The Aggressive Portfolio aims to grow your assets through capital appreciation. It may be suitable for people in their 20s and 30s, who have a very long investment horizon. The static portfolio targets 80% in risk assets such as equity, commodity, real estate and energy master trust and 20% in bonds as strategic long-term allocations. The dynamic portfolio has 80% in risk asset on average, though the allocations on risk assets vary across different stages of economic and market cycles. Historically, this strategy delivered 15% annual return with a 15% drawdown. The following are the backtesting results based on monthly data since 1970.
Long Term Performance Compared to Benchmark (80% S&P 500 +20% Barclays Aggregate Bond Index)
Portfolio Composition in 12/2011
| Equities | Static | Dynamic | ||
|---|---|---|---|---|
| SPY | US Large Cap | 15% | 27% | |
| IWM | US Small Cap | 15% | 27% | |
| EFA | Developed Market Equity | 15% | ||
| VWO | Emerging Market Equity | 15% | ||
| Dividend Assets | ||||
| IYR | US REIT | 5% | ||
| AMJ | US Energy Master Trust | 5% | 13% | |
| Commodities | ||||
| GLD | Gold | 5% | ||
| GSG | Commodity | 5% | ||
| Bonds | ||||
| HYG | US High Yield | 5% | 13% | |
| AGG | US Bond | 5% | 7% | |
| TIP | US Treasury Inflation Indexed Bond | 5% | 7% | |
| IEF | US Treasury Bond | 5% | ||
| TLT | US Long Term Treasury Bond | 7% | ||
| SHY | US Short Term Bond |
Two-year Monthly Performance
Forty-year Annual Performance
Portfolio Performance Statistics
| Static | Dynamic | Benchmark | |
| Average Monthly Return | 0.9% | 1.2% | 0.8% |
| Monthly Standard Deviation | 3.3% | 2.8% | 3.7% |
| Annualized Return | 10.5% | 14.4% | 10.0% |
| Annualized Standard Deviation | 11.4% | 9.7% | 12.7% |
| Sharpe Ratio (Risk-free Rate = 5.5%) | 0.4 | 0.9 | 0.4 |
| Maximum Drawdown (Loss) | 43% | 15% | 41% |
| Expected Time to Recover (yrs) | 4.1 | 1.0 | 4.2 |
