Market Risk Warning Clears

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.

(Click on image to enlarge)

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

Disclosure: None

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