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No. of Recommendations: 18
"Investing is not a competition and, as history shows, there are horrid consequences for treating it as such." - Lance Roberts @
http://tradinggods.net/trading-gods-blog/investing-without-d...

2019 Results (table of all results below)
The Vanguard Balanced (60/40) fund - my benchmark - increased @19% because the S&P - dominated by the 5 tech stocks (1% of the index) responsible for 20% of its performance -  rose 23%; and total bond indexes rose 9% due to 3 US treasury rate cuts.
 
My port underperformed VBINX - this year - for two reasons -
1.) Another V bottom. Recall that stocks tanked in Q4 of 18, within a kitten's whisker of passing "correction" into "bear market" - and then miraculously V-bottomed again (a la March-April 09), starting Christmas week. In January, the S&P bounced 7.8% - and was still below its 200DMA. So due to that, the port was out of most stocks for timing reasons and missed the bounce. Once again, the S&P (as it defines US Large Caps) beat every other global asset class - but that was surprising given conditions at the end of '18. As well, the S&P is dominated by big tech. And the influence of mega-caps getting bigger can be seen in the continuing relative decline in RSP to SPY. Because my allocation approach capped my exposure to US large caps at 25%, the portfolio will underperform in years such as '19.

2.) A higher allocation to cash and T-Bills than diversified bond funds (and more than 50% out of global stocks) - meaning the impact of rate cuts was muted in my port compared to major bond funds. At the beginning of 19 there was little belief that the Fed would start cutting interest rates. As well, it took some time to decide to move out of cash (.1% APY) to 7-10y treasuries (2.5%).
 
So for '19 my GTAA-6 centered approach underperformed the US 60/40 benchmark. It's been educational to analyze why. More positively, it's essentially matching US 60/40 over 3y and reducing drawdowns - increasing capital preservation.

MECHANICAL APPROACHES:
* GTAA-6: Absolute & relative momentum, monthly. Filter major asset classes based on absolute momentum - remove those below their 26-week or 33-week MAs. Use the top 6 of the remaining classes in relative momentum, equally distributed. Reevaluate monthly (not a full rebalance), dropping classes below top 6. Maximum total allocation to equities and real estate ETFS - 65%.

* TOP 3 SCREENS BLEND: Currently using High_Relative_Value, VG_Horse, and Low_PS+. Turnover every 3 weeks. Allocation gated by state of BearCatchers and US Small Caps asset class absolute momentum conditions. Allocation is part of the GTAA-6 above (currently 5% of total portfolio value).
* STS(NSB) with 20% of equity allocation

(I also allocated 10% to Saul Saas-stocks for part of the year. I caught a near-double bubble in Q1 through Q2, and bailed when the entire sector sold off severely in early September. Using reasonable stops I protected a majority of the gains; I've been around long enough to see institutional herd behavior bubbles and then mass exits in hot sectors.)

PORTFOLIO OBJECTIVES
* Capital Preservation: check
* ROI at least that of inflation: check
* Keep pace with 60/40 US: 3y yes-ish, 2019 no.
* Stretch: 8% ROI annually: check

APPROACHES FOR ‘20
* When Preferreds are not under pressure, use PGX (a better lower expense ETF than PFF) in lieu of cash/money market. 5.3% yield.
* Change my performance benchmark to a 60/40 global instead of just 60/40 US; watch VBINX & the stock indexes, remembering that ”trying to beat a benchmark index is a fool’s errand, best left to fools.”
* some backtester reruns on SIPRO in January to refresh the quality indicators on these and other top candidates, which may lead to different screen choices. Any and all community sharing of recent results & backtests welcome!
* dropped Fidelity Sector Momentum
* avoid the temptation to take on more US large cap exposure because it's going up the most.

Anecdote from todays WSJ: “Stocks around the world are set to close out one of their best years over the past decade, defying money managers who began 2019 expecting threats from the U.S.-China trade fight to slowing growth to upend the bull market.
.... Just 12 months ago, the mood was far dimmer.  The global economy was weakening; stocks, bonds and commodities were falling in tandem; and money managers worried the Federal Reserve’s interest-rate increases would turn an economic slowdown into a protracted downturn.

 
From <https://www.wsj.com/articles/global-stocks-mixed-on-last-day...

Above all - best wishes to everyone for a safe, prosperous 2019!


Asset Class 1m 3m 6m YTD/TTM 3Y 5Y
US Large Cap 3.8% 8.2% 15.7% 32.8% 31.6% 48.1%
US LC Momentum (1.1%) 0.3% 2.9% 20.6% 18.3%
US SC&SC Mo 0.0% 1.2% 0.8% 3.7% 22.2%
FD LC & SC 3.4% 6.0% 6.7% 3.1% 6.7% 109.5%
Emerging (1.1%) (6.3%) (6.3%) 2.2% 8.4%
Real Estate (0.2%) (2.8%) 6.5% 10.9% 10.5% 9.3%
Foreign Real 0.0% -0.5% -0.5% -0.5% (2.7%)

Bonds 0.2% 0.2% 1.4% 7.7% 12.3% 14.5%
US 10Y Govt (0.2%) (0.3%) 1.5% 2.5% 2.8%
Preferreds 2.1% 0.7% 1.5% 2.6% 25.4% 3.2%

TOTAL GTAA+Cash 1.5% 1.2% -0.6% 10.9% 24.2% 23.6%

BlendAvgRanks 6.0% 6.0% 6.0% 0.0% 1.9% - was only in for 3 months '19
FidSectorMo 0.0% (2.0%) (2.1%) (5.4%) (15%) (2.1%) - dropped this approach Nov.
NSB 2.9% 8.7% 16.7% 22.8% 30%

TOTAL SCREENS 2.7% 2.7% 4.4% 2.7% 12% 17%

TOTAL PORT 1.8% 1.6% 0.4% 9.9% 23.9% 20.2%

Vanguard Bal 0.8% 4.8% 5.7% 18.8% 25.7% 33.1%


FC
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According to Morningstar, PGX expense ratio is .52 while PFF is .46
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When Preferreds are not under pressure, use PGX (a better lower expense ETF than PFF) in lieu of cash/money market. 5.3% yield.

I'm curious about your reasoning for using these funds in lieu of cash/money-market.
They have higher returns, but also high drawdowns.
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I'm curious about your reasoning - VERY diplomatically put Ted! LOL.

Absolutely they can & at least once each the last couple of years have high drawdowns, so yes there is a higher volatility risk. But: PGX has outperformed BIL (cash) by 14% the last 3 years, even accounting for the Q4 drops in 17 and 18.

I am (perhaps over-)confident in my moving average tracking warning system to tell me when it's time to get out to actual cash. To your point, PGX / PFF troughed 9+% from 8/31/19 to 12/30/19; I would have been out with a 4% trough max by the end of October, and back in early Feb. Interesting to see how it mirrors large cap stocks recently.
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