The Moderate Portfolio aims to grow your assets through a balance of capital appreciation and income. It may be suitable for people in their 40s and 50s, who are in later stage of wealth accumulation. The static portfolio targets 60% in risk assets such as equity, commodity, real estate and energy master trust and 40% in bonds as strategic long-term allocations. The dynamic portfolio has 60% in risk asset on average, though the allocations on risk assets vary across different stages of economic and market cycles. Historically, this strategy delivered 13.5% annual return with a 13% drawdown. The following are the backtesting results based on monthly data since 1970.
Long Term Performance Compared to Benchmark (60% S&P 500 +40% Barclays Aggregate Bond Index)
Portfolio Composition in 12/2011
| Equities | Static | Dynamic | ||
|---|---|---|---|---|
| SPY | US Large Cap | 15% | 17% | |
| IWM | US Small Cap | 15% | 17% | |
| EFA | Developed Market Equity | 15% | ||
| VWO | Emerging Market Equity | 15% | ||
| Dividend Assets | ||||
| IYR | US REIT | 5% | ||
| AMJ | US Energy Master Trust | 5% | 11% | |
| Commodities | ||||
| GLD | Gold | 5% | ||
| GSG | Commodity | 5% | ||
| Bonds | ||||
| HYG | US High Yield | 5% | 17% | |
| AGG | US Bond | 5% | 19% | |
| TIP | US Treasury Inflation Indexed Bond | 5% | 9% | |
| IEF | US Treasury Bond | 5% | ||
| TLT | US Long Term Treasury Bond | 9% | ||
| SHY | US Short Term Bond |
Two-year Monthly Performance
Forty-year Annual Performance
Portfolio Performance Statistics
| Static | Dynamic | Benchmark | |
| Average Monthly Return | 0.83% | 1.10% | 0.77% |
| Monthly Standard Deviation | 2.6% | 2.3% | 2.8% |
| Annualized Return | 9.9% | 13.1% | 9.3% |
| Annualized Standard Deviation | 8.9% | 7.8% | 9.9% |
| Sharpe Ratio (Risk-free Rate = 5.5%) | 0.5 | 1.0 | 0.4 |
| Maximum Drawdown (Loss) | 34% | 13% | 31% |
| Expected Time to Recover (yrs) | 3.4 | 1.0 | 3.3 |
