Robert Shiller Cape US Sector Value vs Stocks/Bonds 80/20 Momentum Portfolio Comparison

Last Update: 31 March 2024

The Robert Shiller Cape US Sector Value Portfolio obtained a 14.28% compound annual return, with a 15.76% standard deviation, in the last 10 Years.

The Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.09% compound annual return, with a 12.93% standard deviation, in the last 10 Years.

Summary

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Robert Shiller Cape US Sector Value Portfolio Stocks/Bonds 80/20 Momentum Portfolio
Portfolio Risk Very High Very High
Asset Allocation Stocks 100% 80%
Fixed Income 0% 20%
Commodities 0% 0%
10 Years Stats Return +14.28% +11.09%
Std Dev 15.76% 12.93%
Max Drawdown -21.00% -27.23%
All time Stats
(Since Nov 2012)		 Return +15.60% +12.17%
Std Dev 15.22% 12.46%
Max Drawdown -21.00% -27.23%
Last Update: 31 March 2024

Historical Returns as of Mar 31, 2024

Comparison period starts from November 2012

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1M 6M 1Y 5Y 10Y MAX
Robert Shiller Cape US Sector Value Portfolio +2.38 +19.06 +24.86 +14.72 +14.28 +15.60
Stocks/Bonds 80/20 Momentum Portfolio +2.55 +28.59 +28.68 +9.90 +11.09 +12.17
Return over 1 year are annualized.

Capital Growth as of Mar 31, 2024

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since April 2014, now would be worth 3.80$, with a total return of 279.99% (14.28% annualized).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since April 2014, now would be worth 2.86$, with a total return of 186.35% (11.09% annualized).

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since November 2012, now would be worth 5.23$, with a total return of 423.12% (15.60% annualized).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since November 2012, now would be worth 3.71$, with a total return of 271.16% (12.17% annualized).

Drawdowns

Drawdown comparison chart since April 2014.

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Robert Shiller Cape US Sector Value Portfolio
Stocks/Bonds 80/20 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-27.23% Nov 2021 Sep 2022 (11) In progress (29) 18.19
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-14.33% Feb 2020 Mar 2020 (2) Jun 2020 (5) 6.76
-12.46% Oct 2018 Dec 2018 (3) Jun 2019 (9) 6.19
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-6.55% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.63
-6.22% Aug 2015 Sep 2015 (2) Mar 2016 (8) 3.19
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-4.02% Feb 2018 Mar 2018 (2) Jul 2018 (6) 2.22
-3.53% Aug 2016 Nov 2016 (4) Feb 2017 (7) 1.88
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81
-3.03% Sep 2021 Sep 2021 (1) Oct 2021 (2) 1.75
-2.77% Dec 2014 Jan 2015 (2) Feb 2015 (3) 1.45

Drawdown comparison chart since November 2012.

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Robert Shiller Cape US Sector Value Portfolio
Stocks/Bonds 80/20 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index		 Drawdown Start Bottom
Date (#Months)		 Recovery
Date (#Months)		 Ulcer
Index
-27.23% Nov 2021 Sep 2022 (11) In progress (29) 18.19
-21.00% Feb 2020 Mar 2020 (2) Jul 2020 (6) 10.24
-20.07% Jan 2022 Sep 2022 (9) Jul 2023 (19) 9.80
-15.27% Oct 2018 Dec 2018 (3) Apr 2019 (7) 7.29
-14.33% Feb 2020 Mar 2020 (2) Jun 2020 (5) 6.76
-12.46% Oct 2018 Dec 2018 (3) Jun 2019 (9) 6.19
-8.74% Aug 2015 Sep 2015 (2) Oct 2015 (3) 5.37
-8.27% Aug 2023 Oct 2023 (3) Dec 2023 (5) 4.42
-6.55% Sep 2020 Oct 2020 (2) Nov 2020 (3) 3.63
-6.22% Aug 2015 Sep 2015 (2) Mar 2016 (8) 3.19
-5.96% May 2019 May 2019 (1) Jun 2019 (2) 3.44
-5.62% Feb 2018 Mar 2018 (2) Jul 2018 (6) 3.44
-5.00% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.89
-4.58% Jan 2016 Jan 2016 (1) Mar 2016 (3) 2.58
-4.02% Sep 2020 Oct 2020 (2) Nov 2020 (3) 2.25
-4.02% Feb 2018 Mar 2018 (2) Jul 2018 (6) 2.22
-3.84% Jan 2014 Jan 2014 (1) Feb 2014 (2) 2.22
-3.53% Aug 2016 Nov 2016 (4) Feb 2017 (7) 1.88
-3.39% Mar 2014 Apr 2014 (2) Jun 2014 (4) 1.96
-3.14% Oct 2016 Oct 2016 (1) Nov 2016 (2) 1.81

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
+5.54%
 -1.09%
+15.48%
 0.00%
2023
+27.65%
 -8.27%
+8.41%
 -5.88%
2022
-15.62%
 -20.07%
-17.23%
 -24.45%
2021
+27.80%
 -5.00%
+10.32%
 -3.67%
2020
+19.47%
 -21.00%
+25.42%
 -14.33%
2019
+32.61%
 -5.96%
+23.57%
 -1.46%
2018
-3.51%
 -15.27%
-1.35%
 -12.46%
2017
+21.38%
 -0.24%
+30.71%
 0.00%
2016
+18.06%
 -4.58%
+4.51%
 -3.62%
2015
+4.57%
 -8.74%
+7.25%
 -6.22%
2014
+15.77%
 -3.84%
+12.86%
 -3.39%
2013
+33.36%
 -2.99%
+27.24%
 -2.48%