Full index of posts »
StockTalks

Allocation Or Stock Selection  An Example http://seekingalpha.com/p/1xfy7 Sep 7, 2014

Simple GMR $EEM, $IJJ, $ILF http://seekingalpha.com/p/1uu8b Jul 31, 2014

Naive Graham: Taming Leveraged Funds http://seekingalpha.com/p/1sgbh Jun 20, 2014
Latest Comments
 yawkey5 on Adaptive Asset Allocation For Lazy Portfolios Well today proved that 2008 was not a singular ...
 yawkey5 on Adaptive Asset Allocation For Lazy Portfolios Varan,Thankyou so much. It appears that for si...
 varan on Adaptive Asset Allocation For Lazy Portfolios @YawTo elaborate, here are the complete results...
 varan on Adaptive Asset Allocation For Lazy Portfolios @YawThe difference in all three cases is less t...
 yawkey5 on Adaptive Asset Allocation For Lazy Portfolios Hi Varan,Regarding step 3, is there any drawbac...
 varan on Simple GMR That's excellent work Sir.Thanks.
Most Commented
 Simple GMR ( Comments)
 A low drawdown strategy for sector rotation for Fidelity Select Funds ( Comments)
 Naive Graham: Passive Investing According To The Master ( Comments)
 Adaptive Asset Allocation For Lazy Portfolios ( Comments)
 Distribution Phase Of The 60/40 MDY/VUSTX Portfolio. ( Comments)
Posts by Themes
60/40 Portfolio,
Adaptive Allocation,
adaptive allocation,
Adaptive allocation,
Adaptive asset allocation,
Adaptive Asset Allocation,
Adaptive Asset Allocation ,
Annually rebalanced portfolio,
annually updated portfolio of dividend growth stocks,
Asset Allocation,
Asset allocation,
Beating the market,
Closed End Funds,
Distribution Phase,
Dividend Growth Investing,
Dividend growth stocks,
Dividend Growth stocks,
Dividend growth stocks.,
Dividends,
ETF,
ETF trading strategy,
Fidelity Select Funds,
Global Market Rotation Strategy simplified,
Hedged Portfolio,
Leveraged ETFs,
Leveraged Funds,
MLPs,
Modern Portfolio Theory,
modified risk parity,
Most diversified portfolio of some utility stocks,
Naive Graham asset allocation strategy,
pairedswitching,
permanent portfolio of dividend growth stocks,
PIMCO funds,
Portfolio Allocation,
portfolio strategy,
Portfolio strategy,
Quarterly Rebalancing,
Quarterly rebalancing,
rebalancing,
Risk Parity,
Sector ETFs,
Sector Rotation,
Trading volitilty ETFs,
Withdrawal phase of retirement,
Workplace Retirement Plans,
zero annual drawdown portfolio
Performance Of An MPT Based And A DG Portfolio 0 comments
Performance of an MPT based and a DG portfolio
Performance of two portfolios is compared for a person who retired at the end of 1999.
MPT Portfolio: An yearly rebalanced portfolio of market indices based ETFs (SPY and QQQ), a bond fund from Fidelity (MUTF:FBNDX) and the long term treasury fund from Vanguard (MUTF:VUSTX). At the beginning of every year starting in 2000, the weight for each of these assets is computed by the classical Markowitz variance minimization for an annual expected return of 10%. The data used at the beginning of each year is only the historical data available at the time starting from January 1990  thus, e.g., only the historical data for the period 1990 thru 2003 is used for constructing the portfolio for 2004. Further, the historical data for the SP500 index is used for computing the weights for SPY, and, similarly the historical data for the NASDAQ index is used for computing the weights for QQQ.
DG Portfolio: An yearly balanced equally weighted portfolio of CL, CLX, KMB, PG, MCD, and KO.
Withdrawal/Income strategy: For both the cases the initial desired income is $4 (for an initial portfolio of $100) at the end of the first year, and this desired income increases by 3% every year. At the end of each year, the higher of the two quantities  (a) 4% of the value of the current value of the portfolio (b) the desired income  is withdrawn.
Result
Accounting for all the withdrawals as described above, the current value of the MPT portfolio is $164, whereas the DG portfolio is worth $112. The income from the MPT portfolio has been higher than that from the DG portfolio since 2008. The growth of income and of the values of the portfolios are shown in the following figure.
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.
Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.
Share this Instablog with a colleague