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.
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.
One thought on “05/20 Permanent Portfolio Rebalance”
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%.