Gyroscopic Investing

Not sure where you say PV doesn’t have mid-cap, they do and it beats the GB in return but not sharpe...statistically, pretty much a draw. To gauge performance one should find out when SCV funds started and start your backtest then.

A good backtesting technique for actually trading something is to find out when the method was commercialized and start there. Prior to that is interesting as to good possibilities but closer to reality is what happens when the factor/whatever began to be exploited.

Kbg wrote: ↑Mon Jul 27, 2020 9:31 pm Not sure where you say PV doesn’t have mid-cap, they do and it beats the GB in return but not sharpe...statistically, pretty much a draw. To gauge performance one should find out when SCV funds started and start your backtest then.

A good backtesting technique for actually trading something is to find out when the method was commercialized and start there. Prior to that is interesting as to good possibilities but closer to reality is what happens when the factor/whatever began to be exploited.

I said Portfolio Visualizer doesn't have Mid Cap Blend and it doesn't (only MC value or growth).

Yeah I know the well-worn argument that the small and value premiums only apply through the rear-view mirror as the market jumped on them after Fama and French revealed their existence, but the claim that one can only do viable backtesting once a given asset class is something that ordinary investors can invest in, if taken seriously, would mean that most of the asset class data we have is useless given how few years it has been possible to invest in them. I mean 30 year Treasuries have only been around since 1978 so forget them, gold was illegal to own until the mid-70's, sector mutual funds like SC, SCV and mid-caps are often less than a decade old, on and on.

It seems to me that one of the many aspects of Harry Browne's genius was that while the initial idea for the PP doubtless had plenty of backtesting behind it with the best tools available at the time, it's fundamentally based on having assets that respond to particular economic conditions rather than being based purely on backtesting as is the case with so many Bogleheads and MPT allocations. So then the things worth discussing are the kinds of issues William Bernstein and Tyler have brought up: e.g. that gold isn't actually an inflation hedge but more non-correlated STF insurance, that all economic stressors aren't equally likely to occur or equal in cost to insure against (Bernstein) - meaning that allocating equal amounts of the portfolio to them is inadvisable (basically an endorsement of tilting towards the most likely scenario, prosperity, as the GB does).

And yeah, having upped the equities to 40% from 25% which ones to use becomes a lot more important. If you believe the small and value premiums tend to persist over long periods of time then the GB's TSM/SCV barbell or a more extreme QQQ/IJR one makes sense if you truly have conviction in it, but I can also see why someone might just increase the TSM from 25% to 40% and leave everything else alone. Speaking just for myself I was attracted to the PP to begin with because of being fundamentally conservative and risk-averse, after seeing my complex, slice-and-dice, thoroughly backtested "conservative" internationally-diversified, small and value tilted MPT-style 40/60 (bonds/stock) portfolio that *couldn't* lose more than 8% incur 23% losses during the 2008 market crash. Simplicity and the symmetry of equal weighting are appealing to me. Many roads to Rome and all that.

Interesting article on how wider dissemination of once-arcane info may have substantially contributed to the decline in value premia. The full report mentioned is behind a paywall.

https://www.marketwatch.com/story/value ... =home-page

Kevin K. wrote: ↑Tue Jul 28, 2020 1:13 pm Interesting article on how wider dissemination of once-arcane info may have substantially contributed to the decline in value premia. The full report mentioned is behind a paywall.

https://www.marketwatch.com/story/value ... =home-page

So should I abandon the GB and go back to the pure PP or ignore the predictions of poor future performance for SCV the same as I do Bonds and Gold?

pp4me wrote: ↑Tue Jul 28, 2020 1:56 pm

Kevin K. wrote: ↑Tue Jul 28, 2020 1:13 pm Interesting article on how wider dissemination of once-arcane info may have substantially contributed to the decline in value premia. The full report mentioned is behind a paywall.

https://www.marketwatch.com/story/value ... =home-page

So should I abandon the GB and go back to the pure PP or ignore the predictions of poor future performance for SCV the same as I do Bonds and Gold?

How about running a pure PP and consider the SCV as a variable portfolio.
Then pull out your trusty Benjamin Graham texts, study the "Enterprising Investor" sections and run the VP accordingly?

Kevin K. wrote: ↑Tue Jul 28, 2020 9:18 am

Kbg wrote: ↑Mon Jul 27, 2020 9:31 pm Not sure where you say PV doesn’t have mid-cap, they do and it beats the GB in return but not sharpe...statistically, pretty much a draw. To gauge performance one should find out when SCV funds started and start your backtest then.

A good backtesting technique for actually trading something is to find out when the method was commercialized and start there. Prior to that is interesting as to good possibilities but closer to reality is what happens when the factor/whatever began to be exploited.

I said Portfolio Visualizer doesn't have Mid Cap Blend and it doesn't (only MC value or growth).

"Select Asset" then select "US Mid Cap" = mid cap blend

Thanks Kbg! I don’t know how I missed that. I apologize.

No worries!

Unfortunately I did not achieve my goal of making Tyler’s list.

Speaking of commercialization...for the oldest small cap etf funds from Ishares...IWM beats both growth and value ETFs for the Russell 2K, while IJT SP600 value beats growth and blend options.

Kbg wrote: ↑Wed Jul 29, 2020 10:40 pm Unfortunately I did not achieve my goal of making Tyler’s list.

It's an exclusive list! But you don't have to be on a list to have good ideas.

Tyler wrote: ↑Wed Jul 29, 2020 10:44 pm

Kbg wrote: ↑Wed Jul 29, 2020 10:40 pm Unfortunately I did not achieve my goal of making Tyler’s list.

It's an exclusive list! But you don't have to be on a list to have good ideas.

But Tyler I go to the top of YOUR algorithm...come ON, do I have to write a book?

Hal wrote: ↑Tue Jul 28, 2020 2:10 pm

pp4me wrote: ↑Tue Jul 28, 2020 1:56 pm

Kevin K. wrote: ↑Tue Jul 28, 2020 1:13 pm Interesting article on how wider dissemination of once-arcane info may have substantially contributed to the decline in value premia. The full report mentioned is behind a paywall.

https://www.marketwatch.com/story/value ... =home-page

So should I abandon the GB and go back to the pure PP or ignore the predictions of poor future performance for SCV the same as I do Bonds and Gold?

How about running a pure PP and consider the SCV as a variable portfolio.

That idea came up when I was thinking about switching to the GB. Unfortunately, the SCV doesn't qualify as a VP because I don't consider it money I can afford to lose.

Then pull out your trusty Benjamin Graham texts, study the "Enterprising Investor" sections and run the VP accordingly?

Not familiar with this but maybe I will take a look. I do finally have a little money to play around with in my Roth IRA's and since I'm bored to death right now it might be a good time to start a real VP.

BTW I just bought some more SCV this morning. My comment about whether or not I should ignore the predictions of poor future performance the same as I do Gold and Bonds was tongue-in-cheek.

Kbg, do you know of a 3x fund for the S&P 600? There seem to be some for the Russell 2000, but I'm not interested in that.
It looks like I could do it myself with e-mini futures, but that is a lot of downside risk. I'd rather use an ETF.

Just noodling for now. No implementation plans.

Thanks,
Mark

Not that I’m aware of. I wish there was one. SAA which is a 2x is the only one I’m aware of. I’m OK 1.5 multiplying a 2x if the allocation isn’t too large. I switched to DGP from UGLD. I’ve also been using the MGC and MNQ micro futures as an experiment in one account. It’s kind of a hassle though computing margin cash.

Thanks Kbg. Using the 2x fund, 50% margined does sound like the best option.

I'm still undecided. I'm trying to see if I can get the numbers I want with just a mix of TQQQ, TMF and physical gold. (30/30/40). And 5 years living expenses in cash. It would be much simpler that way.

Mark

I think a TQQQ and SAA mix would be an excellent LT choice. The only reason I don’t do it is because I think we are in a multi decade secular tech environment but I may do it anyway if/when small cap shows some signs of life comparatively to NDX.

Agree 100%. I have another company due to be sold within the next few years and may just make the migration then. That could be better timing.

I very much appreciate your insights. If you need to write that book to get on Tyler's list, put me down for an advance copy!

Mark

pp4me wrote: ↑Fri Jul 31, 2020 9:55 am

Hal wrote: ↑Tue Jul 28, 2020 2:10 pm

pp4me wrote: ↑Tue Jul 28, 2020 1:56 pm

Kevin K. wrote: ↑Tue Jul 28, 2020 1:13 pm Interesting article on how wider dissemination of once-arcane info may have substantially contributed to the decline in value premia. The full report mentioned is behind a paywall.

https://www.marketwatch.com/story/value ... =home-page

So should I abandon the GB and go back to the pure PP or ignore the predictions of poor future performance for SCV the same as I do Bonds and Gold?

How about running a pure PP and consider the SCV as a variable portfolio.

That idea came up when I was thinking about switching to the GB. Unfortunately, the SCV doesn't qualify as a VP because I don't consider it money I can afford to lose.

Then pull out your trusty Benjamin Graham texts, study the "Enterprising Investor" sections and run the VP accordingly?

Not familiar with this but maybe I will take a look. I do finally have a little money to play around with in my Roth IRA's and since I'm bored to death right now it might be a good time to start a real VP.


BTW I just bought some more SCV this morning. My comment about whether or not I should ignore the predictions of poor future performance the same as I do Gold and Bonds was tongue-in-cheek.

Here's a headstart for you
You might also wish to check out Smiths posts on B.G.
https://cdn.preterhuman.net/texts/unsor ... esting.pdf