All Country World 60/40 Portfolio: ETF allocation and returns

Data Source: from January 1985 to February 2024 (~39 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.68%
1 Day
Mar 01 2024
0.68%
Current Month
March 2024

The All Country World 60/40 Portfolio is a High Risk portfolio and can be implemented with 4 ETFs.

It's exposed for 60% on the Stock Market.

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

Table of contents
The first official book of
How to build wealth
with Lazy Portfolios and Passive Investing Strategies
Choose a goal
Employ the best metrics to evaluate it
Join the passive investing strategy
Discover new asset allocations in USD and EUR,
in addition to the lazy portfolios on the website.

Asset Allocation and ETFs

The All Country World 60/40 Portfolio has the following asset allocation:

60% Stocks
40% Fixed Income
0% Commodities

The All Country World 60/40 Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
60.00
VT
USD Vanguard Total World Stock Equity, Global, Large Cap
20.00
BND
USD Vanguard Total Bond Market Bond, U.S., All-Term
14.00
BNDX
USD Vanguard Total International Bond Bond, Developed Markets, All-Term
6.00
EMB
USD iShares JP Morgan USD Em Mkts Bd Bond, Emerging Markets, All-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 Feb 29, 2024

The All Country World 60/40 Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: March 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
ALL COUNTRY WORLD 60/40 PORTFOLIO
Consolidated returns as of 29 February 2024
Live Update: Mar 01 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
All Country World 60/40 Portfolio 0.68 0.68 2.40 8.14 15.51 6.57 5.92 6.36 8.15
US Inflation Adjusted return 2.40 6.92 12.46 2.37 3.06 3.75 5.21
Components
VT
USD Vanguard Total World Stock 0.89 Mar 01 2024 0.89 4.49 11.33 22.34 10.49 8.47 6.44 8.49
BND
USD Vanguard Total Bond Market 0.42 Mar 01 2024 0.42 -1.36 2.38 3.47 0.54 1.39 4.19 5.69
BNDX
USD Vanguard Total International Bond 0.15 Mar 01 2024 0.15 -0.54 3.57 6.68 0.45 2.10 4.76 6.58
EMB
USD iShares JP Morgan USD Em Mkts Bd 0.59 Mar 01 2024 0.59 0.78 5.62 8.90 0.20 2.37 8.86 9.42
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77% , 30Y: 2.52%

In 2023, the All Country World 60/40 Portfolio granted a 3.10% dividend yield. If you are interested in getting periodic income, please refer to the All Country World 60/40 Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 6.36$, with a total return of 536.24% (6.36% annualized).

The Inflation Adjusted Capital now would be 3.01$, with a net total return of 201.39% (3.75% annualized).
An investment of 1$, since January 1985, now would be worth 21.49$, with a total return of 2049.08% (8.15% annualized).

The Inflation Adjusted Capital now would be 7.32$, with a net total return of 632.12% (5.21% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of All Country World 60/40 Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
ALL COUNTRY WORLD 60/40 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 2.40 6.88 8.14 15.51 2.90 6.57 5.92 6.11 6.36 8.15
Infl. Adjusted Return (%) details 2.40 6.30 6.92 12.46 -2.48 2.37 3.06 3.46 3.75 5.21
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.79
Pending updates, the monthly inflation after Jan 2024 is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.53 -21.52 -21.52 -21.52 -36.70 -36.70 -36.70
Start to Recovery (# months) details 5 26* 26* 26* 39 39 39
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 9 9 9 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 17 17 23 23 23
End (yyyy mm) 2023 12 - - - 2011 01 2011 01 2011 01
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-23.34 -23.34
Start to Recovery (# months) details 46 46
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 04 2000 04
Start to Bottom (# months) 3 9 9 9 16 30 30
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2002 09 2002 09
Bottom to End (# months) 2 17 17 17 23 16 16
End (yyyy mm) 2023 12 - - - 2011 01 2004 01 2004 01
Longest negative period (# months) details 7 32 35 35 61 110 110
Period Start (yyyy mm) 2023 04 2021 03 2020 12 2020 12 2004 03 2000 01 2000 01
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 03 2009 02 2009 02
Annualized Return (%) -3.19 -1.88 -0.52 -0.52 -0.57 -0.53 -0.53
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.40 -27.20 -27.20 -27.20 -37.75 -37.75 -37.75
Start to Recovery (# months) details 5 30* 30* 30* 62 62 62
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 17 17 46 46 46
End (yyyy mm) 2023 12 - - - 2012 12 2012 12 2012 12
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-27.49 -27.49
Start to Recovery (# months) details 69 69
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2000 04 2000 04
Start to Bottom (# months) 3 13 13 13 16 30 30
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2002 09 2002 09
Bottom to End (# months) 2 17 17 17 46 39 39
End (yyyy mm) 2023 12 - - - 2012 12 2005 12 2005 12
Longest negative period (# months) details 8 36* 56 72 72 141 141
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2017 11 2017 11 1997 06 1997 06
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2009 02 2009 02
Annualized Return (%) -1.78 -2.48 -0.26 -0.07 -0.07 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 10.48 12.42 12.47 10.07 10.44 10.07 10.40
Sharpe Ratio 0.98 0.04 0.38 0.47 0.46 0.41 0.40
Sortino Ratio 1.42 0.06 0.51 0.63 0.60 0.53 0.53
Ulcer Index 2.66 9.81 7.98 6.02 8.14 8.07 7.41
Ratio: Return / Standard Deviation 1.48 0.23 0.53 0.59 0.59 0.63 0.78
Ratio: Return / Deepest Drawdown 2.06 0.13 0.31 0.28 0.17 0.17 0.22
% Positive Months details 58% 58% 61% 64% 64% 64% 65%
Positive Months 7 21 37 77 154 231 309
Negative Months 5 15 23 43 86 129 161
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.92 9.98 9.98 12.66
Worst 10 Years Return (%) - Annualized 4.45 1.11 1.11
Best 10 Years Return (%) - Annualized 3.06 8.08 8.08 8.75
Worst 10 Years Return (%) - Annualized 1.99 -1.45 -1.45
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 39.85 18.31 14.90 9.98 7.08 6.36
Worst Rolling Return (%) - Annualized -32.06 -8.15 -1.65 1.11 4.33
% Positive Periods 77% 87% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 80.65 27.46 17.27 9.31 5.52 5.71
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.82
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 36.91 15.55 12.58 8.08 4.73 3.75
Worst Rolling Return (%) - Annualized -32.26 -10.11 -4.18 -1.45 2.21
% Positive Periods 71% 77% 86% 96% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 80.65 27.46 17.27 9.31 5.52 5.71
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.82
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Feb 2024)
Best Rolling Return (%) - Annualized 45.11 25.10 20.90 12.66 10.26 8.80
Worst Rolling Return (%) - Annualized -32.06 -8.15 -1.65 1.11 4.33 5.97
% Positive Periods 79% 90% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 80.65 27.46 17.27 9.31 5.52 5.08
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.41
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 42.86 21.47 16.62 8.75 7.02 5.91
Worst Rolling Return (%) - Annualized -32.26 -10.11 -4.18 -1.45 2.04 3.36
% Positive Periods 73% 81% 90% 97% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 80.65 27.46 17.27 9.31 5.52 5.08
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.41
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • 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).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

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.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 29 February 2024
Swipe left to see all data
Asset
VT
BND
BNDX
EMB
VT
-
0.73
0.65
0.94
BND
0.73
-
0.96
0.87
BNDX
0.65
0.96
-
0.83
EMB
0.94
0.87
0.83
-
Asset
VT
BND
BNDX
EMB
VT
-
0.55
0.56
0.84
BND
0.55
-
0.90
0.73
BNDX
0.56
0.90
-
0.73
EMB
0.84
0.73
0.73
-
Asset
VT
BND
BNDX
EMB
VT
-
0.42
0.42
0.75
BND
0.42
-
0.88
0.71
BNDX
0.42
0.88
-
0.68
EMB
0.75
0.71
0.68
-
Asset
VT
BND
BNDX
EMB
VT
-
0.16
0.17
0.61
BND
0.16
-
0.68
0.50
BNDX
0.17
0.68
-
0.36
EMB
0.61
0.50
0.36
-
Asset
VT
BND
BNDX
EMB
VT
-
0.20
0.21
0.58
BND
0.20
-
0.74
0.52
BNDX
0.21
0.74
-
0.43
EMB
0.58
0.52
0.43
-

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

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.

ALL COUNTRY WORLD 60/40 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-36.70% Nov 2007 Feb 2009 16 Jan 2011 23 39 16.68
-23.34% Apr 2000 Sep 2002 30 Jan 2004 16 46 12.33
-21.52% Jan 2022 Sep 2022 9 in progress 17 26 11.46
-13.80% Jan 2020 Mar 2020 3 Jul 2020 4 7 6.11
-12.04% May 2011 Sep 2011 5 Mar 2012 6 11 5.34
-9.85% May 1998 Aug 1998 4 Nov 1998 3 7 4.41
-8.49% Feb 2018 Dec 2018 11 Apr 2019 4 15 3.64
-7.73% Jun 2015 Feb 2016 9 Jul 2016 5 14 4.20
-5.70% Apr 2012 May 2012 2 Aug 2012 3 5 2.61
-4.76% Aug 1997 Oct 1997 3 Feb 1998 4 7 3.03
-3.73% May 2013 Jun 2013 2 Sep 2013 3 5 1.90
-3.72% Mar 1994 Mar 1994 1 Aug 1994 5 6 2.39
-3.69% Sep 1994 Jan 1995 5 Apr 1995 3 8 2.18
-3.53% Jan 2000 Jan 2000 1 Mar 2000 2 3 2.20
-3.21% May 2019 May 2019 1 Jun 2019 1 2 1.85
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 123 2.9 Months 34.07%
 
DD = 0% 34.07%
 
0% < DD <= -5% 132 2.7 Months 36.57%
 
DD <= -5% 70.64%
 
-5% < DD <= -10% 37 9.8 Months 10.25%
 
DD <= -10% 80.89%
 
-10% < DD <= -15% 40 9.0 Months 11.08%
 
DD <= -15% 91.97%
 
-15% < DD <= -20% 14 25.8 Months 3.88%
 
DD <= -20% 95.84%
 
-20% < DD <= -25% 8 45.1 Months 2.22%
 
DD <= -25% 98.06%
 
-25% < DD <= -30% 3 120.3 Months 0.83%
 
DD <= -30% 98.89%
 
-30% < DD <= -35% 3 120.3 Months 0.83%
 
DD <= -35% 99.72%
 
-35% < DD <= -40% 1 361.0 Months 0.28%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-37.75% Nov 2007 Feb 2009 16 Dec 2012 46 62 15.27
-27.49% Apr 2000 Sep 2002 30 Dec 2005 39 69 13.64
-27.20% Sep 2021 Sep 2022 13 in progress 17 30 16.97
-13.64% Jan 2020 Mar 2020 3 Jul 2020 4 7 5.83
-10.52% May 1998 Aug 1998 4 Nov 1998 3 7 4.83
-9.90% Feb 2018 Dec 2018 11 Jun 2019 6 17 4.41
-8.14% May 2015 Feb 2016 10 Jul 2016 5 15 4.60
-5.76% Mar 1994 Jan 1995 11 May 1995 4 15 3.40
-5.41% Aug 1997 Oct 1997 3 Feb 1998 4 7 3.53
-4.00% May 2013 Jun 2013 2 Sep 2013 3 5 2.17
-3.81% Jan 2000 Jan 2000 1 Mar 2000 2 3 2.53
-3.38% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.96
-3.38% May 2006 Jun 2006 2 Oct 2006 4 6 2.12
-3.06% May 1999 May 1999 1 Oct 1999 5 6 1.61
-2.44% Jan 2014 Jan 2014 1 Feb 2014 1 2 1.41
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 89 4.1 Months 24.65%
 
DD = 0% 24.65%
 
0% < DD <= -5% 135 2.7 Months 37.40%
 
DD <= -5% 62.05%
 
-5% < DD <= -10% 49 7.4 Months 13.57%
 
DD <= -10% 75.62%
 
-10% < DD <= -15% 27 13.4 Months 7.48%
 
DD <= -15% 83.10%
 
-15% < DD <= -20% 31 11.6 Months 8.59%
 
DD <= -20% 91.69%
 
-20% < DD <= -25% 16 22.6 Months 4.43%
 
DD <= -25% 96.12%
 
-25% < DD <= -30% 9 40.1 Months 2.49%
 
DD <= -30% 98.61%
 
-30% < DD <= -35% 4 90.3 Months 1.11%
 
DD <= -35% 99.72%
 
-35% < DD <= -40% 1 361.0 Months 0.28%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-36.70% Nov 2007 Feb 2009 16 Jan 2011 23 39 16.68
-23.34% Apr 2000 Sep 2002 30 Jan 2004 16 46 12.33
-21.52% Jan 2022 Sep 2022 9 in progress 17 26 11.46
-17.68% Sep 1987 Nov 1987 3 Dec 1988 13 16 8.37
-14.70% Jan 1990 Sep 1990 9 May 1991 8 17 7.12
-13.80% Jan 2020 Mar 2020 3 Jul 2020 4 7 6.11
-12.04% May 2011 Sep 2011 5 Mar 2012 6 11 5.34
-9.85% May 1998 Aug 1998 4 Nov 1998 3 7 4.41
-8.49% Feb 2018 Dec 2018 11 Apr 2019 4 15 3.64
-7.73% Jun 2015 Feb 2016 9 Jul 2016 5 14 4.20
-5.70% Apr 2012 May 2012 2 Aug 2012 3 5 2.61
-5.55% Feb 1994 Mar 1994 2 Apr 1995 13 15 3.68
-5.40% Jan 1992 Mar 1992 3 Jan 1993 10 13 2.58
-4.76% Aug 1997 Oct 1997 3 Feb 1998 4 7 3.03
-4.45% Sep 1986 Sep 1986 1 Oct 1986 1 2 2.57
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 170 2.8 Months 36.09%
 
DD = 0% 36.09%
 
0% < DD <= -5% 170 2.8 Months 36.09%
 
DD <= -5% 72.19%
 
-5% < DD <= -10% 56 8.4 Months 11.89%
 
DD <= -10% 84.08%
 
-10% < DD <= -15% 45 10.5 Months 9.55%
 
DD <= -15% 93.63%
 
-15% < DD <= -20% 15 31.4 Months 3.18%
 
DD <= -20% 96.82%
 
-20% < DD <= -25% 8 58.9 Months 1.70%
 
DD <= -25% 98.51%
 
-25% < DD <= -30% 3 157.0 Months 0.64%
 
DD <= -30% 99.15%
 
-30% < DD <= -35% 3 157.0 Months 0.64%
 
DD <= -35% 99.79%
 
-35% < DD <= -40% 1 471.0 Months 0.21%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-37.75% Nov 2007 Feb 2009 16 Dec 2012 46 62 15.27
-27.49% Apr 2000 Sep 2002 30 Dec 2005 39 69 13.64
-27.20% Sep 2021 Sep 2022 13 in progress 17 30 16.97
-18.69% Jan 1990 Sep 1990 9 Mar 1993 30 39 8.09
-18.46% Sep 1987 Nov 1987 3 Jul 1989 20 23 8.75
-13.64% Jan 2020 Mar 2020 3 Jul 2020 4 7 5.83
-10.52% May 1998 Aug 1998 4 Nov 1998 3 7 4.83
-9.90% Feb 2018 Dec 2018 11 Jun 2019 6 17 4.41
-8.14% May 2015 Feb 2016 10 Jul 2016 5 15 4.60
-7.81% Feb 1994 Jan 1995 12 Jul 1995 6 18 4.84
-5.41% Aug 1997 Oct 1997 3 Feb 1998 4 7 3.53
-4.80% Sep 1986 Sep 1986 1 Nov 1986 2 3 2.42
-4.00% May 2013 Jun 2013 2 Sep 2013 3 5 2.17
-3.81% Jan 2000 Jan 2000 1 Mar 2000 2 3 2.53
-3.74% Nov 1993 Nov 1993 1 Jan 1994 2 3 1.87
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 121 3.9 Months 25.69%
 
DD = 0% 25.69%
 
0% < DD <= -5% 165 2.9 Months 35.03%
 
DD <= -5% 60.72%
 
-5% < DD <= -10% 82 5.7 Months 17.41%
 
DD <= -10% 78.13%
 
-10% < DD <= -15% 40 11.8 Months 8.49%
 
DD <= -15% 86.62%
 
-15% < DD <= -20% 33 14.3 Months 7.01%
 
DD <= -20% 93.63%
 
-20% < DD <= -25% 16 29.4 Months 3.40%
 
DD <= -25% 97.03%
 
-25% < DD <= -30% 9 52.3 Months 1.91%
 
DD <= -30% 98.94%
 
-30% < DD <= -35% 4 117.8 Months 0.85%
 
DD <= -35% 99.79%
 
-35% < DD <= -40% 1 471.0 Months 0.21%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ALL COUNTRY WORLD 60/40 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -32.06 03/2008
02/2009
0.67$ -4.55 0.95$ 9.12 1.09$ 15.48 1.15$ 39.85 03/2009
02/2010
1.39$ 15.51 22.64%
2Y -16.26 03/2007
02/2009
0.70$ -2.22 0.95$ 7.83 1.16$ 12.96 1.27$ 27.00 03/2009
02/2011
1.61$ 2.71 18.69%
3Y -8.15 03/2006
02/2009
0.77$ 0.96 1.02$ 7.26 1.23$ 11.62 1.39$ 18.31 03/2009
02/2012
1.65$ 2.90 12.62%
5Y -1.65 03/2004
02/2009
0.92$ 2.68 1.14$ 5.78 1.32$ 10.14 1.62$ 14.90 03/2009
02/2014
2.00$ 6.57 1.33%
7Y 0.97 03/2002
02/2009
1.07$ 4.77 1.38$ 5.86 1.48$ 7.56 1.66$ 10.36 03/2009
02/2016
1.99$ 6.53 0.00%
10Y 1.11 03/1999
02/2009
1.11$ 4.70 1.58$ 6.34 1.84$ 7.46 2.05$ 9.98 03/2009
02/2019
2.58$ 5.92 0.00%
15Y 3.95 03/1994
02/2009
1.78$ 5.06 2.09$ 5.88 2.35$ 6.56 2.59$ 8.83 03/2009
02/2024
3.55$ 8.83 0.00%
20Y 4.33 04/2000
03/2020
2.33$ 5.40 2.86$ 6.11 3.27$ 6.79 3.71$ 7.08 03/1995
02/2015
3.92$ 6.11 0.00%
30Y 6.36 03/1994
02/2024
6.36$ 6.36 6.36$ 6.36 6.36$ 6.36 6.36$ 6.36 03/1994
02/2024
6.36$ 6.36 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -32.26 11/2007
10/2008
0.67$ -6.34 0.93$ 6.41 1.06$ 12.88 1.12$ 36.91 03/2009
02/2010
1.36$ 12.46 28.08%
2Y -17.95 03/2007
02/2009
0.67$ -5.57 0.89$ 5.45 1.11$ 10.38 1.21$ 24.35 03/2009
02/2011
1.54$ -1.55 22.55%
3Y -10.11 03/2006
02/2009
0.72$ -2.25 0.93$ 4.98 1.15$ 8.84 1.28$ 15.55 03/2009
02/2012
1.54$ -2.48 22.46%
5Y -4.18 03/2004
02/2009
0.80$ 0.14 1.00$ 3.76 1.20$ 7.57 1.44$ 12.58 03/2009
02/2014
1.80$ 2.37 13.29%
7Y -1.57 03/2002
02/2009
0.89$ 2.15 1.16$ 3.21 1.24$ 5.53 1.45$ 8.65 03/2009
02/2016
1.78$ 2.96 1.81%
10Y -1.45 03/1999
02/2009
0.86$ 2.52 1.28$ 4.06 1.48$ 5.41 1.69$ 8.08 03/2009
02/2019
2.17$ 3.06 3.32%
15Y 1.40 03/1994
02/2009
1.23$ 2.71 1.49$ 3.55 1.68$ 4.50 1.93$ 6.14 03/2009
02/2024
2.44$ 6.14 0.00%
20Y 2.21 04/2000
03/2020
1.54$ 3.17 1.86$ 3.77 2.09$ 4.36 2.34$ 4.73 03/1995
02/2015
2.51$ 3.46 0.00%
30Y 3.75 03/1994
02/2024
3.01$ 3.75 3.01$ 3.75 3.01$ 3.75 3.01$ 3.75 03/1994
02/2024
3.01$ 3.75 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -32.06 03/2008
02/2009
0.67$ -3.14 0.96$ 9.33 1.09$ 16.82 1.16$ 45.11 09/1985
08/1986
1.45$ 15.51 20.48%
2Y -16.26 03/2007
02/2009
0.70$ 0.28 1.00$ 8.27 1.17$ 13.24 1.28$ 37.66 09/1985
08/1987
1.89$ 2.71 14.09%
3Y -8.15 03/2006
02/2009
0.77$ 2.47 1.07$ 7.77 1.25$ 12.22 1.41$ 25.10 03/1985
02/1988
1.95$ 2.90 9.66%
5Y -1.65 03/2004
02/2009
0.92$ 3.20 1.17$ 7.02 1.40$ 10.90 1.67$ 20.90 01/1985
12/1989
2.58$ 6.57 0.97%
7Y 0.97 03/2002
02/2009
1.07$ 4.89 1.39$ 6.73 1.57$ 9.72 1.91$ 15.78 01/1985
12/1991
2.78$ 6.53 0.00%
10Y 1.11 03/1999
02/2009
1.11$ 5.10 1.64$ 6.94 1.95$ 9.14 2.39$ 12.66 01/1985
12/1994
3.29$ 5.92 0.00%
15Y 3.95 03/1994
02/2009
1.78$ 5.20 2.13$ 6.35 2.51$ 7.92 3.13$ 13.10 01/1985
12/1999
6.34$ 8.83 0.00%
20Y 4.33 04/2000
03/2020
2.33$ 5.68 3.01$ 6.52 3.53$ 7.52 4.26$ 10.26 01/1985
12/2004
7.05$ 6.11 0.00%
30Y 5.97 11/1993
10/2023
5.69$ 6.44 6.51$ 6.84 7.28$ 7.29 8.24$ 8.80 01/1985
12/2014
12.54$ 6.36 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -32.26 11/2007
10/2008
0.67$ -5.22 0.94$ 6.31 1.06$ 14.07 1.14$ 42.86 09/1985
08/1986
1.42$ 12.46 26.80%
2Y -17.95 03/2007
02/2009
0.67$ -2.85 0.94$ 5.27 1.10$ 10.44 1.21$ 33.93 04/1985
03/1987
1.79$ -1.55 20.13%
3Y -10.11 03/2006
02/2009
0.72$ -1.51 0.95$ 5.13 1.16$ 9.27 1.30$ 21.47 04/1985
03/1988
1.79$ -2.48 18.85%
5Y -4.18 03/2004
02/2009
0.80$ 0.48 1.02$ 4.20 1.22$ 8.00 1.46$ 16.62 01/1985
12/1989
2.15$ 2.37 9.98%
7Y -1.57 03/2002
02/2009
0.89$ 2.30 1.17$ 4.03 1.31$ 6.75 1.57$ 11.40 01/1985
12/1991
2.12$ 2.96 1.29%
10Y -1.45 03/1999
02/2009
0.86$ 2.88 1.32$ 4.37 1.53$ 5.91 1.77$ 8.75 01/1985
12/1994
2.31$ 3.06 2.28%
15Y 1.40 03/1994
02/2009
1.23$ 2.78 1.50$ 3.91 1.77$ 5.18 2.13$ 9.61 01/1985
12/1999
3.96$ 6.14 0.00%
20Y 2.04 03/1989
02/2009
1.49$ 3.27 1.90$ 4.00 2.18$ 4.56 2.44$ 7.02 01/1985
12/2004
3.88$ 3.46 0.00%
30Y 3.36 11/1993
10/2023
2.69$ 3.84 3.09$ 4.22 3.45$ 4.85 4.13$ 5.91 01/1985
12/2014
5.60$ 3.75 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the All Country World 60/40 Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in All Country World 60/40 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.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.27
20%
-1.18
40%
-0.89
80%
1.28
80%
0.15
60%
1.12
80%
2.48
100%
-0.28
40%
-2.90
20%
0.98
60%
4.29
80%
1.84
80%
Best 5.8
2023
2.4
2024
2.7
2023
6.8
2020
3.5
2020
4.5
2019
5.2
2022
3.2
2020
1.1
2019
3.5
2022
7.8
2020
4.6
2023
Worst -3.6
2022
-3.9
2020
-10.1
2020
-6.5
2022
-3.2
2019
-5.8
2022
0.2
2019
-3.6
2022
-7.2
2022
-2.2
2023
-1.6
2021
-3.3
2022
Monthly Seasonality over the period Feb 1985 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.83
40%
-0.21
50%
0.10
70%
1.06
80%
0.49
80%
0.59
70%
1.85
90%
-0.22
60%
-1.70
40%
0.50
60%
2.45
70%
0.54
60%
Best 5.8
2023
3.3
2015
5.1
2016
6.8
2020
3.5
2020
4.5
2019
5.2
2022
3.2
2020
1.2
2017
4.5
2015
7.8
2020
4.6
2023
Worst -3.6
2022
-3.9
2020
-10.1
2020
-6.5
2022
-3.2
2019
-5.8
2022
-1.1
2014
-4.2
2015
-7.2
2022
-5.1
2018
-1.6
2021
-3.7
2018
Monthly Seasonality over the period Feb 1985 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.67
58%
0.54
65%
0.61
64%
1.30
77%
0.64
64%
0.29
62%
1.31
74%
-0.19
59%
-0.45
51%
0.74
64%
1.25
69%
1.70
82%
Best 9.2
1987
7.2
1986
5.7
1986
7.7
2009
7.2
1990
4.5
2019
7.3
1989
6.4
1986
5.8
2010
6.6
2011
7.8
2020
6.1
1991
Worst -7.2
2009
-6.1
2009
-10.1
2020
-6.5
2022
-5.7
2010
-5.8
2022
-5.0
2002
-9.6
1998
-8.3
2008
-13.0
2008
-4.0
1987
-3.7
2018
Monthly Seasonality over the period Feb 1985 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the All Country World 60/40 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ALL COUNTRY WORLD 60/40 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
231 Positive Months (64%) - 129 Negative Months (36%)
309 Positive Months (66%) - 161 Negative Months (34%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • VT - Vanguard Total World Stock (VT), up to December 2008
  • BND - Vanguard Total Bond Market (BND), up to December 2007
  • BNDX - Vanguard Total International Bond (BNDX), up to December 2013
  • EMB - iShares JP Morgan USD Em Mkts Bd (EMB), up to December 2007

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.77 9.60 -32.52 60 40 0
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Stocks/Bonds 60/40 +8.22 9.62 -30.55 60 40 0
Weird Portfolio Value Stock Geek +8.09 10.84 -32.97 60 20 20
Stocks/Bonds 40/60 Momentum +8.06 7.02 -21.11 40 60 0
Couch Potato Scott Burns +8.04 8.75 -27.04 50 50 0
Gold Pivot Ptf Aim Ways +7.76 8.20 -19.49 22 44 34
In Saecula Saeculorum Fulvio Marchese +7.72 7.83 -20.39 45 45 10
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
Coffeehouse Bill Schultheis +7.50 9.72 -33.93 60 40 0
Aim comfortable trip Aim Ways +7.42 7.59 -20.15 40 45 15
Tilt Toward Value Time Inc +7.38 9.44 -34.63 60 40 0
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Sheltered Sam 60/40 Bill Bernstein +7.28 9.24 -34.12 58.2 40 1.8
Edge Select Moderate Merrill Lynch +7.27 8.96 -29.58 53 47 0
Marc Faber Portfolio Marc Faber +7.25 9.66 -28.82 50 25 25
Robo Advisor 50 Betterment +7.19 9.28 -30.72 49.9 50.1 0
Simple and Cheap Time Inc +7.16 9.42 -34.84 60 40 0
Nano Portfolio John Wasik +7.14 9.67 -36.66 60 40 0
LifeStrategy Moderate Growth Vanguard +7.06 9.53 -33.52 60 40 0
Simple Money Portfolio Tim Maurer +7.04 9.11 -32.39 60 40 0
Sandwich Portfolio Bob Clyatt +7.03 8.32 -28.96 55 45 0
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
PISI Portfolio Davide Pisicchio +7.00 6.48 -18.36 30 60 10
One-Decision Portfolio Marvin Appel +6.99 8.42 -31.96 50 50 0
Coward's Portfolio Bill Bernstein +6.99 9.11 -32.68 60 40 0
Dynamic 40/60 Income +6.97 8.12 -29.84 40 60 0
Global Market Portfolio Credit Suisse +6.89 8.28 -25.90 45 55 0
Big Rocks Portfolio Larry Swedroe +6.88 9.17 -33.80 60 40 0
Simplified Permanent Portfolio +6.85 6.88 -16.43 25 50 25
Ultimate Buy&Hold FundAdvice +6.84 9.28 -34.23 60 40 0
GAA Global Asset Allocation Mebane Faber +6.82 8.05 -24.91 40.5 49.5 10
Sheltered Sam 50/50 Bill Bernstein +6.77 7.82 -28.23 48.5 50 1.5
Four Square Scott Burns +6.69 8.44 -29.95 50 50 0
Ulcer Free Strategy Aim Ways +6.61 5.50 -17.05 7 82 11
Desert Portfolio Gyroscopic Investing +6.60 5.50 -14.72 30 60 10
Edge Select Moderately Conservative Merrill Lynch +6.56 6.85 -20.48 37 63 0
Rob Arnott Portfolio Rob Arnott +6.50 7.22 -24.27 30 60 10
High Yield Bonds Income +6.50 8.82 -23.97 0 100 0
Andrew Tobias Portfolio Andrew Tobias +6.49 9.95 -36.42 66.7 33.3 0
Permanent Portfolio Harry Browne +6.47 6.59 -15.92 25 50 25
Lifepath Fund iShares +6.44 7.01 -21.23 40.4 59.6 0
All Country World 60/40 +6.36 10.07 -36.70 60 40 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and High Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.77 9.60 -32.52 60 40 0
Simple Path to Wealth JL Collins +9.04 11.77 -38.53 75 25 0
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Aim Bold Strategy Aim Ways +8.30 9.92 -30.09 45 40 15
Stocks/Bonds 60/40 +8.22 9.62 -30.55 60 40 0
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.