Darwin Portfolio Review: 2 June 2023

Cruise Ship in Darwin Harbor, Australia

The Darwin Portfolio is an “All-Weather” portfolio with a dash of volatility. Performance to date (since lowering volatility target levels last November) looks like this:

The large “jumps” correspond to periodic allocation adjustments to risk parity – but maybe the stacked chart is easier to follow:

at least it is a little easier to see the relative allocations to each asset.

Although not a part of the risk parity calculations I have also added a ~10% allocation to Volatility as an asset class. This allocation (in $ terms) has not been adjusted since portfolio inception but, as can be seen in the above screenshots (purple lines/areas) , has been the most consistent (and positive) contributor to total portfolio returns.

In tabular analytical format:

the portfolio is currently showing a healthy 15% annualized Internal Rate of Return (IRR). Of course, this is only over a 6-month period, so needs to be taken with a healthy grain of salt (if that is even healthy 🙂 )

Analysis this month shows the following picture:

where we see current allocation recommendations close to current holdings – although TLT is slightly off-target by 3 shares – but I’ll ignore that, this month, to avoid commissions on a relatively small account. Remember, also, that this portfolio is analyzed/adjusted to allow up to 50% margin. At present the portfolio is leveraged up to ~15% margin.

I will not be making any adjustments to this portfolio for at least another month.

David