Jim, based on Figure 5 from the study it would not have made that much difference what weightings you gave between US Large Caps, US Small Caps and International, because the 37-yr returns were for US LC and Int were both around 11% and the SC return was 12%. So unless you were heavily weighted in SCs you would not have beat the 7-asset portfolio.
As far as the future returns of REITs and commodities/energy, to me a 37-year return is pretty long term. Have you read Bernstein's "Four Pillars"? He argues that future returns for equities may to be in the 5-7% range rather than the 10-11% we have seen in recent years. If that does end up to be the case I would not want to be 100% equities, even if alternative assets don't perform as they did in the 37-year period. I'll give up .5% return if it means I can hedge a little on future equity returns. Just my opinion of course. But I would argue it's not clear cut to say commodities & energy during accumulation is bad.
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