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Asset allocation quilt – the winners and losers of the last 10 years

It’s duvet day here at Monevator as we update our asset allocation quilt with another year’s worth of returns.

The resulting patchwork reveals the fluctuating fortunes of the major asset classes across a decade and invites a question…

Could you predict the winners and losers from one year to the next?

Asset allocation quilt 2023

The asset allocation quilt is a table that shows the annual returns of the main asset classes over the last 10 years.

The asset allocation quilt ranks the main equity, bond, and commodity sub-asset classes for each year from 2014 to 2023 from the perspective of a UK investor who puts Great British Pounds (GBP) to work:

  • We’ve sourced annual returns from publicly available ETFs that represent each sub-asset class.
  • The data is courtesy of justETF – an excellent ETF portfolio building service.
  • Returns are nominal.1 To obtain real annualised returns, subtract the average UK inflation rate of approximately 3% from the nominal figures quoted in the final column of the chart.
  • Returns take into account the Ongoing Charge Figure (OCF), dividends or interest earned, and are reported in pounds.
  • Again, these are GBP results. If our numbers differ from yours, check that you’re not looking at USD returns. (It’s either that or our minds have been obliterated from staring too long at the crazy pixel explosion above.) 

Sanity check

While our chart may look like the worst pullover pattern ever, it does offer some useful narrative threads.

For a start, investing success is not as simple as piling into last year’s winner. A reigning number one asset has only once held onto its crown for two consecutive years – broad commodities achieving the feat from 2021 to 2022. 

But in 2023? Commodities plunged straight to the bottom of the table after two years at the top.

Yet long periods of dominance holding very near the top of each year are possible – see US equities. S&P 500 returns have only dropped into the bottom half of the table once in the past decade (in 2022).

The danger is this pattern gulls us into thinking it will always be thus. Yet the asset allocation quilt for 1999 to 2008 would have looked very different.

US stocks lost 4% per annum during that ten-year stretch. I suspect the S&P 500 was a touch less popular back then.

Mean reversion is not a law though. America could continue to rule the equity roost for years to come. Credible voices suggesting we can’t expect US large caps to keep defying gravity have been whistling in the wind for years.

The golden thread

Gold looks attractive as the leading non-equity diversifier. But its third-place ranking in the 10-year return column reveals that even a decade worth of returns can mislead. 

The same column last year placed gold in 8th, barely scraping a positive real return. In 2021, gold was second from last. 

What happened? The yellow metal’s 2013 poleaxing (-30%) dropped out of the picture, that’s what. Gold then floated up the rankings as that annus horribilis was replaced with a creditable 2023 performance. 

While it’d be wonderful to reliably avoid such market firestorms, how is that to be done? 

For example, 2022 was a terrible year for nearly everything, whereas 2023 was a real shot in the arm for global equity investors. 

Did you really feel any better about the world’s prospects in 2023 versus 2022? 

The truth is 2023 looked grim too from an investing perspective until a massive Santa rally saved the year. 

The message is that investing returns are often hard won. Pain goes with the territory. 

A chequered past

A particularly awful year or two can completely alter our perceptions of an asset class. 

10-year bond returns were perfectly satisfactory back in 2021. But the bond crash of 2022 will poison the well for years to come. 

Bonds now look like a liability by the light of the last ten years. Yet higher yields are almost certain to deliver better returns from bonds over the next decade, provided inflation is tamed. 

That said, much as I think bonds should be part of a diversified portfolio, I don’t think they’re enough as 2022 demonstrated. 

Commodities can guard the portfolio against fast-rising inflation, which bonds and equities can’t cope with. 

 But you’ll need testicular fortitude to live with the volatility of raw materials.

They’ve inflicted losses for six out of the last ten years, but redeemed themselves with spectacular 30%+ gains on three occasions. Most critically, when inflation lifted off in 2021 and 2022. 

Note how commodities fall away as inflation subsides in 2023. A pattern that’s regularly repeated over commodities’ longer-term record as a ‘sometimes’ inflation hedge. 

If you don’t think we’re done with inflation yet then commodities make sense. 

The missing link 

Inflation-linked bonds make sense too, but not the flawed mid to long duration funds that failed so badly in 2022. 

A partial solution is choosing a short-term linker fund such as the Royal London Short Duration Global Index Linked fund. Its 5.5% annual return would bag it 7th place in our asset allocation quilt’s 2023 column.2

It would have placed 5th in 2022 with a -5.4% return. That’s not stellar but was a sight better than nominal gilts or longer duration inflation-linked bond funds. 

The real solution is to hedge inflation with individual UK index-linked gilts which – if held to maturity – will protect your purchasing power against headline inflation. 

We’ve recently written about how to do that: 

  • See the Using a rolling linker ladder to hedge unexpected inflation section in our post about deciding whether or not you need such a ladder. 
  • Then see our step-by-step guide to constructing your own index-linked gilt ladder if you do want to do it yourself. 

Stitch in time 

However you weave your response to the challenges of investing, the asset allocation quilt makes it plain that the best way to anticipate the future is to be ready for anything. 

Buy your asset classes on the cheap after they’ve taken a kicking, grit your teeth while they’re down, then reap the reward when their day – or year – comes around again. 

Finally, as uncertainty abounds, let’s be thankful that if you banked on the default position of global equities then you did just fine. In fact, more than fine over the last decade.

That near-8% annualised real return is excellent.

Take it steady,

The Accumulator

  1. That is to say they are not adjusted for inflation. []
  2. To get ten years worth of returns, our asset allocation quilt currently tracks Xtracker’s Global Inflation-Linked Bond ETF GBP hedged. This is a mid to long duration fund. []
{ 48 comments… add one }
  • 1 JimJim January 19, 2022, 12:03 pm

    Nice to see a British version of this, and timely with the article here about the 250… https://www.ukdividendstocks.com/blog/is-the-ftse-250-expensive-at-three-times-its-dot-com-peak
    I am fortunate that I have ridden the 250 wave over the last 10 years with an unbalanced portfolio weighted towards it, and equally unfortunate in my lack of faith in the S+P.
    I can’t complain.
    Thanks for the quilt, I hope it becomes a regular yearly feature.

  • 2 Chiny January 19, 2022, 12:20 pm

    Fascinating stuff and I expect I’ll return to it nervously, every time I have some funds that need investing.

    I’ll echo the earlier poster in hoping this becomes a January feature – appreciate the work involved.

  • 3 James_Smith January 19, 2022, 12:29 pm

    Nice to see a British version,
    That one is interesting as well https://www.bankeronwheels.com/the-long-game-historical-market-returns-2022-expectations/

  • 4 Attilio January 19, 2022, 12:45 pm

    Great summary!! Which Global Equities ETF you considered in your table?

  • 5 David C January 19, 2022, 1:38 pm

    Much appreciated, likewise.
    Intrigued by your comment that “in theory our asset allocation should align to the world economy”. Don’t most indexes, and hence most trackers, align to the world’s stock-market capitalisations? Which is not the same thing as the economy at all, although perhaps in theory it ought to be. I assume that a big chunk of China’s economy is outside quoted stocks, with enterprises owned by state bodies, cities etc. The UK’s National Health Service is a big chunk of GDP, but not investable (yet!). And there are grumbles about increasing chunks of US industry being owned privately where the retail investor can’t get a piece of the action. But I have no idea how much any of this matters.

  • 6 Al Cam January 19, 2022, 5:54 pm

    Thanks for this nice UK variant of the chart; appreciate the work taken to generate it!
    Re: “Indeed US equities achieved a podium place in nine out of ten years.” Is it not rather eight from ten?

  • 7 The Accumulator January 19, 2022, 6:43 pm

    @ David C – You’re right, geographic market-cap trackers are aligned with stock market capitalisations rather than economic punch. The US and UK are both over-represented by stock market capitalisation. It’s impossible to align with the real economy but there are some interesting articles out there on how you might go about it.

    @ Attilio – It’s iShares MSCI ACWI UCITS ETF (Acc)

    @ Al Cam – cheers! And you’re spot on about 8 out of 10 years. In my defence, I was going colour blind by the time I finished the table 😉

    @ James and Jim Jim – thank you for the links. + Chiny – Yes, think this will be an annual feature. I’ve done the hard work now getting the first 10 years worth of data.

  • 8 Mousecatcher007 January 20, 2022, 4:01 pm

    A very useful graphic. Thank you.

  • 9 MrOptimistic January 20, 2022, 5:39 pm

    17% annualised over 10 years from the S&P 500. Jeez, that’s what overthinking has cost me.

  • 10 The Investor January 20, 2022, 7:57 pm

    @MrOptimistic — At least you recognise it rather than obfuscating, or prophecizing an 80% crash to make things ‘right’.

    That’s a credit to you. 🙂

  • 11 Grumpy Tortoise January 21, 2022, 8:34 am

    A fabulous infographic TA and very useful for novices such as myself. I wonder what a Cash category would look like over a similar 10 years?

  • 12 The Accumulator January 21, 2022, 9:15 am

    Thanks Grumpy. Cash would be a nice baseline to have in the table. I thought about doing it using some kind of money market fund or ultra-short bond ETF. I’d guess it’d be above commodities, somewhere around gold.

  • 13 Zero Gravitas January 21, 2022, 12:41 pm

    Interesting that the domestic focused FTSE250 has done so well over ten years.

    Beating everything outside of the US despite some large economic shocks.

  • 14 David C January 21, 2022, 5:50 pm

    1% wouldn’t be a completely terrible approximation as a baseline for cash over the last ten years. In most individual years you could have done worse, but annualised over the 10 years almost anything would have been better. Published statistics for “average interest rates” are pretty useless as a comparator (why would you leave your money in an average account?). so I wish I had more accessible records for my “shopping around the building societies, with judicious use of regular savings accounts and fixed rate cash ISAs” approach, but I reckon 2-4% pa for up to 2015 or 2016, and 1-2% since would be in the right ballpark (I think it was “funding for lending” that really killed retail savings interest rates, not the post-GFC base rate cuts). So yes, I agree with “somewhere around gold” (and better than money-market funds – at least, mine has been returning 0% – before platform charges).
    Incidentally, on reflection, “in most individual years you could have done worse” seems like a good argument, if you needed another one, for a chunky cash buffer if you’re decumulating.

  • 15 NewInvestor January 22, 2022, 9:33 pm

    Thank you for this. Is there any particular reason why global small cap (or US small cap) as sub-asset class is not shown?

  • 16 ka February 4, 2022, 8:54 pm

    REITs global or UK? thanks

  • 17 The Accumulator February 4, 2022, 9:54 pm

    @ new investor – just had to draw a line somewhere 🙂

    @ Ka – global reits

  • 18 D January 10, 2023, 2:24 pm

    Fascinating graphic TA, thank you.
    I did wonder how an equivalent graphic in local currency would differ but on reflection perhaps a USD equivalent would be a) possible to generate (e.g. swap VWRL for VWRD etc) and b) more informative. I’ve got in the back of my mind how the post-war GBP/USD has juiced returns for UK investors holding US assets.

  • 19 Trevor January 10, 2023, 2:43 pm

    I have seen equal weight funds like RSP which stacks up well against SPY (as per https://einvestingforbeginners.com/equal-weight-sp-500-etf-ansh/) but RSP is equal weight companies, which still has a skew of a larger % in technology;
    Information Technology 15.04
    Industrials 14.45
    Financials 13.33
    Health Care 13.12
    Consumer Discretionary 11.04
    Consumer Staples 6.89
    Real Estate 6.21
    Utilities 5.63
    Materials 5.47
    Communication Services 4.53
    Energy 4.29

    Using the quilt numbers, it would be interesting to see the results of an equal weight sub-asset portfolio, rebalanced equally at the end of each year.

  • 20 Hari January 10, 2023, 3:09 pm

    Perhaps a contrarian buy signal for European equities…

  • 21 The Investor January 10, 2023, 3:30 pm

    @D — Well you have to eat returns in your currency of choice (or a mix). I know investors who measure their returns blended over a basket of currencies because they live a very peripatetic lifestyle for example. A scant handful try to track returns in special drawing rights. But 90% of Monevator readers are UK based and GBP returns are what matter, and most of the rest are US based, where their own USD quilts abound (one reason we did a UK version).

    Local returns in local currencies are interesting academically but they are not much practical help to an investor I’d submit. Even if you think they may tell you something about the future performance, remember these things are correlated with equities. For example currency weakness may boost local share prices in a local currency because it does a lot of exporting and listed exporters become more competitive. That doesn’t mean it’s a bad idea to invest, but you could for example pile in, then see the currency strengthen on economic growth (good when translated back in to GBP) but that in turn then de-rates your local investments because the exporter becomes less competitive again!

    Of course this sort of thing happens over the long term (and inflation looms large in the maths/impacts, too, with currency appreciation/depreciation) not over a year or two.

    @Trevor — Equal weighted funds usually outperform because they have more small cap exposure I believe.

    @Hari — I thought *exactly* the same thing, but decided not to burden @TA with my active speculations…

    [Edit: Note, especially to @D who has unfortunately subscribed to comments — my first reply was wrong, I banged out the wrong outcome of the currency/competitiveness roundabout! Have tried to expand more clearly/correctly.]

  • 22 Seeking Fire January 10, 2023, 3:34 pm

    Great article.

    I’d also recommend looking at the US angle that came out quite recently.


    Some observations from my perspective

    – REITS are not a great diversifier at all. Worth owning as part of your overall allocation to risk assets, for most people through an index tracker. But I struggle to see any benefit in a oversized holding. In times of stress they seem to behave like super volatile equities. Same happened in 2008. Note very different to owning real estate physically, which comes with its unique set of opportunities and challenges

    – Inflation hedge. Well there isn’t a practical one is there from this set? There are asset classes that seem to do better than others – cash, commodities, gold but their long term holding costs versus other risk assets means your essentially paying expensive insurance. Commodities is the worst of the lot.

    – Interest vs inflation. The trouble is for many asset classes except those with zero duration in times of inflation the negative impact of interest rate rises to counter inflation swamps any inflationary benefits of assets (e.g INLG, $TIPS, to a lesser extent reits per above).

    – Equities are not a good inflation hedge. period. They are also the best chance most people have of beating inflation long term. period.

    – 10 years is not long term. S&P 500 could be bottom of the pack quite easily in next 10 years given elevated CAPE etc

    – Bonds really should do better this year. But a negative real return for global inflation linked bonds over ten years is not great at all given why most people invest in this class

    There’s a lot to be said for investing in a global tracker with cash for liquidity and doing something else with your time!

  • 23 SemiPassive January 10, 2023, 3:54 pm

    Just to be more annoying than Hari, my favoured asset sub classes to outperform over the next decade relative to S&P500:
    European equity income, Asian and EM equity income, investment grade corporate bonds (US and UK), US junk bonds, EM $ denominated govt bonds.

  • 24 mr_jetlag January 10, 2023, 4:40 pm

    Gorgeous quilt, although it took awhile for my brain to recontextualise away from Red Bad / Green Good and focus on the placement of the squares instead. Maybe a little graphic on the side showing the Y axis would help. Alternatively, once your 10 year rankings get updated you can then colour grade the different asset classes from best to worst – not as if we’d remember that eg. Gilts were green last year.

  • 25 xxd09 January 10, 2023, 5:59 pm

    Great work!
    It was the Callan chart of various US stockmarket investments returns that I found many year’s ago on a Vanguard Diehard/Bogleheads blog that finally convinced me that I knew nothing!
    Presumably where you got your Quilt idea from?
    Apparently Global Equities and Global Bond (hedged to the pound) index trackers were my only requirements
    Leave well alone to compound
    Some cash for 2-3 years living expenses and that’s it
    Worked-so far!

  • 26 Ben January 10, 2023, 10:51 pm

    Assuming the global equities ETF includes the US, which would skew it significantly, the quilt shows how much the US tech bubble has affected the last decade. It’s deflated a bit as a result if interest rate rises, but there’s still a lot of air in the bubble.

    I’ve no idea what will win in the next decade but bonds look a lot more attractive now than a year or two ago.

  • 27 Naeclue January 10, 2023, 10:52 pm

    Just reinforces my belief that the best thing to do is buy the global equity tracker, then adjust risk by holding FSCS protected cash deposits at the best rates available (or gilts to maturity).

    – Simple
    -You will never find yourself at the bottom of the chart
    – Helps to protect you against FOMO
    and you own misguided belief that you can predict what is going to outperform

  • 28 mr_jetlag January 11, 2023, 2:49 am

    @Naeclue – agreed, and along with that, limit your main portfolio updates to quarterly or even semiannually. Although my VWRP holdings have been up and down, what they haven’t been is bottom of the table – meanwhile after a nice run up my “play account” for naughty active investing is currently down around 20%. Woe, woe – except it inoculates me from doing anything “creative” with my allocations. I’ve mentioned before I’ve started holding the local equivalent of gilts here in SG. Let’s see if that further stabilises the ship – it seems the forecast is for more stormy weather in 2023.

  • 29 The Accumulator January 11, 2023, 9:38 am

    Ha, yes, I expect hedge funds around the globe are loading up on European equities as we speak.

    I’d like to put corporate bonds in the table I think, and multi-factor equities, but I’m running out of colours!

    @ Mr jetlag – nice idea about the key. I suppose the 10-yr returns fulfil that function but they’re on the wrong side.

    @ Seeking Fire – I broadly agree – there isn’t a worthwhile inflation hedge if you’re an accumulator – assuming inflation is brought under control relatively quickly. As a decumulating retiree the ‘insurance’ premium may well be worth paying to avoid getting ravaged by 1970s scale inflation. The perfect instrument is index-linked certificates – which of course we can’t get anymore – though lucky US readers can still buy I bonds. Failing that it still seems worth looking into ladders of individual index-linked gilts – depending on the price you’d have to pay.

    Re: commercial property – I wonder what we’d say if it had just had a great decade rather than a dismal one. When I eyeball property against global equities across the table – it’s definitely doing something a little different. Only once in the decade did that work out well however – 2014 – when property returns were double global equities. The same thing happened in 2012 too – the year that’s just dropped off the quilt.

    There’s no inherent reason for property to be so poor – except IIRC valuations were extremely high within a couple of years of the Credit Crunch. And the pandemic hasn’t helped.

    I think you’re spot on about property being no diversifier at all in a serious bear market. The two asset classes are highly correlated and there are academic papers out there that show property and equities fall like rope climbers tied together during a crisis.

    I still have some hopes for property though as an equity diversifier rather than a portfolio diversifier and perhaps it’ll mean revert after recent pummellings.

    @xxd09 – yes, the Callan chart is the first ‘quilt’ I remember seeing. I think they called it the periodic table of investing, which I loved.

  • 30 ChesterDog January 11, 2023, 3:20 pm

    Interesting (if naughty) to compare annualised returns for some active funds over the same timescale.

    From Trustnet data, the two UK biggies: Fundsmith Equity 15.9%, and Scottish Mortgage investment Trust 17%.

  • 31 The Accumulator January 11, 2023, 4:24 pm

    Very naughty. Bad Chesterdog 😉

    A great comparison would be if we picked 10 different active funds someone tipped a decade ago and made a quilt from their fortunes – for better or worse.

    There is a piece by Greybeard somewhere on the site that includes a list of investment trusts he liked the look of many moons ago.

    I looked up some of them last year to see how they’d done since. They were all over the shop. Some big winners in his list but some big losers too.

  • 32 The Investor January 11, 2023, 5:21 pm

    @Chesterdog @TA — My mum set up an investment trust portfolio with two equal sized subscriptions in 2012 and 2013, which was invested with my guidance into various UK equity income trusts. The idea was to create something with a modest portion of her wealth that might do better at providing an income versus inflation than keeping it all in cash, over the longer-term. As things turned out though, the dividends were just reinvested. I directed a bit of modest trading over the years (maybe 10 swaps from one trust to another over the decade).

    Messing around with our calculator suggests a rough and ready CAGR of 8%, which I think is much more representative than picking two of the best performing UK funds of the past decade (for a while it wasn’t even close with SMT, but it’s since retrenched markedly).

    Some money was taken out to pay for things blowing up (a car or a boiler or something) a few months ago and it isn’t unitized, so it’ll be harder to stab at the CAGR from here.

    Needless to say she would have done much better in a global tracker in hindsight (about a 14% CAGR) but as I say she thought she wanted some sort of income at the start. 🙂

    It’s been an educational little portfolio for me I must admit. And lately like most UK stocks its been hugely outperforming global equities, so maybe the reversion is on! 😉

  • 33 Al Cam January 12, 2023, 1:20 pm

    @TI (#32):
    Great story – IMO real world stuff is always interesting to read. What caught my eye was that: ‘she thought she wanted some sort of income at the start’. Would you be good enough to say a bit more about this and any other lessons?

  • 34 The Investor January 12, 2023, 1:35 pm

    @Al Cam — Afternoon 🙂 I might write about it sometime, but don’t want to derail this thread further and I typically have to try to stretch my personal input into posts that reach many rather than replying in depth to individual comments for the sake of having time to work and sleep 😉

  • 35 Sparschwein January 12, 2023, 11:38 pm

    Nice work, it’s very interesting to see this broken down in GBP.

    If anything, the poor run of commodities during most of the decade should have made them *more* interesting… unless one was working from the active prediction that disinflation will last forever.
    Volatility really isn’t a problem either as long as it is uncorrelated with the rest of the portfolio. Aggregate commodities have a low correlation with the stock market.

    The problem with commodities is how to invest in practice. Commodity ETFs are a funny business, they depend a lot on the shape of the futures curve and can deliver much lower returns than the index they are supposed to track. I found this all too complicated and settled on a chunk of commodity stocks instead. Using a mix of energy, mining and agriculture sector ETFs. It’s less than ideal and comes with a higher correlation with the overall stock market, but worked ok-ish last year.

    Has anyone looked into roll yield optimised commodity ETFs (iShares ROLL and such)?

  • 36 The Accumulator January 13, 2023, 9:19 am

    @ Sparschwein – all excellent points. I’d add the volatility of an uncorrelated asset shouldn’t be a problem except that it may well be *psychologically*. The psychic scream that reverberates around Monevator when a major asset class has a bad few months never mind a bad decade makes me think that only a hardcore could live with an asset that inflicts years of misery before hitting pay dirt.

    A losing position grinds people down. Sticking with it requires fortitude and faith. Interestingly, this is how Naseem Taleb used to trade and IIRC he struggled to convince his management that it would work.

    I think I might take up your challenge on investigating the next generation of commodity ETFs. I’ve looked into commodities in depth but not written about it on Monevator. I kinda got the impression nobody was interested. Not that that normally stops me!

    Three things have kept me out of commodities:

    Underlying problems with commodity futures funds as you mention.

    The balance of the academic research I read was against including commodities in a diversified portfolio.

    I could use gold to do the job: low correlations with equities and bonds, no structural problem with using index trackers to gain exposure.

  • 37 Sparschwein January 14, 2023, 3:26 pm

    @TA – thanks, I think it’s worth turning every stone to find better diversification. It’s a real problem for anyone who is concerned about stock market risk. The dispersion of outcomes is huge even over the very long-term, when calculated without the usual biases (this podcast was quite the eye-opener https://rationalreminder.ca/podcast/224 ). Bonds too are less reliable in real terms than commonly thought.

    Crude hedging with puts or VIX futures is just too expensive. If I had access to a good tail hedge like Taleb’s Universa, I’d go up to 90% in stocks.
    There is probably a way to do this buying deep OTM puts and selling calls – figuring this out would be a full-time project for FIRE times…

  • 38 dearieme January 9, 2024, 2:48 pm

    “Cash would be a nice baseline to have in the table. I thought about doing it using some kind of money market fund or ultra-short bond ETF.”

    You might find it reasonably easy to use the returns on Premium Bonds, either including or excluding the huge prizes.

    There would be the complication of the tax-free nature of the returns.

  • 39 Naeclue January 9, 2024, 4:01 pm

    I was about to post some smart arse remark along the lines of just bung it all in a global tracker, but just spotted that I did that in the comments from last year!

    It seems odd that you have left out European equities. A bigger market than Japan, UK and global EM. Vanguard FTSE Developed Europe ex-U.K. Equity Index Fund or the ETF equivalent VERX would be suitable candidates. 10y annualised GBP returns 7.93% for the funds, 8.04% for the index, just below gold in your quilt.

    ps ERNS for cash? Not the same, but reasonably close. 1.17% 10y annualised.

  • 40 Hariseldon January 9, 2024, 8:43 pm

    Interesting update, surely mid/long inflation linked bonds might have had good 10 year returns in 2021 but because of that and the deeply negative real interest rates they were incredibly unattractive, following the large falls of 2022 they are potentially moderately attractive..

    Whilst mid/long US$ tips with 2%+ real returns going forward over the next few years may well turn out to be satisfactory.

  • 41 Time like infinity January 9, 2024, 8:59 pm

    Thanks for the update @TA, and many thanks in particular for not including (as I’ve seen included in US $ versions of the 10 year quilt) BTC as a reference ‘asset’ in there. Nothing so muck irks me as the hypothetical returns I notionally ‘turned my back on’ because it was insanity squared 😉

    There’s no pattern to returns from one year to the next across the asset quilt, but it is fair to say, I think, that over shorter periods (3, 6 or 12 month look back and 1, 3 or 6 month holding periods, with shorter holding periods for longer look backs) different assets do tend to show cross sectional (i.e. relative) momentum; and trend following funds like Winton do make money off of that, with returns often being negatively correlated with equities.

    As (IIRC here) @Algernond has suggested in comments on other threads, trend following funds might be (in some sense, and within some limits) a ‘safer’ way to access broad commodity and/or gold exposure than a static allocation to either, albeit that the fees for these types of funds are little short of outrageous, especially as they’re quntative and rules based, and so don’t rely on active management/qualitative skill.

  • 42 AoI January 10, 2024, 6:51 pm

    The older comments on posts like this are so interesting to read with the benefit of hindsight. The feeling that US equities can’t go on leading the pack forever seems so reasonable particularly after last year then you’re reminded we felt that way this time last year and every year before that. It’s just a good reminder how bloody difficult this game is! SPX 4,756 // ~19x forward earnings at time of writing is that expensive? I guess it will seem obvious to those reading this when TA publishes the 2024 quilt…
    I think Churchill was talking about Americans when he said they’ll always do the right thing after trying everything else but he may as well have been describing my investing.
    ~75% of the portfolio to a permanent global index holding from here on out for me. Limit myself to a 25% pot to injure myself with

  • 43 xeny January 10, 2024, 7:55 pm

    I’m now wondering how hard it would be to write, backtest and adjust the weighting of a Perl script to issue buy/sell instructions to run a DIY trend following fund.

    Does anyone have a perspective on how frequently it would need to trade? I’m not desperate to have to write automated trading code.

  • 44 The Investor January 10, 2024, 9:34 pm

    @Aol — I agree. We’re sometimes asked why we don’t delete all the old comments when we update articles on Monevator — standard practice among many publishers to keep things looking fresh and certainly to reduce confusion — but your comment sums up why I usually leave them in place!

    There’s whole bushels of old comments on Monevator that have a second life as a cautionary tale, or offer some other kind of lasting perspective. And a few retrospectively regrettable articles by myself, too, to be completely honest. 😉

  • 45 mr_jetlag January 11, 2024, 12:45 am

    I love looking back at old comments and laughing at my mistakes – for instance, my naughty play account sat idle(ish) in US T-bills during one of the best Santa rallies ever! Still up for 2023 though, as most seem to be.

    Glad this is an annual feature now too.

  • 46 Algernond January 11, 2024, 12:32 pm

    @xeny – excellent books by Rob Carver (Leveraged Trading) and Andreas Clenow (Following the Trend) on how to implement this. Rob Carver also has a good website on how to do it also: qoppac dot blogspot dot com.
    (…And Clenow also has a book ‘Stocks on the Move’, which is about momentum trading.)
    They are both talking about Medium / Long term Trend Following, so automation is not a must. What is essential is reliable daily price historical data.. and sticking to your rules.

  • 47 Algernond January 11, 2024, 12:40 pm

    @TLI – you remember correctly (mostly). I do use TF funds now, and because of that don’t hold long-only positions in Commodity or Bond funds; I do still have long-only Gold though (and actually the defensive ITs I hold do have long-only bonds of course).
    Fees / availability / watered-down leverage (OIEC) are the main reasons I have to continually think about if my ~25% position in the TF funds is sustainable….

  • 48 Calum January 16, 2024, 10:47 am


    I’ve been looking to add the Royal London Short Duration Global Index Linked Fund R Acc to my portfolio, but the platform that I’m currently on (iWeb) only has the class M income version of the fund. Not ideal as I know the acc version of a fund is much more hands off if you are in the accumulation phase.



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