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...

So my prediction was the markets already priced the uncertainty in and nothing would really happen. In total in terms of the Permanent Portfolio, that's pretty much what transpired. Total value was barely moved over the last few days of the year… Except that we didn't go over the cliff. You're sayi...

ISTJ
I (moderate) S (moderate) T (heavy) J (heavy)

Interesting to see so many I's posting on a public Internet forum

Following up from my reply to MG above... I took a moment and did what you suggested and created a new column using MaxDD as the risk component.  It turns out that it does materially change the optimum allocations using that ratio, and that the standard deviation and max drawdown do not have a linea...

I wouldn't say the optimal allocation is close to 25/4, but it depends on how you define risk.  Volatility is not risk.  If you use max drawdown for your risk criteria in Sharpe, then the optimal allocation will be much different as I posted in another thread (probably gone due to the forum softwar...

I was wondering how the rebalance bands were applied in these different scenarios. Wouldn't 15/35 rebalance bands only apply to the 25x4 portfolio? That is an excellent question!  And to be honest, one I hadn't given a whole lot of thought before running this simulation... Here's the way it works c...

frugal wrote:What I also would like to have is a daily chart of HBPP performance for the same period. Can you publish it?

I'll do one better... you can generate your own here:

http://www.peaktotrough.com/hbpp.cgi

Have fun. 

You're worried about the Fed printing 1.1 trillion dollars next year… what if I told you that the private money supply was contracting by that amount or more? Or that banks refused to lend it... or that people refused to borrow it... or that borrowers refused to spend it. Pointedstick is right on t...

Some of you are aware I have been working on some backtesting code for the HBPP.  I've been able to put together something that allows me to choose arbitrary dates and spit out the CAGR, max draw down, standard deviation, etc for the portfolio over a given time period. Having built and tested that t...

Upon review of the answers, I think some clarification is in order for one of the options. The market cannot have priced in a *certainty* of going off the cliff because it has not happened, and is not 100% certain to happen.  What the market has priced in is the current likelihood of going off the c...

melveyr wrote: If we go over the cliff in a nasty way LLT will shoot up, stocks will shoot down, and gold is a wild card depending on how bernanke responds, but it would probably move down because bernanke is out of policy ammo.

I'll second that.

From 12-20-2002 to 12-20-2012:

CAGR:  9.44%
Std Deviation:  6.59%
Max drawdown:  14.37%

All of my work has led to me believe the PP is overweight gold, but the arbitrary symmetry of the 4 way split makes it easy to explain and look at. I had the same suspicion, so I decided recently to analyze *every* permutation of dividing a portfolio into the 4 assets (from 1-100%).  Yes, all 176,8...