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30y have slighly lower Sharpe Ratios then 10y bonds (and presumably, lower Sortino ratios) looking at 1978 to 2016 data. But it isn't all that much, about 10-12% lower Sharpe. So, they fit in with the formula of 70% in high Sortino pretty well. Especially, because they are so capital efficient...

When I run tests on annual data the recommeded allocation was for 35-50% in equities. With monthly data the recommeded allocation was 15-25%. So, with that monthly US data, the computer finds optimal to own 3.5 units of 10y bonds for every 1 unit of stocks with 0.5 units in gold. What if you...

When you allow all asset classes, the computer seems to find an equilibrium (after varying the rebalancing from 1m to 12m to 48m to 88m) at around 16-21% stocks 64-74% US bonds 8-13% gold Sometimes it would throw some bills in there but I could easily find a similar non-bill portfolio with...

You would expect the computer to want to buy more stocks when it has access to US bonds, but it doesn't. It actually allocates less to it than when it can only buy bills and stocks. Why? Because it is drawn to the big Sortino that bonds have. In my sample the individual asset classes are quite...

So I'm trying figure out why the computer like 20% equities so much (and it seems to be some kind of floor). I thought it might have to do with rebalancing (I'm using 1y rebalancing). So I decided to vary that and not allow the computer to buy gold or US bonds. So I'm essentially asking if what...

Another answer to the question "why own gold? it doesn't pay a dividend" This is with 1926-2016 and a 0% allocation to US bonds In some countries, there is no bond market with duration (no one lends money to the government for long periods due lack of trust). In that situation, risk hedges...

Its not that big of a surprise that the computer would get rid of gold and favor US bonds with the additional 1879-1926 period. In that period (gold standard) bonds were a better hedge. They returned a lot more than gold and were pretty stable (no losing months). What's surprising is that the...

The thing is, I got even more data then 1926-2016 I got monthly data going back to 1871 for stocks, bonds and the CPI. But not for bills and gold. With gold I can go back to 1879 (with gold its not that hard because the US was in a gold standard so the price didn't change much). So I decided to...

So when I run tests in portfolios using annual data from 1928-2016, the computer suggested to me that the optimal portfolios were: I speculated that the wide difference in allocation to stocks between the best Sortino portfolio and the best Sharpe portfolio were due to the fact a lot of stock...

i solved the issue. the cells targeted in the formula were in decimals instead of percent, that was causing the problem

I dont think I can use this at all. The yields change dramatically in my data set. They start at 5% ish but go as high at mid teens and as low as 1.5%. Both the DV01 and the Modified Duration are constantly changing. Damodaran uses a formula in his Excel sheet...

Most of the good financial books in Brazil are just cheap copies of ideas the authors read on US books. You only get a fraction of the total information. Furthermore websites with wealth of statiscs in the markets are quite limited. In the US regularly you see on the WSJ or Marketwatch...

In my country (Brazil) I dont have 1/4 of the tools, information, vehicles, liquidity that US investors have

What I'm saying is that how much you pay for an asset is also related to -How much you know about it -Its liquidity -How much risk you are taking -Whether you can leverage it -The transaction costs involved with buying and owning the asset The factors that I mentioned tend to help in that...

This manager, in his last monthly report, now disclosed that he has some position in Brazilian equities and that he is buying gov bond duration (equivalent to buying stocks in the case of Brazil). So after talking shit about the market for a year he threw the towel and joined the trend. To his...

Thats why I sometimes go crazy on the big Brazil fund manager who kept trashing the market in 2016. When the market is down so much, valuations are cheap and sentiment is terrible at the very LEAST you go defensive with an "long IG corporates" type position. And IG corporates are EQUIVALENT to...

I wish I knew about all of this in 2009. I could have made a very good profit VERY safely back then. All of that while remaining defensive. When markets bottomed in March and started to rip, I build a short position in stocks that I thought were going to go bust. They included some financials...

The numbers for short-term corporates are probably a little bit overstated because it is essentially mimicking Short Term Treasury. Both return and vol look pretty close. So if one were to go a little bit further in duration in the corporates, the sharpe ratio would probably drop. But the return...

That said, right now its probably a pretty bad time to get involved in IG corporates. I'm sure a lot of folks are aware of that sharpe ratio and they are playing all kinds of carry strategies. They borrow at low rates and jam into corporates trying to make a nice spread. And this has going on...

Looking at the site I'm seeing that short-term Treasury has a return, SD, Sharpe of "Short Term Treasury 5.58% 2.31% 2.415" 1983-2016 So short-term corporates are as good as T-Bills in terms of Sharpe. But yet, they will produce a higher real return. This thing is like the holy grail