Of the three portfolios participating in the Dual Momentum (DM) look-back experiment, the Pauling is employing the longest look-back combination. Since a 98% weight is applied to 252 trading days, the Pauling essentially mirrors the look-back recommended by the DM developer, Gary Antonacci. Below is the Main Menu settings for the Pauling.
When you first checked this blog post and missed a lot of the writing, that is a problem with the new Gutenberg editor. While it is set up to automatically update the writing every few minutes, it did not work and I lost the original material. So what you are reading now is a rewrite.
Below is the Main Menu and the look-back settings for the Pauling. When the next performance data table is presented, likely this weekend, check both the Internal Rate of Return (IRR) rankings as well as the overall rankings of the Franklin and McClintock. Also check in on the Galileo as it too is a Dual Momentum portfolio. Compare the performance numbers with the Schrodinger, a Buy-Hold-Rebalance portfolio.
The current recommendation is to remain 100% invested in U.S. Equities (VTI). Note the beta is slightly above one (1) when the Pauling is 100% in VTI.
Over the past year the Pauling performed very well compare to the VTHRX benchmark as well as other potential benchmarks. In fact the Pauling outperformed its benchmark by 10 percentage points.
As expected, the Pauling is also doing very well compare to the risk we are taking with this portfolio. Compare the November 2021 values with the November 2020 values. Pay most attention to the Jensen Alpha value (12.3) and the slope of the Jensen (0.95).
Long-time Platinum members are encouraged to cancel their Paypal monthly fee as you have been grandfathered to the Lifetime membership level. This is a free upgrade.
Both the Franklin and McClintock also recommend holding 100% of the portfolio in U.S. Equities (VTI). This matches the recommendation for the Pauling.
Lowell