MG, You are entirely missing my point. If the country government says, as they all do, we only accept taxes paid in our currency then you de facto and always convert to the system. Add in laws like large foreign currency transactions will be conducted "in the following manner" then the mon...

Not to be blunt, but hey you are :-)

It's a stupid hypothetical that's never going to happen. It eliminates the ability of governments to collect taxes effectively and efficiently.

Yes indeed. I think the simulated Max DD is like 95%. On the flip side it can do 300-600% multi-year runs afterward. One fallacy people often succumb to is looking at the scary figures/internet warnings that say if you go down 95% it will take a 900% rise to recover. (Or whatever the math is) This m...

M, I have 5% of my personal mix in XIV and it comes out of the 50% cash. So cash is actually at 45%. Other options would be to nick the other three 1.67% or take it from the stock allocation. The latter would be most apples to apples but really XIV is a completely different risk premium (carry) as i...

I'll be the first to say this is not a PP, just a PP inspired VP. I wish I could fast forward 5 more years to see how the 75% cash version does. The end of 2016 will be 5 full years.

Kbg, I apologize, because I think I've asked this before, but could you please tell me again. If someone wanted to run one of these portfolios, like the 75/8/8/8 or the 50/17/17/17, how often would they need to check in on things and potentially do a re-balance? Is this something you have to check ...

With regard to decay...as board members may have noticed I mentioned in an earlier post that I'm paper tracking a futures based version of the portfolio. This will effectively eliminate decay as an issue but requires more work to maintain. Currently, this port is up over 2% since mid-July on a min s...

The problem is that these correlations are not consistent and positive correlations between assets can last for extended periods of time. I can assure you that there will be extended periods where 2 of 3 or all 3 volatile asset classes rise and fall at the same time. Correlation has nothing to do w...

Cartopassi, interesting, but not really relevant. A totally different asset. Again, for like the 1000th time, it is the portfolio composition that matters most. Not, repeat not for the 1000th time, the individual assets. But hey just for fun...let's toss UGLD and go with NUGT as our gold element. In...

Please, consider it a VP and not a PP. Personally, I would start out small and wait for a really bad drawdown to see if you actually can take the volatility...and I highly recommend you not look at the individual elements, just look at the portfolio bottom line ups and downs

No prob and thank you for serving!

I was ready to move on, but it was a great life all in all. No regrets and I'm glad I did it.

I don't know crap about gymnastics but I've seen Simone a couple of times. The anchors have said she may well be the best technical gymnast ever. She does make the super complex stuff look easy. Women's gymnastics is certainly different from the Cold War days where the women were thin, muscled and e...

Specific to the military... I've no idea what rank, service or specialty you are but a couple of things on the mortgage/buying a house: 1) You can make or lose a lot of money doing this and it all depends on the market where you are stationed. But let's assume you will be doing the frequent move thi...

Let's just go with averages... If you are a buyer of puts over a long period of time you are simply going to decrease your portfolio volatility in exchange for a lower CAGR. Details will be estimable based on your method for executing the above. Now if you actually have the ability to time the marke...

The Low Volatility Factor

http://www.etf.com/sections/index-inves ... nopaging=1

The Small Cap Factor

http://econompicdata.blogspot.com/2016/ ... atter.html

You looked at the right things and came to a solid conclusion on what you preferred, that is the most important thing.

Me too unless it is actively managed.

Tlt is favored because its duration is closest to the original. V is clearly better on cost. I assume you understand the ramifications of duration +/-. If you can accurately forecast interest rates, chose accordingly.

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One thing I'm seriously considering is changing the way GLD and TLT are handled...if one buys into the four economic climates then these two are always mutually exclusive in all four quadrants. (Stocks and cash are for that matter as well.) Don't know why this didn't occur to me but given this is th...

I was doing some backtesting on a rotational system between GLD and TLT. I'll save the details for me, but the performance was a return of 195.19% from 11/18/04 through yesterday. For comparison purposes I ran a buy and hold of GLD, SPY and TLT which is what I found quite interesting and of possible...

So this Bitcoin stuff is awesome... Hong Kong-based Bitcoin (COIN, OTCQB:BTCS) exchange Bitfinex said it may spread the $68M loss among its users, including ones not directly impacted by the hack. "We are leaning towards a socialized loss scenario," the exchange wrote in a blog post. Bitfi...

Serious quants appear to use Python, R and Matlab(?). Semi-serious quants/non-pros seem to use Amibroker. I think both MG and I use Amibroker...though I'm personally just a hack. There are several other options though. TradeStation probably being the biggest one. AmiBroker is relatively cheap, suppo...

This is only a theory, but I suspect that the cause of increased input costs for the small producer has much to do with the widening delta occupied by middlemen. If you're Big Ag and can buy directly from the manufacturer or top-level distributor, I'd guess that your costs haven't risen much at all...

CAPE is tricky...it sort of works but by no means does it work as an accurate timing measure. Over priced stocks can last 1-2 decades in which time you can miss out on a lot of gains. If you are going to try timing do something like a 1.5-2 year moving average measured monthly (I.e. 18-24 month MA)....