All in one Funds / Risk Parity - That include gold? PRPFX alternatives

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Register44
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All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by Register44 »

Is there a list of funds that include gold or commodities?

Basically looking for any other Permanent Portfolio / Dalio All weather funds. PRPFX does a good job, but I would rather not invest in swiss francs, and its fees are a little high. PERM used to offer a low cost option, but it is no more.

RPAR - Looks like the closest option. Fees just over .5%

I know it is easy to replicate 4x25 PP with individual etfs, but for another purpose I wanted to see if there were any other funds all in one.

VPGDX - has a great expense ratio, but is a little light on bonds, and high on stocks.
000
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by 000 »

I'm not aware of any that have remotely reasonably expenses.

Due to the differing tax treatment of gold from stocks and many PP adherents probably wanting to spread things out among different fund families, it seems unlikely for many funds like this to exist.
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by nisiprius »

Register44 wrote: Sat Oct 17, 2020 5:42 pm...VPGDX - has a great expense ratio, but is a little light on bonds, and high on stocks...
:?: :?: :?: I don't see how this can be regarded as a PRPFX alternative.

It has no precious metals.

It does not use risk parity.

Since inception it's had a maximum drawdown of -37.83% compared to -19.13% for the Permanent Portfolio fund and -11.15% for the 4x25 Permanent Portfolio. In over a decade, it's only managed to accumulate $1.3 billion in assets. It has had a bumpy history, having gone through many changes in portfolio; a merging of the three original funds; and a discontinuation of the "managed payout" feature (that was its original reason for being) and adopted a new name.

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Let's compare it to three other Vanguard "retirement income" funds.

Despite all its quantitative sophistication, active management, and supposedly college-endowment-like strategy, it had by far the highest risk, measured by standard deviation or max drawdown. And yet it virtually tied with LifeStrategy Income for having had the lowest return. It had by far the lowest risk-adjusted return as measured by Sharpe ratio. Morningstar's risk-and-category-adjusted star ratings of past performance were two stars for VPGDX, four for LifeStrategy Income, four for Target Retirement Income, in five for Wellesley.

Source

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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by 000 »

nisiprius wrote: Sat Oct 17, 2020 6:20 pm [VPGDX] has no precious metals.
I thought it had a tiny sliver of precious metals via one of the underlying funds (Alternative Strategies? Commodity Strategy?), but I haven't paid much attention to the recent changes to this fund.

Anyway, I agree with you that it's not very similar to the HBPP (which is fully passive, no tactical allocation) or Risk Parity strategies.
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Register44
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by Register44 »

It does have a little bit of gold, but its hard to tell if it is through futures, shares, or what.

It comes through the 7.5% allocation to VCMDX,


Energy 25%
Grains 23%
Industrial Metals 17.50%
Livestock 5.3%
Precious Metals 21.6%
Softs 7%

So yeah it basically has a negligible allocation to gold. So its definitely not in the running at all. I guess I included it to show a .3% expense ratio is possible. We just need them to reallocate to more gold, more bonds, and less stocks.
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by NoRegret »

Register44 wrote: Sat Oct 17, 2020 5:42 pm Is there a list of funds that include gold or commodities?

Basically looking for any other Permanent Portfolio / Dalio All weather funds. PRPFX does a good job, but I would rather not invest in swiss francs, and its fees are a little high. PERM used to offer a low cost option, but it is no more.

RPAR - Looks like the closest option. Fees just over .5%

I know it is easy to replicate 4x25 PP with individual etfs, but for another purpose I wanted to see if there were any other funds all in one.

VPGDX - has a great expense ratio, but is a little light on bonds, and high on stocks.
RPAR fees not unreasonable considering you get some leverage through treasury futures. But still possible to replicate yourself.
Market timer targeting long term cycles -- aiming for several key decisions per asset class per decade
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by nisiprius »

000 wrote: Sat Oct 17, 2020 6:30 pm
nisiprius wrote: Sat Oct 17, 2020 6:20 pm [VPGDX] has no precious metals.
I thought it had a tiny sliver of precious metals via one of the underlying funds (Alternative Strategies? Commodity Strategy?), but I haven't paid much attention to the recent changes to this fund.

Anyway, I agree with you that it's not very similar to the HBPP (which is fully passive, no tactical allocation) or Risk Parity strategies.
I actually looked quickly at Alternative Strategies but I forgot to check Commodity Strategy.

Also, glancing at the last semiannual report, it does not appear that the Commodity Stategy fund actually holds any precious metal. All it holds is some "over-the-counter total return swaps" based on commodity indexes. I think. Can anyone make sense out of the semiannual report?

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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by 000 »

nisiprius wrote: Sat Oct 17, 2020 8:04 pm I actually looked quickly at Alternative Strategies but I forgot to check Commodity Strategy.

Also, glancing at the last semiannual report, it does not appear that the Commodity Stategy fund actually holds any precious metal. All it holds is some "over-the-counter total return swaps" based on commodity indexes. I think. Can anyone make sense out of the semiannual report?
I believe the fund invests almost entirely in derivatives for commodity exposure, i.e. it holds no bullion outright. I guess Vanguard wants to avoid the tax treatment of holding bullion outright. IMO using commodity derivatives as insurance for a failure of stocks and bonds is probably not a great idea. I guess it might do well under modest stagflation.
Last edited by 000 on Sat Oct 17, 2020 9:45 pm, edited 1 time in total.
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by Tyler9000 »

Register44 wrote: Sat Oct 17, 2020 5:42 pm Is there a list of funds that include gold or commodities?

Basically looking for any other Permanent Portfolio / Dalio All weather funds.
Finding a fund that includes gold is pretty rare. But if you're interested in the Browne/Dalio ideas, maybe think creatively about funds that would work well with a side of gold. For example, 80% VWIAX and 20% GLDM will have an expense ratio of a very reasonable 0.16% with an underlying portfolio of stocks, bonds, and gold that acts a lot like the Golden Butterfly but with only two funds to manage.

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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by Register44 »

Tyler9000 wrote: Sat Oct 17, 2020 9:22 pm
Register44 wrote: Sat Oct 17, 2020 5:42 pm Is there a list of funds that include gold or commodities?

Basically looking for any other Permanent Portfolio / Dalio All weather funds.
Finding a fund that includes gold is pretty rare. But if you're interested in the Browne/Dalio ideas, maybe think creatively about funds that would work well with a side of gold. For example, 80% VWIAX and 20% GLDM will have an expense ratio of a very reasonable 0.16% with an underlying portfolio of stocks, bonds, and gold that acts a lot like the Golden Butterfly but with only two funds to manage.

Image
Wow I just ran a backtest on PV comparing it to HB4x25 and it came out amazingly close, actually a little better.

https://www.portfoliovisualizer.com/bac ... tion6_2=80

The outperformance makes sense since this more closely aligns with your Golden Butterfly, which outperforms PP if I remember from previous backtesting.

Is there another good balanced fund with low expenses that also has international stocks? I ask because many people don't know but Browne actually supported their inclusion in the portfolio in his earlier book "Why the Best-Laid Investment Plans Usually Go Wrong: And How You Can Find Safety and Profit in an Uncertain World"

He had a short segment that said adding them might help a little bit, but probably isn't worth the effort. But that was before funds such as VT existed and fees were high.

Many strong PP followers are anti international stocks, because they only read the most recent book, "fail safe investing" I tend to believe he excluded them in this book for simplicity, not because he was afraid they would hurt performance.

edit: I just found VGWIX. I'm guessing that would be the global equivalent. Admiral a little cheaper: VGYAX
Also lifestyle too maybe VSCGX
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Re: All in one Funds / Risk Parity - That include gold? PRPFX alternatives

Post by Tyler9000 »

Register44 wrote: Sat Oct 17, 2020 10:15 pm Is there another good balanced fund with low expenses that also has international stocks?
...
edit: I just found VGWIX. I'm guessing that would be the global equivalent. Admiral a little cheaper: VGYAX
Yep -- that's exactly what I was going to recommend. I don't have data to model that one directly, but if it's run like the standard Wellesley I image it's a good fund that will accomplish your international goals.
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