Got a couple of emails from subscribers about the de-listing of UGLD and TVIX.
I am running the algorithms to find out the most efficient replacements for UGLD and TVIX in our Risk Parity algorithms. Rest assured that I will have the replacements identified before the rebalancing at the end of this month
I will update this blog post once “Midas” makes up his mind. For now, let him run his analytics.
UPDATE: 22nd June 2020; 7 PM CST
Update: Ran the algorithm and gave the model several options to select from that represent Gold or essentially assets that protect against an inflationary scenario. Options explored include commodities, oil, various other ETF derivatives of gold including GDX, NUGT etc.
For now, the recommendation from “Midas” is to just replace UGLD with GLD and TVIX with UVXY. UGL as a Gold replacement works better but is not available in IRA accounts to trade with because of various constraints.
The model still delivers solid returns with a 40%+ CAGR and a 20% DD. These changes will be implemented in your respective portfolios when we next rebalance.
Attached is the back-testing results of the “new” model for those interested.
