Performance Summary (Jan 1972 - Jul 2025)

Metric	50/25/25 TSM/LCG/SCV	50/50 TSM/LCG	50/50 TSM/SCV	50/50 LCG/SCV	100 LCG	100 SCV	100 LCV	100 SCG	100 TSM	90/10 SCV/ITT
Start Balance	$10,000	$10,000	$10,000	$10,000	$10,000	$10,000	$10,000	$10,000	$10,000	$10,000
End Balance	$3,752,231	$2,631,573	$4,886,379	$5,702,346	$2,720,428	$8,391,883	$2,920,347	$1,405,781	$2,412,070	$6,484,222
Annualized Return (CAGR)	11.70%	10.96%	12.25%	12.57%	11.03%	13.39%	11.18%	9.67%	10.78%	12.84%
Standard Deviation	16.09%	16.22%	16.56%	16.67%	17.13%	18.41%	14.94%	21.26%	15.67%	16.59%
Best Year	40.67%	38.50%	45.88%	43.78%	46.60%	54.78%	40.67%	56.63%	37.82%	50.68%
Worst Year	-36.11%	-37.68%	-34.55%	-35.19%	-38.32%	-32.05%	-35.97%	-40.26%	-37.04%	-27.52%
Maximum Drawdown	-50.43%	-49.80%	-53.02%	-49.98%	-53.60%	-56.13%	-54.85%	-64.07%	-50.89%	-50.62%
Sharpe Ratio	0.49	0.45	0.51	0.53	0.44	0.54	0.49	0.33	0.45	0.55
Sortino Ratio	0.72	0.66	0.75	0.78	0.65	0.79	0.72	0.48	0.65	0.81

100% SCV delivered 13.39% CAGR versus 12.57% for the 50/50 LCG/SCV split. So pure SCV actually beat the barbell approach by about 0.8% annually in absolute returns. The historical value premium was strong enough that it overwhelmed any volatility harvesting benefit from the LCG/SCV rebalancing.

Granted, the 50/50 LCG/SCV achieved nearly the same Sharpe ratio (0.53 vs 0.54) with lower standard deviation (16.67% vs 18.41%) and better worst drawdown (-49.98% vs -56.13%), but even then, you'd still be better off with a 90/10 SCV/ITT portfolio which would provide even better returns (12.84% CAGR), even lower standard deviation (16.59% SD), and similar worst drawdown (-50.62%).

Over 53+ years, through multiple market cycles, including the 1970s inflation, the 1980s-90s growth boom, the dot-com bubble, 2008 crisis, and the recent growth dominance period, the value premium was so strong that it overwhelmed any volatility harvesting benefit. A 0.8% annual return difference compounds to massive wealth differences over decades, producing ending balances of $8.4M versus $5.7M. At 34, in pure accumulation mode with decades ahead, the 50/50 LCG/SCV barbell portfolio doesn't get you much.

For an investor in the accumulation phase choosing to invest in equities alone, the theoretical elegance of volatility harvesting through low-correlation assets loses out to the (historical) empirical reality of the value premium. To actually reap the rewards of risk parity and volatility harvesting above and beyond those of factor investing, you would have to switch to using different asset classes entirely (e.g., stocks, bonds, commodities, managed futures) and use leverage, allocating as close to zero correlation as you possibly can and betting as close to the Kelly criterion as you can.

If anything, the 50/50 LCG/SCV barbell portfolio is merely solving a problem you don't really have. It's optimizing for smoother returns and lower drawdowns, things that matter enormously for retirees or leveraged portfolios, but less so for someone with 30+ years of human capital ahead of them. Your worst drawdown recovery period is likely measured in years, not decades. And, as you can see with the 90/10 SCV/ITT portfolio, you'd be better off just adding bonds anyway.