Our Asset Allocation Portfolios

This section features asset allocation strategies. Bear in mind that a good asset allocation oftentimes needs little to no active management. In fact, active override most likely leads to worse results.

We are constantly updating and will publish more of these as we find time to upload them.

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GTAA Multi-Asset Allocation Portfolio

Description: This multi-asset portfolio combines passive allocation with prudent tactical risk management to protect you from unexpected market downturns. Subject to risk levels, allocations are made between equities, bonds, real estate and commodities. With a Sharpe ratio of 0.97, it has a volatility of 7.3% p.a. and an annualized return of 7.1%. The maximum drawdown was 13.2% (Vanguard Balanced Index Fund: 35.9%). On the first picture to the left, you can see how the portfolio (red) compares to the 30 billion USD Vanguard Balanced Index Fund (black). The second picture shows all asset classes that the portfolio can invest in (grey) and the actual performance of the portfolio (red).

Annualized Return: 7.1% (Vanguard Balanced Index Fund: 6.3%)

Annualized Risk: 7.3% (Vanguard Balanced Index Fund: 12.1%)

Sharpe ratio: 0.97 (Vanguard Balanced Index Fund: 0.52)

Optimization Method: GTAA

Recommended time frame: At least 2 years.

How often do I have to make changes: Monthly at most.

Current Allocation: Click

ETF's: SPDR S&P 500 (SPY), iShares 1-3Y US Government Bond (SHY), iShares 7-10Y US Government Bond (IEF), iShares 20Y Government Bond (TLT), iShares $ Corporate Bond (LQD), SPDR Dow Jones REITs (RWR), PowerShares DB Commodity Index Tracking Fund (DBC).

Further details: Performance by Calendarmonth / Performance Overview / Risk Overview / Linear Performance Contribution

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MVO Multi-Asset Allocation Portfolio

Description: This multi-asset portfolio is designed for risk-conscious investors for whom the avoidance of volatility is paramount. It is specifically designed to minimize the volatility to a minimum while achieving as much return as possible and as such, it is well-suited for institutional investors. The portfolio has weathered the 2007 world financial crisis with a drawdown of around 20%. Any given day, there is only a 5% probability this portfolio will fall more than 0.96% in value (the S&P 500 has a 5% probability to fall 1.98%).

Annualized Return: 5.9% (S&P 500: 7.07%)

Annualized Risk: 9.7% (S&P 500: 21.32%)

Sharpe ratio: 0.61 (S&P 500: 0.3315)

Optimization Method: Mean-Variance Optimization

Recommended time frame: At least 3 years.

How often do I have to make changes: Annual.

Allocation for 2017: Click

ETF's: SPDR S&P 500 (SPY), iShares 1-3Y US Government Bond (SHY), iShares 7-10Y US Government Bond (IEF), iShares 20Y Government Bond (TLT), iShares $ Corporate Bond (LQD), SPDR Dow Jones REITs (RWR), PowerShares DB Commodity Index Tracking Fund (DBC).

Further details: Performance by Calendarmonth / Performance Overview / Risk Overview

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MVO S&P 500 Sector Allocation Portfolio

Description: This allocation portfolio is a diversified all-equity portfolio that allocates different weights to the S&P 500 sectors on an annual basis. The aim of this portfolio is to generate excess returns over the S&P 500 at the same target volatility, thus infering a higher Sharpe ratio or in other words more reward for the same risk. This portfolio is always fully invested, while each sector has a minimum allocation of 5% and a maximum allocation of 30% to ensure both a broad diversification and reasonable potential for excess returns.

Annualized Return: 10.11% (S&P 500: 7.25%)

Annualized Risk: 19.11% (S&P 500: 18.68%)

Sharpe ratio: 0.53 (S&P 500: 0.38)

Optimization Method: Mean-Variance Optimization

Recommended time frame: At least 3 years.

How often do I have to make changes: Annual.

Allocation for 2017: Click

ETF's: SPDR S&P 500 (Ticker: SPY) &  Sector ETFs (Tickers: XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU)

Further details: Performance by Calendarmonth / Performance Overview / Risk Overview