Sharpe Dynamics for Conservative Allocation
Investment Model Portfolios
Investment Model Portfolios
The performance persistence of mutual funds (and ETFs) has been well recognized among practitioners. This strategy tries to take the risk into account while considering performance ranking. Sharpe ratio (or so called risk-adjusted return) is a natural choice here as it represents the best risk adjusted performance in a past period. Compared with strategies purely relying on the past price performance, one would expect such a strategy would result in a portfolio with higher risk adjusted return or Sharpe ratio.
Intuitively, picking a conservative fund based on Sharpe ratio makes even more sense as conservative funds have major emphasis on the risk control and usually are more risk averse than other types of funds other than pure fixed income funds. As in equity funds, the length of the past periods to calculate Sharpe ratio and the frequency of adjustment are important factors. This strategy has both the Sharpe ratio length and the adjust frequency as its parameters.
The following is a moderate-risk model portfolio constructed from the investment options of Sharpe Dynamics for Conservative Allocation.
This portfolio is proactively monitored and rebalanced on a monthly basis when needed, ensuring it remains in line with its target allocation. We offer customization features, allowing subscribers to tailor the portfolio to align with their own risk tolerance and return expectations by changing risk profile parameter.
Our model portfolio is rooted in the MyPlanIQ Asset Allocation Composite (AAC) strategy. This dynamic (tactical) asset allocation and quantitative fund selection algorithm prioritize risk management by dynamically adjusting stock allocations based on prevailing asset momentum. Extensive research has shown that this momentum-based tactical approach can potentially reduce temporary losses while maintaining or outperforming traditional buy-and-hold strategies.
Both historical back test and real-time portfolio return and risk data are shown in the table on this page. These metrics are compared with stock and moderate allocation index funds.
Furthermore, subscribers have the option to explore alternative strategies such as Strategic Asset Allocation Optimal (SAA) and Tactical Asset Allocation (TAA) to further customize their model portfolio. See our investment methodology for more details on the investment strategies
Puzzled on what to invest?
- We ask a few questions to decide your personal return and risk expectations
- We build a custom portfolio for your plan (401(k), 403(b), 529 ...) or for a brokerage account
- We monitor and send timely rebalance emails on what investment funds to buy and sell