Dear Followers&Copiers, Just a quick update on the portfolio as it stands as of today. I wanted to highlight to you just how important divesification between both asset classes (equities ($SPX500), $GOLD, Treasuries ($TLT, $SHY), CASH) as well as within the equity portfolio itself is.
As of today we have:
22 stocks fulfilling SIAScore
2 US Treasury ETFs
1 GOLD ETF
1 Chinese stocks ETF
Allocation now is:
73,3% equities
26,7% Treasuries plus Gold
Above on the picture you will see a simulation of how such a portfolio would have behaved over the last 5 years and its risk characteristics. Most imporant things to note:
1) Sharpe Ratio 1,68 (above 1 is great)
2) Sortino Ratio 3,2 (above 2 is great)
This is exactly the main aim of the GLP – to keep the appropriate balance between risk and reward. the above ratios show clearly that in term of risk-adjusted investing GLP does a great job, even with such a high equities allocation (bear in mind that inbewteen the GLP portfolio would have been allocated in stocks as follows: 60-75% untill start 2019, down to 40-50% start 2020, down to 20% after Feb 2020, and back 60-75% after June 2021 – as per out macro allocation tool – the Enhanced Aggregate Spread by Dr.Robert Dieli).
3) No losing year
4) great behaviour in Feb-Mar 2020 period due to (a) exposure to best stocks as per SIAScore (b) buffer with other-than-stocks assets like Gold and Treasuries, which have zero to negative correlation. 5) CAGR of almost 26% vs. $SPX500 CAGR of less than 17% in the given preiod.
All the above assumes stable weights of course. Please bear in mind that in reality the GLP would have swung equity allocations quite substantially (between as much as 75% down to 20% and back above, as described above). This would have caused the folowing copmared to the current portfolio structure:
– a yet better risk/reward ratio on avergae (Sharpe/Sortino higher)
– lower maximal drawdown (appx 11% vs. 16% with current structure.
If anyone of you would be interested to investigate our investing philosophy, please do not hesitate to shoot me a message. I can also make a direct call with anyone of you or make a group meeting online.
Yours, GlobalAlphaS
more on SIAScore: globalalphasearch.com/scoring-deep-dive-into-sia-3/
more on Enhanced Aggregate Spread: globalalphasearch.com/forecasting-economic-cycles-made-easy/
more on Smart Investing Approach (SIA): globalalphasearch.com/smart-investing-approach-sia-explained/
Disclaimers: None of the ideas, views and thoughts presented here shall ever be taken as a recommendation to buy or sell stocks,bonds,FX,commodities or any other financial instruments as stated in REGULATION (EU) No 596/2014 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC or the Polish Act of 10 February 2017 amending the act on trading in financial instruments and some other acts. The article is for educational reasons and purely presents private views of the author, thus the author shall not be held accountable for any losses of a third party resulting from any potential trading activities in any instruments, both specifically or by category of assets. The author uses his best knowledge and data from sources believed to be reliable, but makes no representations as to the accuracy of the data.Full Disclaimers&Liability Limitations page.
