I would suggest you look at, for example, www.barclayhedge.com in order to evaluate some* historical returns by, as you say, asset alocation. I believe you should be aiming for 9%pa net of fees (with inflation sub-2%) from a diversified portfolio. Your risk profile (5% vol) is on the very conservative side, in my view. If that is your 'rule' then you can dumb down those returns to around 4-6% p.a. gross returns. Do some research on how daily/weekly/monthly returns and thus volatility will DIRECTLY give you a P&L swing-meter. What you need to look at is drawdowns. How much can a strategy (for your asset allocation) lose before it makes new highs.To put this in perspective, this is the current S&P drawdown since January 2007 (and it is still in the drawdown, together with every single equity and commodity index)S&P 500: 56 monthsDJ Stoxx 600: 61 monthsMSCI World Index: 57 monthsDJ UBS Total Return Commodity Index (€): 48 monthsS&P-Goldman Sachs Commodity Index: 48 months* these indices are based only on those funds that supply data to Barclay Hedge
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