Past Returns data

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Lonestar
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Past Returns data

Post by Lonestar » Sat Jul 09, 2011 9:22 am

A couple of years ago I ran across a spreadsheet of Craig's that showed annual and cumulative returns for the PP over many years.  This even broke out annual returns on each of the 4 components.

I have not been able to find that data again.  Also, at the time the data went through the end of 2008.  Is there anywhere I can now find the same data through the end of 2010?

And one last question, how about the return for the PP ytd 2011?

thanks,

Jerry
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Re: Past Returns data

Post by rickb » Sat Jul 09, 2011 11:51 am

Craig's 1972-2008 table is here, with updates for 2009 and 2010.
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Re: Past Returns data

Post by Lonestar » Sat Jul 09, 2011 5:03 pm

Thanks.  That's what I'm looking for.  Just can't find how to get there from the main page.

Under the 2009 results; at the end of the data for the PP components it states "2008 End of Year Result: +7.8%".  This must be a typo, as I assume this is year end results for 2009??
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Re: Past Returns data

Post by SmallPotatoes » Sun Jul 10, 2011 12:46 pm

Slightly off topic, bit does anyone have a spreadsheet like the one appearing in the previous post? I use Vanguard tools to check %'s, however it would be nice to have a PP spreadsheet that J could plug the numbers into and know my rebalance price points.
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Re: Past Returns data

Post by greenv » Fri Jan 13, 2012 4:18 pm

The 9.7% CAGR does not look accurate when the Tsm ,st treas,ltand gold CAGR's are9.3,7.5,9.0 and 8.4?
However, if $10,000 turned into $317,220 in 37 yrs then 9.7% is correct and9.7 is less than the arithmetic avg of 10.96 which also indicates it is correct.
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craigr
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Re: Past Returns data

Post by craigr » Fri Jan 13, 2012 4:22 pm

Simba's spreadsheet is kept up to date with lots of data:

http://www.bogleheads.org/forum/viewtop ... =10&t=2520

It goes through 2010 (will probably be updated soon to reflect 2011). Although my own Ibbotson data is slightly different the results are very similar. The PermPort over that time was around 9.5% CAGR + or -.

A caution that spreadsheet backtesting is fraught with peril. Some data sets I've seen I would consider suspect. Even some in the Simba spreadsheet (e.g. the TIPS) should be completely ignored. They are all simulated.
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Re: Past Returns data

Post by stone » Sat Jan 14, 2012 7:58 am

greenv wrote: The 9.7% CAGR does not look accurate when the Tsm ,st treas,ltand gold CAGR's are9.3,7.5,9.0 and 8.4?
However, if $10,000 turned into $317,220 in 37 yrs then 9.7% is correct and9.7 is less than the arithmetic avg of 10.96 which also indicates it is correct.
If it seems that there is an apparent anomaly, then that's down to the "rebalancing bonus". If you have two assets that alternately double and halve then each will have a CAGR of zero. BUT if they are out of step and you rebalance between them then you will get a "rebalancing bonus" by transfering funds from the leading asset to the lagging asset before they reverse.
"Good judgment comes from experience. Experience comes from bad judgment." - Mulla Nasrudin
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Re: Past Returns data

Post by greenv » Sat Jan 14, 2012 2:53 pm

Thx Craig &Stone,
With some more thought I believe the 9.7% CAGR of the combination is > any or the avg of the 4 component CAGR's because it's returns for the 37 yrs are less volatile than any of the component's returns.
Annual rebalancing also contributed to the higher CAGR.
I am retired and as of 1 Jan 2012 I am 100% in the HBPP. Profitable,satisfied and hope to relax.
Bob
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Re: Past Returns data

Post by stone » Sat Jan 14, 2012 3:44 pm

greenv, the thing to remember is that if you just held a bunch of four assets that bobbed up and down independently, the portfolio volatility would drop compaired to each individual asset but unless you rebalance, you fail to capture that volatility to give the higher CAGR. Rebalancing is key even though it needent happen very often at all (perhaps years at a time without rebalancing).
"Good judgment comes from experience. Experience comes from bad judgment." - Mulla Nasrudin
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Re: Past Returns data

Post by Reub » Sun Jan 15, 2012 12:49 am

How would one manage drawdowns in the PP once retirement is reached?
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Re: Past Returns data

Post by MediumTex » Sun Jan 15, 2012 12:58 am

Reub wrote: How would one manage drawdowns in the PP once retirement is reached?
The short answer (and the one Harry Browne provided) is to spend out of the cash allocation until the overall portfolio hits a rebalancing band (which would be expected to result from cash hitting 15%, depending upon the spending rate), and then rebalance the whole portfolio.

As far as a suitable withdrawal rate, I don't think there is a right answer to that question.  If you took out 4% a year, I think that would work well most of the time.  The nice thing about spending out of cash is that you are not being forced to liquidate assets with depressed values in order to keep up with your drawdown plan.

I have always thought that drawdown arrangements ought to have some flexibility built into them.  Rather than finding the perfect withdrawal rate that one never needs to think about, it seems reasonable during a bad year to simply withdraw a little less than the withdrawal plan otherwise calls for.
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