05/20 Permanent Portfolio Rebalance

Despite the strong rally in April the portfolio came in above the 12% volatility guardrail in April (upside volatility counts as much as downside volatility). Each individual asset is above the 12% threshold (though gold not by much). Cash needs to move to a 20% weight. To do this I will trim from everything but gold.

New weights:

NTSX – 29%

GLD – 25%

VIESX – 13%

JOHIX – 13%

Cash – 20%

Which means the underlying allocation is approximately:

S&P 500 – 27%

Laddered Treasury Bonds – 18%

Gold – 25%

EM Small Cap – 13%

Ex-US Dm Large Cap – 13%

Cash – 20%

(98% notional exposure)

I remain quite pleased with year-to-date performance. The interesting thing about this recent signal is that it is de-risking the portfolio after a strong rally. As mentioned above, volatility as a measure does not discriminate between up and down moves. It is just showing you the sea is choppy. The intuition here is very simple. You de-risk when the seas reach a certain level of roughness, even if the most recent moves happen to have been up.

Source: Demonetized Calculations


One thought on “05/20 Permanent Portfolio Rebalance

  1. The Permanent Portfolio returned ~16 – 18% over this time period and a 1/3 split with 1% cash is more like ~21 – 22%.

    (This is both from my local backtest code and also Portfolio Visualiser).

    I’m really not convinced by ReSolve’s MA / volatility-targetting model. If it’s so good, why don’t they offer it as a fund? I also notice they were singing about their 2017 42% return on their 16% “Adaptive Asset Allocation” fund.


    How’s it done lately? -13.8% YTD.
    How about from inception? 4.37%.


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