New allocations for Aggressive Portfolio total to 115.2% instead of 100%

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    Could you take a look and advise what the correct allocation is supposed to be?

    Alexander Horn

    Please see this post for the explanation and ways forward:

    Hope this helps,


    Thanks Alexander, but I guess I’m missing something as I still don’t understand how the allocation adds up to 115.2% instead of 100%. I also don’t see anything shorted on the July 2020 Aggressive Portfolio holdings. What am I missing?


    So do I just need to figure out the % of each allocation as a % of 115.2 instead of 100?


    Yes, you can do that. It does not need to be exact. You can just “eyeball” it and shave a 2 or 3% percent off the larger holdings and 1% off the smaller ones until you get to 100%. You could also reduce the GSY position, which is basically cash, to give you a slightly more aggressive portfolio.


    I just copy and pasted it into excel, scaled everything down to 100%, and determined my share adjustments. Though, I had to switch from the 15% Volatility portfolio to Aggressive Risk because I’m trading in my IRA and I can’t short VXZ.

    Since I also can’t use margin in my IRA, I’m a bit concerned about how using unleveraged GLD is going to affect the backtest outcome. Perhaps I have a false sense of risk/reward right now, as a result.

    Any chance you guys will create any backtest performance views for non-margin, non-short, but-still-using-leveraged-asset porfolios (ie Aggressive Risk for IRAs)? I remember seeing something like that for 401ks somewhere once. I’m using my IRA because my time horizon is 20 years and I don’t want to deal with the tax implications from trading the strategies in my taxable account.


    I ended up reducing the GSY holding down until I reached 100% so I ended up with about 1/3 the listed GSY holding. Gulp…


    We are reviewing the portfolios in light of the recent changes so that we can remove leverage and shorting requirements. Stay tuned…


    Thanks Patrick and Alex for your help (and looking forward to the updated guidance)

    Can you help confirm/clarify the following two points (building on Robininni’s points):

    Point 1: Converting the 200% allocation for UISx3 to 100% changes the mix from 150/10/40 to 75/5/20 (where GLD was the first component, which changed from 150% to 75%).

    Point 2: Assuming point 1 is correct, in the description for this strategy it mentions that you’ve replaced UGLD by “a leveraged GLD position”. It seems to me it’s simply 75% of the total mix. Can you explain to me how this is considered a “leveraged” position (I’m sure I must be missing something obvious).

    Thanks in advance!


    #1. Correct. There is a table in this article which provides three different options with different degrees of leverage.

    #2. We are referring to account leverage. When the total allocation exceeds 100% you create leverage by buying more than the value of your account by borrowing from your broker on margin. The amount of leverage will vary each month depending on the allocation to GLD. Because SPXL and TMF are both 3x leveraged ETFs we need a corresponding exposure to gold for balance. For a non-leveraged version of this strategy, you can simply use the UIS strategy.


    Thanks Patrick, makes perfect sense…appreciate it!

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