The winning streak comes to an end, down a quarter of a percent for the week. The streak still looked ok until the last few hours today. For the month, the strategy was up about 2.7%. The S&P 500 ended up flat. We rode the market up in the first half of the month and mostly stayed away from the downside of late. That’s how Geometric Balancing is supposed to work.
Obviously stock volatility is rising, so the portfolio is getting more defensive. However, it hasn’t moved to an extreme allocation yet. On January 31st, 2020, the strategy rebalanced to:
44% SPY , 32% TLT , 24% GLD
Thank you for sharing your thoughts, really appreciate this. But still have a question. How do you calculate volatility for every rebalancing time?
Pretty sure it’s a rolling window.
Check the Convergence Time post.
BTM/James, have you considered using the VIX to represent volatility?
I think I’ve discussed VIX in another comment around here. I haven’t studied using it, but I think it would probably work well, and will probably study it some day. The main reason I haven’t is the data on VIX only goes back so far and I wanted to evaluate the strategy way back into the past.