Darwin Portfolio Review: 31 October 2025

Haggis, Scotland

US Equities reached new all-time highs again this week as the SPX (S&P 500 Index) closed the week ~0.7% higher than last week’s close:

After hitting the new highs on Wednesday the markets sold off a little on higher than average volume on Thursday but the uptrend remains firmly in place.

US equities were also the best performing major asset class this week:

with Real Estate, Gold and Bonds being the biggest losers.

I continue to work on the new Rotation algorithm for the Darwin Portfolio and, specifically, a sensible model for asset allocation.

Rankings and recommendations for this week look like this:

where I have tightened up the requirements for a Buy recommendation to situations where the asset chosen must be ranked higher or equal to the benchmark fund (in this case AOA) and also be generating a positive trend signal (Weighted Moving Average Crossover). Once purchased under these conditions the requirements are relaxed a little until a Sell signal is generated if/when the trend signal reverses to less bullish (negative crossover signal) with negative Relative Momentum (Momentum relative to the benchmark fund) and negative shorter-term MACD and bearish RSI signals – as shown in the above screenshot (yellow circles) for TMF (Bonds).

At the present time only SPLG (now SPYM) is ranked higher than AOA and recommended as a Buy Candidate, with EEM (currently held) ranked higher but showing a negative trend signal – and therefore downgraded a little and showing a (blue) Hold? signal – suggesting that it should be watched – although it is still showing strong Relative Strength/Momentum with positive shorter-term MACD and RSI signals – so not suggesting a strong need to Sell.

I decided to Sell IAU last week rather than to sell Calls to hedge it, since the premium on the Options to be sold was not attractive. Although IAU is still showing strong relative strength from long-term indicators it has given back a little of it’s gains in recent days/weeks and is showing a continuation of the bearish crossover that we saw last week:

If I had not sold IAU it would be showing a Hold? signal similar to EEM. EEM and SPLG are still hedged through the sale of Calls expiring 21 November (3 weeks). I continue to watch these Options with the intent to buy back should we see new highs in these ETFs,

Since I am presently holding TMF, this is a candidate for sale, so I shall be watching the chart:

for confirmation of the bearish crossover below the signal line.

This is what I was watching last week when I made the decision to Sell IAU (Gold) rather than just hedge it (premiums were too low to make this option attractive). Selling my position in IAU has left me with ~$43,000 sitting on the sidelines with only 60% of funds currently allocated:

Performance to date looks like this:

where the pullback in Gold has dropped us slightly below the Benchmark fund (although, again, with less funds allocated than is inferred from the blue AOA line). For what it’s worth (because of the very short history), current IRR is 3.76% with 10.5% volatility and a Sharp Ratio of 0.36.

This is leading me to focus more on asset allocation where my volatility targeted risk parity calculations are showing the following:

These calculations are based on a theoretical maximum portfolio volatility of 24%, or 8% per ETF assuming 3 ETFs are held in the portfolio, with equal risk for each asset held. However, to get to this level of investment I have to adjust my (theoretical) Leverage to 2.0 – even though I do not intend to use leverage. This may be ok until we get to a situation where more than 5 or 6 assets are recommended as Buys or Holds at which time I will need to come up with a sensible way of adjustment without over trading.

Meanwhile, the plan is to sell the current position in TMF (or possibly sell Calls to Hedge) and to add a position in AOA (the benchmark fund) to the portfolio – this is a small change in the algorithm since AOA was not originally included as an asset for possible investment – only as a “benchmark” for the selection of other ETFs.

Note: SPLG was re-named to SPYM on 31 October. This is no big deal other than the fact that Yahoo has not quite got the adj close data right – hopefully by next week?