Tactical Asset Allocation – September 2016

September was much like August ... it went up and down ... but with positive results for both strategies. We’ve had a good run from the late June swoon and the market deserved a rest. Both the US and Global Core strategies have maintained a broad market mix of large, mid and small cap stocks along with some fixed income and that has provided us with a low volatility portfolio. Global Core had success early in the year with small positions in precious metals but the same positions produced slightly negative results this summer.

The US Core Strategy returned +0.19% in September and 6.85% YTD

For the Year-To-Date:

  • Compound Annual Growth Rate is 9.23%,
  • Maximum Daily Drawdown 3.7%

For the past 12 months:

  • Compound Annual Growth Rate 5.96%
  • Maximum Daily Drawdown 3.7%

Average exposure by asset class for the past 12 months:

  • 30% Equity
  • 51% Fixed Income
  • 0% Alternative
  • 19% Cash

Full metrics for the past 9+- years are included in the Performance Tables.

The Global Core Strategy returned +.48% in September and 7.45% YTD.

For the Year-To-Date:

  • Compound Annual Growth Rate is 10.05%,
  • Maximum Daily Drawdown 2.7%

For the past 12 months:

  • Compound Annual Growth Rate 6.66%
  • Maximum Daily Drawdown 2.7%

Average exposure by asset class for the past 12 months:

  • 22% Equity
  • 47% Fixed Income
  • 6% Alternative
  • 25% Cash

Full metrics for the past 9+- years are included in the Performance Tables.

Global Satellite has been out of the market since December 1, 2014 due to Hostile market conditions. Global Core + Global Satellite, using 100% switching, shows a 16.38% Compound Annual Growth Rate and 13.7% Maximum Daily Drawdown since September 1, 2007.

My personal commitment to Global Core increased to 40% in September and our personal portfolios will be equal weight US Core and Global Core for October. Having spent 3+ months designing and testing Global Core, I can say that I think Global Core is especially well constructed for unknown future market conditions. It also pairs extremely well with Global Satellite. I may continue to shift my personal allocation more in favor of Global Core.

The Core Strategy Models look for longer trends and tell us how to position the portfolio for the month ahead. We rebalance it and forget it until the next rebalance. Is it perfect? No. But over the long term it does better than most humans and does so with very little effort and relatively small drawdowns.

 

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