Portfolio on 3.4.21

Down over 1.26% since last Friday and 1.37% since last Thursday. The correlations are just so bad right now. All three assets were down again. Positions spent most of the week on the verge of calling for mid-week rebalance, but didn’t cross the 10% threshold until today.

This market reminds me quite a bit of the first few months of 2009 (and a bit like the early 70’s drawdowns too) except gold provided some balance then. It isn’t helping now. These are the type of environments where Geometric Balancing draws down the most.

The first 18 months of this trial was a good example of the strategy performing well. I said last June that stats were well above average and wouldn’t continue. That’s what happened. You got to see the good times, and now you get to see the bad. Full cycle. Hopefully it’s just a small taste. On March 4th, the strategy rebalanced to:

36% SPY , 24% TLT , 15% GLD , 25% Cash

Still working on making a mid-week update automatic. See the Portfolio page for charts and tables.

*All investing strategies come with the risk of loss, including this one, which is evident by the many losing weeks this year. This portfolio may not be appropriate for your investment goals and requirements, and it is not investment advice.

5 Replies on “Portfolio on 3.4.21

  1. Since though it’s next to impossible predicting when the market will turn green again, do you reckon it’s going to be more risky putting a hedge on a systematic risk, then just holding through the fall?

    1. Hard to answer that without knowing the hedge for one, but even if I did, as you said, it’s hard to predict the future. I don’t know how to hedge this well, but I suspect some people maybe could.

  2. From the 25th Feb it appears your updates moved to Thursday from Friday. Sorry if I missed it but was there a reason for this? Also is the implication of this that the model portfolio represents rebalancing on a thursday before close of play, or on a Friday at opening?

    Finally, where does this leave the sometimes midweek rebalance? Is midweek deemed Wednesday? Just one day before the standard Thursday update, or now Monday/Tuesday?

    P. S. Love the site. Its truly the first new (to me) and compelling strategy I’ve come across in over 5 years.

    The learning journey has been something like:
    Day 1: investing
    Day 2: diversification
    Day 3: Funds
    Week 2: index Funds
    Month 2: ETFs
    Month 3: buy and hold
    Month 6: ‘value’ (bad decade with hindsight!)
    Year 2: high yield dividend growth investing (nice narrative)
    Year 3: smart beta/factors (dubious/debatable benefit)
    Nothing new
    Year 8: breaking the market, geometric rebalancing

    As a one-time promising mathematician 2 decades ago, who took another path (med school), I trust your maths but freely admit I don’t have the aptitude to follow every working/equation any more. Its one reason the great writing and abundance of charts are so welcome. It’s a great skill to not just develop ideas but communicate them.

    My 3 big hopes for the future of your roll-out are things I wish I had the skills to map myself:
    1) global diversification (I’m not in USA)
    2) automated midweek update
    3) a post (an update table would be better!) showing a worked example of how you would theoretically implement the potential portfolio at the daily updated leverage stated up top, including which products would be combined in a ratio (is it combos of 1x, 2x, 3x etfs?) – would this require daily implementation to avoid the heightened volatility?
    4) this has already been granted – I found your blog and devoured almost all of it the week before the ‘university’ was mapped out, but having done the ad hoc hopping between posts I was itching for a stepwise journey. Et voila

    Thanks very much for all you’re doing.

    1. The portfolio is rebalancing on Thursday now because I did a midweek rebalance there back in March, and just decided to cycle it on Thursday from there on out as I though my readers would like that better. In theory it doesn’t matter which day you rebalance on, as long as long as you roughly stick to that schedule. I chose Friday before, because that’s when I prefer to rebalance, and this was essentially tracking my old moves. But that’s not the case any longer so there wasn’t any reason it needs to stay on Friday.

      The midweek re-balance was just a rebalance on a day other than Friday. I’m pretty sure I’ve done one on each day before. Essentially when the portfolio gets too out of whack to optimal, you should re-balance midweek. I chose 10% as my threshold. I really do need to get around to automating it though.

      I’m working on figuring out the best method to add global diversification. I built a 4 asset model years ago with EAFE added, but didn’t like how choppy it was between the S&P 500. The recent podcast with resolve touched on this, and I liked thier recommendation.

      I’ve spent very little time trying to fit levered ETF into my strategy (I just use traditional margin, which may not work for everyone I realize). However I know some readers have, and I think Amit (@Amito1998 from twitter) has probably done the most on it.

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