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Dynamic Allocation Portfolio Update: January 2016 – August 2016

|Includes: BND, SPXL, SPY, iShares 20+ Year Treasury Bond ETF (TLT)

It has been more than six months since our last update. As described in our February 2016 update, we dropped VIX ETP strategy from this portfolio to reduce trading cost. Since then, we have made only one trade. In June, we replaced TLT with SPXL. Trading cost during this period has been effectively reduced to < 1%. We are currently ~1X long SPY. Below is the YTD portfolio return comparing to S&P500 index. In 2016, our portfolio has returned 18.1% vs 7.0% for S&P500.

Zach_returns.2016-09-02.png

Disclosure: I am/we are long SPXL.