Gyroscopic Investing

Below stats are with annual rebalancing which approximates 5% rebalancing bands.

PP with VTSMX since 1972:
Total    CAGR    Std.Dev    Sharpe Ratio    Sortino Ratio
Portfolio Growth - Nominal    $384,837    8.86%    7.76%    0.53    1.52
Portfolio Growth - Real    $67,332    4.53%    6.86%    0.57    0.88

PP with momentum stocks since 1972:
Total CAGR Std.Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $286,382 8.11% 9.71% 0.36 0.78
Portfolio Growth - Real $50,106 3.82% 8.47% 0.39 0.44

PP with W5K EW since 1972:
Total    CAGR    Std.Dev    Sharpe Ratio    Sortino Ratio
Portfolio Growth - Nominal    $917,207    11.08%    9.05%    0.71    2.49
Portfolio Growth - Real    $160,476    6.67%    8.16%    0.75    1.68


PP with VTSMX since 1985:
Total    CAGR    Std. Dev    Sharpe Ratio    Sortino Ratio
Portfolio Growth - Nominal    $93,378    7.73%  5.73%    0.72    2.08
Portfolio Growth - Real    $41,857    4.89%    5.67%    0.71    1.34

PP with momentum stocks since 1985:
Total CAGR Std. Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $70,362 6.72% 6.81% 0.47 0.92
Portfolio Growth - Real $31,540 3.90% 6.62% 0.47 0.56

PP with W5K EW since 1985:
Total    CAGR    Std. Dev    Sharpe Ratio    Sortino Ratio
Portfolio Growth - Nominal    $154,700    9.56%    7.59%    0.80    2.84
Portfolio Growth - Real    $69,346    6.67%    7.53%    0.79    1.97


PP with VTSMX 1998-2012:
Total CAGR Std. Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $29,185 7.40% 4.83% 1.04 3.65
Portfolio Growth - Real $20,503 4.90% 4.49% 1.09 1.79

PP with minimum variance SPX portfolio 1998-2012:
Total CAGR Std. Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $34,191 8.54% 4.79% 1.29 3.78
Portfolio Growth - Real $24,020 6.02% 4.46% 1.35 1.90

PP with W5K EW 1998-2012:
Total CAGR Std.Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $40,596 9.79% 7.76% 0.97 4.60
Portfolio Growth - Real $28,520 7.24% 7.48% 0.99 3.31


PP with VTSMX 1999-2012:
Total CAGR Std. Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $26,526 7.22% 4.96% 1.01 3.70
Portfolio Growth - Real $18,936 4.67% 4.56% 1.07 1.59

PP with high beta stocks 1999-2012:
Total CAGR Std. Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $43,206 11.02% 18.20% 0.55 2.12
Portfolio Growth - Real $30,843 8.38% 17.56% 0.56 1.37

PP with W5K EW 1999-2012:
Total CAGR Std.Dev Sharpe Ratio Sortino Ratio
Portfolio Growth - Nominal $38,934 10.20% 7.88% 1.03 4.94
Portfolio Growth - Real $27,793 7.57% 7.64% 1.04 3.40


There is some negative tracking error with W5K EW in a couple of years vs VTSMX, but at no time was it ever the #1 equity fund loser in any given year and it was also the #1 winner in seven years.

Have at it, vultures!

PP with W5K EW???...first vulture in wants an acronym decoder.  Equal weight what, S&P 500?

Kbg wrote: PP with W5K EW???...first vulture in wants an acronym decoder.  Equal weight what, S&P 500?

Wilshire 5000 Total Return Equal Weight.

sophie wrote: Russell 3000?

Not sure what else you can do with making things really complex.

It's not that complex.  All it took was five ETFs weighted so and so to get nearly agnostic exposure to all market caps.  I don't know why this hasn't been offered as an ETF before, but probably because there's no investor demand for it.  Motif Investing would be perfect to keep the rebalancing costs down.

As far as the R3K, it is still marketcap overweighted to mega/large stocks (70%).  There was actually a filing back in 2009 for a Wilshire 5000 Equal Weight ETF but it never came out.  But after some deep thinking, even that would not have been equal in terms of marketcap exposure; based on the current market, I calculated it earlier today would be 21.21% large, 14.14% mid, 49.49% small and 29.27% micro, which explains its huge outperformance vs the non-equal weighted W5K.  Not kosher.

I will be backtesting both the W5K EW as well as the MG EW soon, if I can.  I'm convinced the more agnostic equities are, the better it is in keeping with the equal weight PP philosophy.  Tilting to mega/large caps is stupid and has long periods of underperformance relative to other marketcaps, so long as the fees are still relatively low.

The 25%x4 MG EW PP is now down -2.10% since inception on 04/02/15.  A large chunk of the loss is from the T-Bonds.  HBPP is -1.41%.

Worse than watching paint dry!

As I recently said, this is the year to own cash. Maybe next year too.