I would like to test an old "All Weather Portfolio"

[Hydroman]

I just read an old Scott Burns Article from March 1988. The topic was Gerry Perrits so called "All Weather Portfolio. At the time it was tested from 1968 to 1988 it had a 11.8% compound rate of return for the 20 years and its worst 12 month return was a loss 0f 1.3% in the 1974 blood bath. Is there any way I can easily test this portfolio through to the present to see how it would hold up? I also would not mind performing a SWR test on it too.


Here is a link to the Scott Burns article:
http://www.dallasnews.com/s/dws/bus/scottburns/columns/archives/1995/880308TU.htm

And here is the portfolio:

# Small Companies-Nicholas II, (15%)
# Large Companies-Vanguard Index Trust, (15%)
# International Stocks-Vanguard World-Int'l, (15%)
# International Bonds-T.Rowe Price Int'l Bond, (10%)
# Govt Bonds-20th Century U.S.Gov't Sec , (20%)
# Gold-Lexington Gold Fund, (10%)
# Money Market Fund Your Choice (15%)

 

[cute fuzzy bunny]

I'll hazard a short-cut.

If Scott hasnt written about it in 18 years, it didnt do well.

 

[ESRBob]

Hydroman,
Try looking up the historical data on index funds for each of those asset classes. For Money Market, I can get you that data if you don't have any other way to reproduce it. Vanguard publishes data back 10 years, and then "To Inception" but you could ask them for the returns data from a specific year for their index funds and in the past they have found it for me.

Interesting project, PM me if you need help.

 

[Chris24]

Hydro, .. have you tried E-Mailing Scott Burns? He might be interested to see how it went going forward, or know. May be worth a try.

 

[Hydroman]

I'll hazard a short-cut.

If Scott hasnt written about it in 18 years, it didnt do well.

Maybe so, but he has a prominent link to the 1988 article on his webpage. At the suggestion of others I have sent Scott an email requesting any portfolio performance data that might be available since 1988. I will let you all know what I learn.

 

[2B]

# Small Companies-Nicholas II, (15%)
# Large Companies-Vanguard Index Trust, (15%)
# International Stocks-Vanguard World-Int'l, (15%)
# International Bonds-T.Rowe Price Int'l Bond, (10%)
# Govt Bonds-20th Century U.S.Gov't Sec , (20%)
# Gold-Lexington Gold Fund, (10%)
# Money Market Fund Your Choice (15%)

I'll give you a short history since it was done. It has a very high amount of money market and bonds (45%) to get much positive attention in the last 2 decades. The gold fund (15%) has been a drag until recently which has killed the annualized rate of return but..... After that you don't have a very broad diversification. You could get this portfolio's return but it was created with a 10 year not a 40 year timeframe.

 

[madsquopper]

Something more or less comparable (I did this quickly so no guarantee it's 100% correct). The funds I used were Vanguard 500 Index (VFINX), Fidelity Select Money Market Portfolio (FSLXX), Vanguard Small Cap Index, T. Rowe Price International Bond, Vanguard Global Equity, Fidelity U.S. Bond Index, Fidelity Select Gold and got the performance data from Yahoo. Years were 1996-2005 inclusive, and for small cap index had no info for 1996 and 7 so used zero.

Overall CAGR was 13.2% doing an annual rebalance. Here's the yearly returns, top one is 2005:

1.14
1.1385
1.31235
1.1244
1.0815
1.026
1.161
1.1325
1.0665
1.158

Larry

 

[ESRBob]

Madsquopper,
Interesting -- there were no negative years during the 2001,2002 period, which is a pretty good quick test of a portfolio's chops during tough times.

 

[cute fuzzy bunny]

Thats probably due to the strong cash and bonds position, especially since 2001-2002 was pretty good for bonds.