06-28-2016, 01:23 PM
Nice analysis. I think your numbers are skewed however because you assume no additional investments beyond your initial principal in your back tests. I rarely see any analyses that do include periodic investments, but they would significantly increase total return had the theoretical investor continued investing in that max drawdown period.
I don't pretend to have the right answer for what AA should be, but I see it largely depending on time remaining in the market. For me, I'm 100% stocks because I have at least 20 years of continued investments before I start to drawdown.
I don't pretend to have the right answer for what AA should be, but I see it largely depending on time remaining in the market. For me, I'm 100% stocks because I have at least 20 years of continued investments before I start to drawdown.