The Weird PortfolioTM

Maintained by Newfound Research.  Updated quarterly.  Data from: 6/30/2017.

A global, multi-asset, unconstrained portfolio.  Optimized to seek maximum expected returns while matching the risk profile of a 60/40 stock/bond mix.

Current Weirdness Scale: [ Not | Somewhat | Pretty | Very ] Weird.

(Estimated annualized tracking error of 4.4% to a traditional 60/40 stock/bond mix)

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Q&A

The Weird Portfolio is maintained by Newfound Research, an asset management firm specializing in quantitative tactical asset allocation.

The Weird Portfolio is the output of an unconstrained portfolio optimization that seeks to maximize expected return while targeting the same risk profile as a balanced 60% equity / 40% bond portfolio.  You can read more about it here.

The portfolio is updated on a quarterly basis.

The Weird Portfolio seeks to capture how different an “optimally allocated” portfolio might look from a traditionally allocated 60/40 stock/bond portfolio – and therefore how far out of their comfort zone an investor may have to go to pursue return.

We use forward-looking capital market assumptions from several leading institutions.  For each set of capital market assumptions, a simulation-based mean-variance optimization is run that seeks to maximize return while targeting the risk level of a 60/40 stock/bond mix.  The results are then averaged together to create The Weird Portfolio.

Disclosures

All data presented on this website is based on a simulated portfolio computed by Newfound Research LLC.

Reliance on the above to make an investment decision is not advised. This information is not intended as a recommendation to invest in any particular asset class, product, security, derivative, commodity, currency or strategy or as a promise of future performance. Assumptions, opinions and estimates are provided for illustrative purposes only. They should not be relied upon as recommendations to buy or sell any securities, commodities, derivatives or financial instruments of any kind.  This material has been prepared for informational purposes only and is not intended to provide, and should not be relied on for, accounting, legal, tax, investment or tax advice.