September 2023 Portfolio Review

Ouch. Tough month. Long duration Treasuries, which figure prominently in many of the test portfolios, were absolutely blitzed. All portfolios down at least 3.35% (the level at which the RPC Stability “won” the month), and the Levered Seasons portfolio was down almost 10%.

2023/9 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 Seasons10/1/2023,0.0031,-4.38%,-5.08%,-5.19%,-3.35%,-7.05%,-4.56%,-9.10%,-7.98%,-4.58%,-4.98%,-9.42%,-9.91%…

Just a really bad month. Ooof.

More than anything, it seems like September was mainly an assault on longer duration Treasuries. VGLT was down 7.3%, which seems pretty bad until you remember that around here, we use two more extreme versions of that. EDV, our fund for extended duration Treasuries, was down 11.4%. And if you thought that was bad, wait until you hear about TMF, the 3X leveraged long-term Treasuries fund, which was down an eye-popping 23.2%. In. One. Month. Alone.

Bond heavy portfolios took it on the chin. Then, the nose, followed by the eyes, the cheeks, and the forehead, and finally finished off by a sneaky throat punch for good measure. The Ray Dalio-inspired All Season portfolio, with 55% allocated to bonds, was down 5.2%, for example, which is quite a lot for a non-leveraged, fairly conservative portfolio. The Qian portfolio, meanwhile, was down 9.9%, behind its 44% allocation to 3X leveraged Treasuries. It might actually not make it - the Qian portfolio is now down 41% since inception in July 2021.

There were no positive portfolios for the month, thought the RPC Stability wasn’t a disaster at least, down 3.3% In terms of assets, managed futures (DBMF) was the best thing to have this month, as it was up 4.6% and really showed its best feature: it’s non-correlation to stocks and bonds. Long-only, diversified commodities (PDBC) also had a good month, up 1.4%.

Not a great showing for risk parity portfolios this month. Yes, the top performer was the RPC Stability and the fourth best was also one of my creations: the Capital Efficient Butterfly. But 2nd, 3rd, and 5th were all traditional portfolios, so you can’t claim that 1st and 4th is some great vindicating signal. Anyway, that’s why we run the tests.

Monthly Results:

Monthly Results for September 2023

Cumulative Results:

Cumulative Results as of end of September 2023

Asset Performance: