Harry Browne’s Permanent Portfolio- 2020 update

Harry Browne (1933 -2006)

For the money you need to take care of you for the rest of your life, set up a simple, balanced, diversified portfolio. I call this a “Permanent Portfolio” because once you set it up, you never need to rearrange the investment mix— even if your outlook for the future changes. The portfolio should assure that your wealth will survive any event — including an event that would be devastating to any individual element within the portfolio… It isn’t difficult or complicated to have such a portfolio this safe. You can achieve a great deal of diversification with a surprisingly simple portfolio.”

2020 returns for the portfolio, implemented with fund portfolios at iShares and Vanguard are tabulated below.

PortfolioTotal MarketGoldLong TreasuryT-billTotal return
iShares20.75%23.86%17.92%3.01%16.39%
Vanguard20.99%23.68%17.69%3.09%16.36%

Read more

David Swensen’s portfolio (from Unconventional Success) – 2020 Update

David Swensen, investment manager of the Yale University Endowment Fund, has addressed how investors should set up and manage their investments in his book, Unconventional Success: A Fundamental Approach to Personal Investment. The Swensen portfolio consists of six core asset class allocations: US equity: 30% Foreign developed equity: 15% Emerging market equity: 5% US REITS: … Read more

Monthly Returns: 16 countries, 50 years

In the Investing in the World study, we looked at annual returns of mixes of stocks and bonds over the past 50 years. Some metrics (e.g. correlation) require more granularity to be truly meaningful. This article assembles monthly returns for treasury bonds and stocks, then use such data set to study possible recent correlation patterns.

The Elusive Rebalancing Bonus – Part 3

Passive investors typically rebalance their accounts every now and then to get the various positions back in sync with their target asset allocation. In Part 1, we explained and illustrated various rebalancing methods, then documented the data sources used in this study. In Part 2, we pondered if some of those methods provided a significant rebalancing bonus compared to an annual rebalancing model. In Part 3, we will explore miscellaneous topics (e.g. frequent rebalancing, less conventional asset allocations).

The Elusive Rebalancing Bonus – Part 2

Passive investors typically rebalance their accounts every now and then to get the various positions back in sync with their target asset allocation. This multi-part article studies various rebalancing methods and analyzes if some of those methods provided a significant rebalancing bonus. Part 1 focused on describing the most typical rebalancing methods and illustrating them. In Part 2, we will perform a more systematic quantitative analysis, using the simple annual rebalancing method as a baseline.

The Elusive Rebalancing Bonus – Part 1

Passive investors typically rebalance their accounts every now and then to get the various positions back in sync with their target asset allocation. This multi-part article studies various rebalancing methods and analyzes if some of those methods provide(d) a significant rebalancing bonus. Part 1 will focus on basics, describing typical rebalancing methods and illustrating them with some historical trajectories. The next parts of the study will explore rebalancing in more quantitative details.

Small and Value factors, 16 countries over 25 years

There are various models attempting to simulate the history of small/value factors for US investors, before corresponding funds and indices actually existed. Some of those models suffer from significant deficiencies (e.g. not matching the reality of modern index funds), making difficult to calibrate expectations about real life funds. Furthermore, one might ponder if we read too much in the history of one single ‘in-sample’ market (e.g. the US).

Fortunately, we now have 25 years of market history across 16 developed countries thanks to MSCI indices. This should provide a rich source of ‘out-of-sample real-life’ information, which this article will analyze.

S&P 500 index

The S&P 500 Index is a long standing index of US stock market returns. The index comprises approximately 85% of the US stock market capitalization. The index is often regarded as a proxy for US stock market returns. S&P 500 index returns The New York University Stern School of Business provides return data (from 1928 … Read more

US Baa Corporate bonds

US Baa Corporate bonds are investment grade debt securities issued by US corporations. Baa bonds occupy the lowest tier of investment grade corporate bonds. The bonds make up slightly more than 50% of investment grade corporate bond indexes. Corporate bond interest is subject to tax by both the federal government and by state governments. Baa … Read more

US 10 yr. Treasury bonds

Ten year US Treasury bonds are debt securities issued by the US Treasury. The bonds are “full faith and credit” securities backed by the Treasury. Treasury bond interest is taxed by the federal government but is exempt from state income tax Treasury bond returns The New York University Stern School of Business provides return data … Read more