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Portfolio Update: 29 March 2019

The GreyGull portfolio remains defensively positioned for the coming week ended 5 April. The portfolio has an 85% allocation to short-dated Treasuries (SHY) and a 15% allocation to developed market equities (ACWI).

Our year-to-date performance continues to lag versus most asset classes as the global rally in risk assets continues. We do not believe the equity rally is sustainable. Today we introduce the S&P Risk Parity Index which is the closest benchmark for assessing the performance of the GreyGull portfolio. The Risk Parity Index mimics the performance of Ray Dalio’s All Weather portfolio.

We are lagging the S&P Risk Parity benchmark on the year-to-date performance. The chart below shows the consistency of return of the risk parity benchmark versus the key asset classes. The GreyGull portfolio strives to achieve the consistency of the risk parity benchmark but with higher return. We do this by only taking risk when risk conditions are optimal. When markets rally under sub-optimal risk conditions, the performance of the GreyGull portfolio will lag.

 

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