madsinger monthly report

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madsinger
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madsinger monthly report

Post by madsinger »

Here is a big fat collection of portfolios, with their December 2010 returns, 2010 YTD return, and annualized returns since 1999, 2001, 2005 and 2007 (12 years, 10 years, 6 years, 4 years). I broke them into four categories, roughly corresponding to 100/0, 80/20, 60/40, 40/60 stock/bond portfolios, sorted by Total Return since 2001. The 3 fund is 50/30/20 Total Stock/Total Int'l/Total Bond. The s&d is 10 each of VFINX, VIVAX, NAESX, VISVX, VGSIX, 25 VGTSX, 5 VINEX, 20 VBMFX. The coffeehouse is a 60/40 described at The Coffeehouse Investor. The Newsletter portfolios are from a newsletter following Vanguard funds. William Bernstein's "Sheltered Sam" is an all stock portfolio which is 20% VFINX, 25% VIVAX, 5% NAESX, 15% VISVX, 10% VGSIX, 3% VGPMX, 5% each VEURX, VPACX, VEIEX, and 7% VTRIX. The madsinger portfolio is my real-world portfolio, roughly 62/5/3/30 stock/REIT/PM/bond.

-Brad.

Code: Select all

                                   CAGR    CAGR    CAGR    CAGR
                  Dec     YTD      since   since   since   since
                  2010    2010     2007    2005    2001    1999
Hot Hands         9.31%   20.20%  -5.36%   3.92%   9.42%  11.62%
Sheltered Sam     7.37%   18.10%  -0.27%   5.07%   5.94%   6.51%
VFINX             6.66%   14.91%  -0.89%   2.63%   1.31%   1.91%
                  
s&d               5.81%   16.19%   1.69%   5.74%   6.45%   6.99%
Newsletter G-IND  5.88%   18.80%   1.35%   5.41%   5.09%   4.43%
Newsletter G      6.03%   14.30%   1.01%   5.42%   4.90%   8.45%
3 fund            5.65%   13.17%   1.92%   5.27%   4.47%   4.66%
LS G              5.71%   15.06%   0.35%   3.91%   3.40%   3.72%
                  
coffeehouse       3.87%   14.68%   3.09%   5.53%   6.45%   6.67%
Wellington        4.61%   10.94%   3.36%   5.79%   6.20%   6.39%
STAR              4.23%   11.70%   2.72%   4.94%   5.18%   5.81%
Newsletter CG     4.77%   12.00%   1.05%   4.65%   4.44%   6.40%
LS MG             3.98%   13.31%   1.85%   4.31%   4.09%   4.31%
                  
Wellesley         1.54%   10.65%   5.15%   5.86%   6.44%   6.28%
LS CG             2.50%   11.14%   2.88%   4.39%   4.42%   4.59%
Newsletter Inc    2.77%   11.20%   1.66%   3.85%   4.34%   4.11%
                  
madsinger         5.26%   17.15%   2.72%   5.98%      
Last edited by madsinger on Mon Jan 03, 2011 6:08 pm, edited 1 time in total.
livesoft
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Post by livesoft »

Thanks again for posting. Quick question: Bill S, reports coffeehouse at 15.86% which is 1% more than the number in your table. What gives?
http://www.coffeehouseinvestor.com/the- ... e-returns/
Last edited by livesoft on Mon Jan 03, 2011 11:16 am, edited 1 time in total.
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Post by madsinger »

I'll post more thorough, pity commentary after I get the Newsletter returns and can enter them into the chart.

A few observations:

Every portfolio listed had double digit returns for 2010.

Hot Hands did very well at the end of the year to post very good returns for 2010.

<gloat>

(...and...before the Newsletter returns are available....) the madsinger portfolio has the highest 6 year return of all portfolios listed! You can expect my newsletter to come out any day now!

</gloat>

More seriously, my portfolio probably picked up some "extra return" by doing some "mid year" rebalancing in the past few years. This year alone, I was a seller of stocks in April, a buyer of stocks in September, and a seller at the end of the year. None of this was due to hunches or emotional "trading", but rather simply rebalancing when my portfolio hit its bands. Although this rebalancing plan was driven by "risk control", I think the large swings of the market in the last few years has also resulted in extra return as well.

I hope you are all happy with your 2010 portfolio returns, and have found your correct allocations for your life situation for 2011!

-Brad.
bschultheis
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Post by bschultheis »

Thanks Brad for producing those numbers.


Lifesoft - I corrected my post - for 8 years in my weekly column I had used interm. bond fund, but Brad uses Total, so am using total as well.

Thanks for catching that.

Bill
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Post by madsinger »

livesoft wrote:Thanks again for posting. Quick question: Bill S, reports coffeehouse at 15.86% which is 1% more than the number in your table. What gives?
http://www.coffeehouseinvestor.com/the- ... e-returns/
Wow! I don't know! I'll check with Bill and try and figure out why we differ by so much.

Thanks for pointing this out.

-Brad.
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madsinger
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Post by madsinger »

bschultheis wrote:Thanks Brad for producing those numbers.

Lifesoft - I corrected my post - for 8 years in my weekly column I had used interm. bond fund, but Brad uses Total, so am using total as well.

Thanks for catching that.

Bill
I guess the "checking" will be done online for all to see!

The Total Bond Fund returned 6.42% last year, while the Intermediate Bond Index returned 9.37% (..and why is that???). Depending on which fund you chose, this would make a pretty big difference (over 1%) for the year.

However, for the whole portfolio, over the past 5, 10 or 20 years, this difference is probably a pretty small number!

-Brad.
livesoft
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Post by livesoft »

Thanks for the explanation. :)
I use both of your portfolios/info among my benchmarks. Thanks for posting.

Perhaps another number to calculate is the return of the just the equity portion of each portfolio. That might allow some comparison to the 100% stocks portfolios in the top section.
gkaplan
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Location: Portland, Oregon

Post by gkaplan »

As of 12/31/2010, my one year rate of return is 15.66%. My three-year rate of return is 7.89%. My five-year return is 33.78%.

Unlike previous reports, I am not citing best performing fund figures, because I converted most of my Vanguard Investor shares to Vanguard Admiral shares in October of this year; consequently, my returns might be misleading. (I did convert my Value Index fund a little over eighteen months ago. My Small-Cap Index fund, which I have held over ten years, has no Admiral share class. My FTSE All-World ex-US Small-Cap Index Fund, which I have held eighteen months, also has no Admiral Share class.) In any case, my best performing fund for the year, without citing any figures or share class, was the Vanguard REIT Index Fund.

My worst performing fund for the year was my TSP ‘G’ Fund. My one-year and three-year returns, respectively, were 2.80% and 9.65%.

My retirement portfolio currently is divided among the following two investment vehicles:

71.02%: Vanguard Roth IRA (1-Year 20.08%, 3-year, 11.99%, and
5-year returns 41.54%, respectively).

28.98%: Thrift Savings Plan (1-Year 2.80%, and 3-year returns 9.65%, respectively).

Target allocation for my retirement portfolio is 72/28 Equity/Fixed Income. Specifically, my target allocations are as follows:

12%: Domestic Large-Cap Value
12%: Domestic Small-Cap Value
12%: Domestic REIT
6%: Foreign Markets Large – Developed – Europe
6%: Foreign Markets Large – Developed – Pacific
12%: Foreign Markets Small – Developed and Emerging
12%: Foreign Markets Large – Emerging
28%: Fixed Income

As of 12/31/2010, my equity/fixed Income allocation is split 71/29. Specifically, my current allocations (as of 12/31/2010) are as follows.

11.33%: Domestic Large-Cap Value (VIVAX)
11.20%: Domestic Small-Cap Value (VISVX)
11.88%: Domestic REIT (VGSLX)
5.84%: Foreign Markets Large – Developed – Europe (VEURX)
5.83%: Foreign Markets Large – Developed – Pacific (VPACX)
12.58%: Foreign Markets Small – Developed and Emerging (VSFVX)
12.35%: Foreign Markets Large – Emerging (VEMAX)
28.98%: Fixed Income (TSP G Fund)

(Totals do not add to 100% because of rounding.)


Submitted for your approval.

(Edited one time to change 12/31/2010 allocation from 70/30 to 71/29.)
Last edited by gkaplan on Mon Jan 03, 2011 6:50 pm, edited 1 time in total.
Gordon
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madsinger
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Post by madsinger »

The newsletter returns are now included in the chart.

Another observation:

The best performing portfolio (in these charts) in the 80/20, 60/40, and 40/60 categories all had the same return over the past 10 years! Of course, you would have had to know which would be the best, but....

-Brad.
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BobSail
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Post by BobSail »

The highlight of the end of every month and you never disappoint. Thanks Brad and also for setting BillS straight! I finally built my own model to create all these porfolios and some other favorites thanks to you showing the way.

Thanks.
Robert | 50% Fixed Income/30% US Equity/20% Int'l Equity
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paulob
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Post by paulob »

Hi Brad,
Thanks so much for updating us with the benchmark info. I do have a suggestion, and based on the time I'm sure that it takes to update us monthly, it is simply that, a suggestion.

During the year, the return time period is in years and months which works fine. At year-end, when the time periods are only measured in years, would it be possible in future years to include the typical time frames (e.g. already reported the 10 year period this year, but change the 6 to five years and the 4 to three years). This would better match up with other portfolio stats. E.G. Lazy Portfolio reports 1,3,5 and 10 and one could compare the Target Retirement fund in their 401-k to the 3 and 5 year periods, but not the 4 and 6.

Just a thought, again thanks for the valuable info.
Paul
AQ
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Post by AQ »

Thanks a lot. Very useful benchmarks indeed..

Does everyone else know what 'Hot Hands' is? I mean the specific fund each period? My curiosity is if that is not the case, what is th point to list it as a benchmark?
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Post by madsinger »

paulob wrote:Hi Brad,
Thanks so much for updating us with the benchmark info. I do have a suggestion, and based on the time I'm sure that it takes to update us monthly, it is simply that, a suggestion.

During the year, the return time period is in years and months which works fine. At year-end, when the time periods are only measured in years, would it be possible in future years to include the typical time frames (e.g. already reported the 10 year period this year, but change the 6 to five years and the 4 to three years). This would better match up with other portfolio stats. E.G. Lazy Portfolio reports 1,3,5 and 10 and one could compare the Target Retirement fund in their 401-k to the 3 and 5 year periods, but not the 4 and 6.

Just a thought, again thanks for the valuable info.
Hi paulob,

I will post more data tomorrow. I'll have 1, 3, 5 year numbers (well...I guess I already have 1 year, but I'll put 3 and 5 up). I think I may have monthly returns for the past five years of posting these, so I can probably start posting 36 and 60 month (i.e. rolling 3 and 5 year) returns. Before this, I only had year end values, so that's why my portfolios show returns for 3 year 5 month, 5 year 5 month, etc. I'll look into this for 2011 reports.

-Brad.
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Post by madsinger »

AQ wrote:Thanks a lot. Very useful benchmarks indeed..

Does everyone else know what 'Hot Hands' is? I mean the specific fund each period? My curiosity is if that is not the case, what is th point to list it as a benchmark?
Hi AQ,

I will post the list of Hot Hands funds tomorrow (when I get back to work where my list is conveniently located). The reason this is here at all is because when I first started posting these reports, someone had posted Hot Hand returns, and I wanted to keep tracking them going forward. It has been a good long term performer (although not really a "portfolio"), but it has lagged over the past 5 years or so.

-Brad.
re@51.5
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Post by re@51.5 »

As an early retiree, I am more interested in the downside risk.

Is there any chance to also post the Sortino ratio?

"The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target, or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. It is thus a measure of risk-adjusted returns that treats risk more realistically than the Sharpe ratio."

below a user-specified target, simba's spreadsheet has these values:
MAR Nominal 5%
MAR Real 2%

Mike
As Merton Miller, a Nobel laureate at the University of Chicago, puts it, "I'll never understand why they call bonds 'fixed' income."
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Post by madsinger »

AQ wrote:Thanks a lot. Very useful benchmarks indeed..

Does everyone else know what 'Hot Hands' is? I mean the specific fund each period? My curiosity is if that is not the case, what is th point to list it as a benchmark?
The "Hot Hands Portfolio" is not a "portfolio", but rather a single fund that is held for one year. The fund is chosen as the Vanguard "diversified" fund that had the highest return the year before. According to a newsletter writer, through backtesting, this had been shown to outperform the S&P 500 over many years. I stick it in these charts so we can all see how this approach works.

These are the funds that have been used to track this over the years.

1999 Growth Index
2000 Cap Opp
2001 Small Cap Value
2002 Selected Value
2003 Global Equity
2004 Int'l Explorer
2005 Int'l Explorer
2006 Int'l Explorer
2007 Int'l Explorer
2008 Growth Equity
2009 Dividend Growth
2010 Capital Value

I haven't really taken a look to see what the 2011 fund "should" be.

-Brad.
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Post by madsinger »

Three big charts!

The first is the annual returns for each portfolio, shown by year:

Code: Select all

                   2010    2009     2008    2007    2006    2005    2004    2003     2002    2001     2000    1999

Hot Hands         20.20%  21.74%  -47.86%   5.15%  30.30%  20.50%  31.80%  44.50%   -9.80%  13.70%   18.00%  28.80%
Sheltered Sam     18.10%  30.62%  -37.91%   3.30%  22.53%  10.96%  18.49%  36.64%  -14.08%  -4.84%    1.67%  17.76%
VFINX             14.91%  26.49%  -37.02%   5.39%  15.64%   4.77%  10.74%  28.50%  -22.15% -12.02%   -9.06%  21.07%

s&d               16.19%  26.94%  -30.16%   3.83%  19.81%   9.12%  17.67%  31.67%  -10.17%  -3.95%    2.50%  17.45%
Newsletter G-IND  18.80%  33.20%  -40.30%  11.70%  16.00%  12.10%  15.10%  28.20%  -16.90%  -2.40%  -15.60%  21.40%
Newsletter G      14.30%  34.40%  -38.40%  10.00%  18.40%  11.40%  15.70%  32.00%  -17.80%  -6.40%   20.40%  36.30%
3 fund            13.17%  26.56%  -30.74%   8.79%  16.60%   8.14%  13.36%  28.57%  -13.35%  -9.84%   -7.69%  20.73%
LS G              15.06%  24.99%  -34.39%   7.46%  16.13%   6.88%  12.58%  28.52%  -15.84%  -8.86%   -5.44%  17.32%

coffeehouse       14.68%  20.26%  -20.21%   2.63%  15.15%   6.24%  13.80%  23.54%   -5.56%   1.88%    7.25%   8.30%
Wellington        10.94%  22.20%  -22.30%   8.34%  14.97%   6.82%  11.17%  20.75%   -6.90%   4.19%   10.40%   4.41%
STAR              11.70%  24.85%  -25.10%   6.58%  11.64%   7.44%  11.60%  22.70%   -9.87%   0.50%   10.96%   7.13%
Newsletter CG     12.00%  29.10%  -33.60%   8.60%  15.80%   8.80%  13.00%  28.90%  -16.40%  -3.50%   14.00%  19.70%
LS MG             13.31%  20.33%  -26.50%   7.36%  13.31%   5.69%  10.57%  22.40%  -10.32%  -4.48%   -0.88%  12.01%

Wellesley         10.65%  16.02%   -9.84%   5.61%  11.28%   3.48%   7.57%   9.66%    4.64%   7.39%   16.17%  -4.14%
LS CG             11.14%  17.06%  -19.52%   6.99%  10.62%   4.45%   8.02%  16.57%   -5.37%  -0.08%    3.12%   7.86%
Newsletter Inc    11.20%  21.90%  -24.10%   3.80%  10.60%   6.20%   8.40%  19.10%   -4.50%  -1.10%   -3.50%   9.90%

madsinger         17.15%  26.90%  -28.85%   5.27%  16.66%   9.09%            
The second is a annualized return (e.g. 3 CAGR is the annualized return over the past 3 years...)

Code: Select all

                  1 CAGR  2 CAGR  3 CAGR  4 CAGR  5 CAGR  6 CAGR  7 CAGR  8 CAGR  9 CAGR 10 CAGR 11 CAGR 12 CAGR

Hot Hands         20.20%  20.97%  -8.62%  -5.36%   0.89%   3.92%  7.51%  11.56%   8.96%   9.42%  10.17%  11.62%
Sheltered Sam     18.10%  24.20%  -1.43%  -0.27%   3.93%   5.07%  6.89%  10.22%   7.21%   5.94%   5.54%   6.51%
VFINX             14.91%  20.56%  -2.90%  -0.89%   2.21%   2.63%  3.76%   6.57%   2.91%   1.31%   0.32%   1.91%

s&d               16.19%  21.45%   0.99%   1.69%   5.08%   5.74%  7.37%  10.14%   7.68%   6.45%   6.09%   6.99%
Newsletter G-IND  18.80%  25.79%  -1.88%   1.35%   4.13%   5.41%  6.75%   9.22%   5.95%   5.09%   3.01%   4.43%
Newsletter G      14.30%  23.94%  -1.82%   1.01%   4.27%   5.42%  6.83%   9.70%   6.24%   4.90%   6.22%   8.45%
3 fund            13.17%  19.67%  -0.27%   1.92%   4.70%   5.27%  6.39%   8.93%   6.20%   4.47%   3.31%   4.66%
LS G              15.06%  19.92%  -1.92%   0.35%   3.32%   3.91%  5.10%   7.78%   4.86%   3.40%   2.56%   3.72%

coffeehouse       14.68%  17.44%   3.24%   3.09%   5.40%   5.53%  6.68%   8.65%   6.97%   6.45%   6.53%   6.67%
Wellington        10.94%  16.43%   1.75%   3.36%   5.58%   5.79%  6.54%   8.22%   6.43%   6.20%   6.58%   6.39%
STAR              11.70%  18.09%   1.46%   2.72%   4.44%   4.94%  5.86%   7.84%   5.71%   5.18%   5.69%   5.81%
Newsletter CG     12.00%  20.25%  -1.35%   1.05%   3.84%   4.65%  5.81%   8.45%   5.36%   4.44%   5.27%   6.40%
LS MG             13.31%  16.77%   0.07%   1.85%   4.04%   4.31%  5.19%   7.20%   5.09%   4.09%   3.63%   4.31%

Wellesley         10.65%  13.30%   4.99%   5.15%   6.35%   5.86%  6.11%   6.54%   6.33%   6.44%   7.29%   6.28%
LS CG             11.14%  14.06%   1.54%   2.88%   4.38%   4.39%  4.90%   6.30%   4.93%   4.42%   4.30%   4.59%
Newsletter Inc    11.20%  16.43%   0.95%   1.66%   3.39%   3.85%  4.49%   6.21%   4.96%   4.34%   3.60%   4.11%

madsinger         17.15%  21.93%   1.89%   2.72%   5.37%   5.98% 
And, finally, the cumulative returns. (e.g. 10 year is the cumulative returns over the past 10 years).

Code: Select all

                  1 year  2 year  3 year  4 year  5 year  6 year  7 year   8 year   9 year  10 year  11 year  12 year

Hot Hands         20.20%  46.33% -23.70% -19.77%   4.54%  25.96%  66.02%  139.90%  116.39%  146.04%  190.32%  273.94%
Sheltered Sam     18.10%  54.27%  -4.22%  -1.06%  21.23%  34.52%  59.39%  117.79%   87.12%   78.07%   81.05%  113.22%
VFINX             14.91%  45.35%  -8.46%  -3.52%  11.56%  16.89%  29.44%   66.33%   29.49%   13.92%    3.60%   25.43%

s&d               16.19%  47.49%   3.01%   6.95%  28.14%  39.81%  64.52%  116.62%   94.60%   86.91%   91.58%  125.02%
Newsletter G-IND  18.80%  58.24%  -5.53%   5.52%  22.41%  37.22%  57.94%  102.48%   68.26%   64.22%   38.60%   68.26%
Newsletter G      14.30%  53.62%  -5.37%   4.09%  23.25%  37.30%  58.85%  109.68%   72.36%   61.33%   94.24%  164.75%
3 fund            13.17%  43.22%  -0.81%   7.91%  25.82%  36.06%  54.24%   98.31%   71.83%   54.91%   43.00%   72.64%
LS G              15.06%  43.81%  -5.64%   1.39%  17.75%  25.85%  41.68%   82.09%   53.25%   39.67%   32.07%   54.95%

coffeehouse       14.68%  37.91%  10.05%  12.94%  30.05%  38.16%  57.23%   94.25%   83.45%   86.90%  100.46%  117.09%
Wellington        10.94%  35.57%   5.34%  14.12%  31.21%  40.15%  55.81%   88.14%   75.16%   82.50%  101.48%  110.36%
STAR              11.70%  39.46%   4.45%  11.33%  24.29%  33.53%  49.02%   82.85%   64.80%   65.63%   83.78%   96.88%
Newsletter CG     12.00%  44.59%  -3.99%   4.27%  20.74%  31.36%  48.44%   91.34%   59.96%   54.36%   75.97%  110.64%
LS MG             13.31%  36.35%   0.21%   7.59%  21.91%  28.85%  42.47%   74.38%   56.38%   49.38%   48.06%   65.84%

Wellesley         10.65%  28.38%  15.74%  22.24%  36.03%  40.76%  51.41%   66.04%   73.75%   86.59%  116.76%  107.78%
LS CG             11.14%  30.10%   4.70%  12.02%  23.92%  29.44%  39.82%   62.98%   54.23%   54.11%   58.92%   71.41%
Newsletter Inc    11.20%  35.55%   2.88%   6.79%  18.11%  25.44%  35.97%   61.95%   54.66%   52.96%   47.60%   62.22%

madsinger         17.15%  48.66%   5.77%  11.35%  29.90%  41.71%            
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madsinger
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Post by madsinger »

re@51.5 wrote:As an early retiree, I am more interested in the downside risk.

Is there any chance to also post the Sortino ratio?

Mike
Hi Mike,

I understand your interest in downside risk. However, I am no fan of the Sharpe ratio of the Sortino ratio, or any other measure that uses "past returns", standard deviations, etc. to measure "risk". It is my opinion that these metrics are not an accurate measure of "downside risk", and have very little predictive value.

For example, ultra short bond funds touted their minuscule standard deviations and "predictable returns" as an alternative to cash and money market funds. In 2007, the "real risk" (not SD metrics) showed up and these ultra safe investments had double digit losses:

http://quote.morningstar.com/fund/chart ... ture=en-US

I'm sure out of the thousands of mutual funds out there, there is a stock fund with very small standard deviations that is really no less risky than the market, by luck (and not risk management) has a very impressive Sortino ratio. I would not use this as a measure of "real" downside risk.

-Brad.
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Post by re@51.5 »

madsinger wrote:I understand your interest in downside risk. However, I am no fan of ... and have very little predictive value.
OK

http://quote.morningstar.com/fund/chart ... ture=en-US :shock: :cry:

THANKS,
Mike
As Merton Miller, a Nobel laureate at the University of Chicago, puts it, "I'll never understand why they call bonds 'fixed' income."
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madsinger
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Post by madsinger »

Here are the charts....divided into two parts so they won't be so wide!

Code: Select all

                   2010    2009     2008    2007    2006    2005  

Hot Hands         20.20%  21.74%  -47.86%   5.15%  30.30%  20.50%
Sheltered Sam     18.10%  30.62%  -37.91%   3.30%  22.53%  10.96%
VFINX             14.91%  26.49%  -37.02%   5.39%  15.64%   4.77%

s&d               16.19%  26.94%  -30.16%   3.83%  19.81%   9.12%
Newsletter G-IND  18.80%  33.20%  -40.30%  11.70%  16.00%  12.10%
Newsletter G      14.30%  34.40%  -38.40%  10.00%  18.40%  11.40%
3 fund            13.17%  26.56%  -30.74%   8.79%  16.60%   8.14%
LS G              15.06%  24.99%  -34.39%   7.46%  16.13%   6.88%

coffeehouse       14.68%  20.26%  -20.21%   2.63%  15.15%   6.24%
Wellington        10.94%  22.20%  -22.30%   8.34%  14.97%   6.82%
STAR              11.70%  24.85%  -25.10%   6.58%  11.64%   7.44%
Newsletter CG     12.00%  29.10%  -33.60%   8.60%  15.80%   8.80%
LS MG             13.31%  20.33%  -26.50%   7.36%  13.31%   5.69%

Wellesley         10.65%  16.02%   -9.84%   5.61%  11.28%   3.48%
LS CG             11.14%  17.06%  -19.52%   6.99%  10.62%   4.45%
Newsletter Inc    11.20%  21.90%  -24.10%   3.80%  10.60%   6.20%

madsinger         17.15%  26.90%  -28.85%   5.27%  16.66%   9.09%            


                   2004    2003     2002    2001     2000    1999

Hot Hands         31.80%  44.50%   -9.80%  13.70%   18.00%  28.80%
Sheltered Sam     18.49%  36.64%  -14.08%  -4.84%    1.67%  17.76%
VFINX             10.74%  28.50%  -22.15% -12.02%   -9.06%  21.07%

s&d               17.67%  31.67%  -10.17%  -3.95%    2.50%  17.45%
Newsletter G-IND  15.10%  28.20%  -16.90%  -2.40%  -15.60%  21.40%
Newsletter G      15.70%  32.00%  -17.80%  -6.40%   20.40%  36.30%
3 fund            13.36%  28.57%  -13.35%  -9.84%   -7.69%  20.73%
LS G              12.58%  28.52%  -15.84%  -8.86%   -5.44%  17.32%

coffeehouse       13.80%  23.54%   -5.56%   1.88%    7.25%   8.30%
Wellington        11.17%  20.75%   -6.90%   4.19%   10.40%   4.41%
STAR              11.60%  22.70%   -9.87%   0.50%   10.96%   7.13%
Newsletter CG     13.00%  28.90%  -16.40%  -3.50%   14.00%  19.70%
LS MG             10.57%  22.40%  -10.32%  -4.48%   -0.88%  12.01%

Wellesley          7.57%   9.66%    4.64%   7.39%   16.17%  -4.14%
LS CG              8.02%  16.57%   -5.37%  -0.08%    3.12%   7.86%
Newsletter Inc     8.40%  19.10%   -4.50%  -1.10%   -3.50%   9.90%



                  1 CAGR  2 CAGR  3 CAGR  4 CAGR  5 CAGR  6 CAGR  

Hot Hands         20.20%  20.97%  -8.62%  -5.36%   0.89%   3.92% 
Sheltered Sam     18.10%  24.20%  -1.43%  -0.27%   3.93%   5.07% 
VFINX             14.91%  20.56%  -2.90%  -0.89%   2.21%   2.63% 

s&d               16.19%  21.45%   0.99%   1.69%   5.08%   5.74% 
Newsletter G-IND  18.80%  25.79%  -1.88%   1.35%   4.13%   5.41% 
Newsletter G      14.30%  23.94%  -1.82%   1.01%   4.27%   5.42% 
3 fund            13.17%  19.67%  -0.27%   1.92%   4.70%   5.27% 
LS G              15.06%  19.92%  -1.92%   0.35%   3.32%   3.91% 

coffeehouse       14.68%  17.44%   3.24%   3.09%   5.40%   5.53% 
Wellington        10.94%  16.43%   1.75%   3.36%   5.58%   5.79% 
STAR              11.70%  18.09%   1.46%   2.72%   4.44%   4.94% 
Newsletter CG     12.00%  20.25%  -1.35%   1.05%   3.84%   4.65% 
LS MG             13.31%  16.77%   0.07%   1.85%   4.04%   4.31% 

Wellesley         10.65%  13.30%   4.99%   5.15%   6.35%   5.86% 
LS CG             11.14%  14.06%   1.54%   2.88%   4.38%   4.39% 
Newsletter Inc    11.20%  16.43%   0.95%   1.66%   3.39%   3.85% 

madsinger         17.15%  21.93%   1.89%   2.72%   5.37%   5.98% 


                  7 CAGR  8 CAGR  9 CAGR 10 CAGR 11 CAGR 12 CAGR

Hot Hands          7.51%  11.56%   8.96%   9.42%  10.17%  11.62%
Sheltered Sam      6.89%  10.22%   7.21%   5.94%   5.54%   6.51%
VFINX              3.76%   6.57%   2.91%   1.31%   0.32%   1.91%

s&d                7.37%  10.14%   7.68%   6.45%   6.09%   6.99%
Newsletter G-IND   6.75%   9.22%   5.95%   5.09%   3.01%   4.43%
Newsletter G       6.83%   9.70%   6.24%   4.90%   6.22%   8.45%
3 fund             6.39%   8.93%   6.20%   4.47%   3.31%   4.66%
LS G               5.10%   7.78%   4.86%   3.40%   2.56%   3.72%

coffeehouse        6.68%   8.65%   6.97%   6.45%   6.53%   6.67%
Wellington         6.54%   8.22%   6.43%   6.20%   6.58%   6.39%
STAR               5.86%   7.84%   5.71%   5.18%   5.69%   5.81%
Newsletter CG      5.81%   8.45%   5.36%   4.44%   5.27%   6.40%
LS MG              5.19%   7.20%   5.09%   4.09%   3.63%   4.31%

Wellesley          6.11%   6.54%   6.33%   6.44%   7.29%   6.28%
LS CG              4.90%   6.30%   4.93%   4.42%   4.30%   4.59%
Newsletter Inc     4.49%   6.21%   4.96%   4.34%   3.60%   4.11%


                  1 year  2 year  3 year  4 year  5 year  6 year

Hot Hands         20.20%  46.33% -23.70% -19.77%   4.54%  25.96%
Sheltered Sam     18.10%  54.27%  -4.22%  -1.06%  21.23%  34.52%
VFINX             14.91%  45.35%  -8.46%  -3.52%  11.56%  16.89%

s&d               16.19%  47.49%   3.01%   6.95%  28.14%  39.81%
Newsletter G-IND  18.80%  58.24%  -5.53%   5.52%  22.41%  37.22%
Newsletter G      14.30%  53.62%  -5.37%   4.09%  23.25%  37.30%
3 fund            13.17%  43.22%  -0.81%   7.91%  25.82%  36.06%
LS G              15.06%  43.81%  -5.64%   1.39%  17.75%  25.85%

coffeehouse       14.68%  37.91%  10.05%  12.94%  30.05%  38.16%
Wellington        10.94%  35.57%   5.34%  14.12%  31.21%  40.15%
STAR              11.70%  39.46%   4.45%  11.33%  24.29%  33.53%
Newsletter CG     12.00%  44.59%  -3.99%   4.27%  20.74%  31.36%
LS MG             13.31%  36.35%   0.21%   7.59%  21.91%  28.85%

Wellesley         10.65%  28.38%  15.74%  22.24%  36.03%  40.76%
LS CG             11.14%  30.10%   4.70%  12.02%  23.92%  29.44%
Newsletter Inc    11.20%  35.55%   2.88%   6.79%  18.11%  25.44%

madsinger         17.15%  48.66%   5.77%  11.35%  29.90%  41.71%            


                  7 year   8 year   9 year  10 year  11 year  12 year

Hot Hands         66.02%  139.90%  116.39%  146.04%  190.32%  273.94%
Sheltered Sam     59.39%  117.79%   87.12%   78.07%   81.05%  113.22%
VFINX             29.44%   66.33%   29.49%   13.92%    3.60%   25.43%

s&d               64.52%  116.62%   94.60%   86.91%   91.58%  125.02%
Newsletter G-IND  57.94%  102.48%   68.26%   64.22%   38.60%   68.26%
Newsletter G      58.85%  109.68%   72.36%   61.33%   94.24%  164.75%
3 fund            54.24%   98.31%   71.83%   54.91%   43.00%   72.64%
LS G              41.68%   82.09%   53.25%   39.67%   32.07%   54.95%

coffeehouse       57.23%   94.25%   83.45%   86.90%  100.46%  117.09%
Wellington        55.81%   88.14%   75.16%   82.50%  101.48%  110.36%
STAR              49.02%   82.85%   64.80%   65.63%   83.78%   96.88%
Newsletter CG     48.44%   91.34%   59.96%   54.36%   75.97%  110.64%
LS MG             42.47%   74.38%   56.38%   49.38%   48.06%   65.84%

Wellesley         51.41%   66.04%   73.75%   86.59%  116.76%  107.78%
LS CG             39.82%   62.98%   54.23%   54.11%   58.92%   71.41%
Newsletter Inc    35.97%   61.95%   54.66%   52.96%   47.60%   62.22%

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BigFoot48
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Post by BigFoot48 »

madsinger, thank you for your efforts on preparing these analyzes of various portfolios. I just used them in making my decision to abandon my self-selected, and selected over many years, mishmash group of funds, to go with the Coffeehouse portfolio, adjusted to my allocation of about 40/60.

I also note with interest that both Wellington and Wellesley appear to be good single-fund choices if someone wanted the ultimate simplicity! Hothands is impressive but that 2008 drop was a killer!
Retired | Two-time in top-10 in Bogleheads S&P500 contest; 15-time loser
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csoren
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Post by csoren »

madsinger wrote:The "Hot Hands Portfolio" is not a "portfolio", but rather a single fund that is held for one year. The fund is chosen as the Vanguard "diversified" fund that had the highest return the year before. According to a newsletter writer, through backtesting, this had been shown to outperform the S&P 500 over many years. I stick it in these charts so we can all see how this approach works.

These are the funds that have been used to track this over the years.

1999 Growth Index
2000 Cap Opp
2001 Small Cap Value
2002 Selected Value
2003 Global Equity
2004 Int'l Explorer
2005 Int'l Explorer
2006 Int'l Explorer
2007 Int'l Explorer
2008 Growth Equity
2009 Dividend Growth
2010 Capital Value

I haven't really taken a look to see what the 2011 fund "should" be.

-Brad.
Well, assuming that Precious Metals & Mining is not "diversified", Small Growth Index is the winner at 30.69% with mid cap growth index right behind (and both ahead of Explorer). Hmmmmph.
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paulob
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Post by paulob »

Brad,
Thanks so much for the update. It's really helpful info.
Paul
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madsinger
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Post by madsinger »

csoren wrote:Well, assuming that Precious Metals & Mining is not "diversified", Small Growth Index is the winner at 30.69% with mid cap growth index right behind (and both ahead of Explorer). Hmmmmph.
Hello csoren,

Thanks for looking this up! I just took a "second look" as well, and agree that if we toss Precious Metals out, we get Small Cap Growth Index! This is the fund I will be using for the Hot Hands fund this year. If later in the year, someone tells me from the "official source" that it is something different, I'll update accordingly.

Hang on...the 9-boxers' least favorite box is Hot Hands for 2011!

-Brad.
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csoren
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Post by csoren »

madsinger wrote:
csoren wrote:Well, assuming that Precious Metals & Mining is not "diversified", Small Growth Index is the winner at 30.69% with mid cap growth index right behind (and both ahead of Explorer). Hmmmmph.
Hello csoren,

Thanks for looking this up! I just took a "second look" as well, and agree that if we toss Precious Metals out, we get Small Cap Growth Index! This is the fund I will be using for the Hot Hands fund this year. If later in the year, someone tells me from the "official source" that it is something different, I'll update accordingly.

Hang on...the 9-boxers' least favorite box is Hot Hands for 2011!

-Brad.
Yup, it's a bit of a contrarian indicator for a moderate SV-tilter. :roll:
Nevermind, I shall stay the course regardless.
Thanks for posting your results!

Carolyn
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