The Risk Model, which is used to identify “Favorable” and “Hostile” market conditions has viewed market conditions as “Hostile” since November 30, 2014 (SPX 2068). That limits positions to the Core Strategy which targets capital preservation and low volatility. Approximately 40% of our investment portfolio is held in the Core+Satellite Strategy. (The Satellite Strategy is invested exclusively during “Favorable” market conditions.)
The Core Strategy spent January (0.0%) entirely in cash, then shifted into high quality bonds and short term Treasuries for February (+0.50%) and March (+0.51%). The Core Strategy then shifted into a combination of equities and treasuries for April (+0.75%) and May (+0.91%). The YTD Compound Annual Growth rate is 6.6% and the Maximum Drawdown has been just 2.4%.
For the first six months of 2016, the Core Strategy weights have remained consistent enough that I have rebalanced the portfolio only twice.
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