August 2023 Portfolio Review

Pretty flat month, without much drama. Bonds had a good month, the longer the duration the better, and equities went down a bit, but not much. The All Seasons portfolio, with 55% in fixed income, won the month, though 100% Equities is still in first overall.

2023/8 Portfolio Review Spreadsheet
Comp Prev. Mnthly Inflation,Classic 60/40,Golden Butterfly,All Seasons,RPC Stability,RPC Income,Bogleheads 80/20,Qian,Levered Butterfly,Cap Eff Butterfly,100% Equities,RPC Growth,Levered Seasons9/1/2023,0.0027,0.00%,-0.52%,0.44%,0.03%,-0.67%,-0.45%,0.26%,-0.84%,-1.44%,-0.63%,-1.57%,-1.24%Month…

August 2023 didn’t get off to a great start, continuing the downward slide in the last bit of July, but then a few good days here and there meant that it essentially ended flat. The people I listen to on podcasts seem to be holding their breath a bit - it seems like there are some signals pointing towards a recession coming soon, while others seem to say we may have just made it through high inflation and the swoon of 2022 without having one. I have no opinion on the matter, and am just reminded again why I don’t do or pay attention to forecasts. Humble forecasting and bold diversification - that's my mantra (shout out to the OG, Antti Ilmanen!).

As for assets, it was a pretty good month for bonds, the longer the duration the better. TMF, the 3X leveraged Long-term bonds (does this make it have an approximate duration of 60?) was the winner of the month, up 3.7%, followed by extended duration EDV at +2.4% and Long-term bonds in the form of VGLT up 2.1%. In the non-fixed income division, preferred shares (PFF) were up 1.4% and commodities (PDBC) had a small upward blip at .9%. On the other side, TNA was down 10.2% and DRN was down 4.8%. Ah, those rascally 3x leveraged funds!

Portfolios were mostly flat for the month, with the overall leader finishing exactly flat, or rather up .002%. I haven’t seen one yet that finished at zero to the hundredths digit before, so that was cool. The winner for the month was the All Seasons portfolio at .44% and the perennial last place Qian portfolio finished second, up .26%. No doubt it was the heavy bond allocation in each that explains the performance. Speaking of bonds, it was nice to see these pick up a bit, since I have done a lot of rebalancing into fixed income in the months I have been running these experiments.

Risk Parity as a concept had a decent performance last month, with bond allocations paying off a bit. We definitely saw negative correlation between stocks and bonds in August. That’s one of the key assumptions embedded within Risk Parity portfolio construction (some might say an Achilles Heel - I’ll let others and the numbers be the judge of that), but for one month at least, bonds helped keep things afloat and stabilize the portfolios.

Monthly Results:

Monthly Results August 2023

Cumulative Results:

Cumulative Results as of August 2023

Asset Performance:

Asset Performance August 2023