Yesterday was 20 days since the last review of the Darwin Portfolio so positions were adjusted today based on the Risk Parity allocations suggested by the model. Based on yesterday’s closing prices, recommended holdings in the five “Core” assets looked like this:
This required the sale of 5 shares of TLT, 3 shares of GLD and the purchase of 3 shares each in VTI, VSS and VNQ. These adjustments were made today:
As can be seen fr0m the above figure the annualized Internal Rate of Return (IRR) of the portfolio is currently ~6.2% after 6 months of operation. Due to the short life of this portfolio the calculated IRR is not particularly reliable and was not helped by yesterdays weakness in most markets.
Graphically, performance to date looks like this:
Last month a small position was opened in SVXY – an inverse volatility ETF – and this position is still held. It is not currently included in the risk parity weightings and represents a ~10% holding in the portfolio.
The portfolio is managed with a constraint of ~35% leverage (including the volatility position).