Certainly the flatter the market, the worse SWAN does since you keep paying money for theta yet aren't getting any benefits over a 20/80 in participation or a 20/80 in terms of downside protection.
But the question I pose is just how flat that market really needs to be. You call it "flat or near flat". But I think you might find it doesn't have to be that flat really. Even in widely fluctuating markets, a 20/80 might still beat SWAN. And you'd need REALLY big price swings before SWAN actually begins to outperform. So let's quantify that:
In terms of downside protection, a 20/80 has similar amounts. So that takes care of that direction. What about upside? Well, hopefully prioritarian will take the time to answer that for us.
Three things I don't like about this graph is that VASIX has international stocks, it has international bonds and it has corporate bonds. I think this will confound a lot of what we're talking about.ChrisBenn wrote: ↑Sat May 30, 2020 1:26 am https://stockcharts.com/h-perf/ui?s=SWA ... 4914002297
It has def. performed as expected -- prev 6 months vs vasix (20/80) and vbiax (60/40)
The SWAN bond portion seems to have a duration of about 10 years (correct me if I'm wrong). Let's compare SWAN vs 20% VOO, 55% VGIT and 25% VGLT. That seems to have a similar duration. I admit I don't know how to do it with the website you linked so we can see daily returns but if we just use PV:
https://www.portfoliovisualizer.com/bac ... tion4_2=55
It would appear the simpleton BH portfolio has higher returns, with lower volatility and less downside (in fact, no downside thus far). Of course, this doesn't let us see daily performance but I suspect it's much closer than what you show with VASIX.