Bogleheads.org

Paul Douglas Boyer

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/awrb77zcyjuwdw6/Backtest-Portfolio-returns-rev14b.xls?dl=0 And if so, are there any features tha...

Paul Douglas Boyer

I posted the updated spreadsheet.

Here's the forum post:

https://www.bogleheads.org/forum/viewtopic.php?f=10&t=2520&p=2340735#p2340735

Have Fun!

Paul Douglas Boyer

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... W...

Paul Douglas Boyer

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 c...

Paul Douglas Boyer

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 m to bring in data into Excel from Yahoo! Finance Historical Quotes (Adjusted for splits and dividends). (Oh and I built a spreadsheet to...

Paul Douglas Boyer

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 my...

Paul Douglas Boyer

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 ins...

Paul Douglas Boyer

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

http://www.npr.org/templates/archives/archive.php?thingId=127429648

Paul Douglas Boyer

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 ...

Paul Douglas Boyer

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...

Paul Douglas Boyer

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?

Paul Douglas Boyer

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 ar...

Paul Douglas Boyer

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. Harr...

Paul Douglas Boyer

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 Dra...

Paul Douglas Boyer

Updated with Real returns for PP and S&P 500

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.

Paul Douglas Boyer

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, in...

Paul Douglas Boyer

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 ge...

Paul Douglas Boyer

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...

Paul Douglas Boyer

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 d...

Paul Douglas Boyer

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 a...

Paul Douglas Boyer

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 an...

Paul Douglas Boyer

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 th...

Paul Douglas Boyer

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 w...

Paul Douglas Boyer

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 drawdow...

Paul Douglas Boyer

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 impr...

Paul Douglas Boyer

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.

Paul Douglas Boyer

... 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 modif...

Paul Douglas Boyer

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 i...

Paul Douglas Boyer

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...

Paul Douglas Boyer

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 ...

Paul Douglas Boyer

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...

Paul Douglas Boyer

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/ ...

Paul Douglas Boyer

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 re...

Paul Douglas Boyer

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/lazy-portfolios-thru-september-2010/

Paul Douglas Boyer

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%)),"") sh...

Paul Douglas Boyer

... 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 char...

Paul Douglas Boyer

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 Tr...

Paul Douglas Boyer

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 losin...

Paul Douglas Boyer

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?

Paul Douglas Boyer

Wise words on investing from a Russian Blue:

http://www.youtube.com/watch?v=oVt-LdF2BTU

Paul Douglas Boyer

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 ...

Paul Douglas Boyer

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...

Paul Douglas Boyer

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 ...

Paul Douglas Boyer

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 lookin...

Paul Douglas Boyer

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/

Paul Douglas Boyer

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 co...

Paul Douglas Boyer

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 h...

Paul Douglas Boyer

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 ...

Paul Douglas Boyer

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?

Paul Douglas Boyer

Here's what Bernstein wrote about gold: m 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) t...

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

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

Re: Interview with Rick Ferri

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Small Bug in Returns Worksheets

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iPad Cat Teaches Investing

IFA Radio Interviews John Bogle, Now With YouTube Video

Permanent Portfolio to Perfect Portfolio?

TIPS as Cash in Permanent Portfolio?