Friendly Engineer
McClintock is one of two Dual Momentum™ portfolios tracked here at ITA. The other is the Pauling. Based on current data, we have a new recommendation this morning as the DM model recommends International Equities. To include Emerging Market Equities I use VEU as the investable ETF to fill this asset class.
McClintock Dual Momentum Recommendation
Using the Tranche worksheet from the Kipling spreadsheet, the DM model recommends investing 100% of the portfolio in VEU or International Equities. Earlier I sold 200 shares of SHY to raise cash to purchase shares of VEU. As of this post I’m up to 110 shares of VEU with several more limit orders in place.
McClintock Performance Data
Over the past 15 months the McClintock has outperformed the S&P 500 (SPY) by a rather wide margin despite still being positioned in the red.
McClintock Risk Ratio
During a poor market period of 2022 the McClintock DM model performed quite well. However, the last few months have not been served well by the Dual Momentum model. Check the Jensen row of data as well as the Information Ratio. While the McClintock outperformed its benchmark all year, it is losing ground. The hope is that 2023 will end up better.
McClintock Portfolio Review: 10 June 2022
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