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Earlier this year I launched an "All-Season" ETF Portfolio. The initial launch of the portfolio provided a static allocation to 8 ETFs and was inspired by Ray Dalio of Bridgewater Associates.

I have added two dynamic allocations to the All-Season portfolio spreadsheet. The first is an unleveraged risk-parity asset allocation. The allocations for each ETF are updated daily based on the trailing 20-day volatility of each ETF as calculated using adjusted closing prices. The allocation to each ETF is calculated by taking the inverse of its trailing 20-day volatility and then calculating the percent each ETF contributes to the sum of all the inverse volatilities (for an example of the calculation please visit the spreadsheet). Bottom line: the lower trailing volatility an ETF has relative to the other ETFs in the portfolio, the higher its allocation.

The allocations as of last Friday's close are below. The 20-day volatility is listed along with the static allocation I proposed in January. While the allocations update daily, I do not personally check the allocations daily nor do I endorse checking allocations daily. The spreadsheet and calculations were created to allow for maximum flexibility; hence, the daily updates:

NameSymbolOriginal Static AllocationHistoric 20-Day Volatility of ETFRisk Parity Weighting
Vanguard Total Stock MarketVTI18.75%12.85%5.11%
PowerShares DB Commodity Index Tracking FundDBC7.25%7.01%9.38%
SPDR Gold TrustGLD7.25%14.23%4.62%
iShares iBoxx $ High Yield Corporate Bond FundHYG6.50%3.60%18.27%
iShares Emerging Markets USD Bond ETFEMB14.50%4.44%14.80%
iShares Barclays TIPS Bond FundTIP20.75%4.51%14.57%
iShares Barclays 20+ Year Treasury Bond ETFTLT12.50%12.42%5.29%
iShares Barclays Aggregate Bond FundAGG12.50%2.35%27.96%
Source: All-Season Portfolio: Risk Parity Allocation