12/2019 Permanent Portfolio Rebalance

I deliberately held off on the 12/2019 rebalance for the leveraged permanent portfolio in order to sync the rebalancing checks with calendar month end dates going forward. However, ultimately it was another boring month with the portfolio falling well below its 12% risk target over the one-year lookback period. You can check the one-year trailing data here.

Realized performance for the live strategy since inception is below.

Source: Morningstar; Demonetized Calculations

Despite its brief length this is an interesting time period to examine the live strategy as it demonstrates exactly the performance profile you’d hope to see over longer time periods: limited downside capture with solid upside participation. Since the inception of NTSX in September 2018, this portfolio has actually outperformed the S&P 500 on both an absolute and risk-adjusted basis (you can play with the dates in Portfolio Visualizer if you click the above link). I would not expect that type of outperformance going forward. However, over very long time periods I suspect realized performance will compare favorably with a diversified equity portfolio, due to the strong downside protection.

2 thoughts on “12/2019 Permanent Portfolio Rebalance

  1. Do you have a strong preference for NTSX over PSPAX? To first order they look like similar kinds of things.

    1. I wouldn’t call it a strong preference. As you point out they are very similar. Couple reasons I prefer NTSX:

      1) Just easier to deal with logistically as an ETF as opposed to a mutual fund in terms of platform availability, minimums and transaction costs.

      2) This is really splitting hairs but the NTSX fixed income exposure is more what I want with laddered Treasuries. In an ideal world (for me) the Treasury exposure in NTSX would all be long-dated, as with TLT, for more “pure” deflation protection. The PSPAX portfolio is more of a traditional active bond portfolio.

      But to be clear this is just nit-picking. Either option works well (in fact since PSPAX has a much longer performance history it is useful for backtesting the strategy). It has a little more juice as well since it runs at 200% gross.

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