Not much to report this month. Full performance breakdown is available here.
Whoa. I really got behind on these updates. Here is the current portfolio allocation:
There have been some modest changes over the past three months (embarrassingly my last update covered through June). These are the result of market moves and also some mild rebalancing as I had cash flows into the portfolio.
The detailed performance comparison data is available here.
2021 continues to be a “take your medicine” year for the strategy. It’s a good illustration of why more people don’t invest like this. This kind of relative performance is trying, even for someone who has spent a good deal of time “doing the work” on the strategy.
Longer term, the static allocation (Portfolio 2 in the data) continues to perform as expected. The difference between this return stream and Portfolio 1 (the live track record) is partly why I decided to jettison the tactical elements of the original strategy. In 2020 the tactical overlays kept a significant portion of the portfolio in cash well past the nadir of the Covid drawdown. This led to poor up capture in the latter half of the year.