Search found 129 matches
- Tue Jan 27, 2015 4:36 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
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/awrb77zcyjuwdw6/Backtest-Portfolio-returns-rev14b.xls?dl=0 And if so, are there any features tha...
- Mon Jan 19, 2015 5:08 pm
- Forum: Investing - Theory, News & General
- Topic: Backtesting spreadsheet simba
- Replies: 9
- Views: 1641
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!
Here's the forum post:
viewtopic.php?f=10&t=2520&p=2340735#p2340735
Have Fun!
- Mon Jan 19, 2015 5:04 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
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... W...
- Tue Feb 26, 2013 8:17 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
Re: Spreadsheet for backtesting (includes TrevH's data)
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...
- Fri Jan 27, 2012 4:46 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
Re: Spreadsheet for backtesting (includes TrevH's data)
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 a...
- Fri Jan 27, 2012 4:01 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
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 my...
- Mon Sep 19, 2011 7:22 pm
- Forum: Investing - Help with Personal Investments
- Topic: Permanent Portfolio PRPFX
- Replies: 30
- Views: 4474
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...
- Mon Nov 22, 2010 9:08 am
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
I liked this scientific explanation of why gold is money from NPR:
http://www.npr.org/templates/archives/a ... =127429648
http://www.npr.org/templates/archives/a ... =127429648
- Sat Nov 20, 2010 11:22 am
- Forum: Investing - Theory, News & General
- Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
- Replies: 607
- Views: 146335
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...
- Sat Nov 20, 2010 9:39 am
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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...
- Fri Nov 19, 2010 9:20 am
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
- Thu Nov 18, 2010 9:01 pm
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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...
- Thu Nov 18, 2010 7:15 pm
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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 tha...
- Thu Nov 18, 2010 3:50 pm
- Forum: Investing - Theory, News & General
- Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
- Replies: 607
- Views: 146335
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 ...
- Thu Nov 18, 2010 3:45 pm
- Forum: Investing - Theory, News & General
- Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
- Replies: 607
- Views: 146335
- Thu Nov 18, 2010 1:34 pm
- Forum: Investing - Theory, News & General
- Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
- Replies: 607
- Views: 146335
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...
- Wed Nov 17, 2010 8:59 pm
- Forum: Investing - Theory, News & General
- Topic: Harry Browne Permanent Portfolio Discussion (Cont'd)
- Replies: 607
- Views: 146335
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 sing...
- Mon Nov 08, 2010 4:08 pm
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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...
- Mon Nov 08, 2010 3:21 pm
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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...
- Mon Nov 08, 2010 9:10 am
- Forum: Investing - Theory, News & General
- Topic: Coffee House and Gold don't fit very well
- Replies: 8
- Views: 1800
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...
- Sun Nov 07, 2010 4:56 pm
- Forum: Investing - Theory, News & General
- Topic: "Rick Ferri's Take on Gold"
- Replies: 209
- Views: 27087
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. ...
- Wed Oct 27, 2010 10:26 pm
- Forum: Investing - Theory, News & General
- Topic: Simba's backtesting spreadsheet [a Bogleheads community project]
- Replies: 1106
- Views: 605317
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...
- Mon Oct 18, 2010 6:37 pm
- Forum: Investing - Theory, News & General
- Topic: Is there a Case for Long-Term Treasuries?
- Replies: 18
- Views: 2386
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...
- Mon Oct 18, 2010 6:04 pm
- Forum: Investing - Theory, News & General
- Topic: Permanent Portfolio Poll
- Replies: 222
- Views: 26083
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...
- Sat Oct 16, 2010 4:51 pm
- Forum: Investing - Theory, News & General
- Topic: SNIPPETS FROM BOGLEHEADS 9
- Replies: 117
- Views: 17965
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...
- Sat Oct 16, 2010 11:34 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
- Sat Oct 16, 2010 10:58 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 modif...
- Tue Oct 12, 2010 12:40 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Tue Oct 12, 2010 12:37 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Tue Oct 12, 2010 10:33 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 ...
- Tue Oct 12, 2010 8:51 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 (VE...
- Sun Oct 10, 2010 6:03 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 s...
- Fri Oct 08, 2010 10:34 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Fri Oct 08, 2010 7:15 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
I have been checking in monthly on the Lazy Portfolios. Here is the report from the end of September:MediumTex wrote:Does anyone have PP YTD performance handy?
http://madmoneymachine.com/2010/10/01/l ... mber-2010/
- Wed Oct 06, 2010 3:52 pm
- Forum: Investing - Theory, News & General
- Topic: Small Bug in Returns Worksheets
- Replies: 0
- Views: 395
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 re...
- Wed Jun 09, 2010 2:30 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
Re: PP Using Vanguard Funds?
... 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...
- Wed Jun 09, 2010 11:31 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 ETF...
- Fri May 28, 2010 12:56 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Tue May 18, 2010 2:20 pm
- Forum: Investing - Theory, News & General
- Topic: Why Investors Should Resist the Gold Frenzy
- Replies: 50
- Views: 6838
- Sat Apr 24, 2010 5:11 pm
- Forum: Investing - Theory, News & General
- Topic: iPad Cat Teaches Investing
- Replies: 1
- Views: 699
- Thu Apr 15, 2010 9:02 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 ...
- Wed Apr 14, 2010 7:07 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Fri Apr 09, 2010 12:59 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 ...
- Fri Apr 09, 2010 11:08 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- 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: 1100
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/
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/
- Wed Mar 31, 2010 5:53 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Wed Mar 31, 2010 2:16 pm
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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...
- Wed Mar 31, 2010 9:25 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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 ...
- Mon Feb 22, 2010 8:14 am
- Forum: Investing - Theory, News & General
- Topic: Updated Modification of Harry Browne Permanent Portfolio
- Replies: 3555
- Views: 1363918
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?
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?
- Tue Jan 12, 2010 11:21 am
- Forum: Investing - Theory, News & General
- Topic: Is Gold a Good Hedge?
- Replies: 51
- Views: 6906
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...