Thanks for the work. I think the concept of this idea is great, but has mentioned to have a fair analysis more data is needed. I am very tech handicapped so really am hoping folks out there will do the number crunching to come up with the LEVERAGED returns.samsdad wrote: ↑Fri Feb 08, 2019 7:48 amUsing Simba's backtesting spreadsheet, I get the following data for thestaythecourse wrote: ↑Thu Feb 07, 2019 6:10 pmWhat I really want to see is this analysis done on the data set from 1950-1970. That is more representative of what LIKELY will happen with interest rates going forward, i.e. starting low and slowly going up each and every year. Does ANYONE have the data for this period of time?

I love this concept, but just don't trust a data set where we know in RETROSPECT sp500 and LTT shot the lights out. Don't know where I read it, but think it was Dr. Bernstein in "TIAA" where he said the best diversifier to stocks from 1950-1970 was cash and not LTT. Makes sense as slowly increasing interest rates should have lower correlation with LTT. I am pretty sure I am not imagining that.

Either way I do love the idea. I still have not gotten an answer for stewardship issues if we have a 2008 scenario and the fund has HUGE outflows and gets shut down. Also, I love this idea if we were talking about it when the SP500 was NOT shooting out the lights.

Good luck.unleveragedportfolio of 40/60 S&P500 and LTT for the time periods of 1950-1970, 1960-1980, and 1987-2018:

Some thoughts:Code: Select all

`Initial Investment 10000 10000 10000 Starting Year for backtest 1950 1960 1987 Ending Year for backtest 1970 1980 2018 # of Years backtesting 21 21 32 Offset 79 89 116 Cycles Duration 30 30 30 MAR Benchmark Average nominal 3.10% 5.40% 3.20% WARNING: all metrics are derived from annual returns, therefore NOT taking in account intra-year events Time Period: varies 1950-70 '60-80 '87-18 Portfolio CAGR nominal 6.11% 5.07% 8.86% Portfolio CAGR real 3.50% -0.18% 6.10% Portfolio Avg Return nominal 6.30% 5.34% 9.21% Portfolio Alpha nominal -4.46% -2.70% 0.92% Standard Deviation nominal 6.62% 7.72% 8.90% Stdev (Portfolio - MAR) nominal 7.63% 8.34% 8.73% Downside SD vs. MAR nominal 3.03% 3.42% 1.37% Upside SD vs. MAR nominal 4.75% 3.20% 4.84% Max. Drawdown nominal 7.26% 12.69% 3.75% Ulcer Index nominal 1.62% 3.51% 0.98% Maximum Withdrawal Rate real 7.58% 5.59% 7.14% Perpetual Withdrawal Rate real 3.90% -0.21% 6.07% Sharpe Ratio nominal 0.42 -0.01 0.69 Sortino Ratio nominal 1.06 -0.03 4.4 Ulcer Perf. Ratio nominal 1.98 -0.03 6.13 Portfolio Beta nominal 1.22 1.2 0.86 US Mkt. Correlation nominal 0.82 0.83 0.64 Int'l Mkt. Correlation nominal N/A N/A 0.25 Total - Rebalanced nominal 34727 28276 151495 Total - Unbalanced nominal 57156 29450 137878 Total - Rebalanced real 20592 9633 66456`

1. I adjusted the time period from 1986 to 1987 in the '87-18 portfolio in column 3, because the TMF fund data provided by EfficientInvestor starts at June 1986 according to PV. To equalize everything, I started it in January 1987 here in Simba's spreadsheet. The CAGR of 8.86 here matches with a 40/60 VFINX (500) and VUSTX (LTT) portfolio in PV for that time period. https://www.portfoliovisualizer.com/bac ... tion2_1=60

2. Comparing the CAGRs of the 40/60 portfolio over those three time periods vs. 100% sp500 and 100% LTT:

3. Now the question becomes can we take the '50-70 unleveraged data and '60-80 unleveraged data above, and somehow match it to the leveraged data we have from '87-18 via some sort of ratio, even if somewhat imprecise? For example, we know that an unleveraged 40/60 portfolio from '87-18 returned 8.86% CAGR. Had it been leveraged, it would have returned 23.52%. So, can we say that during this time, the leveraged portfolio returned 2.65 times as much? (23.52/8.86=2.65)Code: Select all

`'50-70 '60-80 '87-18 40/60 6.11% 5.07% 8.86% 100% S&P 500 12.76% 7.70% 9.87% 100% LTT 0.98% 2.69% 7.26%`

If so, can we then extrapolate (or some other word, it's early in the morning), that 2.65 multiplier for the other time periods? So, for the '50-70 data, the unleveraged CAGR of 6.11% would have been 16.22% had it been leveraged? Or the '60-80 unleveraged CAGR of 5.07%--might it have been 13.46% had it been leveraged? Probably not. But someone should be able to come up with an estimate that takes into account such things as the difference in standard deviation, etc. in the data above.

Note that older data for LTT is given only in annual terms, and PV apparently requires at a minimum, monthly returns to come up with a benchmark it'll recognize.

Good luck.