Up about four tenths of a percent for the week. Equities exploded upwards this month. Geometric Balancing had a good month too, but it’s never going to match a 10% upside month from stocks. Volatility works both ways and sometimes the good gets throttled instead of the bad. On November 27th, the strategy rebalanced to:…
Month: November 2020
Portfolio on 11.20.20
Essentially flat for the week. Correlations moved back into negative territory, and volatility has come down, so the cash isn’t needed any longer. Historically this is an average portfolio at nearly a perfect 60/40 ratio of stocks to bonds, with an additional bit of of gold for diversification. On November 20th, the strategy rebalanced to:…
The Shape of Rebalancing: Why Some Studies Don’t Find a Rebalancing Benefit
The great age of rebalancing is upon us, and yet many people will ignore this superpower. They will point out some studies claim rebalancing doesn’t help. Those studies are flawed, and I’m going to show you why. By exploring further how rebalancing works, you will see why prior studies on rebalancing may have missed its…
Portfolio on 11.13.20
Down about a quarter of a percent for the week. Last week I said the strategy added cash, worried about increased portfolio volatility. Well Monday proved the move was warranted. Interestingly, since I started posting these positions in June of last year the S&P 500 has now caught up to and slightly passed Geometric Balancing…
Portfolio on 11.6.20
Up over 4% for the week. Unusual movements in prices after the election. Everything was up, and up big. So now the correlations and volatility are up. This is a good example of how the strategy doesn’t care about the direction of movements. It reacts to volatility increases from big gains same as from big…