Subject: Re: low draw down ETF portfolio allocation
Here's a portfolio I developed that might fit the bill. It's not too bad as an equal-weight, but better optimized. The backtest is from Portfolio Visualizer with 5/25 rebalance bands and Vanguard Wellington as a benchmark.
Portfolio Analysis Results (08/01/2010 - 11/11/2024)
Note: The time period was constrained by the available data for iMGP DBi Managed Futures Strategy ETF (DBMF) [Aug 2010 - Oct 2024], and this time period was extended based on the configured backfill.
Pretty Good Risk Parity Portfolio
Ticker Name Allocation
QQQM Invesco NASDAQ 100 ETF 10.00%
XLK The Technology Select Sector SPDR ETF 12.00%
XLV The Health Care Select Sector SPDR ETF 10.00%
XLP The Consumer Staples Sel SectSPDR ETF 10.00%
GLDM SPDR Gold MiniShares 10.00%
VGLT Vanguard Long-Term Treasury ETF 7.00%
DBMF iMGP DBi Managed Futures Strategy ETF 13.00%
VGSH Vanguard Short-Term Treasury ETF 8.00%
BIL SPDR Blmbg 1-3 Mth T-Bill ETF 6.00%
UUP Invesco DB US Dollar Bullish 14.00%
PGRPP Equal Weight
Ticker Name Allocation
QQQM Invesco NASDAQ 100 ETF 10.00%
XLK The Technology Select Sector SPDR ETF 10.00%
XLV The Health Care Select Sector SPDR ETF 10.00%
XLP The Consumer Staples Sel SectSPDR ETF 10.00%
GLDM SPDR Gold MiniShares 10.00%
VGLT Vanguard Long-Term Treasury ETF 10.00%
DBMF iMGP DBi Managed Futures Strategy ETF 10.00%
VGSH Vanguard Short-Term Treasury ETF 10.00%
BIL SPDR Blmbg 1-3 Mth T-Bill ETF 10.00%
UUP Invesco DB US Dollar Bullish 10.00%
Performance Summary
Portfolio performance statistics
Portfolio Initial Balance Final Balance CAGR Stdev Best Year Worst Year Max. Drawdown Sharpe Ratio Sortino Ratio Market Correlation
Pretty Good Risk Parity Portfolio $10,000 $35,885 9.32% 6.24% 20.35% -5.46% -7.45% 1.27 2.32 0.81
PGRPP Equal Weight $10,000 $33,412 8.78% 6.03% 18.38% -7.02% -8.97% 1.23 2.22 0.80
Vanguard Wellington Inv $10,000 $37,841 9.73% 9.60% 22.51% -14.32% -20.22% 0.89 1.40 0.96
JRB