Portfolio on 8.7.20

Still climbing, up 1.18% for the week. This upward trend is relentless. Today was interesting though. Until the rally in stocks at the close, the everything was down, and meaningfully so. It was headed toward the worst day in 8 weeks until the save at the end. One day does not make a trend, but it will be interesting to see if the assets stay correlated.

Strangely, the last time the strategy called for 60% stocks was on February 21st, at nearly the same level on the S&P 500. On August 7th, 2020, the strategy rebalanced to:

60% SPY , 32% TLT , 8% GLD

3 Replies on “Portfolio on 8.7.20

  1. This is a remarkable result. I recently wrote on the asset growth effect and future stock returns -though yes, I committed the sin of conflating an index strategy with the market- and essentially I show how increased exposure to stocks at the aggregate level leads to lower future returns: https://themirandolan.com/2020/08/06/the-asset-growth-effect-and-future-sp-500-returns/. I will be interested to see when the next Z.1 numbers are out, if investors started reducing their exposure to equities, if so, then the rise in the share of equities in your portfolio would really seem to indicate that this is a buying window at a time where I think future 10-year returns will be in the single digits -5-8%-.

  2. As always, it’s interesting to compare with benchmarks:

    Permanent:

    1.0%
    1.0%
    0.4%
    1.4%
    1.6%
    1.6%

    1/3 Split between Gold, TLT, S&P:

    1.3%
    1.3%
    0.5%
    1.8%
    2.2%
    2.2%

    Mean Weekly Returns:

    Geometric = 1.3%
    Permanent = 1.17%
    1/3 Risk Split = 1.55%

    SD of Weekly Returns:

    Geometric = 0.34%
    Permanent = 0.48%
    1/3 Risk Split = 0.63%

    So in summary, Geometric beat Permanent but lagged a simple 1/3 split HOWEVER, the returns were more consistent with Geometric than even Permanent.

    Interesting…

    1. Thanks for posting this. A goal of my strategy is to smooth out the ride. Last week was an even clearer example of what it’s trying to accomplish, even though it wasn’t a good week in terms of returns.

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