I have totally revamped the long run charts section of my website. I just coded it up this afternoon so if it ever errors out in the future let me know and I will try to squash it.
http://www.stableinvesting.com/p/long-t ... mance.html
It is better now because it has monthly data since inception and it will automatically update each month (the stats at the bottom will too!). I am a big fan of graphs, and I hope some of you find the new stuff useful.
New Long Run Graphs
Moderator: Global Moderator
New Long Run Graphs
everything comes from somewhere and everything goes somewhere
Re: New Long Run Graphs
Many thanks melveyr,
This is a graceful, direct, simple and elucidating presentation and relaxing to my brain to see the permanent portfolio presented in this way.
This is a graceful, direct, simple and elucidating presentation and relaxing to my brain to see the permanent portfolio presented in this way.
Inside of me there are two dogs. One is mean and evil and the other is good and they fight each other all the time. When asked which one wins I answer, the one I feed the most.�
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MachineGhost
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Re: New Long Run Graphs
The stocks and gold volatilities look a bit low. Is that being calculated on the real returns as opposed to nominal?melveyr wrote: It is better now because it has monthly data since inception and it will automatically update each month (the stats at the bottom will too!). I am a big fan of graphs, and I hope some of you find the new stuff useful.
So how many rebalancing events were there on this data back to the 1920's? Do they all have the same data starting date?
Last edited by MachineGhost on Fri Mar 22, 2013 3:40 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!
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!
Re: New Long Run Graphs
Very interesting. Looks like a lot of rebalancing into cash (and gold for that matter) over the last 30 years. Competing portfolio advocates claim the increased adoption of the PP to be a case of recency bias as gold has risen quickly since the mid-2000's. But I guess that depends on your definition of "recent" considering the portfolio still performed well while being held down by gold for 2 decades prior.
Last edited by iwealth on Fri Mar 22, 2013 10:33 am, edited 1 time in total.
Re: New Long Run Graphs
Yes the volatility is the monthly standard deviation of real returns, but then annualized out. In the PP chart you easily see the rebalancing points. It is simply when all of the asset class weightings are 25% (the colored lines go vertical).MachineGhost wrote:The stocks and gold volatilities look a bit low. Is that being calculated on the real returns as opposed to nominal?melveyr wrote: It is better now because it has monthly data since inception and it will automatically update each month (the stats at the bottom will too!). I am a big fan of graphs, and I hope some of you find the new stuff useful.
So how many rebalancing events were there on this data back to the 1920's? Do they all have the same data starting date?
everything comes from somewhere and everything goes somewhere
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MachineGhost
- Executive Member
- Posts: 10054
- Joined: Sat Nov 12, 2011 9:31 am
Re: New Long Run Graphs
No Script was blocking the charts.
They definitely show the PP is overweight to gold's risk. But that the PP still works after a 20-year bear market in gold says more about gold's ultimate usefulness than anything else.
I'm starting to think HB was just lucky with his simplification to 25x4 in 1987... the PP could have been a disaster and then faded off the map.
They definitely show the PP is overweight to gold's risk. But that the PP still works after a 20-year bear market in gold says more about gold's ultimate usefulness than anything else.
I'm starting to think HB was just lucky with his simplification to 25x4 in 1987... the PP could have been a disaster and then faded off the map.
"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!
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!
Re: New Long Run Graphs
Yes gold's, real drawdown was quite brutal. It would have taken an incredible amount of discipline to keep buying gold as your friends were running around in power suspenders making a killing in stocks and bonds.MachineGhost wrote: No Script was blocking the charts.
They definitely show the PP is overweight to gold's risk. But that the PP still works after a 20-year bear market in gold says more about gold's ultimate usefulness than anything else.
I'm starting to think HB was just lucky with his simplification to 25x4 in 1987... the PP could have been a disaster and then faded off the map.
everything comes from somewhere and everything goes somewhere
Re: New Long Run Graphs
Melveyr,
That's a beautiful website. Clean and simple. Thanks for the good info. I'll be checking back.
That's a beautiful website. Clean and simple. Thanks for the good info. I'll be checking back.
Re: New Long Run Graphs
The site looks great.
Lots of good info there.
Lots of good info there.
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