Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Robust Asset Allocation - Balanced
Details
The Robust Asset Allocation – Balanced strategy was developed by Wes Gray of Alpha Architects and profiled in his book DIY Finacial Advisor.
Gray uses both Dual Momentum and Meb Faber’s GTAA to determine when to move in and out of assets and how much is allocated to each.
It is the same as the Aggressive version but with a different asset allocation.
The portfolio, on average, allocates 30% to equities, 14% to bonds, and 56% to cash, REITs, and commodities.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
9.7%
Sharpe Ratio
0.78
10 Year Annual Return
3.7%
Volatility (annualized)
6.7%
Max Drawdown
-12.0%
Positive Periods
72.7%
Dot Com Annual Return
4.4%
Great Financial Crisis Return
5.2%
Trade Frequency
Monthly
Ulcer Performance Index
2.0
Strategy Rules
This strategy trades once per month.
The portfolio is divided as follows:
- On the last trading day of the month, determine:
- Is the 12-month return of the asset > than the 12-month return of BIL
- Is the closing price > than the 12-month moving average
- If the answer is ‘yes’ for both, invest 100% in the asset
- If the answer is ‘yes’ for only one, invest 50% in the asset and 50% in cash.
- If the answer is ‘no’ for both, invest that portion of the portfolio in cash.
- Hold all positions until the last trading day of the following month.
How to Invest in the Robust Asset Allocation - Balanced Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
