The Active Combined Asset strategy was developed by Dick Stoken, the president of Strategic Capital Management.
Outlined in his book Survival of the Fittest for Investors, the strategy uses three channels and chooses between a risk and defensive asset class in each.
The portfolio, on average, allocates 28% to equities, 29% to bonds, and 43% to REITs and Gold.
This strategy has the potential to trade on a daily basis.
The portfolio is broken into three equal slices.
Each slice has a risk and defensive asset with their own rules:
Slice | Risk | Defensive | Upper Channel | Lower Channel |
|---|---|---|---|---|
1 | SPY | IEF | 6 Months | 12 Months |
2 | GLD | TLT | 12 Months | 6 Months |
3 | VNQ | IEF | 6 Months | 12 Year |
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Low | Average | High | |
|---|---|---|---|
1-Year | -22.7% | 11.5% | 34.6% |
3-Year | -1.2% | 11.7% | 25.4% |
5-Year | 1.8% | 11.7% | 19.1% |
10-Year | 5.1% | 12.1% | 15.8% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 10.9% | 9.3% | 10.3% |
10Y Annual Return | 5.5% | 7.9% | 12.2% |
Sharpe Ratio | 0.84 | 0.51 | 0.43 |
Max Drawdown | -24.7% | -29.7% | -50.97% |
Volatility (annualized) | 9.5% | 9.9% | 15.4% |
Dot Com Annual Return | 10.1% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 8.6% | -0.3% | -5.66% |
Positive Periods | 64.6% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
