|
December 1996 to December 2006:
Capital Preservation Simulations
|
100% traditional |
Multi-Strategy |
| Fixed Interest |
60% |
35% |
| Fixed Interest Alternatives |
|
25% |
| Equity |
40% |
25% |
| Equity Alternatives |
|
10% |
| Commodities |
|
5% |
|
100% |
100% |
|
|
|
| Annualised return |
6.11% |
8.66% |
|
|
|
| Standard Deviation |
5.94% |
6.05% |
|
|
|
| Drawdown |
-15.09% |
-9.95% |
|
|
|
| Sharpe (5%) |
0.21 |
0.60 |
December 1996 to December 2006:
Managed Growth Simulations
|
100% traditional |
Multi-Strategy |
| Fixed Interest |
30% |
20% |
| Fixed Interest Alternatives |
|
10% |
| Equity |
70% |
40% |
| Equity Alternatives |
|
20% |
| Commodities |
|
10% |
|
100% |
100% |
|
|
|
| Annualised return |
6.95% |
8.81% |
|
|
|
|
| Standard Deviation |
10.12% |
8.22% |
|
|
|
| Drawdown |
-32.05% |
-19.98% |
|
|
|
| Sharpe (5%) |
0.23 |
0.48 |
The above simulations offer quantitative evidence over the past 10-years that increasing use of diverse investment strategies within portfolios, which in the examples above cover property, hedge funds and commodities, can increase the annualised performance and reduce the volatility of returns.
The period between December 1996 and December 2006 offers an interesting analysis given the strongly positive and negative markets experienced by investors in all asset classes. The above examples were tested on Pertrac, a risk measurement program, and used industry standard indices. Source of data: Bloomberg, HFI indices, S&P indices, MSCI indices, Rathbone Investment Management International.
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