Thanks for your reply Kbg. Good discussion. I am leaning towards a 50/16.67/16.67/16.66 version and will later consider XIV if/when a correction in equity markets occurs. Going back 10 years, and including today's drop, the current DD of the conventional PP is ~7.5%. There are very few (5-6) drawdow...

@Kbg, do you mind sharing what combo you run and how long you have been doing it? I personally use a no cash PP (retirement account, no cash needed for a while). I am currently a third in each of TLT, SPY and GLD. Given PP's poor performance in the last 3 and 5 years, I am expecting better returns i...

With a BTB (by the book) conventional PP, Harry's recommendation was based on a 10% band. An example would be one asset moving +40%, another losing 4%, and the other 2 remaining flat. Resulting portfolio would be 25/25/35/15. This happens once every 2-3 years or so. I total agree that for a such a c...

this is a very interesting thread, but too long to read every post so I apologize if this question is already addressed. What is a good rebalancing strategy for different flavours of this leveraged combo of Cash/TMF/SPXL/UGLD? like 75/8.33/8.33/8.33 50/16.67/16.67/16.67 25/25/25/25 0/33.33/33.33/33 ...

Okay, buddy, since 1969 a 2x PP would have returned 17.66% CAGR and -38.04% MaxDD. This assumes exactly 2x returns is possible and 10% rebalancing bands are used and checked on a yearly basis in January so you're avoiding the worst of the MaxDD event. So not quite a doubling since MaxDD growth isn'...

Up until Sep 2012, i.e. exactly 3 years ago today: 3-yr CAGR (Sep 10, 2009 - Sep 10, 2012): 12.83% 5-yr CAGR (Sep 10, 2007 - Sep 10, 2012): 10.06% 10-yr CAGR (Sep 10, 2002 - Sep 10, 2012): 9.65% 20-yr CAGR (Sep 10, 1992 - Sep 10, 2012): 8.33% *Source: http://www.peaktotrough.com, 35/15 rebal bands, ...

Portart, I was thinking the same and I have decided to "err on the side of safety". IMO, a reasonable allocation at unknown times like these would be 34/22/22/22 with 34% being the cash of course. It kinda hits two birds in one stone: 1) As a whole, it is still a valid PP and does not yet ...

Bluedog,

When did you start your CAD PP for it to look like this today?

I think harvesting volatility is an illusion as Kshartle proves. Just a point about re balancing and I know it has been beaten to death: I think what Ksharlte showed is that re-balancing is not guaranteed to add extra returns (due to capturing volatility), even during a 30 year period. I thought it...

Note that i used VTI because VT didn't go as far back. I would prefer VT or similar world index fund/ETF going forward

Marc, I like the approach in principal, but personally prefer to keep it simple and limited to cap-weighted passive index funds. Worth noting is that since Nov 2004, a 33x3 PP made of BND/VTI/GLD would've resulted in a CAGR of 9% annually, assuming annual rebalancing. A 25x44 would've returned 8.2%....

Thanks PS. I really appreciate the time you're putting into this. Out of curiosity, what re-balancing method are you using? To be more like the 15/35 original PP method, I supposed a 3-way split would have to use a 20/46 band.

Marc: what do you think of this equal split?

How about an equal split between bonds, global stocks and gold? I'm personally starting to lean more towards that. It is still PP-like. By bonds I mean the total bond market that can be implemented using VBMFX, BND or AGG. PointedStick, when you have time you can spare, can you please let us know wh...

Yearly drops of 5-10% were not that rare and they don't bother me. It is the very poor 3-year returns that bothers me. Oct-2010 to Oct-2013 returns for the Canadian PP are ~6%, 2% annualized. B.t.w., I remember doing extensive back-testing re negative performance. The Canadian PP lost ~13% from July...

sophie, using a pure ETF Canadian PP ZFS/ZFL/XIC/IGT (I am now using IGT as it goes back further than CGL.C), and if you start exactly 36 months ago, i.e. on 23/08/2010, we did not hit a 15/35 rebalancing band yet. Total return is 10.8%, annualized at 3.5% Rebalancing Results: 20/30 triggered two re...

I am thinking of selling 1/2 or even 2/3 of my ZFL and buying individual bonds. Today, Aug 22, 1013, and for the Dec2045 bond, http://www.pfin.ca/canadianfixedincome/Default.aspx shows a price of $105.94 CAD, yet RBCDI (my broker) shows 106.9475 CAD. That is quite a big spread, no? If you have a Can...

I would love to get together to discuss our approaches.
thanks

Thanks NewPP. I think you are right about the last 36 months; I am also showing similar results when back-testing ZFS/ZFL/XIC/CGL. The point I was trying to make is that we are 'nearing' a zero-return for a rolling 3-year period. The 31-month period starting Jan 2011 shows a total return of 4.4% (in...

thanks for your replies. Tex: LOL. For the long bong, I am using an ETF by the bank of Montreal, ZFL. Its weighted average maturity is ~22 years and duration 14 years. I think it is fairly comparable to TLT whose weighted maturity is ~27 and effective duration is ~16 years. I suppose I should look i...

Hello all. I am a silent reader for the most part. I really want to thank all for all the great posts and replies. I remember reading that one of the strengths of the PP is that it never had a losing 3 year (rolling) track record. Should this apply to a non US PP? It just recently occurred to me tha...

Not sure how useful these observations and questions are. But I thought of sharing them. Today, a typical 25x4 portfolio lost 2.59%. A 25x4 Canadian portfolio lost 2.75%. I personally lost somewhere in between (I own a hybrid CAD/USD PP, with a 66/33 split). During the five or so years since I start...

I've been a long time reader but this is my first post. Thanks so much for all the good work. Craigr/Medium, the new book is exciting news. Do you think you can include some related info in the book for Canadian investors, like whether Canadians should own US equities and/or long term US bonds. Thanks