Down nearly a percent and a half for the week. All three assets were down simultaneously. Correlations are obviously not negative. Volatility is down in stocks. It’s up in bonds and gold. So the portfolio moves strongly into stocks. It’s an interesting choice as a flight to safety, especially when stocks fell this week as well. On February 19th, the strategy rebalanced to:
80% SPY , 12% TLT , 8% GLD
I expect next week to be the last routine weekly update. I should have the automatic page ready and will still do this update just in case the auto update doesn’t work.
*All investing strategies come with the risk of loss, including this one. This portfolio may not be appropriate for your investment goals and requirements, and it is not investment advice.
It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities in this list.
Calculations are my own. Returns shown do not include trading costs. They do not include any fees. Past performance is not indicative of future performance. Dividends are re-invested.
What has been the CAGR of this method since inception?
Since inception of posting this blog, around 13%. This value will be on the strategy portfolio page when I put it up later in the week.
That’s higher than the backtest though by a couple percent or so don’t plan that level going forward.
Hi BTM,
I like your approach. If I may suggest, I believe your portfolio would benefit from further diversification on the equity side with small cap value, and also perhaps commodities. Given that your window of adjustment is short, the system wouldn’t get caught holding a underperforming asset for a long time, like many other allocation schemes. Do let us know if you have backtested this already. Thanks.
I’ve worked through some application with commodities. In theory they should add well. I’ve had trouble finding data I like to backtest back through time. Small cap value is going to be very similar to the S&P 500 in its behavior (scale may be different, but direction will be similar), which makes it difficult to incorporate well.
Do you rebalance your portfolio more often now than before?
And are you aiming for keeping the portfolio in an efficient frontier?
Great work!
No same frequency. Yes I always try and have the portfolio somewhere on the geometric efficient frontier. Key being try.
When you build your efficient frontier every week, what is the lookback period to compute the return and volatility?
This is the most I’ve discussed it. https://breakingthemarket.com/convergence-time/