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I found a paper that explains more what happened http://scholarship.law.duke.edu/cgi/viewcontent.cgi?article=5343&context=faculty_scholarship "Finally, what was the combined effect of the debt exchange and buyback on Greece’s creditors? A creditor participating in both would have received 15...

Its a little more complicated than that, the 10y was already down 50% before the haircut, the market had already priced in the haircut. apparenly during that period there was a huge rally in the bonds: "For example, investors who braved an investment in Greek bonds just prior to the...

it looks like my bond data is off. im not taking into account the haircut in 2012. I thought that only applied to the banks but it seems that they used local laws to include everyone.The 2012 return is prabably off

https://www.bloomberg.com/news/videos/2017-01-19/ray-dalio-stock-rally-bond-sell-off-is-logical Dalio calls stocks 'modestly attractive', says it all depends on the Trump policies

Just a quick correction, I noticed a couple formulas were off and the results were being understated. The corrected results are: Computer portfolio: 15.4% real gain instead of 10%. 1.44% CAGR Daal portfolio: Flat as a pancake Dalio: So its a bit better than I thought. I would note...

We can all only speculate at this point but the Treasury secretary talked about cutting taxes but removing loopholes to make it more tax revenue neutral. They also got about $200B+ as a hidden asset in the form of GSEs warrants. All they got to do is to release them from gov control and get...

Duration ratio of the 30y Greek bond vs the 10y bond. My 2-1 rule of thumb didn't do so bad. The average was 1.75. This type of change can be inputed into the rebalancing to make it more precise but the 2-1 rule wasn't off by much

The worst drawdowns were: -52% Computer -50% Dalio -48% Daal This was probably worse with monthly data (especially at the depths of the crisis in 2011). So it would be tough on the investor. He would have needed to continue to follow the investing plan (continuing to keep the maturity of the...

The real returns that were assumed in the backtest

"But what if Greece had defaulted?", since these portfolios rely quite a bit in bonds, one might think that they would have lost huge had a default occured. It's possible that this would have happened but its also possible that they would have made even MORE had Greek defaulted I consider the...

Just to given an idea of the effect of the rebalancing into a plunging stock market, if you remove rebalancing, the real total returns range from 29% (computer) to 18% (Mine) to 12.84%(Dalio). So for the optimal portfolios to produce a net real gain/losses of 13% -3% and -10.89% despite that...

The results of the Greek backtests are amazing. While the country has suffered, perhaps, its worst depression in history, some of the optimal balanced portfolios even MADE money. First, the "computer portfolio". This is the portfolio the computer told me it was the best for monthly US data...

That said, given that the backtest will stop at 2016 year end, it will be a quite unfair backtest. It essentially will have taken all the stock market drawdown (with all the rebalancing cash from bonds/gold going into the stock market) but not the recovery. Kinda like testing a US portfolio from...

It will be interesting to see how the actual rebalancing does in this case. Because the strategy would have you buying equities on the way down and we know that Greek stocks are down 90-95% from their peaks. I'm sure it wont be pretty but the bond part and the gold part will at least make sure...

It would be pretty cool to test my optimal portfolio (the one that I designed at this point but that I will teak/improve in the future) in the Greek 2008-2016 period. That would be a nice way to see how it does under severe conditions. I'm planning to work on that. So far I got this snipet of...

I agree, Antifragile is great. I think Book Six (The Medical Chapters) is outstanding. I just feel that Taleb could be doing a better job at explaining some things

When it comes to airplane durability (engines, parts etc). Things are more reliable because physics and data coming from physics tend to be more stable. You put in a human component and all of the sudden it takes a lot longer samples to know what is the chance of something. What is the chance of...

The reason I'm bringing this regulator gaming up is because, its not only a matter of probability of small plane/company crash vs big plane/company crash. Everybody knows it is higher with the smaller ones, that is already taken into account the Sklansky theory by inputting the historical...

Gaming and fooling regulators isn't a hard thing to do, smaller companies or small private planes might gamble and try to game them more often (after all, they got less money for compliance). Eventually it blows on their face and the regulators close the loophole but while the loophole/trick is...

Even though I think the theory is solid, its possible that its much harder to apply to airplane crashes. Especially when we are talking about NON-COMMERCIAL planes (either small planes or big planes that don't belong to the big companies). These smaller planes might have a much bigger standard...