- 05/02/2018 at 4:06 am #52167
Thanks Richard, give me a day to review and upload a new version with comments.05/05/2018 at 10:06 am #52239
While you’re looking over Excel PB, I think it would be helpful to provide a clear correspondence of the pre-configured portfolio list in QT with the PB portfolios, and how similarly labeled portfolios may be different in each tool.
Regards, Richard M.05/08/2018 at 6:05 pm #52292StefanMParticipant
I am using the excel portfolio builder for the first time. In a custom portfolio I have the following result:
Total Return: 1031%
Period: 11/08/08-24/04/18 (i.e. nearly 10 years)
The CAGR required to achieve 1031% over 10 years is 26.3% (i.e. 10th root of 10.31). Why does PB show a CAGR of 34.1%?
Thanks05/09/2018 at 7:31 am #52311
Indeed, the CAGR should be 28.3%, attached an Excel example with the exact data and formulae.
Cannot reconcile the 34% you mention, would you send me your sheet to email@example.com so I can check?
Starting Value 100 8/15/2008
End Value 1131 05/01/18
Total Return 1031%
CAGR: 28.3%05/09/2018 at 9:42 am #52315
Hello Alex and Stefan,
I ran the Excel Portfolio Builder to try and replicate the effect Stefan reported and produced a similar if not precisely identical result. (MAX CAGR Vol<20%, CAGR = 36%) See the attachment for details.
This problem arises from the observation about inconsistent dates I offered last week – on the Equitylines and ReturnWeighted sheets data is included only to 9/16/2016, while data on ReturnData runs out to the current date. CAGR is based on the duration from the EquityLines sheet.
Stefan used a 10 year duration in his calculation and thus produced a lower CAGR result than basing it on the roughly 8 years shown on the EquityLines data sheet, and used in the PB CAGR calculation, producing the error in PB results.
There must be some anomaly introduced recently in PB since these were all consistent not long ago.
Looking forward to the updated version!
Regards, Richard M.05/09/2018 at 9:46 am #52317
Hi Richard, thanks, that makes sense. I´m basically finished with the review of the PB, just fighting with some last details in the graphs, sorry if it takes longer then expected.
Here the current version with updated optimization and formulae review – so we’re using the same base while I finish up: https://logical-invest.com/?gfid=1505/09/2018 at 10:46 am #52319
I downloaded your latest version and will take a look later on today.
I did notice that the initial data date gets later with each version.
Of course performance during the GFC is important to include in the analysis of our portfolios.
Regards, Richard05/11/2018 at 9:56 am #52349
A couple of further observations –
I worked a little with the latest PB (version ID would be helpful).
Note that the solver solution includes AGG, TLT, SHY weightings even though they are excluded from the optimization on the Solver tab. Other excluded symbols also are allocated but at smaller amounts rounding to 0.
Checking out the Consolidated Signals Excel workbook, the USSECT allocations don’t add to 100% so overall allocations may sum to less than 100% as well.
That’s all for now.
Regards, Richard M.05/17/2018 at 3:28 pm #52445
indeed needed to increase the decimals in the solver parameters, some solutions converged with very small percentages that should not be there. Should have noted, sorry for that. Have finished reviewing also the other things on my list, here the new file: https://logical-invest.com?gfid=15
As an early heads-up: One smart community members has managed to come up with a brilliant brute-force optimization routine. Much faster, more options and much more elegant than my Excel monster :-) We hope to get it into an online version soon.
The US sector rotation strategy signals are ok, they do not add to 100% as the strategy is 26.7% in cash this month if you use the 3x levered ERY ETF. See signals here: https://logical-invest.com/the-us-sector-rotation-strategy-investment-for-may-2018/05/18/2018 at 10:14 am #52454
Ok, thanks for the updated PB version and explanation on USSECT in the Consolidated Signals spreadsheet.
Which of the several USSECT strats from QT is represented in PB?
Very much looking forward to seeing the new approach to “brute force” optimization!
BTW, as I’ve noted elsewhere, your Excel monster is pretty impressive and has been a big help.
Regards, Richard11/16/2018 at 8:26 am #56205UkiwiSParticipant
With the new website, how do I view the asset allocations for my combined portfolio so I can re-balance? For instance, if I have a various weightings in the different strategies I’d like to see the total I need to have invested in TLT, SPY, GLD, ZIV etc etc.
The button that says “By Stock/ETF” is not doing it. It changes the view slightly from the “By Strategy” but I’m not seeing the individual ETFs.
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