The illustrative five-fund portfolio had the lowest volatility in this comparison. It earned less than KISS and the two annual-rebalanced benchmarks, while losing less than the annual benchmarks at its worst point.
This September 29, 2026 study uses a common window from June 26, 2018 close through September 28, 2026 close: 2,074 daily return observations, or about 8.26 years. It is a hypothetical allocation study, not a record of an outside manager’s actual portfolio.
The portfolio and rebalancing rule
| Fund | Role | Target | Quarterly review band |
|---|---|---|---|
| VT | Global stocks | 25% | 20–30% |
| IEF | Nominal Treasuries | 35% | 30–40% |
| SCHP | Inflation-protected Treasuries | 20% | 15–25% |
| GLDM | Gold | 10% | 7.5–12.5% |
| PDBC | Commodity futures | 10% | 7.5–12.5% |
At quarter-end, a sleeve strictly outside its band resets to its target. Offsetting trades move the other sleeves toward their targets in proportion to their opposite deviations. Trades occur at the following U.S. trading session’s close. The annual benchmarks rebalance at the first session’s close each year.
Common-date results
| Portfolio | CAGR | Annual volatility | Sharpe | Maximum drawdown | $10,000 becomes |
|---|---|---|---|---|---|
| Five funds, quarterly bands | 7.17% | 7.25% | 0.61 | −15.40% | $17,714 |
| KISS 2.4, next-session close | 12.13% | 8.79% | 1.03 | −10.73% | $25,739 |
| Annual 60% VT / 40% AGG | 8.02% | 11.36% | 0.49 | −22.24% | $18,902 |
| Annual 60% VT / 30% GLDM / 10% bitcoin | 18.87% | 16.61% | 0.96 | −28.71% | $41,686 |
The derived results and sensitivity records preserve the study’s calculations. ETF returns include reinvested distributions and embedded fund expenses. Investor taxes are excluded. Trading cost is 10 basis points times one-way turnover, defined as half the sum of absolute weight changes. Sharpe uses a time-varying Treasury-bill return hurdle.
In 2022, the five-fund portfolio lost 10.51%, versus 1.35% for KISS, 15.95% for annual 60/40 and 17.17% for annual 60/30/10. Holding both nominal bonds and TIPS did not eliminate the loss when bonds and stocks fell together.
Execution and costs change the comparison
The KISS engine’s native prior-close price proxy produced 12.90% CAGR and a −8.82% drawdown. Enforcing next-session closing fills reduced those to 12.13% and −10.73%. Conservative macro-publication delays reduced KISS CAGR further to 11.91%, with a −12.01% drawdown.
At 0, 10 and 25 basis points of trading cost, KISS CAGR was 12.69%, 12.13% and 11.30%. The five-fund portfolio changed little: 7.17%, 7.17% and 7.16%. It had only seven rebalance events, versus 190 for KISS. Quarterly full resets and annual full resets produced five-fund CAGRs of 7.14% and 6.79%, respectively.
Limits of the evidence
GLDM’s first trading close determines the start. This sample includes neither 2008 nor the 1970s. KISS 2.4 is reconstructed retrospectively using revised macro data; it was not traded throughout the sample. Bitcoin spot and ETF closes are not perfectly synchronized. No withdrawals, taxes or purchasing-power objective are modeled.
The TIPS companion study isolates what happened when part of the nominal Treasury sleeve was replaced with SCHP. That is more informative about TIPS than attributing this entire portfolio’s result to inflation protection.