Minimum Variance

Tear Sheet

Decision Log

1. Aug 24, 2026, 4:18 PM EDT

   Cash 10%Treasuries 43%Equities 35%Commodities 12%

   Treasuries remain the calmest sleeve, with variance of 0.548×10⁻⁴ versus equities' 0.667×10⁻⁴ (1.2x higher) and commodities' 1.977×10⁻⁴ (3.6x higher), and squaring these daily stdevs (0.74% vs 0.82% vs 1.41%) is precisely why TLT continues to command the largest slice at 43%. Equities' modestly higher variance still keeps them competitive at 35%, while commodities' markedly elevated variance—more than triple treasuries'—compresses DBC to just 12%, reflecting how variance-weighting punishes swinginess more severely than volatility alone would. Notably, the treasury-equity variance gap has narrowed compared to prior sessions, which is why treasuries' dominance here (43% vs equities' 35%) is less pronounced than the 47/34 or 55/28 splits seen earlier this month. Cash remains fixed at 10% as the riskless residual, unaffected by shifts among the three variable sleeves.

2. Aug 19, 2026, 4:18 PM EDT

   Cash 10%Treasuries 47%Equities 34%Commodities 9%

   Treasuries remain the calmest sleeve with variance of just 0.510×10⁻⁴, about 1.4x lower than equities' 0.695×10⁻⁴ and roughly 5.3x lower than commodities' 2.727×10⁻⁴, and squaring these stdevs (0.71% vs 0.83% vs 1.65%) is exactly why TLT claims the largest share at 47% versus equities' 34%. Commodities' daily stdev of 1.65% translates into a variance more than 5x that of treasuries, so the formula compresses DBC down to just 9% despite its diversification appeal. Equities sit in between on both stdev and variance, earning a moderate 34% weight, while cash holds its fixed 10% residual. This is simply the mechanical output of variance-weighting: the calmest sleeve (treasuries) is rewarded disproportionately more than a simple inverse-volatility scheme would allow.

3. Aug 14, 2026, 4:17 PM EDT

   Cash 10%Treasuries 55%Equities 28%Commodities 7%

   Treasuries' variance of 0.342×10⁻⁴ remains the calmest by a wide margin—about 2x less than equities' 0.670×10⁻⁴ and roughly 7.8x less than commodities' 2.678×10⁻⁴—so squaring these stdevs disproportionately rewards TLT with 55% of the allocation. Equities' intermediate variance earns them a moderate 28% weight, while commodities' sharply elevated 1.64% daily stdev (variance nearly 8x treasuries') caps DBC at just 7%, since variance-weighting punishes that swinginess far more severely than a simple inverse-vol scheme would. Cash remains fixed at 10% as the riskless residual, unaffected by the relative variance shifts among the three risk sleeves.

4. Aug 13, 2026, 4:05 AM EDT

   Cash 10%Treasuries 59%Equities 25%Commodities 7%

   The variance formula mechanically favors calm sleeves, and treasuries' 0.316 (x10^-4) variance is roughly 2.4x calmer than equities' 0.745 and nearly 9x calmer than commodities' 2.792, so squaring those stdevs pushes the bulk of the portfolio (59%) into TLT. Equities, with intermediate variance, receive a moderate 25% slice, while commodities' outsized variance — almost 9x treasuries' — restricts DBC to just 7%. Cash sits at a fixed 10% as the riskless residual. This is simply the direct output of variance-weighting: the calmest sleeve dominates disproportionately more than volatility alone would dictate.