Pretty impressive considering stocks were down more than -10% over the same time period. Below is a table of the five main asset classes over the past year and their total returns. The buy and hold allocation is the same allocation mentioned in my paper, namely a 20% allocation to the same five asset classes. GTAA is the timing model from the same paper. (Both are gross returns so lop off about 50 bps for management fees.)
B&H: 9.79% (no rebalance), 6.44% monthly rebalance
GTAA: 13.92% (no rebalance), 11.15% (monthly rebalance)
US Stocks: -13.12%
Foreign Stocks: -10.15%
A simple, diversified allocation across low fee and tax efficient ETFs would have performed very nicely.
One could replicate these asset classes with the following ETFs: