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Simple VOOG, TLT and TVIX tail hedge re-balanced monthly

Using VOOG (equity exposure) and TLT (bonds) and TVIX (2x long volatility) we create a portfolio that is re-balanced monthly with 77%, 20% and 3% respectively.

Inceptions dates for the ETFs (explains the performance back in 2008):
TLT 7/22/2002
VOOG 9/7/2010
TVIX 10/3/2011

4 responses

Here's a backtest from 2011, when TVIX first started trading, so you can see you are trading off returns for less volatility

... and here's 2015 up until now

re-balances the allocations if ANY individual holding deviates by 2% or more of target portfolio allocation.

Hi Chris, can you run it prior to 08 with a constructed tvix or with say X%VXX instead?