The Grey Gull portfolio targets 5% volatility with a return of 5% in excess of prevailing US short term interest rates.
The asset allocation process is fundamental. Rules linked to global indicators of growth, inflation and risk guide the allocation decision. These rules were determined in back tests covering the period from 1995 to 2015. The investment rules relating to each asset class can be seen as separate trading strategies.
Our fundamental asset allocation process exploits regular relationships between fundamental economic conditions and asset returns to assess the risk of each asset class. Our default is 100% short-dated US Treasuries. We only add riskier assets to this default position if the expected incremental return warrants the additional volatility.
The portfolio allocates among eleven assets. These assets are shown in the weekly updatest along with the current portfolio allocation.