PSA: I now have a 3-year period with no gains

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dualstow
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Re: PSA: I now have a 3-year period with no gains

Post by dualstow » Thu Sep 03, 2015 1:08 pm

RIP Ron Cobb (Daily Check-in Thread).
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Re: PSA: I now have a 3-year period with no gains

Post by Jack Jones » Thu Sep 03, 2015 2:02 pm

dualstow wrote: The big one. 72 pages. https://www.bogleheads.org/forum/viewtopic.php?t=15434
It continues with Med Tex in October 2010 http://www.bogleheads.org/forum/viewtopic.php?t=61964
Thanks!
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Re: PSA: I now have a 3-year period with no gains

Post by AdamA » Thu Sep 03, 2015 2:50 pm

dragoncar wrote:
That's kinda what spurred my post to begin with.  From when mediumtex said "A rolling three year period of negative returns would make me open up the hood and take a look."  We are nearing that point.
2014 returned like 12% on the PP.  Where are you getting this 3-year period of negative returns?
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Re: PSA: I now have a 3-year period with no gains

Post by sophie » Thu Sep 03, 2015 4:13 pm

9.8% officially in 2014 I think.  It's 4.8% total over the last 36 months.  Not negative and possibly not even real return negative if you believe the CPI (see thread I'm about to start), but still discouraging in the face of the tremendous stock market gains.

May I remind everyone though, that judging the stock market performance from the 2009 nadir is quite misleading unless you happened to buy in at exactly that point.  Most of the bull market was about recovering from the 2008-9 crash.  If you bought in at the peak in 2007, you would have been in the red until 2013 - that's NEGATIVE RETURNS FOR 6 YEARS.  If you're thinking that a standard Boglehead 60/40 or similar wouldn't be that bad, think again.  The pictoral performance chart on my Vanguard account says that nominal investment returns with a target date fund were negative between September of 2008 and October of 2011.  Less bad, but still 4 years in the red.

If you believe the PP's fundamentals are no longer sound, that would be a reason to pull out.  Not sure if a 3 year period with lackluster returns should be the criteria though.  By that logic you would most definitely have jumped out of the stock market sometime around 2010-2011, and then you'd have missed the big rally that's gone on since then.
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Re: PSA: I now have a 3-year period with no gains

Post by PP67 » Thu Sep 03, 2015 5:34 pm

It's been tough even for the biggest and brightest...

http://www.zerohedge.com/news/2015-09-0 ... quarter-le


Bridgewater's 'All-Weather' Fund Goes Negative For 2015 After Risk-Parity's Worst Quarter Since Lehman


The $80 billion Bridgewater All Weather Fund, a risk-parity model managed by hedge fund titan Ray Dalio, was down 4.2% in August, according to Reuters citing two people familiar with the fund's performance. This leaves the fund down 3.76% for 2015 as the frameworks for these funds are forced mechanically to reposition as correlations and volatilities across asset classes break down. Just as we saw in the summer of 2013's Taper Tantrum, the last 2 weeks have seen 4 to 5 sigma swings in daily returns and 'generic' risk-parity funds have suffered the biggest 3-month losses since the financial crisis.
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Re: PSA: I now have a 3-year period with no gains

Post by MediumTex » Thu Sep 03, 2015 5:37 pm

PP67 wrote: It's been tough even for the biggest and brightest...

http://www.zerohedge.com/news/2015-09-0 ... quarter-le


Bridgewater's 'All-Weather' Fund Goes Negative For 2015 After Risk-Parity's Worst Quarter Since Lehman


The $80 billion Bridgewater All Weather Fund, a risk-parity model managed by hedge fund titan Ray Dalio, was down 4.2% in August, according to Reuters citing two people familiar with the fund's performance. This leaves the fund down 3.76% for 2015 as the frameworks for these funds are forced mechanically to reposition as correlations and volatilities across asset classes break down. Just as we saw in the summer of 2013's Taper Tantrum, the last 2 weeks have seen 4 to 5 sigma swings in daily returns and 'generic' risk-parity funds have suffered the biggest 3-month losses since the financial crisis.
That makes me so happy to be using the PP.  It looks like YTD it's doing better than just about everything else.
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Re: PSA: I now have a 3-year period with no gains

Post by mathjak107 » Thu Sep 03, 2015 5:58 pm

bridgewater's is a special situation  , not really representative of a regular fund ..

the problem is they use risk parity to bet against markets and they bet to heavy against the markets  early on  so  going in to in august they never developed the cushion  more conventional funds had .
they lost 4.2 percent in August , posting a negative 3.76  return  . that means they had to be barely up prior to august while conventional funds were doing well .

i know my fidelity blue chip growth and , contra were  all up more than 8% -10% prior  so  while they lost ground they are all positive .

fidelity blue chip growth is up 2.36%  contra  up 1.50 .
Last edited by mathjak107 on Thu Sep 03, 2015 6:02 pm, edited 1 time in total.
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Re: PSA: I now have a 3-year period with no gains

Post by craigr » Thu Sep 03, 2015 6:03 pm

Risk parity. Meh:

http://gyroscopicinvesting.com/forum/pe ... /#msg61780
My bet is on the simple HBPP:

1) Lower costs.
2) Simpler to setup and manage.
3) Fewer moving parts inside the asset classes.
4) No leverage.
5) Doesn't try to complicate things with dubious backwards looking volatility measures.
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Re: PSA: I now have a 3-year period with no gains

Post by mathjak107 » Thu Sep 03, 2015 6:23 pm

interesting read about them  and their risk parity use .  yeeeech , i will take a good ole fashioned fund any day

http://www.streetinsider.com/Hedge+Fund ... 67437.html
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Re: PSA: I now have a 3-year period with no gains

Post by sixdollars » Thu Sep 03, 2015 7:03 pm

Pointedstick wrote:
iwealth wrote: ONE single year (2013) makes up the entirety of the 2.6% CAGR difference. All of this angst over one year's worth of underperformance in a historic bull market. You read these threads and you'd think the PP was in the midst of a massive drawdown or something. Seriously, sixdollars quote is on the money. It's crazy in here.
I agree, but I think it's a case of expectations not matching up with reality. Right now, everything is treading water, and I think some people assumed that this should be the ideal condition for the PP, and, specifically, that the PP would zig when other things zagged, and on a daily basis, to boot! It's the same old case of wishing for a portfolio that only ever went up, never down. Now that it's going down, there's panic because this wasn't supposed to happen! It's just not realistic.
Yeah, and it's unfortunate that people jumped into the PP without realizing this.  Gumby stated something about this in the bogleheads forum, quoting John Chandler.
Gumby wrote:
He was. However, he never believed in limiting yourself to a 12 month timeline when comparing investments.

John Chandler, who was instrumental in helping Harry Browne research the Permanent Portfolio, said the following about 12-month returns:
    JOHN CHANDLER: The world doesn't really work according to the calendar...A lot, a lot of harm has been done because of the calendar. And one of the harms is trying to make everything fit neatly into a 12 month, or four week, or seven day pattern. The idea of the Permanent Portfolio is is that it invests in asset classes, which respond differently in different economic conditions. The economic conditions that makes one thing goes down, is the same condition that makes another asset go up. But, here is the key and that is that it does not happen overnight. It does take time for these economic forces to take hold. And I rememember back in the seventies, early eighties when we were doing research on the Permanent Portfolio, we found periods as long as 18 months where the portfolio could lose money. But, now that was about the longest we found. Now bear in mind that this is not a promise. It's not a guarantee without — saying that with only 18 months it can work. I can simply say, during the periods when it was being tested. The prices... doing tests on the Permanent Portfolio and what would happen in the different situations over long, long, long periods of time — about 18 months is the maximum we found where the portfolio could lose money before the economic forces took hold and balanced the portfolio out.
"There’s nothing wrong with Harry’s portfolio—nothing at all—but there’s everything wrong with his followers, who seem, on average, to chase performance the way dogs chase cars."

-William J. Bernstein
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Re: PSA: I now have a 3-year period with no gains

Post by Reub » Thu Sep 03, 2015 8:17 pm

Good to see you guys posting a little bit more often!  ;)
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Re: PSA: I now have a 3-year period with no gains

Post by mathjak107 » Fri Sep 04, 2015 4:01 am

"There’s nothing wrong with Harry’s portfolio—nothing at all—but there’s everything wrong with his followers, who seem, on average, to chase performance the way dogs chase cars."

-William J. Bernstein



bernsteins opinions and theory's change way to fast himself ,  he changes them far to much to take anything he says  for more than the moment .

first he was big on retiree's investing through retirement  using equity's  and bonds for their income ,  then he switched sides in his book the age of the investor .  now it was short term bonds , tips and a longevity annuity , equity's were only if you had extra money to inveast after essential expenses were covered  .  then he re-canted that  strategy for now  after another researcher pointed out that rates are just to damn low to make that an option .

i don't take bernstein's opinion on anything for more than the thought in his head at the moment .
Last edited by mathjak107 on Fri Sep 04, 2015 4:04 am, edited 1 time in total.
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