Asset Allocation Analysis

Efficient Frontier
55.0

Untitled - Input File

50.0

Asset Mix 1

45.0

Domestic Equities
Foreign Equity

Arithmetic Mean

40.0

Emerging Markets

35.0

Private Equity

30.0

Absolute Return

25.0

High Yield

20.0

Commodities

15.0

Real Estate

10.0

Domestic Bonds

5.0

Foreign Bonds

0.0

Inflation Indexed Bonds

-5.0

Cash
Volatility

-10.0
-20.0

0.0

20.0

40.0
60.0
Risk: Standard Deviation

80.0

100.0

Efficient Frontier
Domestic Equities

100.0

Foreign Equity

Weights (%)

90.0

Emerging Markets

80.0

Private Equity

70.0

Absolute Return
High Yield

60.0

Commodities
Real Estate

50.0

Domestic Bonds

40.0

Foreign Bonds

30.0

Inflation Indexed Bonds

20.0

Cash
Volatility

10.0

0.6

10.7

Source: Morningstar Direct

20.8

30.8

40.9

51.0
61.0
Risk: Standard Deviation

71.1

81.2

91.2

Asset Allocation Analysis

Portfolio Allocations
Asset Mix 1

Domestic Equities

Foreign Equity

Emerging Markets

Private Equity

Absolute Return

High Yield

Commodities

Real Estate

Domestic Bonds

Foreign Bonds

Inflation Indexed Bonds

Cash

Volatility
Domestic Equities
Foreign Equity
Emerging Markets
Private Equity
Absolute Return
High Yield
Commodities
Real Estate
Domestic Bonds
Foreign Bonds
Inflation Indexed Bonds
Cash
Volatility

Asset
Mix 1
0.00
0.00
0.00
14.56
0.00
0.00
0.00
0.00
57.70
25.63
0.00
2.12
0.00

Portfolio Statistics
Time Period: 12/31/2010 to 12/31/2015
Asset
Mix 1
Arithmetic Mean

6.61

Standard Deviation

1.65

Sharpe Ratio

3.94

Source: Morningstar Direct

Asset Allocation Analysis

Monte Carlo Simulation: Wealth Forecast (With Cash Flows)
95th

50th

5th

Asset Mix 1

Wealth (USD)

4
3
3
3
3
2
2
2
2
1
5 Year

10 Year

Year

20 Year
Percentile

95th

50th

5th

1.46

1.38

1.30

2.06

1.89

1.75

4.05

3.59

3.19

5 Year
Asset Mix 1

10 Year
Asset Mix 1

20 Year
Asset Mix 1

Source: Morningstar Direct

Asset Allocation Analysis

Monte Carlo Simulation: Cash Flows
95th Inflow

Asset Mix 1

50th Inflow

10

5th Inflow
95th Outflow

Flows (USD)

50th Outflow
5th Outflow

-10

10

20

Year
Inflows
95th

5 Year
Asset Mix 1

10 Year
Asset Mix 1

20 Year
Asset Mix 1

Source: Morningstar Direct

50th

Outflows
5th

95th

50th

5th

Asset Allocation Analysis

Monte Carlo Simulation: Return Forecast
95th

Asset Mix 1

50th

14.0

5th

Annual Return (%)

12.0
10.0
8.0
6.0
4.0
2.0
0.0

10

20

Year
Percentile
95th

50th

5th

7.85

6.60

5.36

7.48

6.59

5.73

7.24

6.60

5.97

5 Year
Asset Mix 1

10 Year
Asset Mix 1

20 Year
Asset Mix 1

Source: Morningstar Direct

Asset Allocation Analysis

Monte Carlo Simulation: Probability of Achieving Target Wealth
Target: 8

Asset Mix 1

Target: 4

100

Target: 2

Probability (%)

75

50

25

10

20

Year
Target Wealth
$8

$4

$2

0.00

0.00

0.00

0.00

0.00

14.60

0.00

7.00

100.00

5 Year
Asset Mix 1

10 Year
Asset Mix 1

20 Year
Asset Mix 1

Source: Morningstar Direct

Asset Allocation Analysis

Monte Carlo Simulation: Probability of Achieving Target Annual Return
Target: 0%

Asset Mix 1

Target: 8%

100

Target: 15%

Probability (%)

75

50

25

10

20

Year
Target Return
0%

8%

15%

100.00

3.45

0.00

100.00

0.50

0.00

100.00

0.00

0.00

5 Year
Asset Mix 1

10 Year
Asset Mix 1

20 Year
Asset Mix 1

Source: Morningstar Direct

Asset Allocation Analysis

Capital Market Assumptions
Time Period: 12/31/2010 to 12/31/2015
Arithmetic
Mean
(Historical)

Arithmetic
Mean

Standard
Deviation

Domestic Equities

23.25

16.85

31.18

Foreign Equity

16.98

5.53

15.60

3.83

12.27

26.36

15.54

14.16

10.42

Absolute Return

1.39

-2.35

5.07

High Yield

8.26

7.56

8.46

Commodities

-8.84

-0.48

20.60

Real Estate

14.38

11.54

28.51

Domestic Bonds

0.57

5.71

1.81

Foreign Bonds

2.63

4.61

3.46

Inflation Indexed Bonds

2.44

5.33

4.38

Emerging Markets
Private Equity

Cash
Volatility

0.03

3.43

1.56

84.22

48.87

101.29

Asset Class Correlations

Asset Class

10

11

12

Domestic Equities

1.00

Foreign Equity

0.87

1.00

Emerging Markets

0.66

0.73

1.00

Private Equity

0.68

0.82

0.85

1.00

Absolute Return

0.65

0.68

0.65

0.69

1.00

High Yield

0.49

0.70

0.86

0.74

0.62

1.00

Commodities

0.40

0.48

0.56

0.60

0.50

0.66

Real Estate

0.42

0.62

0.62

0.46

0.40

0.71

0.22

1.00

Domestic Bonds

-0.01

-0.16

-0.06

-0.04

-0.19

-0.36

-0.23

-0.08

10

Foreign Bonds

-0.36

-0.44

-0.31

-0.48

-0.44

-0.06

-0.11

0.09

0.00

1.00

11

Inflation Indexed Bonds

-0.12

-0.14

0.13

-0.11

-0.11

0.33

0.16

0.35

-0.05

0.86

1.00

12

Cash

-0.31

-0.18

0.12

0.04

0.09

0.26

0.16

0.00

-0.60

0.05

0.10

1.00

13

Volatility

0.78

0.78

0.82

0.84

0.71

0.74

0.64

0.48

-0.15

-0.27

0.13

0.06

Source: Morningstar Direct

13

1.00
1.00

1.00