Backtesting for the Optimum HBPP Allocations

General Discussion on the Permanent Portfolio Strategy

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bronsuchecki
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Re: Backtesting for the Optimum HBPP Allocations

Post by bronsuchecki » Thu Aug 22, 2013 3:39 am

Peak2Trough - I note for gold you only have monthly data 1968-1972. You can go to http://www.perthmint.com.au/investment_ ... rices.aspx to download daily London fix data from jan 1968
Disclosure: I work for the Perth Mint. What I say is done in a personal capacity and is not endorsed by the Mint.
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Re: Backtesting for the Optimum HBPP Allocations

Post by hedgehog » Sat Dec 07, 2013 6:27 pm

Peak2Trough:

Possibly could you or would you make your calculator able to calculate some gearing with the PP? Like 1.5x, 2x. Out if pure academic interest to see where it hits a margin call.

- http://gyroscopicinvesting.com/forum/va ... /#msg84425
- http://gyroscopicinvesting.com/forum/pe ... ting-a-pp/

I truly appreciate your tool.
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Re: Backtesting for the Optimum HBPP Allocations

Post by hedgehog » Sun Dec 08, 2013 9:50 am

If I remember correctly Sharpe ratio was featured here: https://web.archive.org/web/20160324133 ... l-returns/
Is it removed with the new design? What's the aggregate Sharpe value?
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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Fri Dec 12, 2014 7:39 am

Hello,

who is using different allocation than 25-25-25-25% ? And why?

Thank you and great 2015!
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Re: Backtesting for the Optimum HBPP Allocations

Post by robtkatz » Wed Jan 07, 2015 10:06 am

  • frugal wrote: Hello,

    who is using different allocation than 25-25-25-25% ? And why?

    Thank you and great 2015!
    Frugal, one might use a different allocation in order to cut down volatility.  As an old timer, the most important thing for me is to do the best I can while keeping the draw-downs low.
    Here's a model of what I think can match the PP return but with lower draw-downs.
    • 44% IEF:  iShares 7-10 Year Treasury Bond
    • 18% TLT:  iShares 20+ Year Treasury Bond
    • 13% IAU:  iShares Gold Trust
    • 25% IJH:  iShares Core S&P Mid-Cap
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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Wed Jan 07, 2015 11:05 am

robtkatz wrote:
  • frugal wrote: Hello,

    who is using different allocation than 25-25-25-25% ? And why?

    Thank you and great 2015!
    Frugal, one might use a different allocation in order to cut down volatility.  As an old timer, the most important thing for me is to do the best I can while keeping the draw-downs low.
    Here's a model of what I think can match the PP return but with lower draw-downs.
    • 44% IEF:  iShares 7-10 Year Treasury Bond
    • 18% TLT:  iShares 20+ Year Treasury Bond
    • 13% IAU:  iShares Gold Trust
    • 25% IJH:  iShares Core S&P Mid-Cap
Hello !

CAn you please post the backtest chart :-)
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Re: Backtesting for the Optimum HBPP Allocations

Post by ozzy » Wed Jan 07, 2015 11:58 am

Hi Frugal, here's the 10-year chart:

Image

The backtesting software is called EzBackTest, and its free and easy to use!  Google it and you'll be able to backtest for yourself.

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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Wed Jan 07, 2015 1:41 pm

ozzy wrote: Hi Frugal, here's the 10-year chart:

Image

The backtesting software is called EzBackTest, and its free and easy to use!  Google it and you'll be able to backtest for yourself.

Ozzy
Hello,

thank you ozzy. The annualized returns are not so different from the standard allocation.

Unfortunately I already tested the software but it doesn't work with EUROPEAN ETFs  :(
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Re: Backtesting for the Optimum HBPP Allocations

Post by MachineGhost » Wed Jan 07, 2015 11:10 pm

frugal wrote: Unfortunately I already tested the software but it doesn't work with EUROPEAN ETFs  :(
As long as Yahoo has the data, you might be able to get this to work:  https://code.google.com/p/mypersonalindex/
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Thu Jan 08, 2015 2:36 am

MachineGhost wrote:
frugal wrote: Unfortunately I already tested the software but it doesn't work with EUROPEAN ETFs  :(
As long as Yahoo has the data, you might be able to get this to work:  https://code.google.com/p/mypersonalindex/
MachineGhost,

EzBackTest didn't work with me for European ETF's

Now I will test this new software. First test was also impossible...

Happy 2015 MG!
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Re: Backtesting for the Optimum HBPP Allocations

Post by MachineGhost » Thu Jan 08, 2015 2:40 am

frugal wrote: Happy 2015 MG!
Happy 2015 to you too, frugal!

And BTW, I'm currently about 54.5% average cash between my two PP portfolios.  I think you would be shocked at how much cash it actually takes to reduce the PP's -25% MaxDD to a more tolerable number.  I don't believe you can reach your retirement goals and also have a low drawdown portfolio by increasing cash.  It hurts the return too much, so it is one or the other.  One thing that could work is to increase the cash to just enough so there is never a negative year historically.
Last edited by MachineGhost on Thu Jan 08, 2015 2:47 am, edited 1 time in total.
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

Disclaimer: I am not a broker, dealer, investment advisor, physician, theologian or prophet.  I should not be considered as legally permitted to render such advice!
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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Thu Jan 08, 2015 3:47 am

MachineGhost wrote:
frugal wrote: Happy 2015 MG!
Happy 2015 to you too, frugal!

And BTW, I'm currently about 54.5% average cash between my two PP portfolios.  I think you would be shocked at how much cash it actually takes to reduce the PP's -25% MaxDD to a more tolerable number.  I don't believe you can reach your retirement goals and also have a low drawdown portfolio by increasing cash.  It hurts the return too much, so it is one or the other.  One thing that could work is to increase the cash to just enough so there is never a negative year historically.
MachineG,

Howdy?

a) That I didn't know... you have 2 different PPs?

b) I've been doing rebalancements only by adding new cash to the assets and put it at 25% ? Why it is not good for retirement goals? Or you are saying that I am only adding to the asset CASH ?

c) Is that possible to increase the CASH part to the point of 0 negative years?


Harry Browne Permanent Portfolio
Start Date
End Date
Starting Capital
S&P 500 %
Gold %
T-Bonds %
Cash %
Cash Option
Long Bond Option
Rebalance
Reinvest Div/Int
Result View
Show Rebalancing
Show Component Returns
DD Count Threshold %



Date S&P500 Tbond Tbill Gold Total
1969 200 500 9,100 200 10,000 (+2.15%)
1970 204 511 9,295 204 10,215 (+8.57%)
1971 222 554 10,092 222 11,090 (+5.82%)
1972 235 587 10,679 235 11,735 (+5.54%)
1973 248 619 11,270 248 12,385 (+6.08%)
1974 263 657 11,955 263 13,137 (+7.66%)
1975 283 707 12,871 283 14,143 (+7.38%)
1976 304 759 13,820 304 15,187 (+6.91%)
1977 325 812 14,775 325 16,236 (+4.69%)
1978 340 850 15,467 340 16,997 (+7.24%)
1979 365 911 16,586 365 18,227 (+12.66%)
1980 411 1,027 18,686 411 20,534 (+11.63%)
1981 458 1,146 20,859 458 22,922 (+12.30%)
1982 515 1,287 23,425 515 25,742 (+15.40%)
1983 594 1,485 27,032 594 29,706 (+7.87%)
1984 641 1,602 29,159 641 32,042 (+9.52%)
1985 702 1,755 31,935 702 35,094 (+10.47%)
1986 775 1,938 35,279 775 38,768 (+9.14%)
1987 846 2,116 38,504 846 42,312 (+5.63%)
1988 894 2,235 40,674 894 44,697 (+6.41%)
1989 951 2,378 43,281 951 47,562 (+9.63%)
1990 1,043 2,607 47,452 1,043 52,145 (+7.45%)
1991 1,121 2,801 50,985 1,121 56,028 (+7.53%)
1992 1,205 3,012 54,825 1,205 60,247 (+4.08%)
1993 1,254 3,135 57,059 1,254 62,703 (+4.70%)
1994 1,313 3,283 59,742 1,313 65,650 (+2.45%)
1995 1,345 3,363 61,204 1,345 67,257 (+8.48%)
1996 1,459 3,648 66,396 1,459 72,963 (+4.98%)
1997 1,532 3,830 69,701 1,532 76,594 (+5.97%)
1998 1,623 4,058 73,859 1,623 81,163 (+6.50%)
1999 1,729 4,322 78,659 1,729 86,438 (+3.98%)
2000 1,797 4,494 81,786 1,797 89,875 (+6.05%)
2001 1,906 4,766 86,738 1,906 95,316 (+5.31%)
2002 2,008 5,019 91,344 2,008 100,378 (+2.36%)
2003 2,055 5,137 93,499 2,055 102,747 (+2.19%)
2004 2,100 5,250 95,544 2,100 104,994 (+1.64%)
2005 2,134 5,336 97,108 2,134 106,712 (+3.21%)
2006 2,203 5,507 100,223 2,203 110,135 (+4.86%)
2007 2,310 5,774 105,094 2,310 115,487 (+5.95%)
2008 2,447 6,118 111,351 2,447 122,364 (+4.53%)
2009 2,558 6,395 116,391 2,558 127,902 (-0.12%)
2010 2,555 6,387 116,250 2,555 127,747 (+1.51%)
2011 2,593 6,484 118,000 2,593 129,670 (+2.03%)
2012 2,646 6,615 120,398 2,646 132,305 (+0.60%)
2013 2,662 6,655 121,126 2,662 133,105 (-0.50%)
2014 2,649 6,622 120,514 2,649 132,433 (+1.73%)
2015 2,695 6,737 122,605 2,695 134,730 (+0.45%)
2015-01-08 2,651 7,060 122,863 2,761 135,335

Years 46.05
CAGR 5.82%
Starting Capital 10,000
Ending Capital 135,335
Total Return 1253.35%
Max Drawdown 2.14% (1980-01-21 - 1980-03-27)
DD > 10% Count 0
Annualized Std. Dev 3.67%
Sharpe Ratio 0.10
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