Market Overview

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 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.

The preceding article is from one of our external contributors. It does not represent the opinion of Benzinga and has not been edited.

Posted-In: Trading Ideas ETFs


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