Nap Time for Koala, Australia
The Darwin Portfolio is a basic “Core” portfolio of five ETFs that are adjusted only occasionally as allocations go out-of-balance based on Risk Parity requirements. Superimposed on this is a holding in volatility-base assets that is designed to act as a hedge in times of high uncertainty. The portfolio is also slightly leveraged at ~35% leverage.
Current performance to date, since inception, looks like this:
and is showing a negative annualized Internal Rate of Return (IRR) of -6.7% – obviously not great, but the portfolio has only been in existence for nine months and we have gone through a ~15% draw-down in US equities since the beginning of the year.
Viewing the performance as a stacked chart of holdings, performance looks like this:
At present, current recommended holdings, based on risk parity, with 10% volatility targets for all holdings, look like this:
that requires a little adjustment from current holdings of 9, 20, 16, 14 and 20 shares in VTI, VSS, VNQ,TLT and GLD respectively. Consequently I shall be selling 4 shares of VSS and 6 shares of GLD and buying 9 shares of VNQ and 4 shares of TLT. SVXY remains the suggested volatility EFT holding.
That should hold us for the next month or so.
David
