Lee_WSP wrote: ↑
Tue Nov 26, 2019 4:36 pm
RayKeynes wrote: ↑
Tue Nov 26, 2019 12:52 pm
No rebalancing done in my calculations. I can go back to 1929 if you wish with the backtesting.
Period (1955 - 2018, 10'000$ initial, 1'000$ monthly)
Portfolio 1 = 65% SPY (100%) + 35% UPRO (300%) = 170% leverage
Portfolio 2 = 50% SPY (100%) + 30% SSO (200%)+ 20% UPRO (300%) = 170% leverage
Portfolio 3 = 30% SPY (100%) + 70% SSO (200%) = 170% leverage
Portfolio 4 = 100% SPY (100%)
Portfolio 1 = 12.02m $
Portfolio 2 = 19.74m $
Portfolio 3 = 30.03m $
Portfolio 4 = 12.65m $
I was not able to replicate your results using the Siamond spreadsheet. Please post your dataset.
Total - Rebalanced
Portfolio 1: 13,095,339
Portfolio 3: 14,758,360
Portfolio 4: 4,661,186
Total - Not Rebalanced
Portfolio 1: 5,135,675
Portfolio 2: 6,114,577
Portfolio 3: 5,610,165
Portfolio 4: 4,661,186
Although both back tests indicate that SSO may be worth taking another look at.
I am still confuse about the following two things:
1) Why are the results from LEFT backtest (1955 - 2018) so much different than my results shown above (nominal values)?
Hence, could someone provide me with the daily data from this excel so I can compare them to mine?
2) Why does a rebalanced portfolio perform nearly factor 3-times stronger than a non-rebalanced portfolio? To me - this does not make any sense. Rebalanced portfolios can both perform better and worse - its just another risk-return-allocation of the portfolio and thus not lead by RULE to a better return. Is simply not possible to do "market timing". I understand the concept that you guys are explaining in selling in market hights and buying in market lows. HOWEVER, when you are rebalancing in a constantly growing market (like the bull market 2009 - 2019), a rebalanced portfolio would DEFINITELY perform WORSE than a non-rebalanced portfolio. I can say that without even doing the math.
3) I am using the SP500 price index for approximation to simulate UPRO and SSO back to 1929. Below a comparison of the yearly returns I have done between the two data sets. As can bee seen, my data is more conservative as it is based on the price index and not total index return; so why in the name of *** does the other excel deliver such poor performance when investing monthly?
edit: I've done a further plausibility check on the results you're calculator (SIAMOND) and my calculator produced. According to various sources, SP500 has returned a CAGR of 6.9% for the period from 01.01.1955 to 31.10.2019 (64.87 years or 23'679 days). I've then used the simple and straight-forward Compound Interest Calculator (which is mathematically correct) to estimate final portfolio value when investing 1'000$ on a monthly basis, see screenshot below:
SP500 (100%), 1'000$ monthly, 10'000$ initial
Result of plausibility check: 14.37m $
Result of my calculator: 14.31m $
Result of SIAMOND calculator (according to Lee_WSP): 4.66m $
Further, you are claiming that the end portfolio value of a rebalanced portfolio is more than 2.5x higher than the one of a non-rebalanced portfolio. Do you have further evidence? Otherwise, I'd call the myth busted.