Evolutionary Finance for Multi-Asset Investors

Figures & data

Figure 1. Wealth Shares

Figure 2. Wealth Shares (More Assets, More Strategies)

Table 1. Removing One Strategy

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)
(1) 60/40	–	7	6	6	8	7	7	7	6	6	6
(2) 1/n	8	–	8	8	9	8	8	8	8	8	8
(3) MarketCap	6	6	–	5	7	6	6	6	5	5	5
(4) HistMeanRet	3	3	3	–	5	3	3	3	3	2	3
(5) Trailing1yRet	5	5	5	2	–	5	5	5	2	4	4
(6) Yield	9	9	9	9	6	–	10	9	9	9	9
(7) Carry	10	10	10	10	10	10	–	10	10	10	10
(8) CarrySR	7	8	7	7	3	9	9	–	7	7	7
(9) rfPlusHistExcessRet	2	2	2	3	4	2	2	2	–	1	2
(10) MVO	1	1	1	1	1	1	1	1	1	–	1
(11) Insurance	4	4	4	4	2	4	4	4	4	3	–

Highest rank corresponds to highest terminal wealth.

Table 2. Sensitivity to Initial Conditions

	Base	2003	2004	2005	2006	2007	2008	2009	2010
60/40	7	7	7	5	6	6	6	6	6
1/n	9	8	8	10	9	8	7	8	9
MarketCap	6	6	6	3	5	5	5	5	4
HistMeanRet	3	3	4	4	3	4	3	4	2
Trailing1yRet	5	4	3	2	4	1	1	1	3
Yield	10	9	10	11	11	10	9	11	8
Carry	11	11	11	8	10	9	10	9	10
CarrySR	8	10	9	6	8	11	11	10	11
rfPlusHistExcessRet	2	2	2	1	2	2	2	2	1
MVO	1	1	1	9	1	3	8	3	7
Insurance	4	5	5	7	7	7	4	7	5

Highest rank corresponds to highest terminal wealth.