Introducing Elston Permanent Portfolio UK
- 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?
Asset allocation is reviewed annually. Fund selections are reviewed annually. Model performance report is available daily.
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.
Get the Guide for this portfolio
Our 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 portfolio strategy here. It is a simulation, but because we use a systematic rules-based approach, that's more meaningful than some active manager track records.
Elston Permanent Portfolio: simulation from 2007 based on available ETFs
Elston Static Equal Weight Index launch date 2021, start date: 2007, strategy simulation available on request.
Benchmarking this strategy
We benchmark the Elston Permanent Portfolio UK to our Elston Static Equal Weight Index.
How does the portfolio strategy differ from the index
The portfolio assumes that the portfolio is rebalanced at the close of each quarter end. The index assumes that the portfolio is rebalanced after close of T+1 each quarter end. This is for operational reasons.
Find out more about the benchmark
You can find out more about the benchmark index for this strategy below.
Index Objectives
The Elston Static Equal Weight 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.
The concept of the a permanent portfolio is to deliver steady returns in all different types of market regime, whilst constraining risk.
Get the Guide for this portfolio
Our 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 portfolio strategy here. It is a simulation, but because we use a systematic rules-based approach, that's more meaningful than some active manager track records.
Elston Permanent Portfolio: simulation from 2007 based on available ETFs
Elston Static Equal Weight Index launch date 2021, start date: 2007, strategy simulation available on request.
Benchmarking this strategy
We benchmark the Elston Permanent Portfolio UK to our Elston Static Equal Weight Index.
How does the portfolio strategy differ from the index
The portfolio assumes that the portfolio is rebalanced at the close of each quarter end. The index assumes that the portfolio is rebalanced after close of T+1 each quarter end. This is for operational reasons.
Find out more about the benchmark
You can find out more about the benchmark index for this strategy below.
Index Objectives
The Elston Static Equal Weight 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.
Strategy Information
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Elston Permanent Portfolio UK [.EWPP Portfolio]
Portfolio Objectives The objective of the Elston Permanent Portfolio UK is to deliver diversified returns in all different types of market regime. The methodology uses an "Equal Weight" strategy, such that there is an equal weight to each asset class (equities, gold, bonds and cash equivalents), thereby enabling asset-based diversification. The portfolio is designed for UK-based GBP investors and benchmarked to the Elston Static Equal Weight Index. Format: Research Portfolio Number of ETFs: 4 Rebalancing Frequency: Quarterly Weighting Scheme: Available to Licensees Reporting: For Licensees Elston Static Equal Weight Index [ESBEWP Index]
Index Objectives: The Elston Static Equal Weight Index is launching shortly Format: Non-significant Benchmark Index Data Contributors: Elston Methodology Owner: Elston Benchmark Index Administrator: Elston |
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