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I'm aware that one has to be careful with relying in history, there is the whole 'curve fitting' issue with systematic trading programs. However, if 50% in stocks 32% in 10y bonds and 18% in Gold is not the next 100 years Efficient Frontier in the US, I doubt it will be dramatically different...

I think I can understand the Dalio choice in the bonds a little more, Tony Robbins said the portfolio couldn't have leverage because people dont understand it/have access to it. One way to create 'synthetic' leverage is by juicing the duration of the bond portfolio. So maybe that was what he was...

Looking at that previous portfolios with the highest Sortinos and Shape Ratios, the message from history seems to be "buy as much in stocks as you can safely hedge, but no more than that" The Sortino ratio seems to be superior to the Sharpe because the Sharpe punishes upside volatility (which...

Some people hate big losing years and they want to minimize that as much as possible. I asked Solver to come up with a "chicken" portfolio, the one with the smallest losing years. I run into two interesting options This one with -2.3% avg down year And this one with -2.23% Notice how...

Here is another cool finding. I asked Solver to tell me what was the portfolio since 1928 that had the lowest downside volatility (standard deviation of negative return years). What I call the "widow portfolio". Solver came back with this Along the lines with my previous theory that the widow...

Buffett asks "why do people buy gold, it doesnt pay a dividend", I will tell you why mr Buffett, its because it sends your Sharpe Ratio or Sortino Ratio (which is an improved version of the Sharpe) through the roof! Both of the "best" (or close to the optimal best) portfolios, historically...

I decided to build a US database of investment returns to run some historical tests on. I used a Damodaran excel spreadsheet to get S&P500, 3m T-bills and 10y UST bonds returns since 1928. I then added Gold prices to get gold returns. I also put in the year over year CPI and then calculated the...

When the US started issuing them? Was the issuance uninterupted since it started? Is there data going as far back as the 1920s to today? Thank you

My allocation for 2017: EWZ EWZS 16.9% PSH 14.4% BRKB 12.2% BR USD 2024 bonds 12.2% (5% YTM) TLT 8.7% GLD 5% GDX GDXJ 1% US 2045 Bonds and Strip 5.4% Brazil REITs 4.3% OAK 4.1% FMCC 1.4% FNMAS 1.5% (preferred stock) GREK 1.7% (stop at ~2016 lows) MDLZ 1.6% (short-term trade, will exit it soon...

So I calculated some of my numbers and it came out at 2016 Return: 8.32% Key drivers EWZ EWZS +3% (not counting FX gains) BRKB +2.1% BR USD bonds with interest +1.85% PSH -1.8% (counting VRX hedge) FNMA FMCC FNMAS +1.55% UST bonds and futures +1.2% OAK -1% VRX -0.8% ZQ futures +0.6% vs Dalio...

For reference, I'm going to save the closing prices for 2016 for the main positions I have on BR USD 2024 bonds 122.7450 (IB mark) EWZ $33.34 EWZS $10.97 Bovespa 60.227,29 BRLUSD 3.250 PSH $14.54 BRKB $162.98 GLD $109.61 UST bonds 2045 STRIP 40.73, 2045 2.5 bond 88.625 TLT $119.13...

For future reference I'm saving a chart of BRL investment returns. Markets will be closed to day in Brazil so they already wrapped up 2016 market performance

http://www.zerohedge.com/news/2016-12-29/china-cuts-dollar-weight-fx-basket-desperate-attempt-project-image-yuan-stability China changes FX basket so they dont have to devalue more next year. Both Obama, China and some others are all making moves before Trump takes over

The value of deferral http://www.valuewalk.com/2016/08/how-warren-buffett-used-deferred-taxes-to-make-twice-as-much-money/ " “In economic terms, the liability resembles an interest-free loan from the U.S. Treasury that comes due only at our election… Imagine that Berkshire had only $1, which...

With regards to those deferred taxes " Say you owned $1,000,000 worth of PepsiCo built up over decades. Your cost basis is $100,000. That means $900,000 represents an unrealized capital gain. In your case, $189,000 in deferred taxes would be carried as an offsetting liability on your balance...

I read another Buffett study today https://papers.ssrn.com/sol3/papers.cfm?abstract_id=806246 But that got me thinking about that previous study that said that Buffett is levered 1.4-1.6-1. I think they overstated Buffett's leverage. A lot of his leverage is from 'deferred tax liabilities'...

I thought about using VIX futures but I'm not really familiar with them, the settlement procedure sounds weird as hell

Bonds having a strong day, I added a good position to TLT today. I plan to hold this through January (Trump's first week)

El-Erian is being fair, he says 'if this then that' 'if that then this', Krugman, Summers and other folks are just phobic about admiting anything could work, so they just talk about the risks, downside, potential mistakes. Their analysis is not being fair at all, its more politics than economics

I think El-Erian is one of the few pundits around that has been analyzing US markets pretty well for quite a while. I'm in the process of re-reading his book now (the lastest one) and he raises a variety of good points that are not commonly known. Right now he is talking about how there was a...