Weekend Cleaning

The All-Weather ETF Portfolio has been added to the menu and right hand column. Additional features will be added to the sheet as time permits.

A number of people commented and emailed regarding the All-Weather ETF Portfolio. The purpose is not to duplicate the Bridgewater–or any other institutional–strategy. An institutional allocation model typically involves leverage and risk-parity (weighting positions based on volatility). My objective was to create a simple, static portfolio allocation based on the “all-weather” model.

I was able to run some backtests of the positions in the portfolio using a risk-parity model (without leverage) as opposed to a static allocation like my original article proposed. Performance was similar in recent years, but risk-parity can involve more re-balancing and hence transaction costs.

Also, I chose to substitute and aggregate bond ETF (AGG) in place of the 7-10 Year Treasury Fund (IEF) in the All-Weather Portfolio. This should provide some additional diversification within the bond holdings.

Regarding the ETFReplay.com portfolio, I ommitted one position in last weeks article. I referenced the new cash filter in the strategy modification but did not include iShares Barclays 1-3 Year Treasry Bond (SHY) in the list of positions. The spreadsheet has been updated with this new position, and 15 positions (not 14) will be screened each month.