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Guidelines for Achieving Broad Portfolio Diversification

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.
   
What Is 7Twelve?
7Twelve Model
7Twelve Performance
The Rationale
Historical Performance

Popular Documents
"An Introduction to 7Twelve"
Read Article or view Slide Show
Purchase 7Twelve Portfolio Reports
Monthly 7Twelve Performance Updates
7Twelve Performance Graphs
"Benchmarking: The Art of the Science," AAII Journal
"The $12 Portfolio"
"Three Essential Points for All Investors"
"Keeping Portfolio Costs Low"
S&P 7Twelve Index
7Twelve Partners (for financial advisors only)
7Twelve Portfolio Library
7Twelve Presentation at the University of Missouri
Go, Portfolio. Go!
"Building a Better Nest Egg," Christopher M. Wright, Real Estate Investment Today, May/June 2011.