Dylan Grice- Strategist @ SocGen  another HB PP
convert with his "cockroach strategy."

http://www.zerohedge.com/sites/default/ ... oodbye.pdf

MG, Are you saying the PP was down 25% in 2008 at some point?  Could you please give a bit more detail on this? Thanks [/quote] I've got a 14.62% max drawdown on 11/12/08, assuming you put on equal dollar weight positions on 12/31/07. Date HB 4 asset 12/31/07 100000 1/2/08 100837.25 1/3/08 101027.57...

1973-2011         HB 4x25  long top asset    long top 2 assets    long best/short worst  long top 2/short bottom 2 cagr    10.52%        15.73%              14.15%                      5.76%                        4.05% stdev  8.13%          28.35%              15.39%                    17.96%      ...

I think there are a few ways to reduce the max drawdown: I ran this portfolio: VTI,TLT,GLD & SHY. I rebalanced weekly. I used a weekly timing method (basically - trend following). And I allocated based on risk parity (to get the same fractional percent of total equity risk per asset class) as o...

If you want to hold PRPFX but are unhappy with the Swiss Franc exposure, go short the currency to the tune of 10% of your PRPFX investment.

Stone, that is correct.  for Jan 1, each year, the portfolio is rebalanced to 4x25, regardless of the weights at the end of the year.  and if during the year either of the bands is hit, then each asset is brought back to a 25% weighting.

I agree with craig that there's no optimal solution.  that said, here's the HB 4x25 results using daily data from 8/8/00 through 8/9/11, with annual rebalancing at years end. 35/15 bands cagr 7.82% vol  7.16% max drawdown 14.62% correlation of HB 4x25 to: VTI .51 TLT .263 GLD .747 SHY .168 PRPFX .79...

I enjoy the forum, and am a fan of easily implemented, systematic strategies.  So I’ve been following various HB Permanent portfolios for quite some time. I thought I’d submit something that I just stumbled upon recently in looking at Larry Swedroe’s fat tail minimizing portfolio which consists of 1...