Data Source: from January 1976 to October 2022 (~47 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.18%
1 Day
Nov 29 2022, 04:00PM Eastern Time
3.78%
Current Month
November 2022
The Bob Clyatt Sandwich Portfolio is a High Risk portfolio and can be implemented with 8 ETFs.
It's exposed for 55% on the Stock Market.
In the last 30 Years, the Bob Clyatt Sandwich Portfolio obtained a 7.29% compound annual return, with a 8.11% standard deviation.
Asset Allocation and ETFs
The Bob Clyatt Sandwich Portfolio has the following asset allocation:
The Bob Clyatt Sandwich Portfolio can be implemented with the following ETFs:
| Weight | Ticker | ETF Name | Investment Themes | |
|---|---|---|---|---|
| 20.00 % | VV | Vanguard Large-Cap | Equity, U.S., Large Cap | |
| 10.00 % | SCZ | iShares MSCI EAFE Small-Cap | Equity, EAFE, Small Cap | |
| 8.00 % | IJR | iShares Core S&P Small-Cap | Equity, U.S., Small Cap | |
| 6.00 % | EEM | iShares MSCI Emerging Markets | Equity, Emerging Markets, Large Cap | |
| 6.00 % | VEU | Vanguard FTSE All-World ex-US | Equity, Global ex-US, Large Cap | |
| 5.00 % | VNQ | Vanguard Real Estate | Real Estate, U.S. | |
| 41.00 % | IEI | iShares 3-7 Year Treasury Bond | Bond, U.S., Intermediate-Term | |
| 4.00 % | BIL | SPDR Blmbg Barclays 1-3 Mth T-Bill | Bond, U.S., Ultra Short-Term |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
Portfolio and ETF Returns as of Oct 31, 2022
The Bob Clyatt Sandwich Portfolio guaranteed the following returns.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
BOB CLYATT SANDWICH PORTFOLIO RETURNS
Consolidated returns as of 31 October 2022
Live Update: Nov 29 2022, 04:00PM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Oct 31, 2022 |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Nov 2022 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~47Y) |
|
| Bob Clyatt Sandwich Portfolio | 0.18 | 3.78 | 2.78 | -7.33 | -16.12 | 2.76 | 5.16 | 7.29 | 9.38 | |
| US Inflation Adjusted return | 2.36 | -10.10 | -22.15 | -1.06 | 2.53 | 4.66 | 5.53 | |||
| Components | ||||||||||
|
VV Vanguard Large-Cap |
-0.23 |
04:00PM Nov 29 2022 |
2.07 | 7.89 | -5.89 | -16.73 | 10.24 | 12.65 | 9.85 | 10.35 |
|
SCZ iShares MSCI EAFE Small-Cap |
0.00 |
04:00PM Nov 29 2022 |
10.17 | 4.43 | -15.86 | -30.52 | -1.46 | 5.53 | 6.77 | 6.54 |
|
IJR iShares Core S&P Small-Cap |
0.36 |
04:00PM Nov 29 2022 |
1.56 | 12.31 | -0.69 | -11.96 | 7.08 | 11.60 | 10.54 | 11.68 |
|
EEM iShares MSCI Emerging Markets |
2.15 |
04:00PM Nov 29 2022 |
12.34 | -1.98 | -18.62 | -31.25 | -3.80 | 0.20 | 5.66 | 7.33 |
|
VEU Vanguard FTSE All-World ex-US |
0.79 |
04:00PM Nov 29 2022 |
10.81 | 3.40 | -13.38 | -24.31 | -0.30 | 3.59 | 5.18 | 6.31 |
|
VNQ Vanguard Real Estate |
1.65 |
04:00PM Nov 29 2022 |
3.77 | 3.51 | -18.78 | -21.44 | 4.00 | 6.69 | 9.03 | 10.60 |
|
IEI iShares 3-7 Year Treasury Bond |
-0.16 |
04:00PM Nov 29 2022 |
1.56 | -0.51 | -4.41 | -11.10 | -0.20 | 0.48 | 4.38 | 6.31 |
|
BIL SPDR Blmbg Barclays 1-3 Mth T-Bill |
0.03 |
04:00PM Nov 29 2022 |
0.32 | 0.16 | 0.71 | 0.70 | 0.98 | 0.53 | 2.18 | 3.99 |
Returns over 1 year are annualized | Available data source: since Jan 1976
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2022. Current inflation (annualized) is 1Y: 7.75% , 5Y: 3.85% , 10Y: 2.57% , 30Y: 2.51%
Live update: World Markets and Indexes
Portfolio Metrics as of Oct 31, 2022
Metrics of Bob Clyatt Sandwich Portfolio, updated as of 31 October 2022.
Portfolio metrics are calculated based on monthly returns, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
BOB CLYATT SANDWICH PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1976 - 31 October 2022 (~47 years)
Swipe left to see all data
| Metrics as of Oct 31, 2022 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~47Y) |
|
| Portfolio Return (%) |
2.78 | -7.22 | -7.33 | -16.12 | 1.40 | 2.76 | 5.16 | 6.95 | 7.29 | 9.38 |
| US Inflation (%) | 0.41 | 0.59 | 3.08 | 7.75 | 5.01 | 3.85 | 2.57 | 2.52 | 2.51 | 3.65 |
| Infl. Adjusted Return (%) |
2.36 | -7.76 | -10.10 | -22.15 | -3.44 | -1.06 | 2.53 | 4.32 | 4.66 | 5.53 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
| RISK INDICATORS | ||||||||||
| Standard Deviation (%) | 11.28 | 10.81 | 9.57 | 7.76 | 8.47 | 8.11 | 8.82 | |||
| Sharpe Ratio | -1.49 | 0.09 | 0.19 | 0.60 | 0.69 | 0.63 | 0.61 | |||
| Sortino Ratio | -2.21 | 0.12 | 0.24 | 0.77 | 0.90 | 0.82 | 0.82 | |||
| MAXIMUM DRAWDOWN | ||||||||||
| Drawdown Depth (%) | -19.10 | -19.10 | -19.10 | -19.10 | -28.96 | -28.96 | -28.96 | |||
| Start (yyyy mm) | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Bottom (yyyy mm) | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
| Start to Bottom (# months) | 9 | 9 | 9 | 9 | 16 | 16 | 16 | |||
| Start to Recovery (# months) in progress |
> 10
|
> 10
|
> 10
|
> 10
|
30
|
30
|
30
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||||
| Best Return (%) | 43.70 | 26.97 | 23.63 | 16.53 | 13.36 | 11.84 | ||||
| Worst Return (%) | -24.75 | -4.49 | 1.29 | 4.81 | 6.21 | 7.17 | ||||
| % Positive Periods | 88% | 99% | 100% | 100% | 100% | 100% | ||||
| MONTHS | ||||||||||
| Positive | 1 | 1 | 3 | 4 | 22 | 38 | 81 | 161 | 244 | 380 |
| Negative | 0 | 2 | 3 | 8 | 14 | 22 | 39 | 79 | 116 | 182 |
| % Positive | 100% | 33% | 50% | 33% | 61% | 63% | 68% | 67% | 68% | 68% |
| WITHDRAWAL RATES (WR) | ||||||||||
| Safe WR (%) | 36.73 | 21.68 | 12.85 | 8.88 | 7.27 | 7.05 | ||||
| Perpetual WR (%) | 0.00 | 0.00 | 2.47 | 4.14 | 4.45 | 5.24 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 October 2022
Swipe left to see all data
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | SCZ | IJR | EEM | VEU | VNQ | IEI | BIL | |
| VV |
1.00
|
0.95
|
0.95
|
0.60
|
0.91
|
0.88
|
0.50
|
-0.07
|
|
| SCZ |
0.95
|
1.00
|
0.95
|
0.69
|
0.97
|
0.87
|
0.56
|
-0.19
|
|
| IJR |
0.95
|
0.95
|
1.00
|
0.57
|
0.90
|
0.80
|
0.59
|
-0.07
|
|
| EEM |
0.60
|
0.69
|
0.57
|
1.00
|
0.82
|
0.56
|
0.50
|
-0.35
|
|
| VEU |
0.91
|
0.97
|
0.90
|
0.82
|
1.00
|
0.82
|
0.55
|
-0.24
|
|
| VNQ |
0.88
|
0.87
|
0.80
|
0.56
|
0.82
|
1.00
|
0.38
|
-0.31
|
|
| IEI |
0.50
|
0.56
|
0.59
|
0.50
|
0.55
|
0.38
|
1.00
|
-0.45
|
|
| BIL |
-0.07
|
-0.19
|
-0.07
|
-0.35
|
-0.24
|
-0.31
|
-0.45
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | SCZ | IJR | EEM | VEU | VNQ | IEI | BIL | |
| VV |
1.00
|
0.92
|
0.89
|
0.72
|
0.89
|
0.82
|
0.00
|
-0.24
|
|
| SCZ |
0.92
|
1.00
|
0.89
|
0.82
|
0.97
|
0.78
|
0.00
|
-0.31
|
|
| IJR |
0.89
|
0.89
|
1.00
|
0.74
|
0.88
|
0.77
|
-0.11
|
-0.29
|
|
| EEM |
0.72
|
0.82
|
0.74
|
1.00
|
0.90
|
0.57
|
-0.04
|
-0.25
|
|
| VEU |
0.89
|
0.97
|
0.88
|
0.90
|
1.00
|
0.74
|
-0.03
|
-0.29
|
|
| VNQ |
0.82
|
0.78
|
0.77
|
0.57
|
0.74
|
1.00
|
0.10
|
-0.24
|
|
| IEI |
0.00
|
0.00
|
-0.11
|
-0.04
|
-0.03
|
0.10
|
1.00
|
0.21
|
|
| BIL |
-0.24
|
-0.31
|
-0.29
|
-0.25
|
-0.29
|
-0.24
|
0.21
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | SCZ | IJR | EEM | VEU | VNQ | IEI | BIL | |
| VV |
1.00
|
0.87
|
0.87
|
0.67
|
0.85
|
0.70
|
-0.06
|
-0.18
|
|
| SCZ |
0.87
|
1.00
|
0.80
|
0.77
|
0.95
|
0.65
|
-0.01
|
-0.25
|
|
| IJR |
0.87
|
0.80
|
1.00
|
0.61
|
0.77
|
0.64
|
-0.17
|
-0.23
|
|
| EEM |
0.67
|
0.77
|
0.61
|
1.00
|
0.89
|
0.49
|
0.02
|
-0.16
|
|
| VEU |
0.85
|
0.95
|
0.77
|
0.89
|
1.00
|
0.62
|
-0.02
|
-0.20
|
|
| VNQ |
0.70
|
0.65
|
0.64
|
0.49
|
0.62
|
1.00
|
0.23
|
-0.19
|
|
| IEI |
-0.06
|
-0.01
|
-0.17
|
0.02
|
-0.02
|
0.23
|
1.00
|
0.11
|
|
| BIL |
-0.18
|
-0.25
|
-0.23
|
-0.16
|
-0.20
|
-0.19
|
0.11
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | SCZ | IJR | EEM | VEU | VNQ | IEI | BIL | |
| VV |
1.00
|
0.73
|
0.82
|
0.71
|
0.81
|
0.60
|
-0.14
|
-0.02
|
|
| SCZ |
0.73
|
1.00
|
0.72
|
0.74
|
0.87
|
0.59
|
-0.13
|
-0.09
|
|
| IJR |
0.82
|
0.72
|
1.00
|
0.68
|
0.74
|
0.64
|
-0.21
|
-0.05
|
|
| EEM |
0.71
|
0.74
|
0.68
|
1.00
|
0.84
|
0.51
|
-0.11
|
-0.03
|
|
| VEU |
0.81
|
0.87
|
0.74
|
0.84
|
1.00
|
0.58
|
-0.16
|
-0.04
|
|
| VNQ |
0.60
|
0.59
|
0.64
|
0.51
|
0.58
|
1.00
|
0.02
|
-0.01
|
|
| IEI |
-0.14
|
-0.13
|
-0.21
|
-0.11
|
-0.16
|
0.02
|
1.00
|
0.19
|
|
| BIL |
-0.02
|
-0.09
|
-0.05
|
-0.03
|
-0.04
|
-0.01
|
0.19
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | VV | SCZ | IJR | EEM | VEU | VNQ | IEI | BIL | |
| VV |
1.00
|
0.80
|
0.84
|
0.71
|
0.75
|
0.61
|
0.08
|
0.00
|
|
| SCZ |
0.80
|
1.00
|
0.76
|
0.71
|
0.81
|
0.60
|
0.05
|
-0.03
|
|
| IJR |
0.84
|
0.76
|
1.00
|
0.66
|
0.68
|
0.66
|
0.01
|
-0.01
|
|
| EEM |
0.71
|
0.71
|
0.66
|
1.00
|
0.72
|
0.49
|
0.05
|
-0.03
|
|
| VEU |
0.75
|
0.81
|
0.68
|
0.72
|
1.00
|
0.53
|
0.04
|
0.00
|
|
| VNQ |
0.61
|
0.60
|
0.66
|
0.49
|
0.53
|
1.00
|
0.08
|
0.01
|
|
| IEI |
0.08
|
0.05
|
0.01
|
0.05
|
0.04
|
0.08
|
1.00
|
0.20
|
|
| BIL |
0.00
|
-0.03
|
-0.01
|
-0.03
|
0.00
|
0.01
|
0.20
|
1.00
|
Portfolio Dividends
In 2021, the Bob Clyatt Sandwich Portfolio granted a 1.55% dividend yield. If you are interested in getting periodic income, please refer to the Bob Clyatt Sandwich Portfolio: Dividend Yield page.
Readings that may interest you
Capital Growth as of Oct 31, 2022
An investment of 1000$, since November 1992,
now would be worth 8245.28$, with a total return of 724.53% (7.29% annualized).
The Inflation Adjusted Capital now would be 3923.27$, with a net total return of 292.33% (4.66% annualized).
The Inflation Adjusted Capital now would be 3923.27$, with a net total return of 292.33% (4.66% annualized).
An investment of 1000$, since January 1976,
now would be worth 66652.29$, with a total return of 6565.23% (9.38% annualized).
The Inflation Adjusted Capital now would be 12412.93$, with a net total return of 1141.29% (5.53% annualized).
The Inflation Adjusted Capital now would be 12412.93$, with a net total return of 1141.29% (5.53% annualized).
Drawdowns
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -28.96% | Nov 2007 | Feb 2009 | 16 | Apr 2010 | 14 | 30 |
| -19.10% | Jan 2022 | Sep 2022 | 9 | in progress | 1 | 10 |
| -10.75% | Jan 2020 | Mar 2020 | 3 | Jul 2020 | 4 | 7 |
| -9.56% | May 2011 | Sep 2011 | 5 | Feb 2012 | 5 | 10 |
| -9.04% | May 1998 | Aug 1998 | 4 | Nov 1998 | 3 | 7 |
| -7.14% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 |
| -6.93% | Feb 2001 | Sep 2001 | 8 | Apr 2002 | 7 | 15 |
| -6.91% | Feb 1994 | Jun 1994 | 5 | Apr 1995 | 10 | 15 |
| -6.62% | Jun 2002 | Sep 2002 | 4 | May 2003 | 8 | 12 |
| -5.67% | May 2010 | Jun 2010 | 2 | Sep 2010 | 3 | 5 |
| -5.03% | Jun 2015 | Feb 2016 | 9 | Jun 2016 | 4 | 13 |
| -4.69% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
| -4.32% | May 2012 | May 2012 | 1 | Sep 2012 | 4 | 5 |
| -3.88% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -3.38% | Aug 1997 | Aug 1997 | 1 | Feb 1998 | 6 | 7 |
| -3.21% | Apr 2000 | May 2000 | 2 | Jun 2000 | 1 | 3 |
| -2.79% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 |
| -2.79% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 |
| -2.74% | Feb 1999 | Feb 1999 | 1 | Apr 1999 | 2 | 3 |
| -2.74% | Sep 2021 | Sep 2021 | 1 | Dec 2021 | 3 | 4 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -28.96% | Nov 2007 | Feb 2009 | 16 | Apr 2010 | 14 | 30 |
| -19.10% | Jan 2022 | Sep 2022 | 9 | in progress | 1 | 10 |
| -15.85% | Sep 1987 | Nov 1987 | 3 | Dec 1988 | 13 | 16 |
| -10.75% | Jan 2020 | Mar 2020 | 3 | Jul 2020 | 4 | 7 |
| -10.22% | Aug 1990 | Sep 1990 | 2 | Feb 1991 | 5 | 7 |
| -9.56% | May 2011 | Sep 2011 | 5 | Feb 2012 | 5 | 10 |
| -9.04% | May 1998 | Aug 1998 | 4 | Nov 1998 | 3 | 7 |
| -8.94% | Feb 1980 | Mar 1980 | 2 | May 1980 | 2 | 4 |
| -7.72% | Dec 1981 | Jun 1982 | 7 | Sep 1982 | 3 | 10 |
| -7.64% | Jun 1981 | Sep 1981 | 4 | Nov 1981 | 2 | 6 |
| -7.14% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 |
| -6.93% | Feb 2001 | Sep 2001 | 8 | Apr 2002 | 7 | 15 |
| -6.91% | Feb 1994 | Jun 1994 | 5 | Apr 1995 | 10 | 15 |
| -6.80% | Sep 1979 | Oct 1979 | 2 | Jan 1980 | 3 | 5 |
| -6.62% | Jun 2002 | Sep 2002 | 4 | May 2003 | 8 | 12 |
| -6.22% | Oct 1978 | Oct 1978 | 1 | Jan 1979 | 3 | 4 |
| -5.67% | May 2010 | Jun 2010 | 2 | Sep 2010 | 3 | 5 |
| -5.61% | Jan 1990 | Apr 1990 | 4 | Jun 1990 | 2 | 6 |
| -5.21% | Feb 1984 | May 1984 | 4 | Aug 1984 | 3 | 7 |
| -5.03% | Jun 2015 | Feb 2016 | 9 | Jun 2016 | 4 | 13 |
Rolling Returns ( more details)
Bob Clyatt Sandwich Portfolio: annualized rolling and average returns
Swipe left to see all data
| Rolling Period |
Return (*) | Negative Periods |
||
|---|---|---|---|---|
| Average (%) | Best (%) | Worst (%) | ||
| 1 Year |
9.99 |
43.70 Jul 1982 - Jun 1983 |
-24.75 Mar 2008 - Feb 2009 |
12.34% |
| 2 Years |
9.93 |
31.66 Jul 1984 - Jun 1986 |
-11.72 Mar 2007 - Feb 2009 |
4.64% |
| 3 Years |
9.87 |
26.97 Aug 1984 - Jul 1987 |
-4.49 Mar 2006 - Feb 2009 |
0.95% |
| 5 Years |
9.88 |
23.63 Aug 1982 - Jul 1987 |
1.29 Mar 2004 - Feb 2009 |
0.00% |
| 7 Years |
9.93 |
19.44 Aug 1982 - Jul 1989 |
4.30 Nov 2015 - Oct 2022 |
0.00% |
| 10 Years |
9.96 |
16.53 Aug 1982 - Jul 1992 |
4.81 Oct 2012 - Sep 2022 |
0.00% |
| 15 Years |
9.75 |
15.02 Aug 1982 - Jul 1997 |
4.55 Oct 2007 - Sep 2022 |
0.00% |
| 20 Years |
9.67 |
13.36 Mar 1978 - Feb 1998 |
6.21 Apr 2000 - Mar 2020 |
0.00% |
| 30 Years |
9.73 |
11.84 Nov 1977 - Oct 2007 |
7.17 Oct 1992 - Sep 2022 |
0.00% |
(*) Annualized rolling and average returns over full calendar month periods
If you need a deeper detail about rolling returns, please refer to the Bob Clyatt Sandwich Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Bob Clyatt Sandwich Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.72
60% |
-1.01
40% |
-1.06
60% |
0.84
60% |
0.45
80% |
0.18
60% |
1.83
100% |
0.30
60% |
-2.04
20% |
0.29
60% |
1.70
80% |
0.98
80% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.72
|
99.70
|
98.64
|
99.48
|
99.92
|
100.10
|
101.94
|
102.24
|
100.15
|
100.44
|
102.15
|
103.16
|
| Best |
5.2 2019 |
1.4 2021 |
1.3 2021 |
5.1 2020 |
2.6 2020 |
3.6 2019 |
4.4 2022 |
2.8 2020 |
1.1 2019 |
2.8 2022 |
6.5 2020 |
3.1 2020 |
| Worst |
-3.5 2022 |
-3.4 2020 |
-7.2 2020 |
-4.9 2022 |
-2.8 2019 |
-4.6 2022 |
0.0 2019 |
-3.4 2022 |
-6.6 2022 |
-4.4 2018 |
-1.5 2021 |
-3.6 2018 |
Monthly Seasonality over the period Nov 2017 - Oct 2022
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.41
60% |
0.19
60% |
0.14
70% |
0.85
80% |
0.43
80% |
0.07
60% |
1.57
90% |
-0.16
50% |
-0.82
40% |
0.86
70% |
1.10
80% |
0.71
70% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.41
|
100.60
|
100.75
|
101.61
|
102.04
|
102.11
|
103.71
|
103.54
|
102.69
|
103.58
|
104.71
|
105.46
|
| Best |
5.2 2019 |
2.7 2014 |
4.6 2016 |
5.1 2020 |
2.6 2020 |
3.6 2019 |
4.4 2022 |
2.8 2020 |
3.7 2013 |
3.4 2015 |
6.5 2020 |
3.1 2020 |
| Worst |
-3.5 2022 |
-3.4 2020 |
-7.2 2020 |
-4.9 2022 |
-2.8 2019 |
-4.6 2022 |
-1.2 2014 |
-3.4 2015 |
-6.6 2022 |
-4.4 2018 |
-1.5 2021 |
-3.6 2018 |
Monthly Seasonality over the period Nov 2012 - Oct 2022
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.94
64% |
0.35
57% |
0.69
74% |
1.29
81% |
0.74
66% |
0.65
64% |
0.93
66% |
0.54
66% |
0.06
60% |
0.43
62% |
1.33
74% |
1.49
78% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.94
|
101.29
|
101.99
|
103.30
|
104.06
|
104.73
|
105.71
|
106.28
|
106.34
|
106.79
|
108.21
|
109.82
|
| Best |
7.3 1987 |
5.7 1986 |
5.3 2009 |
6.8 2009 |
5.6 1990 |
3.9 1988 |
5.4 2009 |
7.7 1982 |
5.4 2010 |
8.1 1982 |
6.5 2020 |
8.8 1991 |
| Worst |
-6.4 2009 |
-5.9 2009 |
-7.2 2020 |
-4.9 2022 |
-4.4 2010 |
-4.6 2022 |
-3.3 2002 |
-7.0 1998 |
-6.6 2022 |
-12.0 1987 |
-2.7 1994 |
-3.6 2018 |
Monthly Seasonality over the period Jan 1976 - Oct 2022
Monthly/Yearly Returns
Bob Clyatt Sandwich Portfolio data source starts from January 1976: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1976 - Oct 2022
380 Positive Months (68%) - 182 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1976 - Oct 2022
(Scroll down to see all data)
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Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2022 |
-16.85 | -22.21 | -3.5 | -1.6 | -0.6 | -4.9 | 0.3 | -4.6 | 4.4 | -3.4 | -6.6 | 2.8 | ||
| 2021 |
+9.88 | +2.66 | 0.4 | 1.4 | 1.3 | 2.5 | 1.0 | 0.5 | 0.6 | 1.3 | -2.7 | 2.4 | -1.5 | 2.5 |
| 2020 |
+10.59 | +9.10 | -0.4 | -3.4 | -7.2 | 5.1 | 2.6 | 1.6 | 2.7 | 2.8 | -1.4 | -1.0 | 6.5 | 3.1 |
| 2019 |
+16.81 | +14.20 | 5.2 | 1.2 | 1.1 | 1.8 | -2.8 | 3.6 | 0.0 | -0.3 | 1.1 | 1.7 | 1.1 | 2.0 |
| 2018 |
-4.77 | -6.56 | 2.0 | -2.7 | 0.1 | -0.2 | 1.1 | -0.2 | 1.4 | 1.1 | -0.6 | -4.4 | 1.5 | -3.6 |
| 2017 |
+13.38 | +11.04 | 1.5 | 1.6 | 0.6 | 1.3 | 1.0 | 0.5 | 1.7 | 0.4 | 1.1 | 1.0 | 1.0 | 0.9 |
| 2016 |
+6.63 | +4.46 | -2.1 | -0.1 | 4.6 | 0.3 | 0.4 | 1.0 | 2.5 | -0.2 | 0.7 | -1.7 | 0.1 | 1.3 |
| 2015 |
+0.48 | -0.25 | 0.4 | 2.1 | 0.0 | 0.8 | 0.2 | -1.2 | 0.6 | -3.4 | -0.9 | 3.4 | -0.1 | -1.1 |
| 2014 |
+4.84 | +4.05 | -1.4 | 2.7 | 0.1 | 0.4 | 1.4 | 1.2 | -1.2 | 1.9 | -2.6 | 2.1 | 0.7 | -0.4 |
| 2013 |
+12.69 | +11.02 | 2.1 | 0.6 | 1.5 | 1.6 | -0.9 | -1.7 | 3.0 | -1.8 | 3.7 | 2.5 | 0.9 | 0.7 |
| 2012 |
+10.59 | +8.69 | 4.0 | 1.9 | 0.8 | 0.1 | -4.3 | 2.4 | 0.5 | 1.5 | 1.6 | -0.6 | 0.8 | 1.8 |
| 2011 |
+0.70 | -2.20 | 0.8 | 1.5 | 0.4 | 2.8 | -0.2 | -1.0 | -0.1 | -3.1 | -5.4 | 5.9 | -0.6 | 0.2 |
| 2010 |
+13.17 | +11.50 | -1.5 | 1.5 | 3.6 | 1.5 | -4.4 | -1.4 | 5.0 | -1.8 | 5.4 | 2.5 | -0.9 | 3.5 |
| 2009 |
+19.04 | +15.88 | -6.4 | -5.9 | 5.3 | 6.8 | 4.6 | -0.4 | 5.4 | 2.8 | 3.6 | -1.9 | 3.5 | 1.2 |
| 2008 |
-16.79 | -16.87 | -2.5 | -0.1 | 0.5 | 1.5 | 0.6 | -4.2 | -0.7 | 0.2 | -4.4 | -9.8 | -2.1 | 3.4 |
| 2007 |
+7.88 | +3.65 | 1.2 | 0.2 | 1.2 | 2.1 | 1.3 | -0.8 | -0.8 | 1.2 | 2.7 | 2.5 | -2.2 | -0.9 |
| 2006 |
+13.86 | +11.03 | 3.4 | -0.1 | 1.5 | 1.0 | -2.6 | 0.1 | 0.7 | 2.0 | 1.1 | 2.8 | 2.5 | 0.8 |
| 2005 |
+8.69 | +5.10 | -0.8 | 1.8 | -1.6 | -0.3 | 2.0 | 1.4 | 2.1 | 0.8 | 1.0 | -2.0 | 2.3 | 1.8 |
| 2004 |
+13.13 | +9.56 | 2.0 | 1.7 | 1.0 | -3.9 | 0.6 | 1.9 | -1.5 | 1.6 | 1.5 | 1.8 | 3.2 | 2.7 |
| 2003 |
+24.10 | +21.81 | -1.3 | -0.1 | -0.1 | 4.6 | 4.9 | 1.6 | 0.6 | 2.2 | 1.8 | 3.2 | 1.0 | 3.6 |
| 2002 |
-0.29 | -2.61 | -0.2 | 0.7 | 1.8 | 0.6 | 0.7 | -1.8 | -3.3 | 1.3 | -2.9 | 1.4 | 1.8 | -0.2 |
| 2001 |
+0.13 | -1.40 | 2.7 | -2.8 | -2.9 | 3.4 | 0.4 | -0.3 | 0.0 | -0.6 | -4.3 | 2.3 | 1.7 | 0.6 |
| 2000 |
+2.38 | -0.97 | -2.1 | 1.4 | 2.8 | -2.2 | -1.0 | 3.7 | -0.7 | 2.6 | -1.6 | -1.3 | -1.8 | 3.0 |
| 1999 |
+12.00 | +9.07 | 0.7 | -2.7 | 2.8 | 4.4 | -1.5 | 2.9 | -0.9 | -0.5 | -0.4 | 1.6 | 1.4 | 3.8 |
| 1998 |
+9.62 | +7.88 | 1.2 | 3.9 | 2.2 | 0.1 | -1.4 | 0.4 | -1.2 | -7.0 | 3.7 | 3.4 | 2.6 | 1.8 |
| 1997 |
+10.10 | +8.26 | 1.4 | 0.4 | -2.0 | 1.5 | 3.9 | 2.8 | 3.3 | -3.4 | 3.4 | -2.5 | 0.4 | 0.9 |
| 1996 |
+10.04 | +6.50 | 1.9 | -0.4 | 0.3 | 1.3 | 0.9 | 0.3 | -2.6 | 1.1 | 2.6 | 1.3 | 3.6 | -0.5 |
| 1995 |
+19.39 | +16.43 | 0.2 | 1.8 | 1.8 | 2.0 | 3.3 | 1.0 | 1.8 | 0.3 | 1.5 | -0.5 | 2.4 | 2.3 |
| 1994 |
-2.75 | -5.29 | 2.9 | -2.5 | -4.0 | 0.4 | 0.4 | -1.3 | 2.1 | 2.6 | -1.8 | 0.6 | -2.7 | 0.9 |
| 1993 |
+20.08 | +16.87 | 2.9 | 1.7 | 2.9 | 0.1 | 1.0 | 1.6 | 1.0 | 3.5 | 0.6 | 2.1 | -2.1 | 3.3 |
| 1992 |
+6.13 | +3.14 | 0.0 | 0.3 | -1.9 | 0.6 | 2.8 | -1.5 | 2.8 | -0.4 | 0.8 | -0.4 | 1.7 | 1.4 |
| 1991 |
+26.12 | +22.37 | 3.2 | 4.7 | 1.3 | 0.7 | 2.7 | -3.3 | 2.6 | 2.7 | 1.0 | 1.9 | -2.5 | 8.8 |
| 1990 |
-2.55 | -8.16 | -4.1 | 0.0 | 0.3 | -1.8 | 5.6 | 0.7 | 1.1 | -6.6 | -3.9 | 1.8 | 3.1 | 1.9 |
| 1989 |
+23.52 | +18.04 | 3.9 | -0.4 | 0.4 | 3.8 | 3.0 | 0.5 | 5.1 | 0.9 | 1.3 | -0.9 | 1.8 | 2.2 |
| 1988 |
+14.83 | +9.97 | 4.6 | 3.4 | -1.0 | 0.6 | -0.5 | 3.9 | -0.4 | -1.8 | 2.9 | 1.9 | -0.8 | 1.2 |
| 1987 |
+2.90 | -1.47 | 7.3 | 2.9 | 0.3 | -0.7 | -0.3 | 2.4 | 2.9 | 2.1 | -1.8 | -12.0 | -2.6 | 3.7 |
| 1986 |
+22.03 | +20.71 | 1.2 | 5.7 | 5.3 | 0.7 | 1.5 | 2.9 | -1.6 | 5.2 | -4.1 | 2.6 | 1.9 | -0.6 |
| 1985 |
+29.14 | +24.42 | 5.5 | 0.4 | 1.0 | 1.1 | 5.6 | 1.5 | 0.2 | 0.4 | -1.3 | 3.2 | 4.6 | 3.9 |
| 1984 |
+10.00 | +5.82 | 0.6 | -2.0 | 0.4 | 0.4 | -4.0 | 1.7 | 0.8 | 6.2 | 1.3 | 2.0 | 0.5 | 2.0 |
| 1983 |
+15.81 | +11.58 | 2.2 | 2.6 | 2.0 | 5.3 | -0.4 | 2.2 | -2.6 | 0.6 | 1.9 | -0.9 | 2.0 | -0.1 |
| 1982 |
+18.57 | +14.19 | -1.4 | -2.4 | -0.9 | 3.0 | -1.2 | -2.5 | 0.5 | 7.7 | 2.5 | 8.1 | 3.0 | 1.4 |
| 1981 |
+2.36 | -6.02 | -1.7 | 0.0 | 3.3 | -1.6 | 1.7 | -0.3 | -1.1 | -3.7 | -2.7 | 5.8 | 5.8 | -2.6 |
| 1980 |
+16.30 | +3.37 | 2.5 | -3.1 | -6.0 | 6.4 | 4.9 | 2.7 | 3.2 | -1.0 | 1.3 | 0.8 | 5.3 | -0.9 |
| 1979 |
+13.51 | +0.19 | 3.4 | -1.7 | 3.9 | 0.3 | -0.2 | 3.4 | 0.8 | 3.7 | -0.1 | -6.7 | 4.6 | 1.8 |
| 1978 |
+10.15 | +1.04 | -2.5 | 0.0 | 2.3 | 4.8 | 1.3 | -0.3 | 3.8 | 3.1 | 0.2 | -6.2 | 2.7 | 1.2 |
| 1977 |
+5.06 | -1.54 | -2.2 | -0.2 | 0.3 | 1.0 | 0.2 | 3.5 | -0.5 | 0.3 | 0.5 | -1.6 | 3.0 | 0.8 |
| 1976 |
+17.59 | +12.13 | 7.2 | 0.4 | 1.4 | -0.4 | -1.6 | 3.1 | -0.1 | 0.6 | 1.5 | -0.7 | 1.8 | 3.3 |
Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, it has been used:
- VV - Vanguard Large-Cap: simulated historical serie, up to December 2004
- SCZ - iShares MSCI EAFE Small-Cap: simulated historical serie, up to December 2007
- IJR - iShares Core S&P Small-Cap: simulated historical serie, up to December 2000
- EEM - iShares MSCI Emerging Markets: simulated historical serie, up to December 2003
- VEU - Vanguard FTSE All-World ex-US: simulated historical serie, up to December 2007
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- IEI - iShares 3-7 Year Treasury Bond: simulated historical serie, up to December 2007
- BIL - SPDR Blmbg Barclays 1-3 Mth T-Bill: simulated historical serie, up to December 2007
Portfolio efficiency
Compared to the Bob Clyatt Sandwich Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Couch Potato Scott Burns |
+8.06 | 8.58 | -27.04 | 50 | 50 | 0 | ||
|
Stocks/Bonds 40/60 Momentum |
+8.04 | 6.77 | -21.11 | 40 | 60 | 0 | ||
|
Golden Butterfly |
+7.70 | 7.36 | -17.79 | 40 | 40 | 20 | ||
|
Marc Faber Portfolio Marc Faber |
+7.35 | 9.37 | -28.82 | 50 | 25 | 25 | ||
|
All Weather Portfolio Ray Dalio |
+7.29 | 7.01 | -20.19 | 30 | 55 | 15 | ||
|
Sandwich Portfolio Bob Clyatt |
+7.29 | 8.11 | -28.96 | 55 | 45 | 0 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Stocks/Bonds 60/40 Momentum |
+9.67 | 9.35 | -32.52 | 60 | 40 | 0 | ||
|
Simple Path to Wealth JL Collins |
+8.74 | 11.50 | -38.53 | 75 | 25 | 0 | ||
|
Seven Value Scott Burns |
+8.41 | 11.18 | -41.22 | 71.5 | 28.5 | 0 | ||
|
Late Sixties and Beyond Burton Malkiel |
+8.41 | 11.45 | -41.80 | 71 | 29 | 0 | ||
|
Yale Endowment David Swensen |
+8.35 | 10.67 | -39.48 | 70 | 30 | 0 | ||