Huygens Asset Allocation Portfolio Review: 3 December 2024

Winter Scene

Huygens is one of nine portfolios following an Asset Allocation (AA) investing model.  This includes the Schrodinger as it too is built around the concept of diversification.  Launched in April of this year the Huygens does not have much AA history.

Huygens Asset Allocation Model

The following Asset Allocation model is constructed around recommendations from David Swensen and Mebane Faber with a smattering of Richard Ferri.  Holdings differ from the Schrodinger in that the Huygens holds a much higher percentage in real estate compared to the low percentage in the Schrodinger.

Huygens Rebalancing Recommendations

The Huygens is holding over $9,600 in cash.  That is 5.4% of the portfolio so not a high percentage.  As a guide for setting limit orders, I’ve been using the Annualized Volatility as a guide.

• Identify asset classes most out of balance.  Look for asset classes that are more than 1% out of balance.  Currently those ETF are: TLT, VO, and VOO.
• Using VOO as an example, its three-year annualized volatility is 12.2%.  The current price is $555 so set a limit order for 1/2 x 12.2% or 6.1% below the current price.  100% – 6.1% = 93.9%.  0.939 x $555 = $521.10 is the limit order price to pay for 16 shares.

If the volatility of VOO is 12.2% there is a high probability the 16 shares will be purchased sometime over the next year.  Again, I use this approach as a guide for determining limit orders.

Huygens Performance Data

Since 12/31/2021 the Huygens is outperforming the AOR benchmark, but lagging the S&P 500 index by a significant margin.

Huygens Risk Ratios

Pay little attention to the December values as it is very early in the month.  The November 2024 values are higher than the December values of 2023.  Another positive sign is the strong slope value for the Jensen Alpha.  The AA model is adding value to this portfolio.

Huygens Asset Allocation Portfolio Review: 10 April 2024