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 drawing down on 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 October 22, 2021, the S&P 500 was up 1.64%, the NASDAQ was up 1.29%, gold was up 1.41%, and long-term treasuries (TLT) were down 0.45%.  REITs (REET) were up 1.18%, commodities (PDBC) were down 0.71% and preferred shares (PFF) were up 0.2%.                                                                                                                                                                                                                                             
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 (typical 60/40) and VWIAX (conservative 35/65).                                                   

Monthlies July 2020 - September 2021.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.                                                                                               
                                                                                                                                                          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.                                                                                                                                                                                                                                    

Current Status:  We distributed $35 from cash for October 2021 and have distributed $486 total since inception ($35 GLDM, $33 VGIT, $212 VTI, $70 PDBC and $139 cash).  Here it is as of October 22, 2021.  It was up 0.24% the prior week.    It is up 4.23% YTD (as of September 30) and up 10.78% since inception.                                                               

2021-10-22 All Seasons.jpg
2021-08-20 All Seasons Graph.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.                                                                                                                                                                                            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.                                                                                                                                                                                                                                  

Current Status:  We distributed $47 from VIOV for October 2021 and have distributed $685 total since inception ($43 GLDM, $458 VIOV, $48 VTI and $136 cash).  Here it is as of October 22, 2021.  It was up about 0.70% the prior week.  It is up 6.39% YTD (as of September 30) and 21.53% since inception.                                                                              

2021-10-22 Golden Butterfly.jpg
2021-08-20 Golden Butterfly Graph.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.                                                                                                                                                                                            
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.                                                                                                                                                                                                     

Current Status:  We distributed $47 from cash (FCASH) for October 2021 and have distributed $685 from cash since inception.  Here it is as of October 22, 2021.  It was up about 0.99% the prior week.  It is up 6.99% YTD (as of September 30) and 22.12% since inception.                                                                                                                                        

2021-10-22 Golden Ratio.jpg
2021-08-20 Golden Ratio Graph.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:  40% stock funds (split into 12.5% VUG, 12.5% VIOV, 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), 10% REITs (REET) 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.  Since then it has been comprised of 40% stock funds (12.5% VUG, 12.5% VIOV, 5% USMV, 5% KBA and 5% UPRO); 20% long-term treasury bonds (15% TLT and 5% TMF); 15% gold (GLDM), 10% preferred shares (PFF), 5% REITs (REET), 5% commodities (COM), 3% volatility tracking (VIXY) and 2% crypto-assets (1% BITW and 1% BITQ). Here is the current correlation matrix.                                                                                                                                                                                                                                                                                                        
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.                                                                                                                                                                                                                                                                                                        

Current Status:  We distributed $55 from VIOV for October 2021 and have distributed $805 total since inception ($52 GLDM, $374 VIOV, $108 VUG, $58 UPRO and $213 cash).  Here it is as of October 22, 2021.  It was up about 0.76% the prior week.  It is up 7.55% YTD (as of September 30) and 22.08% since inception.                                                

2021-10-22 RPU.jpg
2021-08-20 RPU Graph.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.                                                                                                                                                                                                                                                                                                       
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.                                                                                                                                                                                                               
Current Status:  We distributed $72 from PFF for October 2021 and have distributed $1063 total since inception ($71 TMF, $638 UPRO, $137 PFF and $217 cash).  Rebalancing was triggered mid-January and mid-July when UPRO exceeded 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.    Here it is as of October 22, 2021.  It was up about 1.10% the prior week.  It is up 4.35% YTD (as of September 30) and 22.87% since inception.             

2021-10-22 Accelerated PP.jpg
2021-08-20 Accelerated PP Graph.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.                                                                                                                                                                                 
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.                                                                                                                                                                                                               
Current Status:  We distributed $75 from UPRO for October 2021 and have distributed $1081 since inception ($70 TMF, $735 UPRO, $63 PFF and $213 cash).  Rebalancing was triggered mid-November 2020 and mid-March 2021 when UPRO exceeded its target allocation by over 7.5%.  Accordingly, on November 16 we sold $794 UPRO and bought $694 TMF and $63 VGIT, leaving $37 additional cash for the next distribution.  On March 16, we sold $1143 UPRO and bought $1110 TMF, leaving $33 for the next distribution.  Here it is as of October 22, 2021.  It was up about 1.19% for the prior week.  It is up 8.79% YTD (as of September 30) and 29.19% since inception.                                                                                                                                                                                  

2021-08-20 Aggressive 5050 Graph.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 eight funds in the following nominal proportions:  35% NTSX; 10% TNA; 10% TMF; 25% GLDM; 15% O; 3% VIXM; 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); 37% long-term treasury bonds (equivalent to TLT); 25% gold (GLDM); 15% REITs (O); 7% intermediate treasuries (equivalent to VGIT); 7% 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).  It is designed to have a return greater than that of the S&P 500 with a lower expected volatility, as reflected in this backtest.  Here is a correlation matrix of the most similar assets available.                                                                                                                                                                                                                                                          
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 ta portion of the most productive fund as necessary to support the withdrawals.                                                                                                                                                                                                                                                                                              
Current Status:  We distributed $57 from NTSX for October and have distributed $178 total since inception ($118 NTSX and $60 TMF).  Here it is as of October 22, 2021.  It was up about 1.28% for the prior week.  It is up about 3.08% since inception on July 1, 2021.                                                                                                                                                                                                                                                                                                            

Correlation Matrix -- Levered Golden Ratio.jpg

Correlation Matrix

2021-10-22 Aggressive 5050.jpg
2021-10-22 Levered GR.jpg