Source: SEI/Bloomberg
Past performance is no guarantee of future results.
…But diversification also rarely loses, and wins over time
We've already established that a diversified strategy can't beat the top-performing asset class in a given year; but,
by definition, it can't be the worst performer either.
In terms of risk-adjusted returns, despite rarely beating the two other strategies in a single year, the diversified
approach has won, hands down, over the past decade. While the trend-following and contrarian strategies
produced moderate returns overall with much higher volatility, the diversified approach provided a respectable
overall return with far less volatility and, as a result, much higher risk-adjusted returns.
Source: SEI/Bloomberg, 10 years as of 12/31/21
Past performance is no guarantee of future results.
Trend Following Contrarian Diversied
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Sharpe
Ratio
Annualized
Return
and
Standard
Deviation
Annualized Return (LHS) Standard Deviation (LHS) Sharpe Ratio (RHS)
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Contrarian
Trend
Following
Trend
Following
Contrarian Trend
Following
Contrarian
Contrarian
Trend
Following
Contrarian
Trend Following Contrarian Diversied
Percent
returns
Diversier
