The Sample Portfolios  

Introduction

We have seven real-time sample risk-parity inspired portfolios maintained at Fidelity that we monitor and track each week.  For convenience, we have named them (1) the All Seasons portfolio; (2) the Golden Butterfly portfolio; (3) the Golden Ratio portfolio; (4) the Risk Parity Ultimate portfolio; (5) the Accelerated Permanent Portfolio; (6) the Aggressive Fifty-Fifty portfolio; and (7) the Levered Golden Ratio portfolio.   Each of them was funded with $10,000 on July 13, 2020, except for the All Weather, which was funded with $10,200 on July 21, 2020, and the Levered Golden Ratio, which was funded with $10,000 on July 1, 2021.  For reference, on July 13, 2020, the S&P opened at 3205 and the NASDAQ at 10,729.                                                                                                                                                                                                                                                      
We are distributing from them monthly at the rates specified below.   The withdrawal rates are intentionally aggressive to demonstrate that these types of portfolios can withstand higher safe withdrawal rates than ordinary stock/bond mixes.  Also included is a correlation matrix for each portfolio generated at the portfoliovisualizer website.                                                                                                                                                           
    For current reference, during the week ending September 30, 2022, the S&P 500 was down 2.91%, the NASDAQ was down 2.69%, gold was down 0.66%, and long-term treasuries (TLT) were down 3.07%.  REITs (REET) were down 4.40%, commodities (PDBC) were down 0.24%, preferred shares (PFF) were up 0.17% and managed futures (DBMF) were up 0.30%.                                                                                                                                                                                                                                                                          
Immediately below is our monthly tracker with the monthly percentage returns of all six of the sample portfolios and reference portfolios that include VTSAX (100% equity), VWENX (aggressive 65/35) and VWIAX (conservative 35/65).                                               

Monthlies July 2020 - July 2022.jpg

The All Seasons

What Is It: The All Seasons portfolio is a reference portfolio that is modeled after Ray Dalio's All Weather portfolio and is described in "Money:  Master the Game" by Tony Robbins.  It is a very conservative portfolio that is comprised of four asset classes in five funds, allocated as follows:  30% total U.S. stock market (VTI), 40% long-term treasury bonds (TLT), 15% intermediate-term treasury bonds (VGIT) 7.5% gold (GLDM) and 7.5% commodities (PDBC).  Since 1970, it has a compounded annual growth rate (after inflation) of 5.6%, and an expected permanent safe withdrawal rate of 3.8%.  Here is the current correlation matrix and a backtest by asset class with a 4% annualized distribution taken monthly.                                                                                                         
                                                                                                                                                          Portfolio Policies: We will re-balance this portfolio annually.  We will be distributing 4% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 300 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 3% annualized until it returns to its starting value.  We will sell  a portion of the currently most productive fund as necessary to support the monthly withdrawals.                                                                                                                                                                                                                                                                                              
We rebalanced this portfolio on July 21, 2021, to its original allocations based on its value of $10,802 on July 20, 2021.  This involved selling  $690 VTI and $215 PDBC, and buying $665 TLT, $165 VGIT and $90 GLDM.  We rebalanced again on July 22, 2022 based on the balance of $9,248 on July 21, 2022.  This involved selling $61 GLDM, $66 VGIT and $88 VTI, and buying $6 PDBC and $347 TLT.                                                                                                                                                                                                                  

Current Status:  We will distribute $28 from cash for October 2022 and will have distributed $885 total since inception ($35 GLDM, $36 TLT, $33 VGIT, $248 VTI, $100 PDBC and $433 cash) and $324 YTD.  Here it is as of September 30, 2022.  It was down about 1.86% the prior week and is down 21.04% YTD in 2022.  It was up 8.31% for 2021 and is down 7.84% since inception.                                                                                                                                                                                                                                                        

2022-09-30 All Seasons.jpg
2022-07-15 Graph All Seasons.jpg

The Golden Butterfly

What Is It: The Golden Butterfly is the brainchild of Tyler, the founder and operator of the website www.portfoliocharts.com.  It is a conservative portfolio and is comprised of four asset classes in five funds that are equally weighted:  20% total U.S. stock market (VTI), 20% small cap value stocks (VIOV), 20% long-term treasury bonds (TLT), 20% short term treasury bonds (SHY) and 20% gold (GLDM).  Since 1970, it has a compounded annual growth rate (after inflation) of 6.4%, and an expected permanent safe withdrawal rate of 5.3%.  Here is the current correlation matrix and a backtest by asset class with a 5% annualized distribution taken monthly.                                                                                                                                                                                                            
Portfolio Policies: We will re-balance this portfolio annually.  We will be distributing 5% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 240 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 4% annualized until it returns to its starting value.  We will sell  a portion of the currently most productive fund as necessary to support the monthly withdrawals.                                                                                                                                                                                                                                                                                              
We rebalanced this portfolio on July 21, 2021, to its original allocations based on its value of $11,429 on July 20, 2021.  This involved selling $720 VIOV and $395 VTI and buying $485 TLT, $325 GLDM and $300 SHY.  We rebalanced again on July 22, 2022 based on the balance of $9,955 on July 21, 2022.  This involved selling $47 GLDM, $116 SHY and $88 VIOV, and buying $21 VTI and $245 TLT.                                                                                                                                                                                                                   

Current Status:  We will distribute $38 from GLDM for October 2022 and will have distributed $1217 total since inception ($218 GLDM, $500 VIOV, $96 VTI, $48 TLT, $125 SHY and $230 cash) and $436 YTD.  Here it is as of September 30, 2022.  It was down about 1.29% the prior week and is down 17.60% YTD in 2022.  It was up 10.63% for 2021 and is up 3.06% since inception.                                                                                                                                                                                                                                                  

2022-09-30 Golden Butterfly.jpg
2022-07-15 Graph Golden Butterfly.jpg

The Golden Ratio

What Is It:  The Golden Ratio is a conservative portfolio that is designed for medium to long-term needs.  It is based on the mathematical golden ratio known to the ancients, which is approximately 1.618 and is represented by the Greek letter phi.  It is comprised of five asset classes in seven funds that are weighted by successive applications of the golden ratio:  42% stocks (split into 14% large cap growth (VUG), 14% small cap value (VIOV) and 14% low volatility (USMV)), 26% long-term treasury bonds (TLT), 16% gold (GLDM), 10% REITs (REET) and 6% money market.  Since 1970, it has a compounded annual growth rate (after inflation) of 7.0%, and an expected permanent safe withdrawal rate of 5.0%.  Here is the current correlation matrix and a backtest by asset class with a 5% annualized distribution taken monthly.                                                                                                                                                                                                            
Portfolio Policies:  We will re-balance this portfolio annually.   We will be distributing 5% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 240 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 4% until it returns to its starting value.  We will sell the money market asset first and a portion of the most productive fund after that as necessary to support the withdrawals.                                                                                                                                                                                                                                                                        
We rebalanced this portfolio on July 21, 2021, to its original allocations based on its value of $11,485 on July 20, 2021.  This involved selling $760 VIOV, $285 VUG, $105 USMV and $225 REET, and buying $635 TLT and $235 GLDM.  We rebalanced again on July 22, 2022 based on the balance of $9,753 on July 21, 2022.  This involved selling $182 GLDM, $24 REET, $170 USMV and $156 VIOV, and buying $17 VUG and $210 TLT.                                                                                                                                                                                                                                                                                                            

Current Status:  We will distribute $37 from cash for October 2022 and will have distribute $1213 from cash since inception and $432 YTD.  Here it is as of September 30, 2022.  It was down about 2.02% the prior week and is down 22.27% YTD in 2022.  It was up 13.84% for 2021 and is down 0.57% since inception.                                                                                                                                                                                                              

2022-09-30 Golden Ratio.jpg
2022-07-15 Graph Golden Ratio.jpg

The Risk Parity Ultimate

What Is It:  The Risk Parity Ultimate is a diverse portfolio that is designed for medium and long-term needs.  It was originally comprised of 12 different funds in six different asset classes:  50% stock and REIT funds (split into 12.5% VUG, 12.5% VIOV, 10% REET, 6.25% USMV, 6.25% SPLV and 2.5% UPRO), 25% long-term treasury bond funds (split into 15% TLT, 5% EDV and 5% TMF), 12.5% preferred stock funds (PFF), 10% gold (GLDM), and 2.5% in a stock market volatility tracking fund (VXX).  On July 21, 2021 it was rebalanced and modified to include even more diverse holdings.  For the next year it was comprised of 45% stock and REIT funds (12.5% VUG, 12.5% VIOV, 5% USMV, 5% KBA, 5% UPRO and 5% REET); 20% long-term treasury bonds (15% TLT and 5% TMF); 15% gold (GLDM), 10% preferred shares (PFF), 5% commodities (COM), 3% volatility tracking (VIXY) and 2% crypto-assets (1% BITW and 1% BITQ). On July 22, 2022 it was rebalanced and modified slightly again.  Since then it has been comprised of 45% stock and REIT funds (12.5% VUG, 12.5% VIOV, 5% USMV, 5% KBA, 5% UPRO and 5% REET); 20% long-term treasury bonds (15% TLT and 5% TMF); 15% gold (GLDM), 10% managed futures and commodities (5% COM and 5% DBMF), 5% preferred shares (PFF), 3% volatility tracking (VIXM) and 2% crypto-assets (1% GBTC and 1% ETHE).  Here is the current correlation matrix and a backtest with a 6% annualized distribution taken monthly.                                                                                                                                                                                                                                                                                                    
Portfolio Policies:  We will re-balance this portfolio annually.  We will be distributing 6% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 200 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 5% annualized until it returns to its starting value.  We will sell a portion of the most productive asset as necessary to support the withdrawals.                                                                                                                                                                            
We rebalanced this portfolio of July 21, 2021, to its revised allocations based on its value of  $11,381 on July 20, 2021.  This involved selling $205 VUG, $325 VIOV, $195 USMV, $763 SPLV, $421 EDV, $260 PFF, $805 REET and $32 VXX, and buying $565 KBA, $350 TLT, $215 TMF, $755 GLDM, $565 COM, $340 VIXY, $110 BITQ and $110 BITW.  We rebalanced again on July 22, 2022 to its revised allocations based on the balance of $9,159 on July 21, 2022.  This involved selling $43 BITQ, $38 BITW, $67 COM, $142 GLDM, $524 PFF, $40 REET, $87 USMV, $143 VIOV, and $214 VIXY, and buying $91 GBTC, $96 ETHE, $33 KBA, $456 DBMF,  $40 TLT, $204 TMF, $118 UPRO, and $273 VIXM.                                                                                                                                                                                                                                                                                       

Current Status:  We will distribute $40 from cash for October 2022 and will have distributed $1413 total since inception ($198 GLDM, $421 VIOV, $108 VUG, $116 UPRO, $49 COM and $521 cash) and $493 YTD.  Here it is as of September 30, 2022.  It was down about 1.85% the prior week and is down 25.84% YTD in 2022.  It was up 13.50% for 2021 and is down 5.21% since inception.                                                                                                                                                                                                                                        

2022-09-30 RPU.jpg
2022-07-15 Graph RPU.jpg

The Accelerated Permanent Portfolio

What Is It:  The Accelerated Permanent Portfolio is an aggressive and experimental portfolio that is designed to take advantage of leveraged funds that offer multiples on returns, but is based fundamentally on Harry Browne's original Permanent Portfolio.  It is comprised of four different funds in four different asset classes:  25% leveraged stock funds (UPRO),  27.5%% leveraged long-term treasury bond funds (TMF), 25% preferred stock funds (PFF), and 22.5% gold (GLDM).  In theory it should yield a double-digit real compounded annual growth rate.  Here is the current correlation matrix  and a backtest with an 8% annualized distribution taken monthly.                                                                                                                                                                                  
Portfolio Policies:  We will rebalance this portfolio whenever there is a 7.5% deviation from the targeted holding of a fund at mid-month.   We will be distributing 8% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 150 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 6% until it returns to its starting value. We will sell the most productive asset as necessary to support the withdrawals.                                                                                                                                                                                                                
Rebalancings to Date:   Rebalancing was triggered mid-January and mid-July 2021 when UPRO exceeded its target allocation by over 7.5%, and in mid-April 2022 when TMF went below its target allocation by over 7.5%.  Accordingly, on January 18, 2021, we sold $975 UPRO and bought $917 TMF.  On July 21, 2021, we sold $865 UPRO and bought $450 TMF, $125 PFF and $300 GLDM.   On April 18, 2022, we sold $155 UPRO, $186 PFF and $599 GLDM and bought $941 TMF.                                                                                                                                                                                                                                      

Current Status:  We distributed $32 from PFF for October 2022 and will have distributed $1769 total since inception ($148 TMF, $861 UPRO, $178 PFF, $109 GLDM and $435 cash) and $546 YTD.  Here it is as of September 30, 2022.  It was down about 3.70% the prior week and is down 42.38% YTD in 2022.  It was up 16.75% for 2021 and is down 19.60% since inception.                                                                                                                                                                                                                                                                

2022-09-30 Accelerated PP.jpg
2022-07-15 Graph Accelerated PP.jpg

The Aggressive Fifty-Fifty

What Is It:  The Aggressive Fifty-Fifty Portfolio is an aggressive and experimental portfolio that is designed to take advantage of leveraged funds that offer multiples on returns. It is comprised of four different funds in that are associated with stocks and bonds in a 50/50 stock/bond ratio:  33% leveraged stock funds (UPRO),  17% preferred stock funds (PFF), 33%% leveraged long term treasury bond funds (TMF), and 17% intermediate treasury bond funds (VGIT).  In theory it should yield a double-digit real compounded annual growth rate.  Here is the current correlation matrix and a backtest with an 8% annualized distribution taken monthly.                                                                                                                                                                                                            
Portfolio Policies:  We will be rebalance this portfolio whenever there is a 7.5% deviation from the targeted holding of a fund at mid-month.   We will be distributing 8% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 150 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 6% until it returns to its starting value.  We will sell the most productive fund as necessary to support the withdrawals.                                                                                                                                                                                                                
Rebalancings and Other Actions to Date:  Rebalancing was triggered mid-November 2020 and mid-March 2021 when UPRO exceeded its target allocation by over 7.5%, and in mid-April 2022 when TMF went below its target allocation by over 7.5%.  Accordingly, on November 16, 2020 we sold $794 UPRO and bought $694 TMF and $63 VGIT, leaving $37 additional cash for the next distribution.  On March 16, 2021 we sold $1143 UPRO and bought $1110 TMF, leaving $33 for the next distribution.   On April 18, we sold $126 PFF, $33 VGIT and $615 UPRO and bought $776 TMF.  On May 31, 2022, the balance had dropped below 80% of the starting value and so we reduced the monthly distributions to 6% annualized.                                                                                                                                                                                                                                                              

Current Status:  We will distribute $24 from cash for October 2022 and will have distributed $1772 since inception ($70 TMF, $1113 UPRO, $102 PFF, $120 VGIT and $367 cash) and $531 YTD.  Here it is as of September 30, 2022.  It was down about 5.23% for the prior week and is down 49.92% YTD in 2022.  It was up 24.38% for 2021 and is down 24.23% since inception.                                                                                                                                                                                                                                                      

2022-09-30 Aggressive 5050.jpg
2022-07-15 Graph Aggressive 5050.jpg

The Levered Golden Ratio

What Is It:  The Levered Golden Ratio is an aggressive portfolio that is designed for accumulation and long-term needs.  Similar to the original Golden Ratio portfolio, it is based on the mathematical golden ratio known to the ancients, which is approximately 1.618 and is represented by the Greek letter phi.  It is comprised of seven funds in the following nominal proportions:  35% NTSX; 10% TNA; 10% TMF; 25% GLDM; 15% O; 3% VIXM; and 2% GBTC (formerly 1% BITQ and 1% BITW).  The first three funds are leveraged.  When the funds are broken out into asset classes, the portfolio is 61% stocks (equivalent to 31% SPY and 30% IWM); 34.2% long-term treasury bonds (equivalent to TLT); 25% gold (GLDM); 15% REITs (O); 8.4% intermediate treasuries (equivalent to VGIT); 8.4% short-term treasuries (equivalent to SHY); and 5% other assets (for this sample portfolio, 3% in volatility and 2% in crypto-related).  The leverage in this portfolio is 157.5/100 (roughly the golden ratio).  Here is a correlation matrix of the most similar assets available and a backtest with a 7% annualized distribution taken monthly.                                                                                                                                                                                                                                                                    
Portfolio Policies:  We will re-balance this portfolio whenever there is a nominal 5% deviation from the nominal allocations in any fund at mid-month.   We will be distributing 7% annualized from this portfolio each month, which in practice will involve dividing the ending monthly balance by 170 and distributing that amount on the first trading day of the next month.  If the portfolio falls below 80% of its starting value, we will reduce the withdrawal rate to 5% until it returns to its starting value.  We will sell a portion of the most productive fund as necessary to support the withdrawals.                                                                                                                                                                                                                                                                                              
Rebalancings to Date:  Rebalancing was triggered mid-May 2022 when TNA went below its target allocation by over 5%.  Accordingly, on May 16, 2020 we sold $375 GLDM, $92 NTSX, $291 O (including ONL spinoff) and $55 VIXM; tax-loss harvested $36 BITQ and $35 BITW; and bought $332 TMF, $400 TNA and $160 GBTC, leaving $43 cash for the next distribution.                                                                                                                                                                                                                                                                         

Current Status:  We will distribute $32 from VIXM for October 2022 and will have distributed $747 total since inception ($177 NTSX, $60 TMF, $49 TNA, $92 O, $165 GLDM, $78 VIXM and $126 cash) and $450 YTD.  Here it is as of September 30, 2022.  It was down about 2.69% for the prior week and is down 30.24% YTD in 2022.  It is down about 25.90% since inception on July 1, 2021.                                                                                                                                                                                                                          

2022-09-30 Levered GR.jpg
2022-07-15 Graph Levered GR.jpg
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