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In the most important update of your day, Lily’s Forever Portfolio again pulls ahead year to date of SPY, 8.4% to 8.3%. It realizes a 2.36 Sharpe ratio YTD to SPY’s 1.5%.
I will try soon ish some dynamic rebalancing stuff and also replace the gold weight with a more comprehensive commodities breakdown and see if it changes positively the analysis
My very unscientific guess is the reason this portfolio is fairly robust is a combination of low volatility and quality factors with the added negative correlation of bonds usually and gold in times of inflation. Dynamic rebalancing based on realized correlations may be helpful.
You can also use other signals to downshift allocations. As @choffstein noted this has a very large duration exposure as is. A simple switching model based on rate hiking cycles with AGG may improve performance
Similarly use of moderate leverage given the very nice Sharpe opportunistically would be helpful too, but would also need to be dynamic. In current high rate regimes leverage adds significant negative carry from margin interest coupled with duration exposure.
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