My market risk indicator is warning again this week. That means a mid term volatility hedge on all the portfolios or going to cash. Below are the current portfolio allocations. Long / Cash portfolio: 100% cash Long / Short Hedged portfolio: 50% long and 50% hedged with mid term volatility (an ETF/ETN like VXZ) Volatility Hedged portfolio: 50% long and 50% hedged with mid term volatility. My core market risk indicators are also dropping fairly quickly.
My market risk indicator finally cleared its warning that was issued on 2/9/2018. We didn’t get the further downside that I expected (based on the odds), but our longs performed well enough that it blunted the loss from the volatility hedge (which held up relatively well due to a volatile month). My portfolio suffered a .6% loss. I feel it’s money well spent to sleep well at night when the market is in question. Most of my core market health indicators have strengthened since the last update. However, my core measures of risk still haven’t recovered. This measure is longer term in nature than my market risk indicator so it tends to take longer to clear. With everything added up the portfolio allocations are now as follows. Long / Cash portfolio: 80% long and 20% cash Long / Short portfolio: 90% long high beta stocks and 10% short the S&P 500 Index (or use an ETF like SH) Volatility Hedged portfolio: 100% long