Lazy Portfolio Smackdown: Historic Look

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Post Reply
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Lazy Portfolio Smackdown: Historic Look

Post by Paul Douglas Boyer »

I've posted an update of the Lazy Portfolio Smackdown Game at http://madmoneymachine.com/2008/02/08/s ... acktested/ that includes better graphics and a better table than what I could get to show below.

I'm referring of course to the game I posted at http://www.diehards.org/forum/viewtopic.php?t=9797

From the 66 entries in the Lazy Portfolio Smackdown game, I have taken 19 portfolios in which all component funds existed back on 1 August 2000 through 31 January 2008 and computed their Return vs. Risk profile. To see the components of each portfolio, go to the Portfolios page and find the ID number for the portfolio. [Note, in some cases I substituted regular index funds for Admiral shares, mutual funds for their ETF equivalent, or other similar but not identical funds... such as VGSIX for FIREX in one case. And on lew's portfolio I cheated and started PCRIX (PIMCO CommodityRealRet Strat Instl) on 1 Jan 2003.]

Code: Select all

ID Lazy Portfolio     Return Risk 
1  CyberBob            4.39% 6.80% 
5  Jarrod                 7.81% 11.30% 
8  james22              6.26% 14.11% 
10 mikenz               7.90% 9.47% 
13 poulinbob          16.68% 19.57% 
16 HAZEL                7.64% 4.89% 
17 Justin617            7.98% 10.64% 
19 sgr000                7.12% 10.30% 
22 Sunny                 4.24% 7.78% 
24 MrBG                   7.15% 8.36% 
33 DR                       4.52% 14.10% 
38 lazyrad                 5.05% 15.37% 
39 gflippin                 3.70% 5.38% 
41 BigD53                12.67% 13.89% 
45 Bev and Mike Cote 7.56% 4.99% 
51 Jennifer & Mark    11.40% 10.62% 
54 lew                      10.69% 13.20% 
59 Cosmo                   5.02% 2.35% 
60 TnGuy                   11.10% 13.37% 
Image
User avatar
Ariel
Posts: 1361
Joined: Sat Mar 10, 2007 7:17 am

Post by Ariel »

You're missing my 100% Wellesley portfolio!
Do what you will, the capital is at hazard ... - Justice Samuel Putnam (1830), as quoted by John Bogle (1994)
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

Ariel wrote:You're missing my 100% Wellesley portfolio!
It appears that Yahoo thinks that fund started on 16 May 2001, so I wasn't able to get historical quotes going back as far as I wanted to go.

I'll do another comparison from a more recent, albeit less significant, time period and include it.

For what it is worth, the return and risk on VWIAX since 16 May 2001 is:

Annualized return: 4.95%
Annualized risk: 5.13%

But be careful in directly comparing that to the others that I started on 8/1/2000
User avatar
daniel
Posts: 100
Joined: Fri Jan 25, 2008 5:18 pm

Post by daniel »

Funny to see that the portfolio with the second highest returns (12.7% (risk 13.9%)) consists of just two funds:

BigD53: 50% target retirement income (VTINX), and 50% Wellington (VWELX).

Simplicity works :-)
-- Daniel

Also, the third highest return portfolio (11.4% (risk 10.6%)) consists of a fairly standard small-value tilted slice and dice portfolio (but is 100% equity).

btw. poulinbob's highest return Portfolio (16.7%, risk 19.5%) is 33% precious metals which seems a bit too risky for real money ;-) )
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

daniel wrote:Funny to see that the portfolio with the second highest returns (12.7% (risk 13.9%)) consists of just two funds:

BigD53: 50% target retirement income (VTINX), and 50% Wellington (VWELX).
Contrats, you have found the first (of probably many) errors. The ID number 41 was correct, but the portfolio belongs to Kevin Ucker and not BigD53. I'll make the change and update.

And the portfolio has more than 2 funds:
DFA U.S. Small Cap Value I DFSVX 25%
DFA Real Estate Securities I DFREX 25%
DFA U.S. Micro Cap I DFSCX 20%
DFA U.S. Large Cap Value I DFLVX 15%
DFA Intl Small Cap Value I DISVX 15%
User avatar
Ariel
Posts: 1361
Joined: Sat Mar 10, 2007 7:17 am

Post by Ariel »

Paul Douglas Boyer wrote:
Ariel wrote:You're missing my 100% Wellesley portfolio!
It appears that Yahoo thinks that fund started on 16 May 2001, so I wasn't able to get historical quotes going back as far as I wanted to go.
Hi Paul,

The Wellesley fund has been a round a lot longer than 2001. But to eke out that extra one-tenth of one-percent, I listed the admiral fund. Here's the symbol and yahoo link for the regular (non-admiral) version, which should be close enough. Of course, you could add an extra 0.1% to its annualized returns, while leaving its volatility the same, to capture the performance bonus of the admiral version.

http://finance.yahoo.com/q/hp?s=VWINX
Do what you will, the capital is at hazard ... - Justice Samuel Putnam (1830), as quoted by John Bogle (1994)
User avatar
daniel
Posts: 100
Joined: Fri Jan 25, 2008 5:18 pm

Post by daniel »

Paul Douglas Boyer wrote:
daniel wrote:Funny to see that the portfolio with the second highest returns (12.7% (risk 13.9%)) consists of just two funds:

BigD53: 50% target retirement income (VTINX), and 50% Wellington (VWELX).
Congrats, you have found the first (of probably many) errors. The ID number 41 was correct, but the portfolio belongs to Kevin Ucker and not BigD53.
Ouch, I guess simplicity doesn't work after all :shock:
Seems that in the past 7 years small and value tilting did work though..
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

Aww drats, I should have thought of that. I did for lots of other funds.

And good for you, that bumps the return up and risk down:

1 August 2000 thru 31 January 2008:
Annualized Return: 7.59%
Annualized Risk: 4.46%

On the chart, that is at about the same spot at HAZEL.
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

Ariel wrote: The Wellesley fund has been a round a lot longer than 2001. But to eke out that extra one-tenth of one-percent, I listed the admiral fund. Here's the symbol and yahoo link for the regular (non-admiral) version, which should be close enough. Of course, you could add an extra 0.1% to its annualized returns, while leaving its volatility the same, to capture the performance bonus of the admiral version.

http://finance.yahoo.com/q/hp?s=VWINX
Hmmmm, the historical quote sites don't seem to agree on VWIAX and VWINX being the same.

The Return on VWINX from 16 May 2001 thru 31 Jan 2008 is
Annualized return: 6.55%
Annualized Risk: 4.45%

and on VWIAX:
Annualized return: 4.95%
Annualized Risk: 5.13%

And also notice the divergence in the charts:
http://stockcharts.com/charts/performan ... 2C%20vwiax

I guess my reports are only as good as the data provided to me.
What do you make of the difference?
snowman9000
Posts: 1015
Joined: Tue Feb 26, 2008 9:16 am

Post by snowman9000 »

Paul,

Can you include the Harry Browne Permanent Portfolio (as discussed elsewhere in this folder)?

25% Stock - iShares Russell 3000 (Ticker: IWV) or Vanguard (Ticker: VTI).

25% Long Term Treasury Bonds - iShares Long Term Treasury (Ticker: TLT).

25% Cash - A treasury money market fund

25% Gold - iShares Gold Trust (Ticker: IAU)
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

snowman9000 wrote:Paul,

Can you include the Harry Browne Permanent Portfolio (as discussed elsewhere in this folder)?

25% Stock - iShares Russell 3000 (Ticker: IWV) or Vanguard (Ticker: VTI).

25% Long Term Treasury Bonds - iShares Long Term Treasury (Ticker: TLT).

25% Cash - A treasury money market fund

25% Gold - iShares Gold Trust (Ticker: IAU)
Sounds like fun, but I've always had trouble with a good ticker symbol for cash. Seriously! Is there a good ticker that is in Yahoo! Historical Quotes for cash?
snowman9000
Posts: 1015
Joined: Tue Feb 26, 2008 9:16 am

Post by snowman9000 »

craigr suggested SHY in his post on the Harry Browne topic. He then said a money market fund (like VMPXX) would be a better CAGR. When I checked, I see your problem, the MMF does not have historical quotes in Yahoo. But SHY does. It's not "cash" but it's close? I'll look for something better but I assume if you've never found it, I won't.

EDIT: Oooo, what about BIL? I don't know how it operates, since bills are sold at a discount and don't pay "interest" per se.

EDIT again: would this help?
https://personal.vanguard.com/us/funds/ ... IntExt=INT
User avatar
Topic Author
Paul Douglas Boyer
Posts: 130
Joined: Wed Mar 07, 2007 2:19 pm
Location: Leesburg, VA

Post by Paul Douglas Boyer »

snowman9000 wrote:craigr suggested SHY in his post on the Harry Browne topic. He then said a money market fund (like VMPXX) would be a better CAGR. When I checked, I see your problem, the MMF does not have historical quotes in Yahoo. But SHY does. It's not "cash" but it's close? I'll look for something better but I assume if you've never found it, I won't.

EDIT: Oooo, what about BIL? I don't know how it operates, since bills are sold at a discount and don't pay "interest" per se.

EDIT again: would this help?
https://personal.vanguard.com/us/funds/ ... IntExt=INT
That VMPXX doesn't have historical quotes.
BIL doesn't have a long enough history.

Does VFISX fit the bill for this?
snowman9000
Posts: 1015
Joined: Tue Feb 26, 2008 9:16 am

Post by snowman9000 »

Paul Douglas Boyer wrote:
snowman9000 wrote:craigr suggested SHY in his post on the Harry Browne topic. He then said a money market fund (like VMPXX) would be a better CAGR. When I checked, I see your problem, the MMF does not have historical quotes in Yahoo. But SHY does. It's not "cash" but it's close? I'll look for something better but I assume if you've never found it, I won't.

EDIT: Oooo, what about BIL? I don't know how it operates, since bills are sold at a discount and don't pay "interest" per se.

EDIT again: would this help?
https://personal.vanguard.com/us/funds/ ... IntExt=INT
That VMPXX doesn't have historical quotes.
BIL doesn't have a long enough history.

Does VFISX fit the bill for this?
While it would not technically be right, I think it's close enough for smackdown work, if that's all you can get. :)
livesoft
Posts: 86075
Joined: Thu Mar 01, 2007 7:00 pm

Post by livesoft »

The historical quotes for VPMXX will always be $1.00, so what's the big deal?
User avatar
baw703916
Posts: 6681
Joined: Sun Apr 01, 2007 1:10 pm
Location: Seattle

Post by baw703916 »

Since the quarterly returns are posted on Vanguard's site, I would think a reasonable thing to do would be to interpolate from that. Not exact, but probably good enough, since it's only the interest rate that varies, not the NAV.

Best wishes,
Brad
Most of my posts assume no behavioral errors.
Post Reply