7Twelve^TM Back-Tested Performance

Back-Tested Performance of the “Multi-Asset Portfolio” Concept

The fundamental (or core) concept behind the 7Twelve portfolio has been tested over a 42-year period from 1970-2011 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	Com- modities	Equally Weighted Multi-Asset Portfolio
1970	3.92	–17.43	–11.66	16.86	6.80	–4.00	15.17	1.38
1971	14.30	16.50	29.59	8.72	4.53	15.52	21.08	15.75
1972	19.00	4.43	36.35	5.16	4.24	8.01	42.43	17.09
1973	–14.69	–30.90	–14.92	4.61	7.46	–15.52	74.96	1.57
1974	–26.47	–19.95	–23.16	5.69	8.35	–21.40	39.51	–5.35
1975	37.23	52.82	35.39	7.83	6.08	19.30	–17.22	20.20
1976	23.93	57.38	2.54	15.60	5.23	47.59	–11.92	20.05
1977	–7.16	25.38	18.06	3.04	5.52	22.42	10.37	11.09
1978	6.57	23.46	32.62	1.39	7.67	10.98	31.61	16.33
1979	18.61	43.07	4.75	1.93	10.86	48.99	33.81	23.15
1980	32.50	38.60	22.58	2.71	12.71	33.12	11.08	21.90
1981	–4.92	2.03	–2.28	6.25	15.58	17.88	–23.01	1.65
1982	21.55	24.95	–1.86	32.62	11.66	20.91	11.56	17.34
1983	22.56	29.13	23.69	8.36	9.24	32.17	16.26	20.20
1984	6.27	–7.30	7.38	15.15	10.33	21.89	1.05	7.82
1985	31.73	31.05	56.16	22.10	7.97	6.50	10.01	23.65
1986	18.67	5.68	69.44	15.27	6.29	19.75	2.05	19.59
1987	5.25	–8.80	24.63	2.76	6.13	–6.59	23.77	6.74
1988	16.61	25.02	28.27	7.89	7.06	17.48	27.94	18.61
1989	31.69	16.26	10.54	14.53	8.67	2.72	38.28	17.53
1990	–3.10	–19.48	–23.45	8.96	7.99	–23.44	29.08	–3.35
1991	30.47	46.04	12.13	16.00	5.68	23.84	–6.13	18.29
1992	7.62	18.41	–12.17	7.40	3.59	15.13	4.42	6.34
1993	10.08	18.88	32.56	9.75	3.12	15.14	–12.33	11.03
1994	1.32	–1.82	7.78	–2.92	4.45	2.66	5.29	2.39
1995	37.58	28.45	11.21	18.48	5.79	12.24	20.33	19.15
1996	22.96	16.49	6.05	3.63	5.26	37.05	33.92	17.91
1997	33.36	22.36	1.78	9.66	5.31	19.66	–14.07	11.15
1998	28.58	–2.55	20.00	8.69	5.02	–17.01	–35.75	1.00
1999	21.04	21.26	26.97	–0.82	4.87	–2.58	40.92	15.95
2000	–9.10	–3.02	–14.17	11.63	6.32	31.04	49.74	10.35
2001	–11.89	2.49	–21.44	8.44	3.67	12.35	–31.93	–5.47
2002	–22.10	–20.48	–15.94	10.26	1.68	3.58	32.07	–1.56
2003	28.69	47.25	38.59	4.10	1.05	36.18	20.72	25.23
2004	10.88	18.33	20.25	4.34	1.43	33.16	17.28	15.10
2005	4.91	4.55	13.54	2.43	3.34	13.82	25.55	9.73
2006	15.79	18.37	26.34	4.33	5.07	35.97	–15.09	12.97
2007	5.49	–1.57	11.17	6.97	4.77	–17.56	32.67	5.99
2008	–37.00	–33.79	–43.38	5.24	1.51	–39.20	–46.49	–27.59
2009	26.46	27.17	31.78	5.93	0.16	28.46	13.49	19.06
2010	15.06	26.86	7.75	6.54	0.14	28.07	9.03	13.35
2011	2.11	–4.18	–12.14	7.84	0.06	9.37	–1.18	0.27
42-Year Average Annualized Return (%)
	9.80	10.62	8.87	8.28	5.72	11.38	9.70	10.26
42-Year Standard Deviation of Annual Returns
	17.75	22.25	22.76	6.57	3.41	19.65	24.71	10.47
Worst 1-Year Return (%)
	–37.00	–33.79	–43.38	–2.92	0.06	–39.20	–46.49	–27.59
Worst 3-Year Cumulative Return (%)
	–37.61	–42.24	–43.32	6.15	0.36	–35.61	–39.72	–13.30

Past performance is no guarantee of future performance.

A rebalanced, equally weighted, multi-asset portfolio produces superior risk-adjusted performance.

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	What Is 7Twelve?
	7Twelve Model
	7Twelve Performance
	The Rationale
	Back-Tested Performance

7TwelveTM Back-Tested Performance

Back-Tested Performance of the “Multi-Asset Portfolio” Concept

A rebalanced, equally weighted, multi-asset portfolio produces superior risk-adjusted performance.

7Twelve^TM Back-Tested Performance