SMP Multi-Family Office
Research Library
The published research programme behind the SMP European Consensus Portfolio. These papers set out the evidence, method and data underpinning the SMP Multi-Family Office proposition — written to an institutional standard, with sources, assumptions and limitations stated in full.
Annex C — Irish Execution & Tax Analysis — is available to member families only and is not published on this page.
Latest Paper
Annex B: Quantitative Portfolio Analysis
Analysis Base Portfolio (ABP) · 2005–2025 Backtest · v7.0 · July 2026
This annex subjects the consensus median portfolio — derived in Section 11 of the main compendium — to a full quantitative examination: a 21-year backtest, the complete suite of risk and return metrics an investment professional would expect, benchmark-relative analysis, risk decomposition, and mean-variance optimisation. Over 2005–2025 the consensus portfolio returned 7.1% a year gross of costs, with volatility of 14.5% and a Sharpe ratio of 0.44. Measured against a simple Global 60/40 portfolio, the result is sobering: less return (7.1% versus 7.2%) for materially more risk (14.5% versus 11.1% volatility), giving a lower Sharpe ratio (0.44 versus 0.54).
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European Family Offices
Negative Private Equity Alpha
Private Equity Markets Compendium
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Editorial Standards
Working papers are prepared to a consistent standard: each states its question, sets out its assumptions and evidence, and carries a citable paper code and publication date. Papers are reviewed internally before release and revised transparently where the analysis is updated.
Disclaimer: Research papers are analysis and commentary. They do not constitute regulated financial advice and should not be relied upon as a recommendation. For advice specific to your circumstances, please contact SMP Financial.