McClintock is a Dual Momentum™ portfolio where a longer look-back period is used. As you recall, the Franklin recommendation was to move out of VTI and into a lower volatile security. The Franklin uses a shorter look-back combination so it is quicker to react to market movements. Not so with the McClintock as you will see in the first screenshot.
McClintock Dual Momentum Recommendation
Due to using a 100- and 252-trading days look-back combination, the recommendation is to stick with U.S. Equities (VTI). This comes as a bit of a surprise as I figured the recent draw-downs would trigger a move to either SCHP, BND, or VGLT.
The red arrow points to the look-back periods and the weight given to each. The Pauling uses even a longer look-back combination.
McClintock Performance Data
Over the past 14 months the Internal Rate of Return (IRR) of the McClintock is 15.2% while the AOR benchmark is 6.8%. This data comes from QuoteMedia or the source used by the Investment Account Manager (IAM) software.
Keep in mind that the return for AOR is really a Time-Weighted Return, not an IRR. These two measurements are very close unless there is significant cash moving in and out of the account.
McClintock Risk Ratio Data
Based on the Sortino Ratio we see the McClintock lost money this past month. Not surprising considering the lousy January market. The good news is that the Jensen Alpha (8.28) is still positive as is the Jensen slope. (2.9). I fully expected these high values to eventually reverse-to-the-mean.
If the market continues to decline, I’ll check in on all Dual Momentum portfolio regularly to see what recommendations are forthcoming.