Do you have the calculations in a programming language or is the spreadsheet your implementation?
I have both, I have a script in python that I use to stress test the model parameters that I only update once a year and a spreadsheet that links to yahoo finance for quick mid-month and month-end performance metrics.
Would you share your code for the value asset allocation and overall sizing? I really dislike excel for complex computations. If you have the above in python that would be awesome. If you prefer not to disclose, no worries. I can decode the spreadsheet with time. I just find it annoying as heck to do so.
Hope Mr. IG does not mind my postings. If it's inconvenient, please do not hesitate to let me know.
People from "Irrelevant investor" evaluated longest drawdowns in real prices since 1926.
On the graph, you can see that so-called risk-free investments (especially US bonds and T-bills) lose a lot in the long run, considering inflation.
For S&P500, the longest drawdown, considering inflation, was from 2000 to 2013. For standard 60/40, the period was shorter, just 11 years (1972 -1983).
Attachments
longest drawdown.jpg (67.96 KiB) Viewed 11167 times
HappyMan wrote: ↑Thu Feb 06, 2020 2:58 am
Robeco has published interesting statistics. Interestingly enough, the Momentum factor is ahead of the market in all the decades, starting from 1930s.
Happyman,
Do you know which Robeco publication/paper/article this came from? It appears to be from one by a Mr. Van Vliet of their Low-Vol/Conservative Equity and Quant departments but I can't seem to locate it on Robeco's site. Can you let me know where I can obtain the full paper? Thank you.
HappyMan wrote: ↑Wed Feb 12, 2020 3:39 am
Hi D1984,
Got my piece from a professional network. Try contacting them and see if they point you to the source.
Let us know how it goes.
Hi Happyman,
Can you please at least give me the name/title of the paper in question? It's somewhat difficult to ask anyone for a paper if one does not know exactly what said paper is even called. Thank you.
Thank you IG for allowing me to post some graphs and tables here. After some thought given to the nature of my postings and the character of your thread, I decided it would be more fitting to have a separate thread for that. Here is the link,
