Mitigating Bear Market Risk while capitalizing on bull markets

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by mryackerz

It is easy to be “all in” the stock market when it is doing well, but is the next 2008 on the horizon? Well, I feel it may be, but who really knows? Anyhow, I have been researching many thoughts and opinions to help reduce volatility while not lagging behind the market too much on bull markets. I believe a non-data mined screen should yield the most robustness for future success going forward. I have been developing my own dual momentum screens similar to that of Gary Antonacci. Here is my stock market screen that really chooses risk on or off (absolute momentum) and then chooses between the top 2 performing funds out of S&P 500, international, or emerging markets mutual funds (relative momentum).

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What are your thoughts on this?

My goals were to reduce volatility, while remaining competitive to the S&P 500 yearly returns during bull markets. One can get higher CAGR by picking the best 1 fund, but volatility increases. I did not like the prospects of being 100% emerging markets.

www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&startYear=1985&endYear=2018&initialAmount=10000&symbols=VFINX+FUSEX+VGTSX+VEIEX&singleAbsoluteMomentum=true&absoluteMomentumAsset=VFINX&volatilityTarget=9.0&downsideVolatility=false&outOfMarketAssetType=2&outOfMarketAsset=VBMFX&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=true&periodWeighting=2&windowSize=12&windowSizeInDays=105&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=2&allocationWeights=1&riskControl=false&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&benchmark=VFINX&timingPeriods%5B0%5D=12&timingUnits%5B0%5D=2&timingWeights%5B0%5D=10&timingPeriods%5B1%5D=6&timingUnits%5B1%5D=2&timingWeights%5B1%5D=20&timingPeriods%5B2%5D=3&timingUnits%5B2%5D=2&timingWeights%5B2%5D=30&timingPeriods%5B3%5D=1&timingUnits%5B3%5D=2&timingWeights%5B3%5D=40&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0

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