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I can't overplay this issue though. UK gilts vs UK bills are not that far apart in terms of benefits. I asked the computer to find the best Sortino but only using UK stocks, gilts and bills so it couldn't go running to gold for protection. This is what I found: using gilts instead to see the...

This hypothesis seems to be confirmed further by this test A 50% stock index position with 20% in gold, is better off (from a risk adjusted point of view) by incorporating UK bills into the rest of the portfolio than by adding UK gilts. UK gilts historically have been 'bad' hedge assets...

One thing that I'm finding is that the effects of the wars, fiscal problems, etc rendered UK gilts bad 'hedge assets'. I used Excel Solver to try the ideal allocation to my UK data, it was quite a bit different from the US case. The computer was forced to run to gold because UK gilts didn't...

I was able to locate UK data to run some portfolio tests on. Unfortunately its annual data which creates the effect of making stocks look more stable and less volatile than they are but still, I can learn some things from it regardless Some things that I was able to learn by looking at the data...

Found the data. On the end of the Barclays UK Gilt study they provide an annual series for UK stocks, gilts and bills. Real returns are provided as well http://hungrydummy.com/media/pdf/EquityGiltStudy2016.pdf They also put in there a US asset return series Total money spent: $€£ 0 And I...

Its very counter-intuitive because the finance industry teaches everyone to think in terms of geometric returns (compound rates) but as the paper says "Expected portfolio values are governed by arithmetic means, not geometric means or volatility."

This improvement in geometric returns is an illusion, it does not add to final returns (what you can eat with the money). Read that paper, it explains pretty well

You mentioned "diversification cost", I suppose you really mean "rebalancing cost". Diversification doesn't increase returns but only, decreases volatility. If one notices increases in returns coming from diversification, its likely due to rebalancing This paper explains this well...

its called risk aversion, not everything is a function of withdraws or forced selling. perhaps I need to give up on ET, for every good reply there is like 50 piles of crap

Let's say the investor has a max tolerable drawdown of 33% and an expected return of 5% over the S&P500. Should the portfolio have 10 positions with 10% each, 5 with 20% each? Less? More? Precision is not important, what kind of position sizing makes sense for this portfolio?

"(This description leaves aside my Berkshire Hathaway holdings, which are all committed to philanthropy)"

Only thing I found was this http://www.finfacts.ie/Private/curency/ftseperformance.htm But the compounded growth rate is around 4%, which tells me that index does not include dividends. Any further help would be appreciated

"If prices keep looking attractive, my non-Berkshire net worthwill soon be 100 percent in United States equities" - Buffett "Those individuals or institutions who are long term compounders should consider the possibility of using the Kelly criterion to asymptotically maximize the expected...

It was 15% and its far from being oversized. Oversized would be 30-40%+. 10-20% is actually quite standard

Saving for reference. Keywords: S&P500 non-US revenue sources, international sales, global revenues

I understand, that's why I put mistake in quotes. Sometimes people might want to maximize wealth, sometimes utility, sometimes (perhaps) other people's (the country) wealth/prosperity. Those are all valid uses for money, but I do find extremely interesting how that 2008 piece, which is widely...

Yes, its possible that it was part of the idea, to buy stocks and try to pump them to "create confidence". His GE and GS investments could also have been part of the "act". But still, those things are still 'benefits', one can keep adding benefits and still it doesn't warrant an 'all-in bet'...

You guys are missing my point, it's not about me being paranoid about tail risks, its about the following: Buffett owned "nothing but goverment bonds" all the way to 2008. Then, he took all of that and put into stocks. Clearly there was a 'risk management' of some kind that made him avoid...

According to Meb Faber the returns from investors from Russia and Cuba on those periods was -100%. And where did I say anything about puts? I'm all for global diversification, if anything

Russia 1917, Cuba in the 60s. Perhaps North Korea as well. I'm sure there are plenty of others. With the creation of nuclear weapons, there is now a new way investors can be wiped out as well