Performance Tracking September 2017

For calculation methodology see this post.

Stocks had a very strong September with the SPY gaining 2.02%. Yields rose and the TBM declined -0.57% for the month, leaving the classic 60/40 portfolio still up a very respectable 0.98%. In contrast my total portfolio gained only 0.82% in September, the passive and active strategies returning 0.55% and 1.06% respectively.

Contrary to August when cryptos and PMs provided extra boost, in September they were laggards. Cryptos were responsible for a -0.8% decline. Approximately the same decline was due to PMs; however hedging (with 3X ETFs) mitigated the loss by 0.1%. I find it interesting that losses from cryptos and PM were evenly matched although that was the intent behind sizing the positions inverse to their daily volatilities, assuming all correlations were zero. I’m still amazed that it worked so well. The amount of decline gave a clue as to the maximum allocation I would give to cryptos from a monthly draw-down perspective: no more than 5-6%. At their lowest point this month the decline was about -1.2% overall from an end-of-August weight of just shy of 3%.

Other parts of the portfolio continue to perform well. The individual stocks had a banner month (+3.41%) and have returned more than 2% over that of SPY since April. The CEFs continue to deliver strong performance, up another 1.78% vs. a down month for AGG, my trimming down $PCQ this week notwithstanding. The option positions are starting to deliver as indices break out. The fact that cryptos and PMs were a drag this month is evidence that they’re serving as a portfolio diversifier as intended. For the remainder of the year, I expect cryptos to fully recover, and gold to bottom in late October before recovering, but the main performance driver will still be derived from equities.

AllocateSmartly tracks 40 different tactical asset allocation strategies. In September my total return of 0.82% would place it 14th; and the active account return of 1.06% 8th. YTD the first and second ranked strategies there have returned 19.91% and 14.44% vs. 14.82% for my total portfolio and 19.63% for my active accounts. I pay a lot of attention to the performance of my active accounts as that’s where I’ve devoted most of my energy but in the end the total portfolio is what will pay the bills. YTD it has delivered more than SPY at a standard deviation just above that of 60/40. It has also more or less caught up with 60/40 in total return from last August.