You sound like doodle there!melveyr wrote: I am still not quite sure where you stand. You criticize the PP and call its followers muppets in one breath (alluding to a better quantitative solution that involves more transactions), but then you dismiss quantitative solutions in posts like this.
Where do you stand? What are you currently doing with your money?

I'm just saying that we must not lose sight that the PP is fundamentally about economic environments, not "holy grail" mathematical algorithms for portfolio optimization, and so long as historical data is limited, the two will not meet each other. Heck, I will almost guarantee that the "optimal" allocation derived by any algorithm won't be a heuristic 25x4 in my natural lifetime!
I think the PP's theoretical basis comes into play when deciding what broad asset classes to include and when deciding whether or not a proposed "optimal" allocation is sensible. Maybe if we could include T-Bond data back the the 1940's, the resulting algorithm weights would be more sensible than overweighting to interest/inflation risk, but we don't currently have the luxury of that certainty.
So, where I stand at present is that I believe what we are all really after is a maximally anti-correlated portfolio and I am only willing to accept the limited history of T-Bonds using that approach. It is the only portfolio weighting scheme that seems to be in harmony with the PP's fundamentals: http://www.systematicportfolio.com/mincorr