Introducing the Elston Equal Weight Portfolio Index (a "Permanent Portfolio" benchmark for UK investors)
Ticker: ESBEWP Index
About this strategy
This is an Equal Weight portfolio strategy, based on the Permanent Portfolio concept pioneered by Harry Browne, and adpated by Elston for the UK market.
About the portfolios
The Permanent Portfolio for UK investors is designed to:
How often is it updated?
Index weights are rebalanced annually at year-end.
How to evaluate performance
The strategy is expressed via a published index: the Elston Equal Weight Portfolio Index available from data vendors.
Ticker: ESBEWP Index
About this strategy
This is an Equal Weight portfolio strategy, based on the Permanent Portfolio concept pioneered by Harry Browne, and adpated by Elston for the UK market.
About the portfolios
The Permanent Portfolio for UK investors is designed to:
- Deliver performance in all different market regimes
- Represents an Equal Weight approach to portfolio construction
- Is built using 4 low-cost, liquid ETFs for diversification, transparency and efficiency
How often is it updated?
Index weights are rebalanced annually at year-end.
How to evaluate performance
The strategy is expressed via a published index: the Elston Equal Weight Portfolio Index available from data vendors.
About this strategy
Why this strategy
The concept of the a permanent portfolio is to deliver steady returns in all different types of market regime, whilst constraining risk.
The Permanent Portfolio aims to:
1. Deliver a steady return in all market regimes
What: The strategy aims to deliver a steady return across all major market regimes
How: The strategy has an equal weight approach to four broad-based asset classes that correspond to a different market regime.
2. Include equal allocations for different market conditions
What: In each type of market regime, prosperity, inflation, deflation and tight money/recession.
How: The strategy has an equal weight approach to allocating to equity, gold, bonds and cash equivalents to correspond to those respective regimes.
3. Provide "asset-based" diversification:
What: The strategy provides straightforward "equal weight" asset-based diversification across major, and differentiated asset classes.
How: By using 4 ETFs, the strategy can allocate simply and effectively to each major asset class.
What's the science behind this strategy?
The design principle behind this strategy is called "Equal Weight", also known as the "Permanent Portfolio". The concept was pioneered by Harry Browne, author of Fail-Safe Investing (1999) The portfolio can be rebalanced annually (as proposed by Browne) or quarterly (as we propose) to capture potential “rebalancing premium”. Frequency of rebalancing impacts trading costs. The Permanent Portfolio is intended to be resilient across all market conditions.
What's under the bonnet?
The strategy is constructed with four liquid low-cost physical ETFs representing major asset classes: global equities, gold, UK bonds, and ultrashort bonds (cash equivalents). We use ultrashort bonds for additional yield pick-up relative to cash, with near-nil volatility.
Is that all?
Yes. That's all. No leverage, no shorting, no hedging, no pair trades. The elegance of this approach is to use a static (fixed) weighting scheme that can be rebalanced each quarter or each year (we assume quarterly for performance calculations, to benefit from the "rebalancing premium").
Is there a history?
You can view the history of the Elston Equal Weight Portfolio Index as a proxy for this strategy. Index performance data is available from data vendors by request.
Potential use cases
Potential use cases include:
1) evaluation of asset allocation decisions for each major asset class;
2) showing the performance of an equal weight strategy that allocates equally to 4 asset classes that perform wll in 4 different marke regimes;
3) as a comparator for "all weather" strategies such as Target Absolute Return funds;
4) as a framework for creating an alternative strategy using asset-based diversification.
The concept of the a permanent portfolio is to deliver steady returns in all different types of market regime, whilst constraining risk.
The Permanent Portfolio aims to:
1. Deliver a steady return in all market regimes
What: The strategy aims to deliver a steady return across all major market regimes
How: The strategy has an equal weight approach to four broad-based asset classes that correspond to a different market regime.
2. Include equal allocations for different market conditions
What: In each type of market regime, prosperity, inflation, deflation and tight money/recession.
How: The strategy has an equal weight approach to allocating to equity, gold, bonds and cash equivalents to correspond to those respective regimes.
3. Provide "asset-based" diversification:
What: The strategy provides straightforward "equal weight" asset-based diversification across major, and differentiated asset classes.
How: By using 4 ETFs, the strategy can allocate simply and effectively to each major asset class.
What's the science behind this strategy?
The design principle behind this strategy is called "Equal Weight", also known as the "Permanent Portfolio". The concept was pioneered by Harry Browne, author of Fail-Safe Investing (1999) The portfolio can be rebalanced annually (as proposed by Browne) or quarterly (as we propose) to capture potential “rebalancing premium”. Frequency of rebalancing impacts trading costs. The Permanent Portfolio is intended to be resilient across all market conditions.
What's under the bonnet?
The strategy is constructed with four liquid low-cost physical ETFs representing major asset classes: global equities, gold, UK bonds, and ultrashort bonds (cash equivalents). We use ultrashort bonds for additional yield pick-up relative to cash, with near-nil volatility.
Is that all?
Yes. That's all. No leverage, no shorting, no hedging, no pair trades. The elegance of this approach is to use a static (fixed) weighting scheme that can be rebalanced each quarter or each year (we assume quarterly for performance calculations, to benefit from the "rebalancing premium").
Is there a history?
You can view the history of the Elston Equal Weight Portfolio Index as a proxy for this strategy. Index performance data is available from data vendors by request.
Potential use cases
Potential use cases include:
1) evaluation of asset allocation decisions for each major asset class;
2) showing the performance of an equal weight strategy that allocates equally to 4 asset classes that perform wll in 4 different marke regimes;
3) as a comparator for "all weather" strategies such as Target Absolute Return funds;
4) as a framework for creating an alternative strategy using asset-based diversification.
Elston Equal Weight Portfolio Index [ESBEWP Index]
Index Objectives
The Elston Equal Weight Portfolio Index strategy is a multi-asset asset-based strategy. The index strategy is designed to allocate equally to a static mix of broad asset classes such that each asset class exposure has an equal weight within the overall strategy. The index provides a systematic rules-based approach for evaluating the performance of this strategy.
Index Objectives
The Elston Equal Weight Portfolio Index strategy is a multi-asset asset-based strategy. The index strategy is designed to allocate equally to a static mix of broad asset classes such that each asset class exposure has an equal weight within the overall strategy. The index provides a systematic rules-based approach for evaluating the performance of this strategy.
