Mozart monument on Mozart square in Salzburg.
The Darwin is a “Core” portfolio of five assets that is adjusted periodically to maintain risk parity as asset volatilities change. This is supplemented by a 10% position in a volatility ETF for a little diversification. The portfolio is also leveraged ~35%.
Current performance since inception last year looks like this:
or, in “stacked” format:
Analysis of current volatilities results in the following recommended holdings:
Since these do not deviate more than ~20% from current holdings I will not be making any adjustments this month.
Current performance is not looking good:
with the portfolio showing a -23.4% IRR since inception ~12 months ago. However, this is pretty much in line with a Buy-And-Hold portfolio of US equities leveraged to the same level – so we’ll see how this performs as we go forward – hopefully things will look better in 12 months time 🙂
David
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