All Country World 60/40 vs Rob Arnott Portfolio Comparison

Last Update: 29 February 2024

The All Country World 60/40 Portfolio obtained a 6.36% compound annual return, with a 10.07% standard deviation, in the last 30 Years.

The Rob Arnott Portfolio obtained a 6.50% compound annual return, with a 7.22% standard deviation, in the last 30 Years.

Summary

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All Country World 60/40 Portfolio Rob Arnott Portfolio
Portfolio Risk High Medium
Asset Allocation Stocks 60% 30%
Fixed Income 40% 60%
Commodities 0% 10%
30 Years Stats Return +6.36% +6.50%
Std Dev 10.07% 7.22%
Max Drawdown -36.70% -24.27%
All time Stats
(Since Jan 1985)
Return +8.15% +8.17%
Std Dev 10.40% 7.17%
Max Drawdown -36.70% -24.27%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
All Country World 60/40 Portfolio +2.40 +8.14 +15.51 +6.57 +5.92 +6.36 +8.15
Rob Arnott Portfolio +0.06 +3.82 +6.79 +4.16 +3.85 +6.50 +8.17
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

All Country World 60/40 Portfolio: an investment of 1$, since March 1994, now would be worth 6.36$, with a total return of 536.24% (6.36% annualized).

Rob Arnott Portfolio: an investment of 1$, since March 1994, now would be worth 6.62$, with a total return of 561.71% (6.50% annualized).

All Country World 60/40 Portfolio: an investment of 1$, since January 1985, now would be worth 21.49$, with a total return of 2049.08% (8.15% annualized).

Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 21.69$, with a total return of 2068.86% (8.17% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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All Country World 60/40 Portfolio
Rob Arnott Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-36.70% Nov 2007 Feb 2009 (16) Jan 2011 (39) 16.68
-24.27% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.41
-23.34% Apr 2000 Sep 2002 (30) Jan 2004 (46) 12.33
-21.52% Jan 2022 Sep 2022 (9) In progress (26) 11.46
-17.86% Jan 2022 Sep 2022 (9) In progress (26) 10.92
-13.80% Jan 2020 Mar 2020 (3) Jul 2020 (7) 6.11
-12.04% May 2011 Sep 2011 (5) Mar 2012 (11) 5.34
-9.85% May 1998 Aug 1998 (4) Nov 1998 (7) 4.41
-8.72% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.02
-8.49% Feb 2018 Dec 2018 (11) Apr 2019 (15) 3.64
-7.73% Jun 2015 Feb 2016 (9) Jul 2016 (14) 4.20
-6.23% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.65
-5.70% Apr 2012 May 2012 (2) Aug 2012 (5) 2.61
-5.66% May 2013 Jun 2013 (2) Feb 2014 (10) 3.39
-5.26% Mar 1994 Nov 1994 (9) Apr 1995 (14) 3.05
-4.84% Sep 2018 Dec 2018 (4) Feb 2019 (6) 2.63
-4.76% Aug 1997 Oct 1997 (3) Feb 1998 (7) 3.03
-4.70% Apr 2004 Apr 2004 (1) Sep 2004 (6) 2.74
-4.10% Jul 1998 Aug 1998 (2) Sep 1998 (3) 2.15
-3.86% Aug 2016 Nov 2016 (4) May 2017 (10) 1.64

Drawdown comparison chart since January 1985.

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All Country World 60/40 Portfolio
Rob Arnott Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-36.70% Nov 2007 Feb 2009 (16) Jan 2011 (39) 16.68
-24.27% Jun 2008 Feb 2009 (9) Mar 2010 (22) 12.41
-23.34% Apr 2000 Sep 2002 (30) Jan 2004 (46) 12.33
-21.52% Jan 2022 Sep 2022 (9) In progress (26) 11.46
-17.86% Jan 2022 Sep 2022 (9) In progress (26) 10.92
-17.68% Sep 1987 Nov 1987 (3) Dec 1988 (16) 8.37
-14.70% Jan 1990 Sep 1990 (9) May 1991 (17) 7.12
-13.80% Jan 2020 Mar 2020 (3) Jul 2020 (7) 6.11
-12.04% May 2011 Sep 2011 (5) Mar 2012 (11) 5.34
-9.85% May 1998 Aug 1998 (4) Nov 1998 (7) 4.41
-8.72% Feb 2020 Mar 2020 (2) Jul 2020 (6) 4.02
-8.49% Feb 2018 Dec 2018 (11) Apr 2019 (15) 3.64
-7.73% Jun 2015 Feb 2016 (9) Jul 2016 (14) 4.20
-7.37% Feb 1994 Nov 1994 (10) May 1995 (16) 4.71
-6.23% Mar 2015 Jan 2016 (11) Jun 2016 (16) 3.65
-6.11% Jan 1990 Apr 1990 (4) Jul 1990 (7) 3.26
-5.70% Apr 2012 May 2012 (2) Aug 2012 (5) 2.61
-5.66% May 2013 Jun 2013 (2) Feb 2014 (10) 3.39
-5.55% Feb 1994 Mar 1994 (2) Apr 1995 (15) 3.68
-5.40% Jan 1992 Mar 1992 (3) Jan 1993 (13) 2.58

Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Year Return Drawdown Return Drawdown
2024
+2.21%
-0.19%
-0.70%
-0.76%
2023
+16.14%
-7.53%
+9.08%
-7.06%
2022
-16.34%
-21.52%
-14.81%
-17.86%
2021
+10.14%
-3.08%
+11.04%
-1.71%
2020
+12.48%
-13.80%
+7.98%
-8.72%
2019
+19.89%
-3.21%
+16.67%
-0.49%
2018
-5.81%
-8.49%
-4.12%
-4.84%
2017
+16.36%
0.00%
+9.02%
-0.37%
2016
+6.82%
-3.26%
+7.14%
-3.86%
2015
-0.78%
-7.28%
-3.26%
-5.73%
2014
+4.95%
-2.27%
+7.59%
-2.79%
2013
+12.77%
-3.73%
+1.41%
-5.66%
2012
+13.25%
-5.70%
+10.55%
-2.17%
2011
-1.26%
-12.04%
+7.73%
-3.51%
2010
+10.93%
-6.54%
+11.89%
-2.99%
2009
+23.38%
-12.81%
+14.59%
-11.26%
2008
-25.21%
-28.83%
-11.48%
-21.15%
2007
+8.21%
-2.94%
+7.64%
-1.84%
2006
+13.12%
-2.85%
+8.97%
-1.26%
2005
+7.18%
-2.50%
+7.74%
-2.50%
2004
+10.41%
-2.77%
+11.93%
-4.70%
2003
+22.27%
-2.14%
+17.00%
-2.42%
2002
-8.59%
-14.20%
+8.16%
-0.99%
2001
-5.46%
-12.83%
+0.06%
-2.47%
2000
-4.61%
-7.73%
+12.87%
-0.83%
1999
+16.48%
-3.00%
+7.22%
-2.71%
1998
+15.37%
-9.85%
+6.53%
-4.10%
1997
+9.98%
-4.76%
+7.20%
-2.36%
1996
+10.14%
-1.85%
+11.02%
-0.75%
1995
+18.30%
-0.82%
+21.23%
0.00%
1994
-0.34%
-5.55%
-2.84%
-7.37%
1993
+18.90%
-3.47%
+13.77%
-2.73%
1992
-0.34%
-5.40%
+6.56%
-2.87%
1991
+17.68%
-4.03%
+18.67%
-1.99%
1990
-8.25%
-14.70%
+2.80%
-6.11%
1989
+14.23%
-2.13%
+17.53%
-1.16%
1988
+15.88%
-3.42%
+13.48%
-1.21%
1987
+10.47%
-17.68%
+6.41%
-5.21%
1986
+31.62%
-4.45%
+21.76%
-3.06%
1985
+34.19%
-1.07%
+27.17%
-1.73%