No. of Recommendations: 1
St. Louis Fed provides FRED data for T-Bills back to ~1953
Here, data since 1928;
https://dl.dropboxusercontent.com/u/8644020/SP500%20data%20s......


Bad link, this goes to the S&P data. Also, I didn't see the provenance of this data. Shiller?

Anyway, I'm not sure what's the benefit of going back much before WW2, and especially going back to include the Depression years. That was a one-off event, and a completley diffrent market regime. 90% margin, no SEC, etc.


Scratch the 'any given year' part. Expressed as a percentage, what is the greatest change from any prior historical highest high to a subsequent lowest low.

My concern with this is along the lines of what ItsGoingUp said, "Is it somehow a bad thing that the portfolio was up a lot before it went up a little?" and "What this means, relating it to the current discussion, is that big "drawdowns" matter only very early in the process. And, of course, at that point there's not much money involved because you've barely started saving for retirement. "

"(10mSMA) for timing the S&P500 portion."
Is that adjusted only annually? That's the most active I'll compare to.


Um, no, "10 month SMA" is computed and acted upon every month, once a month, at the end of the month. It's not particularly active, 50 trades in 756 months, or a lttle less than 1 trade a year. You do have to compute it once a month, but you only trade once in a great while, and it's an easy calculation.

I recently taught a bunch of investment stuff to one son, and it takes him less than 5 minutes to compute this SMA. That's a pretty cheap effort, for something that reduces the MaxDD from -46% to -23%. Well worth doing, minimal effort.

You've gotta work within the constraints of the investment vehicle. If some vehicle - or some component of a vehicle - only lets you act once a year, so be it.

Side note: The whole reason I started out using monthly timeframes is that if you use annual you can skip right over short-term potholes - like Oct 1987 - without even seeing them. That one doesn't even show up in an annual chart, it only shows up when you look at closer granularity, like monthly or weekly.

What I set out to do was compare "relatively easy-to-do Alternative A" vs. "relatively easy-to-do Alternative B". Not "Alt A with the same constraints that Alt B has".


OK... let's take it to a board I opened a while ago precisely in anticipation of this;

No, it really needs to be on a board with more partipants. No reason for this to be a private discussion -- and on that (this) board it will be.
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