StockFetcher Forums · Filter Exchange · Permanent Portfolio<< 1 2 3 4 >>Post Follow-up
spauken
47 posts
msg #156368
Ignore spauken
4/1/2021 4:56:49 PM

I hate drawdowns, so I would go with 25% each in GLD, TLT, XLP (defensive) and VTI. Worst year is -4.21% and max drawdown is -15.33 with 9.32 CAGR.

olathegolf
119 posts
msg #156431
Ignore olathegolf
4/7/2021 8:20:44 PM

I use https://www.trendlineprofits.com.

They offer four strategies similar to the ones discussed here. Costs about 15 bucks a month. First 2 months free. Testing and performance info is generated by ETFreplay which is similar to portfoliovisualizer. Signals are provided the last trading day of the month and executed on the first trading day of the following month.

You can combine strategies with excellent drawdown and CAGR results.

Something to check out.


davesaint86
720 posts
msg #156436
Ignore davesaint86
4/8/2021 12:02:33 PM

I'm a big fan of David Allan Carter's 12% Solution. I think I've improved on his 12% solution.

davesaint86
720 posts
msg #156437
Ignore davesaint86
4/8/2021 12:04:55 PM


spauken - I assume your portfolio is buy and hold. Any rebalancing? I have portfolios that I created that contain XLP and VHT for some of defensive positions.

davesaint86
720 posts
msg #156438
Ignore davesaint86
4/8/2021 1:15:20 PM



Portfolio 1
Ticker Name Allocation
USMV iShares MSCI USA Min Vol Factor ETF 30.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
FDN First Trust Dow Jones Internet ETF 30.00%
EUO ProShares UltraShort Euro 20.00%
Portfolio saved as '2 - USMV TLT FDN EUO SR=1.69'. Manage saved models »

Portfolio Returns
Portfolio performance statistics
Portfolio CAGR Stdev Best Year Worst Year Max. Drawdown
Portfolio 1 12.76% 7.60% 19.01% 1.90% -7.69%
SPDR S&P 500 15.66% 13.08% 32.31% -4.56% -19.43%

davesaint86
720 posts
msg #156439
Ignore davesaint86
4/8/2021 1:37:52 PM

Since 2009

Ticker Name Allocation
FDN First Trust Dow Jones Internet ETF 31.43%
TLT iShares 20+ Year Treasury Bond ETF 21.17%
XLP Consumer Staples Select Sector SPDR ETF 13.19%
GLD SPDR Gold Shares 6.48%
EUO ProShares UltraShort Euro 19.11%
VHT Vanguard Health Care ETF 8.62%

As Above Equal Weighted
CAGR 13.06% 12.07%
Expected Return  13.33%   12.35%
Stdev 7.04% 7.16%
Best Year 21.06% 20.83%
Worst Year -0.79% -0.42%
Max. Drawdown  -6.10%  -6.83%
Sharpe Ratio (ex-post) 1.71 1.56
Sortino Ratio 3.86 3.22
US Stock Market Correlation 0.66 0.78



dmewbourne
15 posts
msg #156580
Ignore dmewbourne
4/13/2021 3:25:41 PM

Thanks for sharing this Dave. How far back was the TYD/QLD backtested?

davesaint86
720 posts
msg #156581
Ignore davesaint86
4/13/2021 4:42:34 PM

Since 2010.

davesaint86
720 posts
msg #156582
Ignore davesaint86
4/13/2021 4:50:18 PM

So the 60% IEF 40% QQQ results since 2003 are shown below.

CAGR Stdev Best Year Worst Year Max. Drawdown Sharpe Ratio Sortino Ratio US Mkt 10.02% 6.90% 25.37% -5.95% -12.50% 1.24 2.27 0.73



davesaint86
720 posts
msg #156583
Ignore davesaint86
4/13/2021 4:56:06 PM

A 43% QLD 57% TYD allocation seems to be the best for a maximized sharpe ratio. 23% CAGR. MAX DD 11.54%

StockFetcher Forums · Filter Exchange · Permanent Portfolio<< 1 2 3 4 >>Post Follow-up

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