Portfolios

  • All portfolios are implemented as of 28 Feb 2018 and performance is tracked since then. Some of these are added at later dates and I am not claiming credit for their performance, instead track my investments on the Model Portfolio
  • Generally, portfolios are categorised by their risk level based on the amount of equity (or risky) assets they contain. >50% tends to be classified as a Higher Risk portfolio, which means that if the theme is allocated to in the Model  it will form a part of the 75% Higher Risk bucket and go up against the equity benchmark.

Theme Portfolio statistics

CategoryNameUpdatedMax%**VolatilityYieldVaR***Diversification***
BROAD MARKET(VT)2018-04-----
Higher RiskHard Brexit2018-0311.1%10.0%2.5%-15.1%Medium
Lower RiskRising interest rates2018-0312.5%5.3%2.1%-8.1%Medium
Lower RiskThe next market crash2018-0420.0%7.3%1.0%-11.2%High
Higher RiskTrade wars2018-0314.0%6.0%2.3%-8.3%Medium
Higher RiskStagflation2018-0317.3%7.6%1.9%-19.2%High
Lower RiskLow volatility high yield2018-0311.7%4.8%5.2%-7.0%Medium
Higher RiskRobotics / Automation2018-039.4%11.6%0.1%-16.9%Low
Higher RiskWater scarcity2018-039.9%9.6%1.4%-15.5%Low
Higher RiskGlobal tourism2018-038.1%11.7%2.1%-18.2%Low
Higher RiskFrontier Markets2018-0311.9%9.9%1.0%-13.4%Medium
Higher RiskHealthcare Innovation2018-0314.0%12.8%0.7%-21.2%Low
Lower RiskCore Bond2018-039.0%4.2%2.5%-6.6%High
Higher RiskCore Equity2018-0346.7%10.5%2.1%-14.2%Low
Higher RiskBatteries2018-0310.2%15.8%3.7%-22.2%Low
Higher RiskBlockchain2018-039.8%11.5%1.5%-19.3%Low
Higher RiskFintech2018-0310.1%12.5%0.1%-22.1%Low
Higher RiskSpace Race2018-046.4%13.5%1.0%-24.1%Low
Higher RiskClean Energy2018-0316.4%13.1%2.4%-19.8%Low
Higher RiskMillennials2018-038.0%11.3%0.8%-18.7%Low
Higher RiskUrbanisation2018-0312.6%12.6%3.4%-18.8%Low
Higher RiskModern Agriculture2018-0312.8%10.1%1.6%-15.8%Low
Higher RiskSelf-driving vehicles2018-0313.1%13.1%1.8%-18.8%Low
Lower RiskPost Trump Administration2018-0410.5%6.4%2.3%-9.5%High
Higher RiskEmerging Markets2018-0414.6%13.0%2.3%-17.7%Low
Higher RiskLate Cycle2018-0416.1%5.7%2.6%-8.8%High
Higher RiskDawn of Eurasia2018-048.4%11.2%2.5%-15.6%Low
Higher RiskCybersecurity2018-0414.6%13.9%0.1%-23.3%Low

* HP: Holding Period. The expected period in which the theme could play out, or the period after which the portfolio comes up for review.

** Max %: sizing is done using a derivation of the Kelly Criterion

*** VaR: 95% 1 year Value at Risk, better described in Risk metrics and stress scenarios. Diversification: level of diversification if adding the mentioned portfolio to an assumed portfolio that holds 60% stocks and 40% bonds

Theme Portfolio trades and updates

04/2018. Market Crash theme replaces Guggenheim Defensive Equity (12.5%) which has been delisted, with iShares Edge MSCI Min Vol Global ETF

04/2018. Space Race theme adds 80.0% in iShares Aerospace & Defense ETF, with all other constituents scaled down to 5.0%

2018 monthly returns for each Theme Portfolio

NameMarAprMayJunJulAugSepOctNovDec2018
Broad Market (VT)-1.29%+0.42%-0.88%
Hard Brexit-1.79%+2.88%+1.04%
Rising interest rates-0.48%-0.05%-0.53%
The next market crash+0.32%-0.96%-0.64%
Trade wars+1.32%-0.10%+1.22%
Stagflation+0.25%+1.13%+1.38%
Low volatility high yield-0.20%+1.40%+1.20%
Robotics / Automation-2.45%-2.51%-4.90%
Water scarcity+1.56%-0.20%+1.36%
Global tourism-2.41%-1.22%-3.60%
Frontier Markets+2.49%-3.94%-1.55%
Healthcare Innovation+0.48%-1.96%-1.49%
Core Bond+1.02%-1.29%-0.28%
Core Equity-0.19%-1.11%-1.30%
Batteries-3.62%+0.21%-3.42%
Blockchain-3.39%+0.49%-2.92%
Fintech+1.21%+0.94%+2.16%
Space Race-2.41%-5.01%-7.30%
Clean Energy+1.71%+3.47%+5.24%
Millennials-3.62%-0.11%-3.73%
Urbanisation-0.90%+1.64%+0.73%
Modern Agriculture-2.23%+0.13%-2.10%
Self-driving vehicles-4.06%+0.91%-3.19%
Emerging Markets-0.21%-2.77%-2.97%
Post Trump Administration+1.05%-0.54%+0.50%
Late Cycle+0.65%+1.09%+1.75%
Dawn of Eurasia-1.21%-2.42%-3.60%
Cybersecurity+0.54%+4.23%+4.79%