Gyroscopic Investing

[align=center]1975 - 2013.2167: 9.17% CAGR, -17.94% MaxDD
37% Cash: 8.85% CAGR, -14.91% MaxDD
55.5% Cash: 8.29% CAGR, -9.83% MaxDD











[/align]

I'm having trouble translating all of the graphs. Would you mind explaining what some of the latter ones are telling us?

melveyr wrote: I'm having trouble translating all of the graphs. Would you mind explaining what some of the latter ones are telling us?

The excursion charts show the best/worst statistics for the four "trades" after annual rebalancing (365+1) until the next annual rebalancing.  The lone 160%-180% "trade" was the gold peak during 1979-1980.

I just added a monthly breakdown chart by each year and corrected the cash returns.

Cash (90-day TBills) is a surprisingly strong contributor to the CAGR, but its a bit front-loaded, obviously.

Good work.

-19.02% MaxDD > when was that?

frugal wrote: Good work.

-19.02% MaxDD > when was that?

The exact date was March 27, 1980.

MachineGhost wrote:

frugal wrote: Good work.

-19.02% MaxDD > when was that?

The exact date was March 27, 1980.

Its high the DD

But at the end of the year the PP returned +18%!

I have updated the return and risk statistics after fixing a bug in total return T-Bills, but not the charts.

Updated to show the cash percentage necessary to get the maximum drawdown under 10%.

I also switched to using ETF's when they first became available.  SPY/TLT/GLD and BIL have minimal tracking error vs the total return indexes.  In fact, there is a slightly larger CAGR (.15%) for the exact same drawdown risk using these ETF's.

I have updated the stats to reflect cash now being a 5-year Treasury ladder.  Because I'm unaware of a similar duration Treasury fund, I've toggled back to using the total return indexes from the ETF's.

BTW, cash accounts for 68.38% of the PP's return.