From THIS interview (After he also mentioned that he owns gold and thinks it is a good idea to own gold. He hinted that maybe a 10% position is a decent allocation, and that you should have a certain, limited amount in gold just like you have a certain, limited amount in cash, a certain amount in stocks, a certain amount in bonds, etc.).
“You should have a strategic asset allocation mix that assumes that you don’t know what the future is going to hold.”
“In every generation…there is a ruinous asset class [that] will destroy wealth. And you don’t know which one that’s going to be in your lifetime. So the best thing you can do is to have a portfolio that is immune, that is well diversified. That is what we call an all weather portfolio. That means that you don’t have a concentration in that asset class that is going to annihilate you.”
Related article: Risk Parity is about Balance.