Up a bit more than half a percent for the week. Not much of a change here. From the strategy’s perspective, this is a fairly typical market. On December 18th, the strategy rebalanced to: 60% SPY , 28% TLT , 12% GLD
Portfolio on 12.11.20
Up three tenths of a percent for the week. Volatility continues to fall in stocks, while staying above average in the other two. On December 11th, the strategy rebalanced to: 64% SPY , 28% TLT , 8% GLD
The Arithmetic Return Doesn’t Exist
The Arithmetic Return Doesn’t Exist. It’s a dream that isn’t real. Like waves crashing against an ocean cliff, the relentlessness of time simply overwhelms the arithmetic return. In the short term the cliff exists. But with enough repetitions, with enough crashes of the waves along its surface, it will grow smaller until ultimately the cliff…
Portfolio on 12.4.20
Just barely down for the week. Essentially flat. Stock continue to run, as the strategy stays relatively still, held back by poor performance in bonds and gold (although gold was great this week). I view these periods as the defensive assets needing to reset themselves so they have the firepower to provide protection on the…
Portfolio on 11.27.20
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:…
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…
Portfolio on 10.30.20
Rough week, down almost 3.5% since last Friday. In hindsight the increase in stocks wasn’t the correct move. I’ll be the first to point out the strategy makes mistakes. Last February, it did the same thing pushing up into stocks right before the bottom started falling out. On the plus side though, it’s very quick…