For those following Gen Protective Momentum Fuzzy which has held up decently in decline but as I’ve previously noted would have done better with an alternative cash in the current interest rate increasing environment.
A modified version changes the old safe choices from:
TLT- 20yr Treasury’s, SHY- 1-3 yr Treasury’s and IEF- 7-10 yr Treasury’s
To: TLT- 20yr Treasury’s, SHV- short term Treasury’s (essentially cash) and IEF- 7-10 yr Treasury’s
This is a minor tweak but it does slightly improve both the recent and long term results
From 10/15/2007 15 years compared to Vanguard Wellington balanced fund
Old New VWELX CAGR 9.2 10.0 6.3 SAWR 7.8 8.1 4.6 GSD 8.9 9.1 12.7 SHARP 1.0 1.1 0.52 MDD -15.5 -15.5 -36.0 UI 2.7 2.7 7.2 AT 3.1 3.0 0 YearTD -2.5 1.3 -20.7 http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuzzy%20V6:s20071015i42f0.15000::dspo%281%29al252:Weight:al0:max%28SPY_Wt,QQQ_Wt,IWM_Wt,EWJ_Wt,VGK_Wt,EEM_Wt,GLD_Wt,GSG_Wt,VNQ_Wt,HYG_Wt,LQD_Wt,TLT_Wt,SHV_Wt,IEF_Wt%29gt0:RiskyEWTR21:imports%280,TR21,0%29:TR21:trp%281,21%29:Correlation:tscorr%28TR21,RiskyEWTR21,0,231,1,step0%29:Safe:ifet%28product%28minus%28screen,fvbynam%28screen,SHV,step0%29%29,minus%28screen,fvbynam%28screen,IEF,step0%29%29%29,0,1,0%29:Risky:minus%281,Safe%29:Momentum:linear%280.5,rrs%281,84%29,1,rrs%281,210%29%29:ZiScore:product%28Momentum,minus%281,Correlation%29%29:NegZiCount:sum%28iflt%28ZiScore,0,Risky,0%29,1,step1%29:SafeWeight:iflt%28NegZiCount,4,0,iflt%28NegZiCount,9,ratio%28minus%28NegZiCount,3%29,6%29,1%29%29:Weight:ifet%28Safe,1,ifet%28rankt%28ZiScore,Safe,step1,-1%29,1,SafeWeight,0%29,ifam%28rankt%28ZiScore,Risky,step1,-1%29,3,ratio%28minus%281,SafeWeight%29,3%29,0%29%29:SPY_Wt:fvbynam%28Weight,SPY,step1%29:QQQ_Wt:fvbynam%28Weight,QQQ,step1%29:IWM_Wt:fvbynam%28Weight,IWM,step1%29:EWJ_Wt:fvbynam%28Weight,EWJ,step1%29:VGK_Wt:fvbynam%28Weight,VGK,step1%29:EEM_Wt:fvbynam%28Weight,EEM,step1%29:GLD_Wt:fvbynam%28Weight,GLD,step1%29:GSG_Wt:fvbynam%28Weight,GSG,step1%29:VNQ_Wt:fvbynam%28Weight,VNQ,step1%29:HYG_Wt:fvbynam%28Weight,HYG,step1%29:LQD_Wt:fvbynam%28Weight,LQD,step1%29:TLT_Wt:fvbynam%28Weight,TLT,step1%29:SHV_Wt:fvbynam%28Weight,SHV,step1%29:IEF_Wt:fvbynam%28Weight,IEF,step1%29:NOTPROFANEwtf:Weight%7b~Risky%20-%20Daily%20Equal-Weight:h1::TR21:al-100:TR21:trp%281,21%29%7bU:%7blf-1lp-1h1::gprc%281%29gt0%7bU:%7b~SPY::SPY%7d%7b~QQQ::QQQ%7d%7b~IWM::IWM%7d%7b~EWJ::EWJ%7d%7b~VGK::VGK%7d%7b~EEM::EEM%7d%7b~GLD::GLD%7d%7b~GSG::GSG%7d%7b~IYR::IYR%7d%7b~HYG::HYG%7d%7b~LQD::LQD%7d%7b~TLT::TLT%7d%7d%7d%7d%7d%7bU:%7b~SPY::SPY%7d%7b~QQQ::QQQ%7d%7b~IWM::IWM%7d%7b~EWJ::EWJ%7d%7b~VGK::VGK%7d%7b~EEM::EEM%7d%7b~GLD::GLD%7d%7b~GSG::GSG%7d%7b~VNQ::VNQ%7d%7b~HYG::HYG%7d%7b~LQD::LQD%7d%7b~TLT::TLT%7d%7b~SHV::SHV%7d%7b~IEF::IEF%7d%7d remove the notprofane to pass the boards censor and still run. RAM