Historical performance of a Swedish Permant Portfolio

[lordmetroid]

This is a Swedish Permanent Portfolio without rebalancing,
Admittedly smoother than an all stock portfolio but it is still a very bumpy ride and very prolonged declines.

[img width=700]http://i.imgur.com/qYb3fcx.png[/img]

Dear Lord:

Your image has been degunked. 

For future reference, have a look here.
-- TPG

[jafs]

Why would you look at a PP portfolio without re-balancing??

The idea of re-balancing periodically is an integral part of the concept.

[lordmetroid]

Why would you look at a PP portfolio without re-balancing??

The idea of re-balancing periodically is an integral part of the concept.

I haven't figured out how to do the rebalancing in a spreadsheet.

[Pointedstick]

Why would you look at a PP portfolio without re-balancing??

The idea of re-balancing periodically is an integral part of the concept.

I haven't figured out how to do the rebalancing in a spreadsheet.

Here's how I do it:

First, have a column whose cells contain a 1 or a 0 depending on whether a rebalance is necessary, which is computed by looking at the percentages of the assets. Here's the horrible formula for mine:


=IF($B$2=1,IF(OR(O6>(0.333*(1+$F$2)),O6<(0.333*(1-$F$2)),P6>(0.333*(1+$F$2)),P6<(0.333*(1-$F$2)), Q6>(0.333*(1+$F$2)),Q6<(0.333*(1-$F$2))),1,0),IF(OR(O6>(0.25*(1+$F$2)),O6<(0.25*(1-$F$2)),P6>(0.25*(1+$F$2)),P6<(0.25*(1-$F$2)), Q6>(0.25*(1+$F$2)),Q6<(0.25*(1-$F$2)),R6>(0.25*(1+$F$2)),R6<(0.25*(1-$F$2))),1,0))

Then you tell the cells for the amounts in each asset to consult the relevant rebalance cells. If they indicate a rebalance is needed, the starting number is (total portfolio value/4); if not, it's not changed.

=IF($C$2=1,IF($S6=1,$M6/4,I6)*(1+(HLOOKUP(B$4,'Real values'.$B$1:$G$42,('Real values'.$A2-$G$2)+2,0)/100)),IF($S6=1,$M6/4,I6)*(1+(HLOOKUP(B$4,'Real values'.$B$1:$G$42,('Real values'.$A2-$G$2)+2,0)/100))-($N7/4))
Also, can you make your graph smaller? It's gunking up the layout.

PS - I degunked your formulas.
-- TPG

[Libertarian666]

You shouldn't talk! Your spreadsheet code is much wider than his chart!

Dear techno:
I removed the PS code gunk from your post.  Benevolent dictatorship!
-- TPG

[Pointedstick]

D'oh! I thought it would wrap.

[Greg]

D'oh! I thought it would wrap.

https://www.youtube.com/watch?v=dO37Ql91qqM <-- Homer Simpson's D'ohs from Season 1 - 20.

[lordmetroid]

The SWE-PP is simply depositing 25% in each asset at the first day and letting it run it's course

The SWE-PP (Daily rebalance) I add the change for all the assets, divide by 4 and apply that total to the portfolio value for each day.
This gives a much smoother ride, of course one can not rebalance daily but the results should be similar enough to a monthly rebalance.

[dutchtraffic]

Pretty horrible performance...?

[Pointedstick]

Whoa, that is some awesome Excel-fu, TPG!

[lordmetroid]

I noticed the Cash and Bonds mutual funds had been paying out dividends so after correcting the NAV I got this chart.
The stock data is also without dividends but I can't find any data where the dividends are included so the CAGR ought to be higher and the Permanent Portfolio ought to have an  even smoother ride.

SWE-PP CAGR: 5,44%
SWE-Stocks CAGR: 1,58%.

If I eliminate Cash I could get a CAGR of 6,43% but I don't think I would want to do that.

[img width=500]http://i.imgur.com/MdNqXkl.png[/img]


Here is a chart of the individual Swedish assets.
I have used:

• Stocks: XACT OMXS30
• Cash: Swedbank Robur Penningmarknadsfond
• Bonds: AMF r�ntefond L�ng
• Gold: Gold spot price in USD converted to SEK

[img width=500]http://i.imgur.com/pxwNtuv.png[/img]

[Libertarian666]

Holy crap, you people know some serious spreadsheet mechanics. This forum was worth joining if all I got out of it was this thread.

You'd be surprised what some of us know about a number of topics.