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Post by chang on Jun 28, 2021 1:37:46 GMT
Using Backtest Portfolio to compare VWEAX, PIMIX and PTIAX as long term holds shows that VWEAX is last in most categories for 1-10 years. I would not consider DODIX since the yield is low. The assumption that HY has the closest correlation to equities is true. My earlier statements about holding PIMIX and PTIAX because the NAV always recovers (in the past of course) is true about VWEAX as well. It is obvious that Vanguard doesn't work as hard to earn 4% yield due to the lowest ER and turnover. I would not hold any of them more than 10-15%. M* disagrees with you on the 10y picture, where PIMIX > VWEAX > PTIAX. See below. Over 3-5 years VWEAX leads, and I prefer the shorter term view for bonds, given the cyclical nature of the economy, i.e., no point comparing when external conditions were significantly different than they are today. No question that VWEAX is more volatile, and I believe RRs are a much better tool than TRs, which can be very sensitive to start and end dates. It wouldn't surprise me if you could massage the dates just a bit to make any one of PIMIX, PTIAX and VWEAX become the 10y TR leader. Which brings me back to ER and risk: when you pay 1% more for the same return, you're probably taking more risk. (But with long-established funds with >10y records, I imagine you can get a handle on risk levels.) I keep returning to the same observation: if MS funds can "go anywhere" and always be "in the right place at the right time", why don't their records blow away other funds? On the contrary, whenever I look at rankings by category, it always seems to me that MS lands somewhere in the bottom half. Maybe that's because there are a lot of bad (or expensive) ones that pull down the average. But even the "best" ones don't seem that impressive. Oh, well, it could be a lack of sharp analysis on my part ... that's what makes a market. Attachments:
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Post by Chahta on Jun 28, 2021 1:48:01 GMT
I’m not referring to M* charts. It is the Backtest metrics. SD, max DD, worst/best years etc.
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Post by chang on Jun 28, 2021 1:51:56 GMT
Chahta OK I see - yes there's no question that VWEAX loses on any volatility-related metrics. Rightly or wrongly, I've parked this one in the "leave-it-alone-and-don't-worry" part of my brain, and my eyes just gloss over it whenever I check my PVs. (That is one of the hazards of low-ER funds!) But I would willingly trade it in if I found an iron-clad, compelling alternative.
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Post by Chahta on Jun 28, 2021 1:59:37 GMT
I should add that in the past I wondered about holding VWEAX. I think it is worth holding as a portion of bond AA along with the other 2. While many don’t think about yield I do for a portion of a portfolio.
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Post by Chahta on Jun 28, 2021 14:25:59 GMT
10 year results
Portfolio Initial Bal Final Bal CAGR Stdev Best Year Worst Year Max. Drawdown Sharpe Ratio Sortino Ratio Mar Cor VWEAX $10,000 $19,021 6.37% 6.06% 15.91% -2.87% -10.67% 0.95 1.45 .76
PIMIX $10,000 $20,645 7.21% 4.19% 22.17% 0.58% -8.39% 1.54 2.25 .58
PTIAX $10,000 $17,962 5.78% 3.48% 14.66% 0.01% -6.03% 1.47 2.24 .21
Not to belabor anything, I will post 3 years later. I wanted to take a look at this since I shot my mouth off. Unfortunately 3 and 5 year take 2020 into account.
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Post by Chahta on Jun 28, 2021 16:20:31 GMT
3 year results
Portfolio Initial Bal Final Bal CAGR Stdev Best Year Worst Year Max. Drawdown Sharpe Ratio Sortino Ratio Mar Cor
VWEAX $10,000 $12,018 5.53% 7.89% 15.91% -2.87% -10.67% 0.56 0.76 0.81
PIMIX $10,000 $11,671 4.63% 5.45% 8.05% 0.58% -8.39% 0.61 0.75 0.67
PTIAX $10,000 $11,629 4.52% 4.53% 7.36% 0.44% -6.03% 0.71 0.93 0.36
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Post by anitya on Jun 28, 2021 20:29:48 GMT
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Post by yogibearbull on Jun 28, 2021 20:41:36 GMT
Multisector (MS) bond funds hold sovereigns, corporates, HYs, EMs, so it is natural for them to have lower volatility (SD) than pure HY. This is even true for the most aggressive MS LDBDX vs the most conservative HY VWEAX over 3 and 5 years. Why is there a surprise that PIMIX and PTIAX have lower SD than HY?
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