Historical Performance
Back-Tested Performance of the “Multi-Asset Portfolio” Concept
The fundamental (or core) concept behind the 7Twelve portfolio has been tested over a 50-year period from 1970-2019 using 7 of the 12 sub-assets: Large US equity, Small US equity, Non-US
equity, Bonds, Cash, REITs, and Commodities. (These 7 sub-assets have performance histories back to 1970, whereas not all of the components in the 7Twelve do). Each sub-asset was equally weighted in the portfolio (14.3%) and annually rebalanced at the start of each year. Taxes and inflation were not taken into account.
Average Annual Returns (%)
Numbers in red indicate negative returns
Past performance is no guarantee of future performance.
| Year |
Large US Equity |
Small US Equity |
Non-US Equity |
US Bonds |
Cash |
Real Estate
(REITs) |
Commodities |
Equally Weighted
Multi-Asset Portfolio |
| 1970 |
3.94 |
–17.43 |
–11.66 |
16.86 |
6.58 |
17.55 |
15.10 |
4.42 |
| 1971 |
14.30 |
16.50 |
29.59 |
8.72 |
4.42 |
17.41 |
21.08 |
16.00 |
| 1972 |
18.99 |
4.43 |
36.35 |
5.16 |
4.15 |
8.01 |
42.43 |
17.07 |
| 1973 |
–14.69 |
–30.90 |
–14.92 |
4.61 |
7.26 |
–15.52 |
74.96 |
1.54 |
| 1974 |
–26.47 |
–19.95 |
–23.16 |
5.69 |
8.12 |
–21.40 |
39.51 |
–5.38 |
| 1975 |
37.23 |
52.82 |
35.39 |
7.83 |
5.93 |
19.30 |
–17.22 |
20.18 |
| 1976 |
23.93 |
57.38 |
2.54 |
15.60 |
5.09 |
47.59 |
–11.92 |
20.03 |
| 1977 |
–7.16 |
25.38 |
18.06 |
3.04 |
5.40 |
22.42 |
10.37 |
11.07 |
| 1978 |
6.57 |
23.46 |
32.62 |
1.39 |
7.43 |
10.98 |
31.61 |
16.29 |
| 1979 |
18.61 |
43.07 |
4.75 |
1.93 |
10.55 |
48.99 |
33.81 |
23.10 |
| 1980 |
32.50 |
38.60 |
22.58 |
2.71 |
12.05 |
33.12 |
11.08 |
21.81 |
| 1981 |
–4.92 |
2.03 |
–2.28 |
6.25 |
14.96 |
17.88 |
–23.01 |
1.56 |
| 1982 |
21.55 |
24.95 |
–1.86 |
32.62 |
11.07 |
20.91 |
11.56 |
17.26 |
| 1983 |
22.56 |
29.13 |
23.69 |
8.36 |
8.94 |
32.17 |
16.26 |
20.16 |
| 1984 |
6.27 |
–7.30 |
7.38 |
15.15 |
9.90 |
21.89 |
1.05 |
7.76 |
| 1985 |
31.73 |
31.05 |
56.16 |
22.10 |
7.73 |
6.50 |
10.01 |
23.61 |
| 1986 |
18.67 |
5.68 |
69.44 |
15.26 |
6.15 |
19.75 |
2.04 |
19.57 |
| 1987 |
5.25 |
–8.80 |
24.63 |
2.76 |
5.96 |
–6.59 |
23.77 |
6.71 |
| 1988 |
16.61 |
25.02 |
28.27 |
7.89 |
6.88 |
17.48 |
27.93 |
18.58 |
| 1989 |
31.69 |
16.26 |
10.54 |
14.53 |
8.39 |
2.72 |
38.28 |
17.49 |
| 1990 |
–3.10 |
–19.48 |
–23.45 |
8.96 |
7.74 |
–23.44 |
29.08 |
–3.38 |
| 1991 |
30.47 |
46.04 |
12.13 |
16.00 |
5.54 |
23.84 |
–6.13 |
18.27 |
| 1992 |
7.62 |
18.41 |
–12.17 |
7.40 |
3.52 |
15.13 |
4.42 |
6.33 |
| 1993 |
10.08 |
18.88 |
32.56 |
9.75 |
3.07 |
15.14 |
–12.33 |
11.02 |
| 1994 |
1.32 |
–1.82 |
7.78 |
–2.92 |
4.36 |
2.66 |
5.29 |
2.38 |
| 1995 |
37.58 |
28.45 |
11.21 |
18.47 |
5.66 |
12.24 |
20.33 |
19.13 |
| 1996 |
22.96 |
16.49 |
6.05 |
3.63 |
5.14 |
37.05 |
33.92 |
17.89 |
| 1997 |
33.36 |
22.36 |
1.78 |
9.65 |
5.20 |
19.66 |
–14.07 |
11.13 |
| 1998 |
28.58 |
–2.55 |
20.00 |
8.69 |
4.91 |
–17.01 |
–35.75 |
0.98 |
| 1999 |
21.04 |
21.26 |
26.96 |
–0.82 |
4.78 |
–2.58 |
40.92 |
15.94 |
| 2000 |
–9.10 |
–3.02 |
–14.17 |
11.63 |
5.98 |
31.04 |
49.74 |
10.30 |
| 2001 |
–11.89 |
2.49 |
–21.44 |
8.44 |
3.34 |
12.35 |
–31.93 |
–5.52 |
| 2002 |
–22.10 |
–20.48 |
–15.94 |
10.25 |
1.63 |
3.58 |
32.07 |
–1.57 |
| 2003 |
28.68 |
47.25 |
38.59 |
4.10 |
1.03 |
36.18 |
20.72 |
25.22 |
| 2004 |
10.88 |
18.33 |
20.25 |
4.34 |
1.44 |
33.16 |
17.28 |
15.10 |
| 2005 |
4.91 |
4.55 |
13.54 |
2.43 |
3.25 |
13.82 |
25.55 |
9.72 |
| 2006 |
15.79 |
18.37 |
26.34 |
4.33 |
4.85 |
35.97 |
–15.09 |
12.94 |
| 2007 |
5.49 |
–1.57 |
11.17 |
6.97 |
4.44 |
–17.55 |
32.67 |
5.95 |
| 2008 |
–37.00 |
–33.79 |
–43.38 |
5.24 |
1.39 |
–39.20 |
–46.49 |
–27.60 |
| 2009 |
26.46 |
27.17 |
31.78 |
5.93 |
0.16 |
28.46 |
13.48 |
19.06 |
| 2010 |
15.06 |
26.85 |
7.75 |
6.54 |
0.15 |
28.07 |
9.03 |
13.35 |
| 2011 |
2.11 |
–4.18 |
–12.14 |
7.84 |
0.06 |
9.37 |
–1.18 |
0.27 |
| 2012 |
16.00 |
16.35 |
17.32 |
4.21 |
0.08 |
17.12 |
0.08 |
10.17 |
| 2013 |
32.39 |
38.82 |
22.78 |
–2.02 |
0.06 |
1.22 |
–1.22 |
13.15 |
| 2014 |
13.69 |
4.89 |
–4.90 |
5.97 |
0.03 |
32.00 |
–33.06 |
2.66 |
| 2015 |
1.38 |
–4.41 |
–0.81 |
0.55 |
0.05 |
4.48 |
–32.86 |
–4.52 |
| 2016 |
11.96 |
21.31 |
1.00 |
2.65 |
0.32 |
6.68 |
11.37 |
7.90 |
| 2017 |
21.83 |
14.65 |
25.03 |
3.54 |
0.93 |
3.76 |
5.77 |
10.79 |
| 2018 |
–4.38 |
–11.01 |
–13.79 |
0.01 |
1.94 |
–4.22 |
–13.82 |
–6.47 |
| 2019 |
31.49 |
25.52 |
22.01 |
8.72 |
2.06 |
23.10 |
17.63 |
18.65 |
| Year |
Large US Equity |
Small US Equity |
Non-US Equity |
US Bonds |
Cash |
Real Estate
(REITs) |
Commodities |
Equally Weighted
Multi-Asset Portfolio |
| 50-Year Average Annualized Return (%) |
| |
10.60 |
10.88 |
8.68 |
7.40 |
4.74 |
11.63 |
6.73 |
9.65 |
| 50-Year Standard Deviation of Annual Returns |
| |
17.04 |
21.26 |
21.59 |
6.48 |
3.51 |
18.45 |
24.69 |
10.20 |
| Worst 1-Year Return (%) |
| |
–37.00 |
–33.79 |
–43.38 |
–2.92 |
0.03 |
–39.20 |
–46.49 |
–27.60 |
| Worst 3-Year Cumulative Return (%) |
| |
–37.61 |
–42.24 |
–43.32 |
4.39 |
0.14 |
–35.61 |
–55.60 |
–13.37 |
Past performance is no guarantee of future performance.
A rebalanced, equally weighted, multi-asset portfolio produces
superior risk-adjusted performance over time.
The 50-year standard deviation of return for the multi-asset portfolio of 10.20% is roughly 40% smaller than the 17.04% standard deviation of the S&P 500 Index (meaning it is 40% less volatile) – yet the 50-year 9.65% performance of the multi-asset portfolio is only 9% smaller than the 10.60% return of the S&P 500 Index.
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