concept of Dual Momentum™.

McClintock Dual Momentum Recommendation

Using the Kipling spreadsheet the current DM recommendation is to invest 100% of the portfolio in International Equities, VEU.  With the McClintock I have TSLOs set to sell off ESGV and VOO as they are currently not recommended under the DM rules.  Numerous limit orders are in place to purchase shares of VEU.  I’m not in a panic to invest 100% in VEU until the debit limit issue is settled.  Uncertainty rattles stock markets and debates as to what to do about raising the debt limit is going to increase market uncertainties.

McClintock Performance Data

Since 12/31/2021 or over the last 16 months the McClintock has out performed the S&P 500 (SPY).  But that does not tell the entire story.  More information is to be gleaned when we check in on risk and trends of the McClintock.  For that information we move to the final screenshot.

McClintock Risk Ratio

The following data table is taking on additional importance as we build historical information.  The IRR performance data shown above is incorporated within the Jensen – found in the following table.  Don’t pay much attention to the May data on the right as it is not even a full day of data.  Pay more attention to the slope (negative 1.9) of the Jensen.

I’ll likely give the McClintock another six to seven months of testing, but if there is no turn around I’ll likely move the model over to one of the better performing models such as the Copernicus or the Sector BPI Plus model, assuming sector investing continues to show the promise experienced over the last few months.

My two favorite models are the Copernicus and Schrodinger as they require little to no work.  These are the “lazy” portfolios and both are among the top performers.

McClintock Portfolio Review: 10 June 2022