got a little nervous there.

I have recently started using this app and like it thus far. 
Anybody else using it with any pros and cons?

Backtesting using an 80% HBPP and 20% Top 2 strategy yields the following results.  Essentially, a 1% CAGR increase for the HBPP with the same STDEV increase. 1973 14.3 1974 19.5 1975 7.3 1976 17.8 1977 6.0 1978 14.9 1979 49.1 1980 16.0 1981 -5.2 1982 25.7 1983 5.5 1984 3.5 1985 22.3 1986 19.1 1987 ...

This was a fun exercise to see what the results would be.  The final CAGR is 13.1%.  I believe the sharpe ratio would be slightly lower than that of the HBPP.  I do think this strategy was lucky in certain years, especially in 2008 (if stocks outperforms bonds by a mere 3% in 2007, we have a loss of...

No, you are correct.  Some of my values after 2000 were still off and I think it was happening from the copy and paste into here.  I have manually corrected them as below.  The annual return is at 14.1% w/ the new values - Year Annual Stocks Bonds Gold 1973 22.3 -26.7 -1.4 71.2 1974 38.1 -25.4 4.1 7...

Thanks.  I did do the average annual return and mistakenly used this for CAGR.  Overall, this seems like a good strategy, but the potential drawdowns in 1981 may be too much to handle. 

Thanks for the feedback.  I have gone back and corrected the errors.  Final numbers are CAGR = 14.2% and sharpe = 0.91.  All data is from the Simba sheets: Year Annual Stocks Bonds Gold 1973 22.3 -26.7 -1.4 71.2 1974 38.1 -25.4 4.1 72.0 1975 -9.4 57.1 8.9 -27.6 1976 28.3 40.1 16.5 -4.5 1977 1.4 3.8 ...

Below is the corrected data.  It should have started from 1973 and not 1972 as originally posted.  Please let me know if you see any other errors.  One other change was to 2008 as stocks should not have been used, so this return also increased.  With the revisions, the annual return is 15.1% and the...

an article discussing the same strategy but with 6 month metrics:

http://www.scottsinvestments.com/2012/0 ... portfolio/

correction on the previous table for annual returns only: Year Annual Stocks Bonds Gold 1972 22.3 -26.7 -1.4 71.2 1973 38.1 -25.4 4.1 72.0 1974 -8.9 57.1 8.9 -27.6 1975 28.3 40.1 16.5 -4.5 1976 1.4 3.8 -1.0 22.2 1977 23.6 10.7 -1.5 36.5 1978 78.9 32.2 -1.5 125.6 1979 23.5 32.2 -4.2 14.7 1980 -15.3 2...

Apologies for the formatting, but the Simba data is below showing strategy annual returns followed by the assets' annual returns from 1980: Annual VIMSX VUSTX GLD 23.5 32.2 -4.2 14.7 -15.3 2.2 1.6 -32.9 31.5 23.0 40.0 14.5 11.7 23.5 0.4 -16.6 8.2 1.2 15.2 -19.5 31.2 31.7 30.7 5.3 21.7 0.0 -3.2 21.7 ...

I didnt include this data due to the gold prices inflated this decade, but the data from starting at 1973 is as follows:

22.29 (1973)
38.075
-8.85
28.295
1.405
23.565
56.105 (1979)

CAGR = 10.9% STDEV = 8.16% US Mkt Correlation = 0.11 Sharpe Ratio = 0.88 negative years = 3 Strategy: 1. Take (2) of previous calendar year's highest performing assets (Stocks, Bonds, Gold). 2.  Invest 50% in each one and hold for whole calendar year The strategy is simple yet silly enough, but the ...

How do you calculate the volatility of a given asset and do you normalize monthly or annually?

Awesome, thank you so much!

Thanks, I would really appreciate that.  I am interested in learning more how you use 60-day trailing volatility and how to properly normalize to a target risk. 

Agreed with risk parity - i only question if it is actually worth the extra time required vs. the minimal (set and forget annually) approach of the PEP.  It is very minimally below the RPP as shown below: http://static.cdn-seekingalpha.com/uploads/2013/9/23/875356-13799701815579135-Paul-Allen_origin...

This is a great article that uses Monte Carlo to simulate 300 years of market data using 10 different portfolios including the Permanent Portfolio.  Results are attached:

http://www.nasdaq.com/article/the-most- ... n-cm279719

Portfolio is as follows:

35% TLT
33% IJH
17% IEFA
15% IAU

Numbers are as follows:

Avg Return = 11.8%
Min Return = -6.2%
Max Return = 32.8%
STDEV = 9.4%