Search found 129 matches

by Paul Douglas Boyer
Tue Jan 27, 2015 3:36 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

Re: Spreadsheet for backtesting (includes TrevH's data)

Here is a differently-saved version of the Excel spreadsheet (Old Excel style).

For those of you having problems opening the spreadsheet in OpenOffice, does this version fix it?

https://www.dropbox.com/s/awrb77zcyjuwd ... b.xls?dl=0

And if so, are there any features that no longer work?
by Paul Douglas Boyer
Mon Jan 19, 2015 4:08 pm
Forum: Investing - Theory, News & General
Topic: Backtesting spreadsheet simba
Replies: 9
Views: 2136

Re: Backtesting spreadsheet simba

I posted the updated spreadsheet.

Here's the forum post:

viewtopic.php?f=10&t=2520&p=2340735#p2340735

Have Fun!
by Paul Douglas Boyer
Mon Jan 19, 2015 4:04 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

Re: Spreadsheet for backtesting (includes TrevH's data)

Here is a first cut at the updated Simba backtest spreadsheet with 2014 data.

Backtest-Portfolio-returns-rev14a.xlsx

Click and download from Dropbox. It is Excel .xlsx format for now.

Notes:
Estimated CPI at 0.8.
Substituted VTMGX for VDMIX in 2014. Still references VDMIX in most places for now...

Will work on a new version to clean up and organize some stuff...

Notify of any errors or incompatibilities. Thanks.

Enjoy!
by Paul Douglas Boyer
Tue Feb 26, 2013 7:17 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

Re: Spreadsheet for backtesting (includes TrevH's data)

Hayek314 wrote:Dear all,

However, I am looking for the same kind of Excel, but with MONTHLY returns instead of yearly. I would like to do more in deep research (monthly drawdowns, correlations, etc) and I need monthly returns for the main asset classes.

Marcos.
I modified it once for monthly returns in order to compute Max Drawdown more accurately.
But the bottom line for me was that monthly data did not change the relationship of risk and return
between the various portfolios. Annual data is easier and is just fine.
See this post:
http://madmoneymachine.com/2010/10/22/m ... 2001-2009/
by Paul Douglas Boyer
Fri Jan 27, 2012 3:46 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

Re: Spreadsheet for backtesting (includes TrevH's data)

simba wrote: Paul - Thanks for the info. Btw did you get the monthly data from M* principia pro or somewhere else?
I used the RCH_Stock_Market_Functions.xla Excel Add-In from
http://finance.groups.yahoo.com/group/smf_addin/
to bring in data into Excel from Yahoo! Finance Historical Quotes (Adjusted for splits and dividends).

(Oh and I built a spreadsheet to bring in annual data into your spreadsheet too. You should try it,
it might save you some time.)

poor man's principia

Paul
by Paul Douglas Boyer
Fri Jan 27, 2012 3:01 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

Re: Spreadsheet for backtesting (includes TrevH's data)

Thanks CI. I don't mind including the quarterly data but it's just too much work to capture the data for all the funds. Even if I venture out on this path, I won't be able to get the quarterly data for the funds back to 1972 or 1985 for that matter. That's what I figured, I didn't find it easily myself either. There is probably a paid database (or two) somewhere that has it but I doubt it would change the results enough to be worth it. I did a spreadsheet with MONTHLY data about a year ago. It does not noticeably change the results at all. I also computed Max Drawdown, and determined that you can estimate Max Drawdown by multiplying the Standard Deviation by 3. So no, it is not worth your time to go quarterly, it wasn't even worth it going...
by Paul Douglas Boyer
Mon Sep 19, 2011 7:22 pm
Forum: Personal Investments
Topic: Permanent Portfolio PRPFX
Replies: 30
Views: 5284

PRPFX is a good solution for a modest portfolio. Once you get to a more significant one, you'd probably just want to open a brokerage account and buy shares of VTI, TLT, IAU, and SHY. Then for added complexity, instead of TLT, just go out and place an order for the most recent 30-year bonds. And instead of IAU, place an order for some gold coins to be delivered to you. And if you're like me and want added risk for you equities, buy VBR and VWO. For trico: looking at a chart of PRPFX will not help you. No one can predict the future and certainly charts cannot. The underly theory of the fund is that it will do OK during any economic cycle. By "selling" the fund, where do you put the cash? Into dollars? Isn't that risky? PRPFX and th...
by Paul Douglas Boyer
Mon Nov 22, 2010 8:08 am
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

I liked this scientific explanation of why gold is money from NPR:

http://www.npr.org/templates/archives/a ... =127429648
by Paul Douglas Boyer
Sat Nov 20, 2010 10:22 am
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
Replies: 876
Views: 211203

Clive wrote:I had thought the stock (TSM) volatility (Std. Dev) was a bit higher than you indicate Paul, closer to 18 I had in mind.
Yes, due to the data I was using, these are "real" returns, inflation-adjusted. Probably not as meaningful statistically.

It is true that nominal standard deviation of TSM was 18% for 1972 - 2009 when using Annual data.
by Paul Douglas Boyer
Sat Nov 20, 2010 8:39 am
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

Well, since 1985 the data doesn't look so good for Harry Browne with respect to real returns. This is silly. You cannot compare portfolios on returns alone! The only way to compare portfolios is to determine if they adequately compensated you for your risk. More risk should equal more return if the portfolio is widely diversified. If you want to look at returns only, then put 100% into VEIEX. Wow, that did great, invest in that. To compare on both risk and return, we have to plot the results on a chart showing return on the y-axis and risk on the x-axis. Then the best portfolios would appear at the top left. A mathematical way of expressing that is the Sharpe ratio which divides risk-adjusted returns by the standard deviation. The portfoli...
by Paul Douglas Boyer
Fri Nov 19, 2010 8:20 am
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

re@51.5 wrote:To make it easier for me to "see the forest for the trees", I added
Please specify the time period you selected.
Why is there no blue Sharpe or Sortino Ratio showing which portfolio had the best Risk-Adjusted returns?
by Paul Douglas Boyer
Thu Nov 18, 2010 8:01 pm
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

Rick Ferri wrote:The interview was an hour long, and my Harry Brown comment is the only thing you PP people remember? You're going to have to do better than that!
Only thing? I listed three:

1. Harry Browne comment on gold vs inflation.
2. Gold being too highly priced now.
3. Lack of focus on Max Drawdown.

These are three key misunderstandings some folks have about the PP and are worth highlighting.
by Paul Douglas Boyer
Thu Nov 18, 2010 6:15 pm
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

Re: Interview with Rick Ferri

Here is my interview with Rick Ferri on his views of gold, the Permanent Portfolio and his own investment philosophy: Thanks for doing the interview with Rick. In it, Rick kept saying, "Harry Brown's intent was that gold would keep pace with the rate of inflation." That is incorrect. Harry said that some parts of the portfolio may drop 25%, 30%, even 40% but that other parts of the portfolio could go up 100%, 200% or more to make up for it. He certainly included gold in that assessment. He did not state that gold would just mirror the rate of inflation. Rick also kept saying that gold is very highly priced now and we haven't had inflation. This is incorrect. As Craig mentioned, we had inflation in house prices, tuition, health ca...
by Paul Douglas Boyer
Thu Nov 18, 2010 2:50 pm
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
Replies: 876
Views: 211203

IIRC the stated historical maximum drawdown for the PP has been in the 4-5% range. Is the 4-5% figure calculated on "annual" basis while your 13.5% reflects a "monthly" basis. Is this reason for the difference? Bob YES! That is a key point I've been making recently about Max Drawdown. We need high resolution data to get the REAL MAX. Simba's spreadsheet only uses annual snapshots. That masks things that may happen within the year. Theoretically a portfolio could drop 99% or more and gain it all back before the end of the year and we'd never know with annual snapshots. And of course, daily snapshots could only increase the calculated Max Drawdown number. This calculation problem is probably the main reason we usually see...
by Paul Douglas Boyer
Thu Nov 18, 2010 2:45 pm
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
Replies: 876
Views: 211203

Updated with Real returns for PP and S&P 500

Image

Image

The 24.2% "real" max drawdown of the PP occurred in Feb, 1982.

The 54.3% max drawdown for S&P 500 occurred in Mar, 2009.
by Paul Douglas Boyer
Thu Nov 18, 2010 12:34 pm
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
Replies: 876
Views: 211203

I'm going to hand that one off (to you), if that's ok! This chart summarizes the returns vs risk of the two portfolios. The numbers beside each plot point are the Annualized Standard Deviation and the Annualized Real Return, respectively. http://i51.tinypic.com/6zmv7d.png Returns shown are real, inflation-adjusted returns, annualized. Standard Deviation is computed from the STDEV of monthly returns multiplied by sqrt(12). And here is a chart showing Max Drawdown, based upon monthly returns. The plot point numbers are Max Drawdown and Annualized Real Return, respectively. http://i52.tinypic.com/34y3g36.png Note that in this chart the Max Drawdown percentage for S&P 500 used real monthly returns while the Max Drawdown for PP used nominal...
by Paul Douglas Boyer
Wed Nov 17, 2010 7:59 pm
Forum: Investing - Theory, News & General
Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
Replies: 876
Views: 211203

I've put together this chart that clearly shows the Total Real Return (dividends reinvested and returns adjusted for reported inflation) of the S&P 500 vs the Permanent Portfolio from January 1, 1970 through September 2010. Nice! Using your reference to the S&P 500 data, were you able to get a single download or did you have to go through and select each month's return by hand? Can you compute annualized Standard Deviation and Max Drawdown for each? (If I had the S&P 500 data I would give it a shot.) Just to make clear, you only rebalanced at the 15/35 rule and not also by the calendar. I wonder how many times rebalancing occurred? Interesting that we start in 1970. I am so used to Simba's spreadsheet that starts in 1972. I won...
by Paul Douglas Boyer
Mon Nov 08, 2010 3:08 pm
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

Rick Ferri wrote: There's also a cost to owning gold. If you own bullion or coins, you need a safe place to store it, a way to insurance it, and there's a cost to trade it (not including 28% tax on profits). If you own a gold bullion ETF, you're losing 0.4% per year in fees on top of the taxes (there is a 0.25% fund out now).
There's also a cost to owning REITs. If you own VGSIX, you're losing 0.25% per year in fees on top of the taxes. VGSIX throws off expensive dividends about four times a year. Any short-term selling would be heavily taxed.

Finally, all the analysis needs to end in a bubble year to make the numbers work. The numbers don't add up without ending at a bubble price.
by Paul Douglas Boyer
Mon Nov 08, 2010 2:21 pm
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

Actually, a well diversified equity portfolio using global index funds and REITs performed about 5% over the past decade, bonds performed about 6%, and a 50% stock and 50% bond portfolio performed 6.5% annualized. The extra 1% kicker came from annual rebalancing. So, it wasn't a 'lost decade' for diversified stock and bond investors who remained diciplined. ... with an annual standard deviation of about 13% yielding a Sharpe ratio of 0.29 and a max drawdown of about 33%. How did the HBPP compare? 6.6% CAGR with standard deviation of 5.4% (Sharpe 0.74) and max drawdown of 13%. Same return, lots less risk. How did the "Rick Ferri Core Four" portfolio do? 4.6% CAGR with standard deviation of 13% (Sharpe 0.20) and max drawdown of 35%.
by Paul Douglas Boyer
Mon Nov 08, 2010 8:10 am
Forum: Investing - Theory, News & General
Topic: Coffee House and Gold don't fit very well
Replies: 8
Views: 2015

Try

VIVAX 5%
VFINX 5%
VISVX 10%
NAESX 5%
VGSIX 5%
VGTSX 10%
VUSTX 20%
VFISX 20%
GOLD 20%

Same return, lower risk.

For higher returns, shift more of the stocks into VISVX and VEIEX.
For lower risk, shift more out of stocks.

Try 25% in each VTSMX, VUSTX, VFISX, GOLD.

The future is unknowable. Invest accordingly!
by Paul Douglas Boyer
Sun Nov 07, 2010 3:56 pm
Forum: Investing - Theory, News & General
Topic: "Rick Ferri's Take on Gold"
Replies: 209
Views: 30345

I believe that when speaking about "gold", it can be a worthwhile exercise to substitute the word "money" instead and see if the argument still makes sense as a reason not to own it. Here is how the exercise worked out for the referenced article. I'll substitute money for gold and coins for bricks. “A pile of [coins] has no cash flow. To include them in your portfolio, you would have to know something about the supply and demand for [coins]. You would have to know that the market for [coins] is going to change, and thus the future value of your pile of [coins] is going to be more than it is now, even after adjusting for inflation. Unless you are a [coin] producer, I don’t know how you would know that — and I don’t even t...
by Paul Douglas Boyer
Wed Oct 27, 2010 10:26 pm
Forum: Investing - Theory, News & General
Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
Replies: 1367
Views: 821252

SDBoggled wrote:Thanks so much for making this spreadsheet available. I just found it and have been slow to understand the importance of international and emerging markets, so this helps a lot with seeing their effect.
Thanks
Here's to helping speed things up for you: try adding in some gold also.
You will find that it increased the returns and decreased the risk.

Where are the bonds? Cash? I like the Harry Browne Permanent Portfolio for money you can't afford to lose.
by Paul Douglas Boyer
Mon Oct 18, 2010 6:37 pm
Forum: Investing - Theory, News & General
Topic: Is there a Case for Long-Term Treasuries?
Replies: 18
Views: 2824

Is there a case for Long Term Treasuries?
The Harry Browne Permanent Portfolio recommends 25% stocks, 25% Long Term Treasuries, 25% cash, 25% gold. The portfolio has had a remarkable performance. The assets were not correlated with each other. Each had its season. When rebalanced, the portfolio's winners tended to overcome its losers. Max drawdown (year-end numbers) since 1972 was an amazing 5%.
by Paul Douglas Boyer
Mon Oct 18, 2010 6:04 pm
Forum: Investing - Theory, News & General
Topic: Permanent Portfolio Poll
Replies: 222
Views: 28874

Using a modified version of Simba's spreadsheet, I have entered values through the end of September 2010. Instead of plotting risk as standard deviation, in this chart I plot it as Maximum Drawdown during those 38+ years. (The max drawdown and standard deviation are roughly the same, but max drawdown tends to be more spread out. Also I think max drawdown is more user-friendly.) [The best place to be on the following chart is at the top left.] P1 is Harry Browne P2 is my version of Harry Browne with SCV and EM instead of TSM P6 is Rick Ferri Core Four http://i54.tinypic.com/x1di4j.png Here are all the Lazy Portfolios: "Harry Browne Permanent" P1 PBPP P2 PRPFX P3 Taylor Larimore 3 Fund P4 Taylor Larimore 4 Fund P5 Rick Ferri Core Fo...
by Paul Douglas Boyer
Sat Oct 16, 2010 4:51 pm
Forum: Investing - Theory, News & General
Topic: SNIPPETS FROM BOGLEHEADS 9
Replies: 117
Views: 19878

I found the comment about buying gold a bit out of character, bewildering. But then I thought about it again....if you don't make time to do something, it is not very important. A little sarcasm perhaps? Yeah, I can believe it was a joke. I believe it was mostly a joke also, but I also got the impression that Jack thought we could be in for some hard times. I do quote, "Assuming we don't have a big disaster, which is a big assumption to me, we will see 2.5% real returns on equities in the future." [after inflation and expenses] So it seems more like gallows humor rather than derisive humor to laugh at gold. I would think people should be laughing a lot harder at the US Dollar right now. The next day, I actually asked the question...
by Paul Douglas Boyer
Sat Oct 16, 2010 11:34 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Call_Me_Op wrote:Hi Paul,

Do you have any idea why the max draw-down is so much higher for the 100% TIPS case?
Simulated TIPS show a -2.5% and -4% gain in 1972 and 1973 while Gold showed gains of 49% and 71% those years.

Use caution and invest at your own risk.
by Paul Douglas Boyer
Sat Oct 16, 2010 10:58 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Re: TIPS

... just for humor's sake, does anyone have a tool that would allow us to see how a modified Permanent Portfolio that uses TIPS in place of gold - or 5-10% gold with the balance of the 25% being TIPS - would have performed since TIPS have existed? http://i55.tinypic.com/210nmnc.png Chart uses modified Simba spreadsheet from 1972 - 2009 HBPP is VTSMX, VUSTX, VFISX, Gold T100 is TIPS (Simulated TIPS*) instead of Gold T50 is half TIPS and half Gold G5 is 5% Gold G10 is 10% Gold The computed numbers (respectively) are: CAGR: HBPP 9.53% T100 8.58% T50 9.12% G5 8.81% G10 9.03% STDEV: 8.17% 6.62% 6.27% 6.18% 6.13% MAX DRAWDOWN %: 4.13% 6.69% 1.89% 2.28% 1.89% Interesting. I'm sure you've read some other posts that nonetheless say that TIPS are no...
by Paul Douglas Boyer
Tue Oct 12, 2010 12:40 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

MachineGhost wrote: I thought Browne advocated holding 3-5 high beta, high growth mutual funds for the Equity portion, akin to Coxon's original implementation for stocks. Did he change his tune?
Yes, he did change his tune. In his book Fail-Safe Investing, written in 1999, he did recommend 3 of the 8 funds he listed in an appendix. Later though on his radio show he recommended simply getting into a TSM or SP500. Easier, cheaper, widely available in 401K plans, etc.
by Paul Douglas Boyer
Tue Oct 12, 2010 12:37 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

You've admitted that Emerging Markets did their poorest during what was perhaps the greatest 6-year stretch of prosperity, ever. You can call it whatever you want, but please don't tell us that you are trying to maximize returns during "prosperity." You've simply found more risky equities that have done better over the past 38 years. No matter how you slice it, you're approach is simply speculating that foreign markets and currencies will beat domestic markets -- and the Dollar -- during good times and bad. You may very well be correct, but you're not really interested in having the most powerful asset that's directly tied to actual prosperity. It clearly wasn't a prosperous time for emerging markets. Yes, that was a more prosper...
by Paul Douglas Boyer
Tue Oct 12, 2010 10:33 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Would you mind showing us a chart of your PP versus the traditional PP from 1995-2000? I don't doubt that your PP has done better over the long term, but those were very prosperous years for everyone and I'd love to see how both PP's responded during a time of extreme prosperity. Sure, you show me 6 years and I'll show you 6 years. Here are yours: http://i51.tinypic.com/9tzb4m.png And here are mine: http://i56.tinypic.com/2q07tap.png Emerging markets did poorly during 1995 - 2000. It was their worst 6-year stretch during the 38 years from 1972-2009. They will do poorly some other 6 year time span in the future. Holding HBPP or PBPP would have been painful during your years while we listened to our neighbor make a killing. Also note that La...
by Paul Douglas Boyer
Tue Oct 12, 2010 8:51 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Honestly, I'm not sure there's enough data (compared with the S&P or Total Stock Market) to see how VBR (VISVX) and VBO (VEIEX) would actually do during a time of real prosperity. Looking at popular vanguard equity indexes from 1995 to today (see chart, below), it looks like VBR (VISVX) and VBO (VEIEX) missed out on the prosperity of the late 1990s. You would expect to see a real pop just before the internet bubble, but neither of those two funds responded amazingly during that time. So, I get the feeling that using VBR (VISVX) and VBO (VEIEX) are just chasing recent returns during the madness of the past 10 years. If you really wanted the most volatile and risky "prosperity" investment, wouldn't you technically look for the ...
by Paul Douglas Boyer
Sun Oct 10, 2010 6:03 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

What is the composition of your "Paul Boyer Permanent Portfolio"? MG Does anyone have PP YTD performance handy? I have been checking in monthly on the Lazy Portfolios. Here is the report from the end of September: http://madmoneymachine.com/2010/10/01/lazy-portfolios-thru-september-2010/ I simply substituted riskier stocks instead of Harry Browne's recommended total US stock market fund. 12.5% of the portfolio in Vanguard Small Cap Value (VBR) and 12.5% in Vanguard Emerging Market (VWO). It is my belief that just like having the longest safe bond to maximize returns during "Deflation," we should also have the riskiest "safe" equities in order to maximize returns during "Prosperity." Backtesting shows...
by Paul Douglas Boyer
Fri Oct 08, 2010 10:34 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

More broadly, I'm questioning whose figures are correct. The madmoneymachine graphic shows the classic Browne–style permanent portfolio outperforming the PRPFX mutual fund version for 2010 year–to–date. Yet your own computation (above, 10–07–10 @ 11:26p) is that the year–to–date Browne portfolio returned "about 11.5% after fixing my calculation," while Morningstar is currently showing the year–to–date performance of PRPFX (as of close of business on the same date, yesterday, 10–07–10) as 12.44%. The figure will have changed for anyone viewing the Morningstar data after today's closing PRPFX share price, but here's the link as of this mornng: http://quote.morningstar.com/fund/f.aspx?t=PRPFX So, contrary to the madmoneymachine grap...
by Paul Douglas Boyer
Fri Oct 08, 2010 7:15 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

MediumTex wrote:Does anyone have PP YTD performance handy?
I have been checking in monthly on the Lazy Portfolios. Here is the report from the end of September:
http://madmoneymachine.com/2010/10/01/l ... mber-2010/
by Paul Douglas Boyer
Wed Oct 06, 2010 3:52 pm
Forum: Investing - Theory, News & General
Topic: Small Bug in Returns Worksheets
Replies: 0
Views: 568

Small Bug in Returns Worksheets

this bug will probably not affect anyone. But here is the report of it anyway.
In worksheets Returns_72_09 and Returns_85_09
In column AQ which calculates Growth of 10000

The formula (for example in Row 7 here):

=IF(AND($A7>=SYear72,$A7<=EYear72),IF($A7=SYear72,$AQ$2,AQ6*(1+AM7%)),"")

should be replaced with

=IF(AND($A7>=SYear72,$A7<=EYear72),IF($A7=SYear72,(1+AM7%),AQ6*(1+AM7%)),"")

The error is that the first calculation is shown to be "1" instead of the actual growth. This could impact results if the first year were negative.

All successive rows should also be replaced in both worksheets.
by Paul Douglas Boyer
Wed Jun 09, 2010 2:30 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Re: PP Using Vanguard Funds?

Gumby wrote: ... smartmoney.com allows you to manually enter the dividends.
From what I can see, after entering the dividends the total return number and percentage displayed are correct, but the chart of the portfolio's percentage gain when compared against an index, say the S&P 500, is incorrect.
The chart of the portfolio by itself and in total value (not compared against an index and not as a percentage) appears correct.

Nonetheless, thanks for pointing me to this valuable tool.
by Paul Douglas Boyer
Wed Jun 09, 2010 11:31 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Re: PP Using Vanguard Funds?

Here, try this: Sign up for a free Smartmoney.com account Create a hypothetical Portfolio using their Portfolio Tracker Add a very large sum of hypothetical cash into the Portfolio Buy: 25% VTI, 25% GLD, 25% TLT, 25% SHY Now go to the Portfolio Tracker while the market is open. Using those four ETFs (that best approximate Harry Browne's recommendations) in your hypothetical portfolio will show you how the Permanent Portfolio performs in real time. You'll see just how rock-solid and stable the portfolio is even when the market is swinging around. It's absolutely fascinating to watch. One thing to note is that I do not believe that the tool automatically reinvests dividends. (Please tell me I'm wrong.) Instead it just plots the NAV of the ET...
by Paul Douglas Boyer
Fri May 28, 2010 12:56 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

cosmic wrote:
If these assumptions are all true, then it always makes sense to go all-in today. If you don't, then your cash portion that you don't invest will be expected to underperform by 2-4% plus or minus the real yield on t-bills. Since t-bills yield almost nothing right now, avoiding going all-in is losing you 2-4% + inflation per annum.
Always? Playing devil's advocate: What happens if inflation is -4%?
by Paul Douglas Boyer
Tue May 18, 2010 2:20 pm
Forum: Investing - Theory, News & General
Topic: Why Investors Should Resist the Gold Frenzy
Replies: 50
Views: 7858

Gold's price is not about GOLD, it's about the DOLLAR.

It is not a gold mania, it is a dollar crisis. (or Euro, or Pound, or Yen, or Yuan, or...)

Gold is not just a metal, it is money. Which money stored its value better over the long term, gold or dollars?
by Paul Douglas Boyer
Sat Apr 24, 2010 5:11 pm
Forum: Investing - Theory, News & General
Topic: iPad Cat Teaches Investing
Replies: 1
Views: 863

iPad Cat Teaches Investing

Wise words on investing from a Russian Blue:

http://www.youtube.com/watch?v=oVt-LdF2BTU
by Paul Douglas Boyer
Thu Apr 15, 2010 9:02 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Gumby wrote:In any case, I'm curious about how people view the differences between the Gold Maple Leafs, Krugerrands and Eagles. I'm not sure I see the point of the Maple Leafs if they are more pure and thus more easily damaged. Eagles and Krugerrands shouldn't be any less desirable since they all contain 1oz of gold.
I like Eagles and Krugs because they are the same size. I have a Fisch Instruments gold tester for Krugs and didn't realize until too late that Maples require a different test kit. Also, Eagles just seem to be more popular with us here in the good ol' USSA.
by Paul Douglas Boyer
Wed Apr 14, 2010 7:07 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Clive wrote: P1 Stocks
P2 PP
P3 50-50 blend of REIT and Bonds
P4 PP with REIT replacing cash
P5 50-50 blend of PP and a REIT/Bond blend.
Point 1: You used the PP with 25% in VMPXX (Money market). Try using 25% in VFISX (2-yr Treasuries) instead. That will work out to CAGR of 9.53% instead of 9.18%.

Point 2: I'd say the differences (10.8% vs. 9.5%) are statistically insignificant; especially since we cannot predict what will happen in the future. I think I will stick with Treasuries instead of REITs because I do not understand which economic cycle they are for exactly.
by Paul Douglas Boyer
Fri Apr 09, 2010 12:59 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

MediumTex wrote:One thing to remember is that the amount of capital in the world at any point in time is fixed.
I fully accept your point here, but I might suggest some modification to indicate that it is actually increasing. Otherwise the PP might have a CAGR of 0%.

But I like getting across to folks the concept that all of capital is in a large pool. Just own the whole pool and as they add water, we'll be nice and wet.
by Paul Douglas Boyer
Fri Apr 09, 2010 11:08 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Lbill wrote:As this graph shows, gold and treasuries have been going up together for the last decade.
I checked Simba's speadsheet and noticed that the correlation between GOLD/GLD and VUSTX (Long Bonds) was -0.23, not especially great. In fact, it shows that they moved somewhat oppositely. Perhaps just looking at the graphic of prices is misleading.

I'd also note that the author's interest would be in having people trade and thus be reliant upon his frequent advice.

And furthermore, adding stocks and cash into the whole portfolio means we don't worry about the individual components, even two at a time.
by Paul Douglas Boyer
Fri Apr 09, 2010 7:40 am
Forum: Investing - Theory, News & General
Topic: IFA Radio Interviews John Bogle, Now With YouTube Video
Replies: 4
Views: 1286

IFA Radio Interviews John Bogle, Now With YouTube Video

On behalf of IFA, I put together this video to go with the IFA Radio interview with John Bogle:

http://www.youtube.com/watch?v=ATcvhw_awlc

You can subscribe to the audio version of IFA Radio on iTunes by going to http://www.ifaradio.com/
by Paul Douglas Boyer
Wed Mar 31, 2010 5:53 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Clive wrote:It's all too easy to look for what has worked in the past and expect that to continue into the future
There is one thing that we can be pretty confident with, and that is that risk and return are correlated. So as the chart shows, if we take on more risk, then over the long term we should have a corresponding reward.

Of course we are talking only the market risk, not company risk. Company risk is not rewarded. But with Small Cap Value and Emerging Markets being riskier, we should expect more reward over the long term. And since this looked at a 37 year period, it is not surprising that we were right.
by Paul Douglas Boyer
Wed Mar 31, 2010 2:16 pm
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

I've been wondering how the data might look if Wellesley (VWINX) or Wellington (VWELX) was substituted in for the stock and bond components. The idea would be to create an alternative one-stop alternative to PRPFX for those of us who can't stand looking at the individual stock and bond pieces. (I have no problem with PRPFX; just feel uneasy putting all of my eggs in that one basket.) I was thinking of using this together with CEF. Would anyone who knows how to do this be willing to run the numbers? OK, from 1972 thru 2009, keeping Gold and 2-yr T-Bills (VFISX) and substituting out stocks and LT Bonds and adding either VWINX or VWELX: 50% VWINX, 25% VFISX, 25% Gold: CAGR: 9.74% StDev: 7.46% Sharpe: 0.57 -or- 50% VWELX, 25% VFISX, 25% Gold: ...
by Paul Douglas Boyer
Wed Mar 31, 2010 9:25 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

Permanent Portfolio to Perfect Portfolio?

Harry Browne’s Permanent Portfolio is so simple. Split your investments into equal parts stocks, bonds, cash, and gold. Is it too simple? Can it be improved yet remain simple? I used Simba’s spreadsheet (from Bogleheads.org) to back-test some alternatives from 1972 through 2009. First, the original portfolio: Stocks: VTSMX (Total US Stock Market) Bonds: VUSTX (Long-term Bond) Cash: VMPXX (Money Market) Gold (Kitco 1972-2004, GLD 2004-2009) yielded the following return vs. risk: P1 (Harry Browne's Permanent Portfolio): Compound Annual Growth Rate (CAGR): 9.1% Standard Deviation (Risk): 8.02% Sharpe Ratio: 0.46 Next, substitute 2-Year Short Term Treasuries (VFISX) instead of Money Market: P2 (P1 with 2-yr T-Bills): CAGR: 9.5% Standard Deviati...
by Paul Douglas Boyer
Mon Feb 22, 2010 7:14 am
Forum: Investing - Theory, News & General
Topic: Updated Modification of Harry Browne Permanent Portfolio
Replies: 3555
Views: 1463065

TIPS as Cash in Permanent Portfolio?

OK, we don't like TIPS for the Inflation protection asset. That's gold's role.

But how do we feel about TIPS serving as a portion of the CASH quarter of a Permanent Portfolio. (The Recession protection asset.) And preferably in a tax-advantaged account (IRA).

And in particular, ticker symbol TIP?
by Paul Douglas Boyer
Tue Jan 12, 2010 10:21 am
Forum: Investing - Theory, News & General
Topic: Is Gold a Good Hedge?
Replies: 51
Views: 8145

Here's what Bernstein wrote about gold: http://www.efficientfrontier.com/ef/adhoc/gold.htm I just read this and see that Bernstein is talking about Precious Metals Equities (PME). Would the results be different if he were talking about physical gold instead? I'd think that PME would be even riskier (as measured by annualized standard deviation) than gold. It would probably still be true that holding gold over the long term would have long periods of no returns or perhaps even negative returns. But we shouldn't look at an asset class in isolation because it is when we combine them with other assets that things get interesting. I've been trying to perform one such analysis at http://madmoneymachine.com/2010/01/12/longer-term-look-at-gold-in-...