Search found 211 matches
- Tue Dec 13, 2011 10:28 am
- Forum: Permanent Portfolio Discussion
- Topic: 25% allocation to CASH is too simplistic and not necessarily a rule to follow
- Replies: 13
- Views: 8904
Re: 25% allocation to CASH is too simplistic and not necessarily a rule to follow
It's not 25% "Cash" but "Cash AND cash-like instruments".. i.e. Cash, CDs, money market funds, short-term bonds, Dollar index, etc.
- Mon Dec 05, 2011 11:41 am
- Forum: Permanent Portfolio Discussion
- Topic: CFA Education - Is Knowledge Dangerous for the PP?
- Replies: 33
- Views: 15206
Re: CFA Education - Is Knowledge Dangerous for the PP?
I guess if you have a lot of free time and you'd like to start your own fund (with clients) in the future this may be a suitable route. Use the CFA designation to attract clients then just rebalance once in a blue moon. Unfortunately, it's a catch 22.. you'll need the CFA to attract clients to your...
- Tue Nov 29, 2011 9:08 am
- Forum: Permanent Portfolio Discussion
- Topic: "5% Returns Will be Upper Echelon for Years" - Bill Gross
- Replies: 15
- Views: 8095
"5% Returns Will be Upper Echelon for Years" - Bill Gross
http://www.cnbc.com/id/45474748
I'm confident PP might see better returns but still likely in for a disappointment in the coming years..
I'm confident PP might see better returns but still likely in for a disappointment in the coming years..
- Fri Nov 25, 2011 7:42 pm
- Forum: Permanent Portfolio Discussion
- Topic: Where's the money going?
- Replies: 16
- Views: 6474
Re: Where's the money going?
Look at UUP or the dollar index during the period when the Permanent Portfolio assets all declined in tandem..
- Fri Nov 25, 2011 7:38 pm
- Forum: Variable Portfolio Discussion
- Topic: 20% annual returns over 40 years...interested?
- Replies: 571
- Views: 337850
Re: 20% annual returns over 40 years...interested?
Super interesting! Thanks once again for the update. I've also been tracking a "Leveraged PP" and a "Leveraged Super PP" (3x33 of the leveraged ETFs, discarding cash.) I established both portfolios on January 25, 2011. The "Leveraged PP" (4x25) has so far returned 14...
- Fri Nov 25, 2011 7:32 pm
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Re: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
Another idea to keep in mind is that leverage is normally an expression of maximum optimism in a certain approach to investing. We know from history that periods of maximum optimism are often followed by periods of sub-par performance. If too many people start talking about using leverage with the...
- Fri Nov 25, 2011 9:31 am
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Re: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
What is the tracking error like for UUP at those critical moments when you need it most? It is all very well having great tracking acuracy for the 99.9% of the time when it is just a drag on the portfolio. What matters is the lack of tracking error for the darkest hour when the margin calls come in...
- Thu Nov 24, 2011 2:08 pm
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Re: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
I suppose the formula has inbuilt assumptions about how to extrapolate what the chances are of a meltdown event given the standard deviation. Its well documented that supposed "three sigma events" actually happen quite often in real markets. The distributions are way off a normal distrib...
- Thu Nov 24, 2011 12:05 pm
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Re: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
Since Harry Browne didn't like leverage, is this a crazy idea? I probably won't go 8x leverage.. I'm already at 3x leverage and up about 10-15% on the year after starting the permanent portfolio in August 2011. The fastest way I've seen people lose everything they have in investing is by using le...
- Wed Nov 23, 2011 8:29 pm
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Re: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
I'm not really investing using "Permanent Portfolio" as my core strategy.. just stealing some ideas from PP...MediumTex wrote: I would stay away from leverage with the PP.
Maybe treat the leveraged portion of your PP as your VP.
- Wed Nov 23, 2011 5:57 pm
- Forum: Permanent Portfolio Discussion
- Topic: Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
- Replies: 21
- Views: 13345
Quantitative Trading:Leveraging the Permanent Portfolio using the Kelly Formula?
I'm studying Quant Trading and the idea of using the Kelly Criteria to determine how much to leverage a portfolio. (See: http://epchan.blogspot.com/2006/10/how-much-leverage-should-you-use.html ) This formula calculates the most optimal amount of leverage for a portfolio to grow steadily.. I'll cu...