Backtesting for the Optimum HBPP Allocations

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MachineGhost
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Re: Backtesting for the Optimum HBPP Allocations

Post by MachineGhost » Thu Jan 08, 2015 9:35 am

frugal wrote: 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 ?
I meant that if you did more than 25% cash to reduce the portfolio risk, it will will reduce the return and increase retirement shortfall risk.  I can't remember, but I think even at 50% cash the PP still had a moderate MaxDD, maybe -15% or so.  In other words, raising the cash level isn't quite as efficient as using trendfollowing.
c) Is that possible to increase the CASH part to the point of 0 negative years?
It certainly is.  I did it before a few years ago using Simba's spreadsheet and Excel Solver.  I actually did it so the net return after inflation was at least 0% each and every year.
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
It didnt put 2009 and 2013 to 0%+ but whos being nitpicky?  What was the cash % for this?  And BTW you should start from 4/1/1968.
Last edited by MachineGhost on Thu Jan 08, 2015 9:38 am, edited 1 time in total.
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frugal
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Re: Backtesting for the Optimum HBPP Allocations

Post by frugal » Thu Jan 08, 2015 3:14 pm

MG,

as I remember the Cash was 90% :)

Maybe I'm going to add some INTERNATiONAL STOCK INDEX and increase a bit the STOCKS... later in a downleg...

Hug.
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Re: Backtesting for the Optimum HBPP Allocations

Post by robtkatz » Fri Jan 09, 2015 6:50 am

MachineGhost wrote: I meant that if you did more than 25% cash to reduce the portfolio risk, it will will reduce the return and increase retirement shortfall risk.  I can't remember, but I think even at 50% cash the PP still had a moderate MaxDD, maybe -15% or so.  In other words, raising the cash level isn't quite as efficient as using trendfollowing.
[ ... ]
What is the method for trend-following?
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MachineGhost
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Re: Backtesting for the Optimum HBPP Allocations

Post by MachineGhost » Fri Jan 09, 2015 8:19 am

robtkatz wrote: What is the method for trend-following?
Simple MA, etc..
"All generous minds have a horror of what are commonly called 'Facts'. They are the brute beasts of the intellectual domain." -- Thomas Hobbes

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Re: Backtesting for the Optimum HBPP Allocations

Post by robtkatz » Fri Jan 09, 2015 10:34 am

MachineGhost wrote:
robtkatz wrote: What is the method for trend-following?
Simple MA, etc..
Is there a reference that explains this in detail?  I don't know much about it.
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Re: Backtesting for the Optimum HBPP Allocations

Post by MachineGhost » Fri Jan 09, 2015 10:50 am

robtkatz wrote: Is there a reference that explains this in detail?  I don't know much about it.
I would not recommend doing it since you're a neophyte, but heres a white paper about it:

http://papers.ssrn.com/sol3/papers.cfm? ... _id=962461
"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 WrightO » Wed Mar 04, 2015 8:19 pm

The mysterious peaktotrough.com calculator...........  ;D

For the period 01-01-2010 to 03-05-2015, I allocate 100% to S&P500 and use  "None" for rebalancing (the other options are the defaults). The output gives some returns under "Tbill" as well as under "S&P500" and adds them together to get the total return. The first entry in the "Tbill" column is 0, so the nonzero growth in that column is from 0 initial investment! There are other instances of the same sort of behavior. What am I missing here? Can I rely on the output from the calculator?
 
Thanks,

Klaus
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Re: Backtesting for the Optimum HBPP Allocations

Post by mukramesh » Mon Mar 09, 2015 2:32 pm

You probably have 'Reinvest Div/Int' set to NO. All dividends get put into Cash (T-Bills) and then get added to your total returns.
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Re: Backtesting for the Optimum HBPP Allocations

Post by bedraggled » Fri May 29, 2015 6:17 am

When I try a 33/33/33/1 portfolio from 1-1-1975 to today with 35/15 bands, the S&P 500 and T Bond components match each year for 40 years.  I tried several times.  This problem may exist with the 4x25 but I need to wrap up for the morning

What is the problem, please.

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Re: Backtesting for the Optimum HBPP Allocations

Post by bedraggled » Sat Jun 13, 2015 8:09 pm

Follow up from my last inquiry: has anyone noticed the same numbers when running an HBPP peaktotrough 40 year analysis?

THanks
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Re: Backtesting for the Optimum HBPP Allocations

Post by Justin » Fri Jul 31, 2015 8:12 am

Long time reader, first time poster. Too many people to thank for informative posts over the years, just hoping I can start to contribute a bit to pay back my debt to you all.

Today I was reading here:

http://www.ritholtz.com/blog/2015/07/th ... dilemma-2/

There is a section towards the back which reminded me of this fantastic thread where they say the global equity and debt market caps are respectively 48 and 41 trillion dollars. If you include gold as 9 trillion dollars worth, and then M3 of 18 trillion then you get the following ratios:

Equities: 41%
Bonds: 35%
Gold: 8%
Cash: 16%

Your mileage may vary but I thought this might be of interest.
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Re: Backtesting for the Optimum HBPP Allocations

Post by mathjak107 » Fri Jul 31, 2015 8:16 am

although i am not keen on gold at all  i think it is a well balanced retirement portfolio  , in my opinion  i wouldn't go longer than intermediate term on the bonds though .
Last edited by mathjak107 on Fri Jul 31, 2015 8:18 am, edited 1 time in total.
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