Please be responsible for your own actions and words, and avoid blaming others or making excuses for your behavior. If you make a mistake, apologize and take steps to correct it.
- Manlobbi
Halls of Shrewd'm / US Policy❤
No. of Recommendations: 7
Do, muscular portfolios by Brian Livingston work?
"The Papa Bear Portfolio
The Papa Bear is based on the book Muscular Portfolios (BenBella Books, 2018). The strategy is a clone of a 2013 whitepaper by Mebane Faber. It is an extension of his book The Ivy Portfolio, which has been tracked with real money since 2006.
The Papa Bear is designed to (1) keep losses small during bear markets, (2) underperform the S&P 500 with less volatility during bull markets, and (3) wind up with superior performance over each complete bear-bull market cycle.
The investing menu consists of low-cost exchange-traded funds (ETFs) that track 13 asset classes. Your portfolio allocates roughly equal dollar amounts to the three ETFs with the strongest momentum, as determined by the strategy rules.
The table below updates every 10 minutes during market hours. But don’t trade every day! Check and tune up your portfolio only once a month, on the same day of your choosing. According to several independent studies, the largest gain is achieved by reallocating on or around the last trading day of the month, as described in Newsletter #52."
See Link to see the asset classes.
https://muscularportfolios.com/papa-bear/
No. of Recommendations: 1
Interesting.
But I wonder about his claimed backtest results. For example, PDBC only began on 11/7/2014.
Nice of him to have a live spreadsheet on the web page.
No. of Recommendations: 0
I get slightly different average 3,6,12 month returns for the date of 6/18/24. Probably doesn't matter.
No. of Recommendations: 2
In taxable accounts you end up paying a lot for lower volatility (how much will vary, of course).
In tax-deferred accounts you are doing a fair amount of trading just to keep up with SPY.
From my perspective tax-deferred accounts offer my best chance to beat SPY. A matter of taste, obviously.
Baltassar
No. of Recommendations: 6
But I wonder about his claimed backtest results. For example, PDBC only began on 11/7/2014.
Allocate Smartly independently did a backtest from 1973 using synthetic ETFs.
Annualized Return from 1973 till jan 2019 when they wrote the article:
CAGR 13.3% vs 60/40 benchmark 9.2%
MDD -20.1 vs 60/40 -29.5%
Ulcer Performance Index 1.59 vs 60/40 0.62
Livingston's Muscular Portfolios - Allocate Smartly
Looking at a log chart over history it does slightly worse than 60/40 in up markets but has been effective avoiding the bear markets. Allocate Smartly calculates a 30 yr Safe Withdrawal Rate of 6.1% vs 3.8% for a 60/40.
No. of Recommendations: 8
Looking at a log chart over history it does slightly worse than 60/40 in up markets but has been effective avoiding the bear markets.
There are other ways to sidestep bear markets. Plenty of timing methods.
Other articles on his site say that 60/40 worked in the far past but not in recent decades. So 60/40 as a benchmark may not be a good benchmark.
...independently did a backtest from 1973 using synthetic ETFs.
Allocate Smartly calculates a 30 yr Safe Withdrawal Rate of 6.1% vs 3.8% for a 60/40.
Best to take "synthetic ETFs" with a grain of salt.
The problem with all of these screens & strategies is that for the last 10-15 years the main drivers of SPY, QQQ, etc. have been the same handful of stocks. Just about any screen that is missing those stocks will underperform.
No. of Recommendations: 0
So he beats the 60 - 40, but not the s and p?
No. of Recommendations: 1
This screen has returned 30.1% CAGR for 10 years.
Naz_Cons 48.2 30.1 NVDA AMD META MU QCOM
No. of Recommendations: 3
One problem with published authors' strategies is that they are talking their book.
Two. Two problems is that they are talking their book AND only talk about a screen that has worked recently. AKA cherry-picking.
Three. Three problems is that they are talking their book AND only talk about a screen that has worked recently AND they have to fulfill a weekly/monthly word quota to write.
Anyway....might as well look closer at some of the strategies that Jim has mentioned. what with him not being a published author and all. A key metric that runs throughout them is ROE.
The "one-step" paper portfolio started on 3/9/24, the 2 step has gained 11.6%, the 3 step 12.6%. Vs. S&P500 at 6.7%. The one-step is 3.6%, so boo!
Really, the best screen for the last several years is to buy the top 10 holdings of S&P500 and QQQ. That won't last forever, though.
No. of Recommendations: 0
So Brian only has 3 screens in the book and he mentions them all. As an aside, Brian was (is) a member of this board (old board) and the WER yahoo group
Aussi
No. of Recommendations: 1
This screen has returned 30.1% CAGR for 10 years.
We've been having a wonderful bull market.
