Search found 1052 matches

by Gosso
Tue Jan 13, 2015 6:53 pm
Forum: Stocks
Topic: Will Stocks Defy History?
Replies: 5
Views: 3156

Will Stocks Defy History?

by Gosso
Mon Jan 12, 2015 6:38 pm
Forum: Permanent Portfolio Discussion
Topic: Has the PP Ever Suffered a -25% Nominal MaxDD?
Replies: 21
Views: 5839

Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

So if annual rebalancing was done on May 31 rather than Dec 31 then the PP did indeed experience a -25% nominal drawdown.  However it was extremely brief and was mainly the result of gold spiking 38% in only 6 days at the parabolic top in January 1980. So the draw down was due to a blow off spike u...
by Gosso
Mon Jan 12, 2015 11:30 am
Forum: Permanent Portfolio Discussion
Topic: Has the PP Ever Suffered a -25% Nominal MaxDD?
Replies: 21
Views: 5839

Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

I have some old daily data (it is complete up to May 2013), but it should shed some more light on the PP drawdowns: [img width=600]http://i57.tinypic.com/6pycfc.png[/img] So if annual rebalancing was done on May 31 rather than Dec 31 then the PP did indeed experience a -25% nominal drawdown.  Howeve...
by Gosso
Sun Jan 11, 2015 10:55 am
Forum: Permanent Portfolio Discussion
Topic: Has the PP Ever Suffered a -25% Nominal MaxDD?
Replies: 21
Views: 5839

Re: Has the PP Ever Suffered a -25% Nominal MaxDD?

Here are my results for the real and nominal drawdowns for the PP and 60/40: [img width=600]http://i62.tinypic.com/2ez1vet.png[/img] (Click to enlarge) So drawdowns measured at the end of month in nominal terms hasn't dropped below -13% since April 1, 1968 (assuming my data is correct, it might not ...
by Gosso
Fri Jan 09, 2015 9:17 pm
Forum: Variable Portfolio Discussion
Topic: LEAPS PP
Replies: 162
Views: 38656

Re: LEAPS PP

Congrats, Adam! One thing to keep in mind is that the leverage for at-the-money Jan '17 options on SPY, GLD, and TLT is roughly 5.0x, 4.6x, and 8.1x, respectively.  So to balance the leverage you'd need to go in-the-money a bit for TLT, or lower your weighting of TLT options.  Otherwise the LEAP PP...
by Gosso
Fri Jan 09, 2015 12:20 pm
Forum: Permanent Portfolio Discussion
Topic: Is The PP Good For Investing?
Replies: 62
Views: 14910

Re: Is The PP Good For Investing?

MachineGhost wrote: Besides Gosso's chart shows 1980 is almost -25% in real terms which blows away -25% in nominal.
I think you got that flipped around, if inflation is 5% and the nominal drawdown is -25% then the real drawdown would be -30%.  So drawdowns in real terms look worse.
by Gosso
Fri Jan 09, 2015 10:20 am
Forum: Permanent Portfolio Discussion
Topic: Is The PP Good For Investing?
Replies: 62
Views: 14910

Re: Is The PP Good For Investing?

Here are my results for the inflation-adjusted drawdowns of the PP and 60/40:

Image

It's interesting that the drawdown for the PP exceeded the 60/40 drawdown in 2013, which is a rare event.

And also, welcome back MT!
by Gosso
Thu Jan 08, 2015 11:26 am
Forum: Variable Portfolio Discussion
Topic: LEAPS PP
Replies: 162
Views: 38656

Re: LEAPS PP

This multiple changes, correct? Yep, it is dependent on the implied volatility (IV), but in general TLT will have a lower IV so it will provide more leverage per dollar invested. Do you think that in 2013 (the numbers are a few posts back) if I would have adjusted the weightings, I would have had a...
by Gosso
Thu Jan 08, 2015 9:48 am
Forum: Variable Portfolio Discussion
Topic: LEAPS PP
Replies: 162
Views: 38656

Re: LEAPS PP

Congrats, Adam! One thing to keep in mind is that the leverage for at-the-money Jan '17 options on SPY, GLD, and TLT is roughly 5.0x, 4.6x, and 8.1x, respectively.  So to balance the leverage you'd need to go in-the-money a bit for TLT, or lower your weighting of TLT options.  Otherwise the LEAP PP ...
by Gosso
Thu Jan 08, 2015 7:05 am
Forum: Variable Portfolio Discussion
Topic: Counter party risk on leveraged ETFs
Replies: 4
Views: 1554

Re: Counter party risk on leveraged ETFs

Many of Direxion's levered ETFs began trading in November 2008, and continued to perform as expected (3x the daily return) during the financial crisis.  So they have been battle-tested.
by Gosso
Fri Jan 02, 2015 1:47 pm
Forum: Permanent Portfolio Discussion
Topic: 2014 PP performance
Replies: 43
Views: 10257

Re: 2014 PP performance

Hmmm, my numbers are quite different.  Using the adjusted closing prices (includes dividends) from Yahoo! Finance I get the following: Stocks (XIU) +11.9%    ((21.47 / 19.18) - 1) Gold (IGT)    +7.8% Bonds (ZFL) +17.4% Cash (ZFS)  +2.3% Canadian 4x25 PP +9.85% (includes dividends and interest) Unhe...
by Gosso
Fri Jan 02, 2015 12:26 pm
Forum: Permanent Portfolio Discussion
Topic: 2014 PP performance
Replies: 43
Views: 10257

Re: 2014 PP performance

Since I hold the Canadian PP, I thought I'd share how our results differ from what you guys had in 2014. Stocks: +8.1% Bonds: +11.5% Gold: +4.4% Cash: +0.1% Total: +6.0% As you can see the resource heavy Canadian stock market got hit hard by the pull back in oil price. However that exit of foreign ...