Educational use only. Never intended as advice.

Pretty mediocre day for the markets which led to a downturn for the 'Swensen' portfolio, with a smaller decrease in the heavily cash-laden 'System' portfolio.

Here's the game. Using ETFs (a modification of Swensen's strategy in Unconventional Success) the Swensen portfolio holds US and foreign equities, real estate, and T-bonds in defined asset allocation. The 'System' goes long half or full positions to the same maximum percentage of the Swensen allocation (depending on whether the market is oversold or overbought) when the individual ETFs signal buys using proprietary criteria.

The 'System' portfolio then will sell ETFs, according to defined proprietary algorithms. Today, the 'System' portfolio took a 'half' position in IYR based on proprietary oversold status (I wouldn't have done this outside a fixed strategy).

As of today, Swensen closes at 100,282 and 'The System' at 100387. System buys include slippage and commissions.