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You are here: Home / ITA Portfolios / McClintock Portfolio / McClintock Portfolio Update: 21 October 2021

McClintock Portfolio Update: 21 October 2021

October 21, 2021 By Lowell Herr

McClintock Portfolio Update: 21 October 2021 1
Sundial Bridge – Redding, California

McClintock, a Dual Momentum portfolio, is up for review this morning. Normally I don’t show the Main Menu settings. However, they can be viewed in the following screenshot as the look-back combination was recently changed. Check the Linear Regression periods. While the Franklin now uses the default combination, the McClintock is using 100 – and 252 – trading days or longer periods. This is to reduce security churning. The Pauling, recently updated, places an emphasis on the one-year or 252 trading days look-back. These three Dual Momentum portfolio are participating in an experiment where different look-back combinations are under investigation.

McClintock Portfolio Update: 21 October 2021 2

Below is the current recommendation for the McClintock and as you can see, no change is recommended. One hundred percent of the portfolio is to be invested in VTI and that is exactly where the McClintock is positioned.

McClintock Portfolio Update: 21 October 2021 3

The following data runs from 11/30/2021 through mid-morning of 10/21/2021. This is the period when the McClintock moved to the Dual Momentum model and as you can see from the IRR data, this approach is working very well. Readers needing additional explanation can drop a comment in the space provided below. Most readers are very familiar with this IRR screenshot.

McClintock Portfolio Update: 21 October 2021 4

The October values are based on the November 30, 2020 launch date. It will take a few months to “wash out” the older data. Pay particular attention to the Jensen Performance Index and the slope of the Jensen curve.

Based on the underlying risk, the McClintock portfolio is performing very well.

McClintock Portfolio Update: 21 October 2021 5
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Filed Under: McClintock Portfolio, Dual Momentum Tagged With: Dual Momentum, McClintock Portfolio

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