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How do annual rebalanced allocations like Golden Butterfly compare with monthly TAA
Posted: Sun Feb 20, 2022 3:37 pm
by StrategyDriven
Re: How do annual rebalanced allocations like Golden Butterfly compare with monthly TAA
Posted: Sun Feb 20, 2022 5:13 pm
by D1984
Just curious....how does the 60/40 compare--in terms of annual CAGR, MaxDD, alpha, Sharpe, Sortino, Ulcer Index, etc--with, say, an annually rebalanced blend of 80% ITTs (VFITX) and 20% MAX PAIN? How about against an annually rebalanced blend of 70% VFITX and 30% MAX PAIN?
Note that in Portfoliovisualizer--or even just simulating it in Excel--if you want to take a simulated VFITX back before late 1991 (since that was when it was incepted) you can use an annually rebalanced blend of 26% VUSTX, 61% FIGTX, and 13% VBMFX to replace VFITX (which for an 80% allocation to VFITX would mean 20.8% VUSTX, 48.8% FIGTX, and 10.4% VBMFX). If you do this you can go back to 1-1-1987 which means you can include the crash of Oct 1987.
BTW - To simulate VFISX before 1-1-1992 you can use 82% FIGTX and 18% CASHX rebalanced annually. To simulate VTSMX before early 1992 I'd just use either VFINX itself (since the two have a 0.99 correlation) or perhaps VFINX rebalanced annually with a tiny percentage of a small cap fund like NAESX (say, 97% VFINX and 3% NAESX); again, the point of this is it lets you go back before early 1992 all the way back to 1-1-1987....theoretically to simulate VTSMX you could use a blend of, say, 94% VFINX and 6% VEXMX but the issue there is that VEXMX (while being a purer representation of the smallcap + smaller-cap midcap market than NAESX) only goes back to 1-1-1988 whereas NAESX goes back further than that.
Re: How do annual rebalanced allocations like Golden Butterfly compare with monthly TAA
Posted: Tue Feb 22, 2022 9:42 am
by StrategyDriven
Here are some metrics.

Re: How do annual rebalanced allocations like Golden Butterfly compare with monthly TAA
Posted: Wed Apr 13, 2022 5:39 pm
by StrategyDriven
updated with Triad+
