The Rewards of
Multiple-Asset-Class Investing
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Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.
A Blindfolded
Preference Test
Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.
Fifteen Equity Portfolios
1972−2012
Compound Annual Return
12
11
10
9
12
14
16
18
20
22
24
26
28
Standard Deviation
Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.
Fifteen Equity Portfolios
1972−2012
1 Asset Class Portfolio
C (Real Estate Securities)
2 Asset Class Portfolio
12
Compound Annual Return
ACD
BCD
CD
3 Asset Class Portfolio
4 Asset Class Portfolio
BC
AC
ABCD
ABC
11
ABD
BD
AD
AB
10
B (Non-U.S. Stocks)
A (U.S. Stocks)
D (Commodity-Linked Securities)
9
12
14
16
18
20
22
24
26
28
Standard Deviation
Single-Asset-Class Portfolios
A ---- U.S. Stocks
B ---- Non-U.S. Stocks
C ---- Real Estate Securities
D ---- Commodity-Linked Securities
Three-Asset-Class Portfolios: Equally Allocated, Annually Rebalanced
ABC ---- U.S. Stocks, Non-U.S. Stocks, Real Estate Securities
ABD ---- U.S. Stocks, Non-U.S. Stocks, Commodity-Linked Securities
ACD ---- U.S. Stocks, Real Estate Securities, Commodity-Linked Securities
BCD ---- Non-U.S. Stocks, Real Estate Securities, Commodity-Linked Securities
Two-Asset-Class Portfolios: Equally Allocated, Annually Rebalanced
AB --- U.S. Stocks, Non-U.S. Stocks
AC --- U.S. Stocks, Real Estate Securities
AD --- U.S. Stocks, Commodity-Linked Securities
BC --- Non-U.S. Stocks, Real Estate Securities
BD --- Non-U.S. Stocks, Commodity-Linked Securities
CD --- Real Estate Securities, Commodity-Linked Securities
Four-Asset-Class Portfolio: Equally Allocated, Annually Rebalanced
ABCD --- U.S. Stocks, Non-U.S. Stocks, Real Estate Securities, Commodity-Linked Securities
Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.
Fifteen Equity Portfolios
Performance Statistics
1972−2012
Compound Annual Returns &
Future Values of $1.00
Standard Deviations
(Volatility)
Sharpe Ratios
Ranked High to Low
Ranked Low to High
Ranked High to Low
Portfolio
%
C
CD
BCD
ACD
BC
ABCD
AC
ABC
ABD
AD
BD
AB
A
B
D
12.10
11.71
11.60
11.55
11.48
11.41
11.37
11.14
10.79
10.66
10.61
10.18
9.99
9.81
9.06
$
108.23
93.63
90.16
88.36
86.24
83.89
82.65
75.94
66.75
63.57
62.43
53.26
49.54
46.31
35.08
Portfolio
%
Portfolio
ACD
ABCD
BCD
ABD
AD
CD
AC
ABC
BD
BC
A
C
AB
B
D
13.18
13.71
14.22
14.87
14.94
15.14
16.16
16.49
17.20
17.35
17.94
18.50
18.56
22.69
25.05
ACD
ABCD
BCD
CD
AC
C
ABD
BC
AD
ABC
BD
AB
A
B
D
0.51
0.49
0.49
0.47
0.43
0.43
0.42
0.42
0.41
0.41
0.37
0.34
0.33
0.29
0.26
Average Performance Statistics: Four-, Three-, Two- & One-Asset-Class Portfolios
Compound Annual Returns &
Future Values of $1.00
Standard Deviations
(Volatility)
Sharpe Ratios
Ranked High to Low
Ranked Low to High
Ranked High to Low
Portfolio
%
$
Four
11.41
83.89
Three
11.27
80.30
Two
11.00
73.63
One
10.24
59.79
Portfolio
Four
Three
Two
One
%
13.71
14.69
16.56
21.05
Portfolio
Four
Three
Two
One
0.49
0.46
0.41
0.33
Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.
Performance Statistics
1972−2012
Entire Period
1972−2012
Portfolio A
U.S. Stocks
Return
Compound Annual Return
1
Portfolio B
Non-U.S. Stocks
1
Portfolio C
Real Estate Securities
Rank
Return
Rank
Return
3
9.81
4
12.10
9.99
1
Portfolio D
Commodity-Linked
Securities
1
Portfolio ABCD
Equal Allocation
1
Rank
Return
Rank
Return
Rank
1
9.06
5
11.41
2
Future Value $1
$49.54
$46.31
$108.23
$35.08
$83.89
Standard Deviation
17.94
22.69
18.50
25.05
13.71
.33
.29
.43
.26
.49
Portfolio C
Real Estate Securities
Portfolio D
Commodity-Linked
Securities
Portfolio ABCD
Equal Allocation
Sharpe Ratio
By Sub-Period
Portfolio A
U.S. Stocks
Return
1
Portfolio B
Non-U.S. Stocks
1
Rank
Return
Rank
Return
5.11%
5
10.53%
4
1980s
17.55%
2
22.77%
1990s
18.21%
1
-0.95%
10.87%
1970s
2
2000s
2010s
3
# of below-average returns
1
Compound Annual Return
2
1972–1979
3
2010–2012
2
1
1
1
Rank
Return
Rank
11.08%
3
22.06%
1
14.17%
2
1
15.64%
4
10.66%
5
17.23%
3
7.33%
4
9.14%
3
3.89%
5
10.80%
2
5
1.58%
4
10.63%
1
5.05%
3
5.07%
2
2
4.04%
4
18.37%
1
2.54%
5
9.05%
3
4
1
3
Return
Rank
0
Best performance numbers are highlighted and in blue.
Source: © 2013 Roger C. Gibson. Derived from the work “Asset Allocation and the Rewards of Multiple-Asset-Class Investing”, © 1998 Roger C. Gibson. Updated by author. This presentation is intended for
educational purposes only. It does not constitute an offer or solicitation of any security or product nor does it constitute a recommendation of the suitability of any investment strategy for a particular investor.
Past performance is not indicative of future results.