Studies of Life

Learning by doing.

Category Archives for: portfolio

Recalibrating to an evidence-based investment strategy

16 January 2016 by Jim

Those of you who’ve been reading my blog for a few months know that I love experimenting with stock investing strategies. While I was using the Trending Value strategy in my own portfolio, and constantly looking for a way to improve it further, I’ve begun to think that maybe the best way to improve my portfolio was not to be found in another stock selection factor, but instead in another direction.

According to many people, including the founder of Vanguard, a portfolio of passive index ETFs is the best approach for most people. I have more reason to believe Vanguard than other fund providers, because Vanguard asks significantly less for its service, which tells me it’s not in it to make a quick buck. I think Bogle really wants to educate investors. (more…)

End of the Strategy Test 2015

12 July 2015 by Jim

This is the 6th completed month of testing a few different portfolio strategies as explained in this post. Time for a new update!

Sorry for not having published an update in May. I had exams to pass and was pretty busy overall, and when I then ran into trouble with the update I decided to wait until I’d have more time and peace of mind.

So there’s been a problem recently. The website I used to track the portfolios for these posts, Google Finance, somehow didn’t work properly anymore, maybe for reasons of currency conversion or others, I honestly don’t really know. My results were widely off the mark of what they should have been in most portfolios, and it was bad enough that I could not be sure that the data for the next updates would be correct, so I decided to instead stop it before the results were watered down by approximate data points. (more…)

Strategy Test 2015 – 5: April 30

04 May 2015 by Jim

This is the 4th completed month of testing a few different portfolio strategies as explained in this post. Time for a new update! 

 The beginning of the year looks very good so far. One interesting aspect is that the different portfolio strategies do not diverge by a lot from each other, which is surprising to me. There is no big loser here, and no crystal clear winner.

What does that mean? As they say, ‘a rising tide lifts all boats’, and if stocks in general are booming it’s hard to find a stock strategy that doesn’t work well. The devil is in the details. (more…)

Strategy Test 2015 – 4: March 31

01 April 2015 by Jim

It’s been a full quarter since I started testing a few different portfolio strategies as explained in this post. Here’s the next update.

strategy test

The first quarter overall was very positive, as you can see. The best performer is the all-stock Trending Value portfolio, the worst is the risk parity approach although it does what it is supposed to: it reduces risk, as is evident by the smooth curve. AAA is also very smooth so far. DM and Trending Value are the most volatile.

Here are the results for Sharpe and total return: (more…)

Passive investing can beat a stock picker, but can it beat a quant?

14 March 2015 by Jim

As a follow-up on the last post about trusting your model, here’s a striking comparison of a passive ETF version of my portfolio to the actual one.

I’ve taken my current allocation goal and replicated this using ETFs. The allocation is as follows:

  • long EU bonds 15%
  • intermediate EU bonds 5%
  • global bonds 5%
  • gold 5%
  • cash 10%
  • EU and US stocks 60%

For the year starting May 2014, the result is that the ETF portfolio gained 14.4% vs my own actual portfolio performance of 12.3%. So the ETF portfolio was clearly better, even though this may not mean much based on evidence from just one year. (more…)

Bondora Payment Reliability: 82% / ROI = 19.5%

21 November 2014 by Jim

Bondora Repayment ReliabilityI’ve started investing on Bondora in May 2013. Since then, 17 months have passed, and here’s a chart with the percentages of principal and interest that are actually paid back. As you can see, the long-term trend is toward a decrease, which was to be expected as the portfolio matures, but there are no huge decreases, so the trend is not alarming.

The overall percentage repayment probability is on average 82%, split up into:

  • 95% for principal
  • 68% for interest

Principal is paid back more reliably because when borrowers send their payments, they are first used to pay back the principal, and only what is left over after that is applied to the due interest. (more…)