The thing that has me believing Lacy's prediction more than any other is that everyone is seemingly taking the other side of that bet. 

I don't find that incredible at all. If you have blinders on such that only stocks and bonds are "valid" investments, that result is pretty much guaranteed. Right, well what I'm saying is I find it incredible men with the collective financial knowledge of these esteemed gentlemen wear suc...

I'm a fan of Mebane Faber.  I've read his blog and the Ivy Porfolio and enjoy both.  In the case of this blog entry, I had a few thoughts... First, I wish he had continued with his original idea to write this up as a whitepaper.  I'm not sure I agree with his suggestion that a 200 basis point spread...

According to the calculator, the PP has experienced a DD of 7.21 YTD in late June. Is this accurate? I don't recall experiencing this magnitude of a loss, but I did contribute to GLD and TLT over this time frame. Great thread! Yep, it's accurate.  Keep in mind a couple of things: 1.  We're using da...

John is a very smart individual, no question about it.  That said, he's been wrong for so long now, that his only recourse is to continue making the same prediction until it actually turns out to be right.

I have often said that there are only two kinds of problems in life:  the kind that can be solved by money, and the kind that cannot.  You always want the former.

Wishing you the best, melvyr.

P2T

hedgehog wrote:We need a little more advanced programmer to do that, though.

Ummmm.... k.  Thanks for your feedback.

Shhhhhh! 

But I thought it was interesting that these ranges generally indicate that holding less cash and gold but more bonds and stocks has historically provided the best balance between performance and risk. Fantastic work!  It seems to me the hypothesis above is fairly intuitive as well, given the volati...

Could you run your allocations in the 30 years period ? Interesting point... I actually ran every decade independently when I started this and, as you would expect, got significantly different results for each.  I rather liken it to an exponential moving average vs a normal weight moving average in...

the most terrible thing investing is the monster DRAWDOWNS. Can you please let me now the TOP 10 drawdowns of the HB PP ? I agree that drawdowns are often overlooked, even by the HBPP crowd.  While I can't tell you what the 10 highest drawdowns were over a given period, you can do do the following ...

I see now.  But why are we first multiplying the Sharpe by StdDev? Because StdDev is the denominator in the original Sharpe ratio.  We're trying to isolate the original numerator (CAGR - RiskFreeCAGR) and then divide by the MaxDD to create a new ratio which is functionally equivalent to the Sharpe ...

This is great stuff, but I'm confused about the SharpeMDD.  How exactly is that being calculated?  I can't seem to back into it using the Sharpe and MaxDD values. It's the same as the Sharpe ratio, but the denominator is the MaxDD for that allocation rather than the standard deviation.  In other wo...

I wish I could say I was surprised, but since 2008 I don't recall even one high profile executive of any large financial institution being subjected to criminal charges for his role in the 2008 financial crisis, even though many of these institutions were obviously engaged in an enormous amount of ...

Thanks for doing this! Does your latest backtest still show the most efficient as near 35% Tbill, 23% Tbond, 14% Gold, and 28% S&P500? I think those numbers were just the highest CAGR of the top 100 portfolios sorted by my SharpeMDD column... I don't want to give the indication that's the most ...

I'm not convinced the differences in returns or volatility between cash+LTT and ITT is going to amount to much. If anything, I think the ability to switch between the two provides an opportunity to realize losses on LTT without triggering a wash sale, while remaining invested in a way materially con...

akratic: That's a fantastic find!  Exactly the sort of thing I'm hoping those with better Excel-fu than I will discover.  Unfortunately, I can't share the code for it, but may be willing to work in additional features as time allows. miyazaki: Thanks!  Regarding your request, the original dollar amo...

buddtholomew wrote:What was the drawdown in 2008 for PP investors who invested in ITT rather than the LTT/STT combination?

There was a mid-year drawdown of 15.8% if you bought 10 year Treasuries instead of cash+LTT.  The cash and LTT drawdown was 14.3%.

I've got some Euros I want to exchange for USD.  The other day the EUR/USD was bidding 1.33 or so.  I called the only two local currency exchange joints in town and was quoted 1.25 and 1.15 (!) plus other commissions and fees on top. I figure someone in this group knows of a better way to exchange t...

Fascinating.  Oddly enough, I just ran across another interesting North Korea article...

https://sites.google.com/site/WiseOneinnorthkorea/

Put me in the OP's camp on this one.  It's frustrating to hit "Show unread posts" and see 70% of new threads are political in nature.  There are lots of places on the Internet to discuss politics, so I see no reason to dilute the signal to noise ratio here with it. 

My $0.02.

I'll go with:

VTI: -9%
LTT: +12%
Gold: +8% 
Tbills:  +3%

HBPP:  4%-ish

The third time I revised this post I realized I was just pulling numbers out of my... ahem.

There was this guy who once spoke and wrote volumes about how useless it was trying to predict the economic actions and reactions of millions (or billions) of individuals... can't quite recall his name, it's on the tip of my tongue though. 

Got a new backtest batch up... this one tests from 01-01-1972 to 01-01-2013.  It also moved to annual rebalancing so as not to skew results of portfolios with more outlandish initial allocations with bands. http://www.peaktotrough.com/download/hbpp-backtest2.csv.zip [3.6 MB] Finally, a column was ad...

@frugal - Unfortunately I don't know a thing about Euro investing, so I wouldn't be much help in replicating any of this for a EU PP, sorry. @Arturo - Good questions... let me address them as I can: 1.  I'm not aware of prior backtesting which showed annual rebalancing with a higher CAGR.  To me, th...