Cool Collection of PP Charts

General Discussion on the Permanent Portfolio Strategy

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MediumTex
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Cool Collection of PP Charts

Post by MediumTex » Sat Jun 27, 2015 4:14 pm

Below
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Tyler
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Re: Cool Collection of PP Charts

Post by Tyler » Sat Jun 27, 2015 5:01 pm

Fun topic! 

Here are a few of my own.  All source data is from Simba's spreadsheet.  Rebalanced annually. 

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More info here: http://tinyurl.com/p6hlxts and in RickB's link below

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More info here: http://tinyurl.com/q9yq5gb

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FYI -- if you find these charts helpful, you can now make your own at PortfolioCharts.com.  Enjoy!
Last edited by Tyler on Sun Jun 05, 2016 11:47 am, edited 3 times in total.
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Re: Cool Collection of PP Charts

Post by rickb » Sun Jun 28, 2015 1:31 am

[Original thread: http://gyroscopicinvesting.com/forum/pe ... c-graphic/]

Apologies to those of you who are red/green colorblind - in this chart of the inflation adjusted CAGR (similar to Tyler's above - and the original must be credited http://www.crestmontresearch.com/stock-matrix-options/) the color intensity varies essentially continuously according to the magnitude of the CAGR - i.e. there aren't just 5 discrete colors but rather a continuous range of colors.  There's a discrete red/green shift at 3% CAGR, but other than that the "brightness" of the red or green reflects the magnitude of the CAGR.  In all cases the CAGR is inflation adjusted, based on yearly data, with annual rebalancing, and does not account for fees or taxes.

Permanent Portfolio:
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100% stock:
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60/40 stock / 10yr treasuries:
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Last edited by rickb on Sun Jun 28, 2015 1:37 am, edited 1 time in total.
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Re: Cool Collection of PP Charts

Post by pugchief » Sun Jun 28, 2015 10:12 am

For those of you sweating the inevitable rise in interest rates, this may give you some perspective:

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Re: Cool Collection of PP Charts

Post by Tyler » Tue Jun 30, 2015 11:41 am

Another favorite of mine is from Ryan Melvey (melveyr). 

Image
More info here: http://tinyurl.com/otuojkc
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Re: Cool Collection of PP Charts

Post by D1984 » Tue Jun 30, 2015 1:24 pm

Tyler wrote: Another favorite of mine is from Ryan Melvey (melveyr). 

Image
More info here: http://tinyurl.com/otuojkc
Good chart but it looks like it ends in 2011...any chance of an updated version out to 2014 or (so far) 2015? I know the last few years haven't been exactly stunning for the PP and I wanted to see if it was still at the trendline or below it.
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Re: Cool Collection of PP Charts

Post by TennPaGa » Tue Jun 30, 2015 1:28 pm

This was a calculation I did about a year ago.  Original post in Terrific Graphic thread.

-------------------------------------------------------------------------------

This isn't a terrific graphic like the "heat map" others have posted, but I thought it was useful nonetheless.

I was curious to see what the CAGR was for the PP during a 20 year accumulation phase.  The plot below answers that question.  It shows the CAGR based on 20 years of identical monthly additions to the PP and a S&P500 account.  The x-axis is the 20th year.  For example, the nominal CAGR for a PP that was started in 1980 and ended in 2000 was 9%; the real CAGR was 5.8%.

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As you can see, the real CAGR for the PP has help quite steady over time.  It's average is 5.2%, with a standard deviation of 0.5%.  For stocks, the average real CAGR is 7.8%, with a standard deviation of 3.5%.

The plot below shows the final (nominal) value of the account in the 20th year.

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Model description:

* Monthly data from www.peaktotrough.com/hbpp.cgi (I used 1 year treasuries for cash option)
* Assumes all dividends reinvested
* 15/35 rebalance bands for PP
* Accumulation begins with addition of $500 on January 1 in year N-20.  $500 is added on the first of each month for 20 years.
* Addition is divided equally between the 4 assets. 
* Rebalancing performed prior to addition.

The rides one goes on with stocks can be quite violent.  The PP ride is quite steady by comparison.  For example:

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Or:

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Re: Cool Collection of PP Charts

Post by Mark Leavy » Tue Jun 30, 2015 5:24 pm

D1984 wrote: Good chart but it looks like it ends in 2011...any chance of an updated version out to 2014 or (so far) 2015? I know the last few years haven't been exactly stunning for the PP and I wanted to see if it was still at the trendline or below it.
Here's the last 11 years (05/26/04 to 06/30/15)

Real Log chart roughly similar to Melvyr's $10K start, 15/25/35 bands.
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Nominal and real and assets and rebalances in linear form.
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CAGR and Draw Down Info
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Best fit of the inflation adjusted data to log growth curve.
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Re: Cool Collection of PP Charts

Post by Pointedstick » Sun Jul 05, 2015 3:46 pm

[cross-posted from http://gyroscopicinvesting.com/forum/pe ... #msg124921]

Most other portfolios inflate their returns by not having any cash, but in real life nobody holds no cash; they simply don't count it as part of their investment portfolio. As a result, their investment portfolios are a smaller percentage of their net worth than a PP investor would have. So an apples-to-apples comparison of two people with identical net worths, one in the PP, and the other not, would either show that the PP person should have a higher amount of their money in the portfolio, or that the other portfolio should include all that cash off to the side.

25% of total net worth being cash works out to 6.25 years living expenses, which is pretty reasonable. If we modify many conventional portfolios to have that much cash, the actual returns on the total portfolio value become much more comparable to the PP. For example, here's a standard 60/40 portfolio that's been modified to be 25% cash 75% 60/40. In other words, 25% cash, 45% stocks, 30% total bond market. PP in blue, other portfolio in red:

[img width=600]http://i.imgur.com/9mNlCGa.png[/img]

The PP wins!

So no, you don't need a separate cash emergency fund if you invest with the PP.
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Re: Cool Collection of PP Charts

Post by TennPaGa » Sat Jul 18, 2015 11:38 am

I like Mark Leavy's suggestion: Let's limit this thread to actual charts, and put commentary elsewhere
(Like here, for example).

Or you can start a new thread.  New threads are good. :)

-- TPG
Last edited by TennPaGa on Wed Dec 09, 2015 9:06 pm, edited 1 time in total.
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Re: Cool Collection of PP Charts

Post by Tyler » Tue Sep 08, 2015 11:16 am

One more for the list:
Image
Lots more info here and here.
Last edited by Tyler on Thu Jun 02, 2016 9:28 pm, edited 2 times in total.
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Re: Cool Collection of PP Charts

Post by rocketdog » Thu Sep 17, 2015 12:51 pm

I just happen to have some charts of my own I created a while back.  The first is the source data, and the rest are graphs based off of that data.  That last one concerns me, as the 43-year Total Return trend line is clearly sloping downward.  Enjoy.

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Last edited by rocketdog on Thu Sep 17, 2015 12:57 pm, edited 1 time in total.
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