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Portfolio Update – February 2022

Contents of this month’s post include:

  • Market update of the current economic regime
  • Monthly Update for February 2022 with a fresh set of charts

Hi, and good to have you back for a new All Seasons Portfolio monthly update!

This month, I will be trying a slightly changed format for this monthly update post.

Previously, I have combined a deep dive/insights text with an update of my portfolio performance, but I have been considering changing things up a bit.

Instead, I will today be first focusing only on a market update for the past month, together with looking a trends in economic growth and inflation (remember, the four regimes that the All Seasons Portfolio strategy is designed to fend off), before presenting my portfolio update on the back of it.

If you are fond of the deep dive articles, you do not need to worry. I will keep posting these, but in their own dedicated posts.

Before we get into it, I’ll also ask you for your input on this change – is it something to keep or would you prefer the old format? Let me know in the comments or whatever channel of communication we are in contact through.

February 2022 Market Update

As a reminder, more or less all market moves can be traced back to essentially two forces: inflation and economic growth, and especially positive and negative changes in expectations of these.

That gives rise to four possible market regimes, as a combination of the two factors can be summarized by a matrix of four squares with inflation and economic growth on on axis each.

The four possible regimes are this inflationary stagnation, inflationary boom, deflationary bust, and disinflationary boom.

As expected, different assets perform well in each of these regimes, which is aptly summarised by the below handy chart put together by Resolve Asset Management:

Image curtesy of Resolve Asset Management

That will serve as a backdrop for the next section which will cover a brief summary on the current market regime and where we might be heading.

My intention is to provide a bit more flavour on what we might expect and hopefully explain current trends in markets.

With this first post of this kind, I will start with only US numbers on this pilot, as this has been the easiest to find data for. If the format flies, I will be adding the corresponding data for EU/the eurozone as well for next month.

In what market regime are we now? Translating the above chart into real life, I will be showing a similar chart with only the matrix, and plotting the development of historic inflation and economic growth to show the current regime. I’ll also be doing the same exercise with forward-looking indicators, showing market expectations.

As for the data sources, for the backward looking (actual) data I’m using monthly YoY CPI for the vertical inflation axis and monthly YoY GDP growth on the horizontal economic growth axis.

For the forward-looking chart (the one to the right), I am using 5Y break evens (being the difference in return of a 5Y nominal US Treasury Bond and a 5Y Inflation-Linked US Treasury Bond, aka. TIPS) to illustrate expected future inflation, and PMI (Purchasing Managers’ Index) as a leading indicator for economic growth (note that for PMI, 2 points above 50 roughly translates to 1 percentage point in GDP growth for the US).

While there is an issue with timing discrepancies for the forward-looking chart with inflation being measured five years out and PMI much closer in the future, these should still be fairly representative of expectations of the future.

But let’s now look what these have to tell us.

Unsurprisingly, the current regime we are in is clearly inflationary, as the diamond (latest datapoint from February 2022) has steadily been moving upwards for the last twelve months. Growth has also been quite strong on the back of the Covid-19 recovery, why we are now in the inflationary boom quadrant.

But looking at the chart on the right-hand side, showing how expectations of the future have changed over time, inflation still seems to remain elevated, but with growth moving toward the left (again, the diamond is the latest datapoint, with older datapoints for each month shown by the dots). This could indicate that we are moving toward inflationary stagnation, also known as stagflation.

These trends can also be seen in the two below charts that visualize the trend of the datapoints of the two previous charts. Below is shown by how much the quantity of each datapoint is developing month by month for inflation and economic growth, measured in ppts, and % respectively.

For example, on the left-hand side, as inflation has risen from 7.0% YoY in January to 7.5% YoY in February, this is depicted as 0.5ppts in the chart above origo.

The chart to the right shows the same thing, but with a slightly different unit, being the change as percent, i.e. in a way that these datapoint develop over time. For example, 5Y Breakevens increased from 2.23 to 2.33, i.e. 4.38%, why the yellow diamond is at this level on the vertical axis. In other words, these charts are a gauge of the speed of changes in expectations from the pair of charts further up.

As the latest datapoints are on the upper half of the matrices on both sides, that tells us inflation keeps increased (backward-looking to the left), and is expected to continue to increase going forward (forward-looking to the right).

Even though growth has been slowing slightly (the diamond of the left chart being to the left of the center), it was in February expected to bounce back as the lat datapoint on the right chart is on the right side of the center.

Hence, depending on how the Ukraine war will impact economic growth, this could go either way, but in any case, high inflation appears to remain persistent.

Lastly, let’s have a look at the datapoints from the first two charts but now depicted as lines. Again, you will find the historic numbers to the left, and forward-looking indicators to the right.

While it is harder to identify the market regime from these charts, we can read the developments of each indicator more intuitively.

Inflation has been in a steadily positive trend – both actual prints and inflation expectations from breakeven rates – as you see from both green lines being upward sloping.

At the same time, economic growth, while at a high level, the pace of it has been coming down from mid-2021. It is noteworthy though that the exceptional numbers in June and July 2021 are much due to the base effects from declines in GDP in the first months after the coronavirus pandemic from Q2 2020. This trend is also visible on the right hand side, as PMI is declining, while still with a decent cushion to the neutral 50-level.

Interpreting all charts above, with rising inflation and slowing growth, we would expect assets such as gold, commodities and TIPS to outperform, and stocks and nominal bonds to underperform. Let’s continue to look at my All Seasons Portfolio to see whether theory translates to reality.

And before we jump that, remember to leave your feedback for this format; if it is worthwhile and what other info/data you would find to be relevant.

If you are looking for getting started with your own All Seasons Portfolio and need some inspiration, check out my post on How to get started with the All Seasons Portfolio strategy. While stocks have been a great investment the last decade, there are no guarantees that this trend will last, as their continued success depends on several factors. Instead, consider diversifying your portfolio to include other asset classes, and benefit from the rebalancing period over the long-term, as described in this article.

February 2022 Portfolio Update

As you would expect from the charting in the segment above, and as already alluded to, the strongest performers assets in February were the inflation hedges.

In particular, gold and broad commodities were the assets in the driver seat, while government bond ETFs were the clearest laggards.

Bonds did recover toward the end of February though, even though this movement was soon reversed in early March. This move upwards was mostly attributable to the risk-off trade that followed the sharp increase in uncertainty when Russia launched its attack on Ukraine.

Rising energy and oil prices on the back of supply chain issues was the main talking point in the commodity space, with Brent briefly topping $120 per barrel for the first time since 2012 (actually the price also exceeded $130/barrel). The trend emerged already in the months before the war in Ukraine, but the invasion, and the following rounds of sanctions, would just accelerate the move in the already established direction. It is likely that commodities will remain a winner for the year, also in the case the war would suddenly end, even though oil prices have already doubled since early 2021.

Brent Spot price $/barrel

If we start with my eToro portfolio, which is an All Seasons Portfolio that is levered 1.34x times, the performance over the month was rather sideways.

That was still a much better outcome than a stock-only or popular 60/40 portfolio that both saw drawdowns over the month. This shows the benefit of risk balanced and well-diversified portfolios that give you exposure to several uncorrelated asset classes and all four market regimes.

Below you find the summary of my eToro portfolio over February and the performance of each asset class in my portfolio. Despite the overall volatility, my portfolio was indeed stable.

My eToro portfolio @AllSeasonsPort over February 2022

If you are already on eToro, make sure to follow me there too, as I from time to time share brief updates there directly about that particular portfolio. The updates I share on this blog will however remain deeper and more insightful.

Follow me there by finding user Allseasonsport. And feel free to copy my portfolio there with a small amount of your portfolio if you want a more hands-off approach to risk parity investing. I do all my trading there in a systematic and rule-based manner, and already have 17 copiers at the time of writing. I very much like this copy investing functionality, as it makes it easier to follow other people’s strategies, while the investors like myself that are copied have skin in the game as all trades are done with my own money.


Trade stocks, crypto and ETFs listed on 14 exchanges on eToro. You can copy my portfolio by searching for user Allseasonsport

As for my “regular” All Seasons Portfolio, the one I am trading on DEGIRO, this also traded almost completely sideways in the same manner as my eToro portfolio.

My asset allocation remained in February tilted to benefit from rising inflation and rising rates as my bond allocation has been lower than aimed, and I have been overweight in gold and commodities.

If you check out the below chart to the left, the stability of an All Seasons Portfolio has really stood out in February 2022. It is clearly visible who stocks (the S&P 500 used here as a comparison as the green line) has seen quite deep drawdowns and lost about 10% over the last three months.

Looking at individual assets, commodities, gold, and Bitcoin were the main drivers on the positive side, with stocks and fixed income trading just slightly down.

Adding also the 3-month chart here below, there has been an increasing divergence between asset classes with the inflation-hedges on top.

Lastly, as usual, here is the table of my ETFs and the changes laid out in table form.

ETFNameAsset Class2022-01-312022-02-28Change (portfolio)
UIMBUBS LFS Bloomberg TIPS 10+ UCI ETF(USD)AdTIPS€539.00€502.95-6.69%
DTLEiShares $ Treasury Bd 20+yr UCITS ETF EUR Hgd DistLong-Term Government Bonds€913.44€876.48-4.05%
IGLEiShares Global Govt Bond UCITS ETF EUR Hedged DistLong-Term Government Bonds€620.49€608.88-1.87%
3TYLWisdomtree Us Treasuries 10Y 3X Daily LeLong-Term Government Bonds€218.50€207.92-4.84%
M9SAMarket Access Rogers Int Com Index UCITS ETFCommodities€457.92€476.644.09%
FLXGFranklin LibertyQ Global Equity SRI UCITS ETFStocks€757.94€0.00-100.00%
JPGLJPM Global Equity Multi-Factor UCITS ETF - USD accStocks€763.05€1,493.7295.76%
VOOLLyxor S&P 500 VIX Futures Enhcd Roll UCITS ETF AVIX€28.26€109.59287.79%
Currency:BTCUSDBitcoin XBTCrypto€169.26€174.082.85%
Cash Position€0.00€85.00

Thank you yet again for following my blog about risk parity investing and the All Seasons Portfolio. If you haven’t done so already, make sure to subscribe to the newsletter via the form in the page footer, and to drop any comments you may have on the content with the comment section or via email to The greatest value I have received from upkeeping this blog is the fantastic conversations with great people, such as yourselves, about ideas on investing and strategies. Thanks for that!

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We’ll catch up soon for the March update!
Nicholas Ahonen

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This Post Has 4 Comments

  1. António Fernandes

    Thank you, Nicholas, for your work. I am always eager to read your articles as you bring an honest and serious perspective on the All Seasons/Weather portfolio. This format works very well and feels less heavy. However, I do hope to keep reading your deeper articles, as they are so insightful. Could you please let us know when those deeper articles are also added? Maybe a notice on the monthly newsletter e-mail? Thank you for all you do. Greetings from Portugal!

    1. Nicholas

      Thank you for the encouraging words António and the good feedback! They are very appreciated and I am glad to hear that you keep following me here.
      I think you hit spot-on with with your comment on what I have been thinking for a while as well, that it is quite a big piece to swallow to both read a lengthy analysis and only then having the energy/focus to get a monthly update. It should make more sense to split these up in two types of posts to make the texts easier to digest – otherwise they are of little use.
      And I indeed intend to keep writing the deeper articles as well, as I very much enjoy researching for and producing these. I’ll also carry with me your feedback to in that case include more articles posted over each month with each newsletter to have all updates in one place.
      Thanks for you kind support,

  2. Jacob

    hello Nicholas. Thanks for the update. Any reason why you seem to have replaced all of FLXG with JPGL?

    1. Nicholas

      Hi Jacob,
      I had both previously, but as these two are rather similar, I preferred to streamline my portfolio to just one of them, and ended up choosing JPGL as it is much more liquid.

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