With the ETF portfolio at 7% cash and S&P Program at 18% cash, is allocating only the S&P Program's cash portion into Crisis Protection sufficient? I know you had guided ~30% of AUM as a reasonable Crisis Protection target before, which was met in the past but is no longer.
Depends on the allocation mix tbh. My judgement is based on the following things:
1. Usually want the most diversification.
2. Unless there is very high signal strength
3. Hopefully corroborated by Prometheus Multi-Strat
If I get all 2+ 3, I feel slightly more comfortable say 1 isn’t the most important. Until recently that was the case. But now it’s not like that, so I encourage more diversification
Will have to run some tests tbh. If you’re sizing ETF down by 30%, then that is directly going into Crisis Protection. My rule of thumb is roughy 30% total exposure to crisis protect. Include the ETF Portfolio cash in that
At what point would you dial that back again for the ETF Portfolio? Any heuristic? Especially considering I have the diversification of 50% ETF & 50% S&P + Crisis?
My judgment right now is that integrated is fine right now, very diversified. ETF is a bit too risk-on for MY taste— but hey look at this week, it paid off.
I think cut back on ETF by 10-30% and allocate to crisis protect is not a terrible idea.
Same. Makes sense. Any % that tests best? If I were to reduce ETF Portfolio say with 30% and allocate to Crisis Protection, what do I do with the cash portion of the ETF Portfolio? Allocate that too? Does the same heuristic hold of putting the cash portion in Crisis Protection?
In the past you had said that if I run 50% S&P and 50% ETF that only allocating S&P's cash portion to Crisis Protection was sufficient protection. Do you think that needs a finetune now? How would you do that?
With the ETF portfolio at 7% cash and S&P Program at 18% cash, is allocating only the S&P Program's cash portion into Crisis Protection sufficient? I know you had guided ~30% of AUM as a reasonable Crisis Protection target before, which was met in the past but is no longer.
Depends on the allocation mix tbh. My judgement is based on the following things:
1. Usually want the most diversification.
2. Unless there is very high signal strength
3. Hopefully corroborated by Prometheus Multi-Strat
If I get all 2+ 3, I feel slightly more comfortable say 1 isn’t the most important. Until recently that was the case. But now it’s not like that, so I encourage more diversification
Didn’t mean to share to notes, sorry.
Deleting and re-posting:
Will have to run some tests tbh. If you’re sizing ETF down by 30%, then that is directly going into Crisis Protection. My rule of thumb is roughy 30% total exposure to crisis protect. Include the ETF Portfolio cash in that
Thank you. I'll run with that.
At what point would you dial that back again for the ETF Portfolio? Any heuristic? Especially considering I have the diversification of 50% ETF & 50% S&P + Crisis?
My judgment right now is that integrated is fine right now, very diversified. ETF is a bit too risk-on for MY taste— but hey look at this week, it paid off.
I think cut back on ETF by 10-30% and allocate to crisis protect is not a terrible idea.
Same. Makes sense. Any % that tests best? If I were to reduce ETF Portfolio say with 30% and allocate to Crisis Protection, what do I do with the cash portion of the ETF Portfolio? Allocate that too? Does the same heuristic hold of putting the cash portion in Crisis Protection?
Hey Budi! I think the Integrated S&P + Crisis is nicely diversified rn. Did you check that?
Running high single digit vol, with a good mix of stocks, nominals, TIPs and a bit of gold.
The ETF Program is less diversified. I like the 30% carve out for Crisis Protection there right now
Yes I'm running 50% Integrated S&P + Crisis and 50% ETF Portfolio.
In the past you had said that if I run 50% S&P and 50% ETF that only allocating S&P's cash portion to Crisis Protection was sufficient protection. Do you think that needs a finetune now? How would you do that?