Aggressive Model Portfolio

Our aggressive model portfolio is a more comprehensive global investment strategy that delivers outstanding results . Although there is no minimum share that is allocated in cash or bonds, depending on market circumstances, the portfolio may at some time be almost fully in fixed-income securities thanks to the dynamic nature of our asset allocation process. As a matter of fact, the aggressive model portfolio composition for the month of October 2008 was 70% in cash, 20% in Long-Term Treasuries (TLT) and 10% in an inverse ETF shorting the S&P (SH). The portfolio is never leveraged.

The investment universe is broader, with more granularity exposure to emerging markets and commodities. You can learn more on how we take exposure to emerging market equity in this article.

The objective of the aggressive model portfolio is to achieve strong absolute return in any market environment, keeping the volatility below that of an all-equity portfolio and, most importantly, keeping the drawdowns limited.

 

The chart below highlights the equity curve of the aggressive model portfolios versus the conservative model portfolio between end-2002 and August 2011


The table below summarizes the portfolio performance between end-2002 and August 2011 (data as of August 19, 2011)


The visual impression of consistency and low drawdowns, including during the stock market crash of 2008-2009 is confirmed by the data. The table below gives the Compounded Annual Growth Rate (CAGR), the overall annualized daily volatility and the maximum drawdown over the entire period. The latter, which is particularly relevant when one tries to assess risk and the ability of an investor to withstand losses, is maybe the best selling argument for our portfolio.

Portfolio CAGR Volatility Drawdown Corr. SPY
Aggressive +30.2% 18.5% -8.4% +0.46
Conservative +15.7% 9.1% -4.9% +0.37

Note that these outstanding results were achieved with a volatility lower than the S&P500 over the whole period, and a very limited maximum drawdown of -8.4%. For more statistics on past performance, click here.

Note also that the correlation with the S&P is only slightly higher than for the conservative portfolio, although exposure to risky assets is much larger.

You can also see a simple example on how these principle can work in practice by checking our basic Sector Switch Strategy: we will fully detail the set of rules of a simple strategy that switches at the beggining of every month to the two best performing sectors in the U.S. stock market.


Additional Statistics


  • Yearly Performance Data

    Year Aggressive Portfolio
    2003 58.5%
    2004 13.4%
    2005 14.5%
    2006 26.5%
    2007 56.9%
    2008 16.6%
    2009 55.6%
    2010 19.6%
    2011 4.7%
    2012 1.6%

  • Monthly Performance Data

    Month Aggressive Portfolio
    January-03 0.56%
    February-03 0.56%
    March-03 -1.12%
    April-03 9.49%
    May-03 5.58%
    June-03 1.50%
    July-03 1.91%
    August-03 6.67%
    September-03 2.85%
    October-03 6.29%
    November-03 2.93%
    December-03 10.47%
    January-04 -1.44%
    February-04 3.59%
    March-04 0.38%
    April-04 -6.46%
    May-04 -0.09%
    June-04 1.21%
    July-04 -3.17%
    August-04 2.22%
    September-04 2.88%
    October-04 3.03%
    November-04 5.68%
    December-04 5.50%
    January-05 -3.09%
    February-05 7.59%
    March-05 -6.66%
    April-05 -1.60%
    May-05 1.08%
    June-05 2.61%
    July-05 5.40%
    August-05 0.11%
    September-05 8.37%
    October-05 -3.92%
    November-05 1.68%
    December-05 3.23%
    January-06 6.16%
    February-06 -1.89%
    March-06 1.62%
    April-06 2.75%
    May-06 -7.40%
    June-06 -0.75%
    July-06 1.95%
    August-06 1.10%
    September-06 1.33%
    October-06 5.29%
    November-06 5.73%
    December-06 8.83%
    January-07 -1.94%
    February-07 -1.46%
    March-07 2.10%
    April-07 4.78%
    May-07 7.58%
    June-07 2.96%
    July-07 2.33%
    August-07 2.13%
    September-07 12.88%
    October-07 18.09%
    November-07 -6.07%
    December-07 4.71%
    January-08 1.51%
    February-08 5.87%
    March-08 -5.50%
    April-08 0.60%
    May-08 5.89%
    June-08 -1.04%
    July-08 -3.64%
    August-08 -0.13%
    September-08 0.99%
    October-08 4.88%
    November-08 1.91%
    December-08 4.82%
    January-09 -3.99%
    February-09 1.72%
    March-09 -0.56%
    April-09 14.87%
    May-09 19.91%
    June-09 -3.22%
    July-09 6.70%
    August-09 -0.03%
    September-09 7.86%
    October-09 -2.52%
    November-09 6.50%
    December-09 0.65%
    January-10 -3.98%
    February-10 3.26%
    March-10 6.69%
    April-10 3.31%
    May-10 -7.42%
    June-10 2.69%
    July-10 2.50%
    August-10 0.85%
    September-10 3.64%
    October-10 3.17%
    November-10 -0.77%
    December-10 4.95%
    January-11 2.95%
    February-11 3.36%
    March-11 1.82%
    April-11 4.25%
    May-11 -2.98%
    June-11 -1.69%
    July-11 0.15%
    August-11 2.35%

Compare the performance and risks involved by our different portfolios.