Bob Clyatt Sandwich Portfolio: ETF allocation and returns

Data Source: from January 1976 to January 2024 (~48 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.16%
1 Day
Feb 27 2024, 04:00PM Eastern Time
1.31%
Current Month
February 2024

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 6.89% compound annual return, with a 8.33% standard deviation.

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Asset Allocation and ETFs

The Bob Clyatt Sandwich Portfolio has the following asset allocation:

55% Stocks
45% Fixed Income
0% Commodities

The Bob Clyatt Sandwich Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
20.00
VV
USD Vanguard Large-Cap Equity, U.S., Large Cap
10.00
SCZ
USD iShares MSCI EAFE Small-Cap Equity, EAFE, Small Cap
8.00
IJR
USD iShares Core S&P Small-Cap Equity, U.S., Small Cap
6.00
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap
6.00
VEU
USD Vanguard FTSE All-World ex-US Equity, Global ex-US, Large Cap
5.00
VNQ
USD Vanguard Real Estate Real Estate, U.S.
41.00
IEI
USD iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term
4.00
BIL
USD 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 Jan 31, 2024

The Bob Clyatt Sandwich Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: February 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
BOB CLYATT SANDWICH PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 04:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~48Y)
Bob Clyatt Sandwich Portfolio 0.16 1.31 -0.70 2.44 5.63 5.07 5.17 6.89 9.43
US Inflation Adjusted return -1.00 0.77 2.44 0.87 2.32 4.25 5.59
Components
VV
USD Vanguard Large-Cap 0.26 03:59PM, Feb 27 2024 5.01 1.77 6.76 21.57 14.18 12.47 10.13 11.55
SCZ
USD iShares MSCI EAFE Small-Cap 0.39 04:00PM, Feb 27 2024 1.76 -2.57 -0.26 1.71 4.23 4.63 6.18 9.94
IJR
USD iShares Core S&P Small-Cap 0.86 03:59PM, Feb 27 2024 3.39 -3.93 -0.35 1.83 7.89 8.60 9.70 13.04
EEM
USD iShares MSCI Emerging Markets 0.19 03:59PM, Feb 27 2024 5.48 -4.53 -6.72 -4.65 -0.02 2.27 3.80 7.33
VEU
USD Vanguard FTSE All-World ex-US 0.17 03:59PM, Feb 27 2024 3.73 -1.66 -0.15 4.82 5.56 4.55 4.70 8.28
VNQ
USD Vanguard Real Estate 0.15 03:59PM, Feb 27 2024 0.14 -5.06 0.56 -3.87 3.85 6.36 8.40 11.76
IEI
USD iShares 3-7 Year Treasury Bond -0.08 04:00PM, Feb 27 2024 -1.73 0.31 3.44 2.43 0.73 1.15 4.12 6.38
BIL
USD SPDR Blmbg Barclays 1-3 Mth T-Bill 0.03 03:59PM, Feb 27 2024 0.40 0.43 2.68 5.09 1.77 1.13 2.26 4.21
Returns over 1 year are annualized | Available data source: since Jan 1976
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the Bob Clyatt Sandwich Portfolio granted a 2.61% dividend yield. If you are interested in getting periodic income, please refer to the Bob Clyatt Sandwich Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 7.38$, with a total return of 638.42% (6.89% annualized).

The Inflation Adjusted Capital now would be 3.49$, with a net total return of 248.84% (4.25% annualized).
An investment of 1$, since January 1976, now would be worth 76.06$, with a total return of 7505.54% (9.43% annualized).

The Inflation Adjusted Capital now would be 13.65$, with a net total return of 1265.48% (5.59% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Bob Clyatt Sandwich Portfolio, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
BOB CLYATT SANDWICH PORTFOLIO
Advanced Metrics
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~48Y)
Investment Return (%) -0.70 10.27 2.44 5.63 1.27 5.07 5.17 6.31 6.89 9.43
Infl. Adjusted Return (%) details -1.00 9.50 0.77 2.44 -4.16 0.87 2.32 3.65 4.25 5.59
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 3.64
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.10 -19.10 -19.10 -19.10 -28.96 -28.96 -28.96
Start to Recovery (# months) details 5 25* 25* 25* 30 30 30
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 16 16 16 14 14 14
End (yyyy mm) 2023 12 - - - 2010 04 2010 04 2010 04
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
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 16 16 16 14 14 14
End (yyyy mm) 2023 12 - - - 2010 04 2010 04 2010 04
Longest negative period (# months) details 9 34 35 35 50 50 50
Period Start (yyyy mm) 2023 02 2021 02 2020 12 2020 12 2005 01 2005 01 2005 01
Period End (yyyy mm) 2023 10 2023 11 2023 10 2023 10 2009 02 2009 02 2009 02
Annualized Return (%) -5.57 0.00 -0.86 -0.86 -0.53 -0.53 -0.53
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.97 -25.16 -25.16 -25.16 -30.13 -30.13 -30.13
Start to Recovery (# months) details 5 29* 29* 29* 36 36 36
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 16 16 16 20 20 20
End (yyyy mm) 2023 12 - - - 2010 10 2010 10 2010 10
Longest Drawdown Depth (%) -3.26
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 6
Start (yyyy mm) 2023 02 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 1 13 13 13 16 16 16
Bottom (yyyy mm) 2023 02 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 5 16 16 16 20 20 20
End (yyyy mm) 2023 07 - - - 2010 10 2010 10 2010 10
Longest negative period (# months) details 10 36* 57 78 78 78 79
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2017 05 2017 05 2017 05 1976 01
Period End (yyyy mm) 2023 11 2024 01 2023 10 2023 10 2023 10 2023 10 1982 07
Annualized Return (%) -1.00 -4.16 -0.99 -0.05 -0.05 -0.05 -0.03
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 10.07 10.68 10.35 8.45 8.73 8.33 8.89
Sharpe Ratio 0.05 -0.09 0.32 0.48 0.57 0.56 0.61
Sortino Ratio 0.08 -0.12 0.43 0.64 0.75 0.73 0.82
Ulcer Index 2.71 9.20 7.39 5.44 6.14 5.28 4.56
Ratio: Return / Standard Deviation 0.56 0.12 0.49 0.61 0.72 0.83 1.06
Ratio: Return / Deepest Drawdown 0.79 0.07 0.27 0.27 0.22 0.24 0.33
% Positive Months details 50% 55% 61% 65% 65% 66% 67%
Positive Months 6 20 37 78 158 238 388
Negative Months 6 16 23 42 82 122 189
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.17 9.50 9.81 16.53
Worst 10 Years Return (%) - Annualized 4.17 4.17 4.17
Best 10 Years Return (%) - Annualized 2.32 7.60 7.60 12.35
Worst 10 Years Return (%) - Annualized 1.35 1.35 1.35
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 35.08 17.78 14.43 9.81 8.47 6.89
Worst Rolling Return (%) - Annualized -24.75 -4.49 1.29 4.17 6.14
% Positive Periods 83% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.39 29.50 18.85 10.79 7.28 6.31
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.48 3.87 4.50
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 32.24 15.03 11.93 7.60 6.04 4.25
Worst Rolling Return (%) - Annualized -24.76 -6.52 -1.31 1.35 3.47
% Positive Periods 76% 86% 95% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.39 29.50 18.85 10.79 7.28 6.31
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.48 3.87 4.50
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1976 - Jan 2024)
Best Rolling Return (%) - Annualized 43.70 26.97 23.63 16.53 13.36 11.84
Worst Rolling Return (%) - Annualized -24.75 -4.49 1.29 4.17 6.14 6.68
% Positive Periods 86% 99% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.39 29.50 18.85 10.79 7.28 6.31
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.48 3.87 4.50
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 40.23 23.26 19.87 12.35 9.12 7.83
Worst Rolling Return (%) - Annualized -24.76 -6.52 -2.06 1.35 3.47 4.06
% Positive Periods 75% 88% 95% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.39 29.50 18.85 10.79 7.28 6.31
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.48 3.87 4.50
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 31 January 2024
Swipe left to see all data
Asset
VV
SCZ
IJR
EEM
VEU
VNQ
IEI
BIL
VV
-
0.87
0.75
0.86
0.92
0.88
0.64
0.34
SCZ
0.87
-
0.85
0.86
0.96
0.95
0.66
0.23
IJR
0.75
0.85
-
0.72
0.77
0.89
0.32
0.25
EEM
0.86
0.86
0.72
-
0.95
0.83
0.62
0.20
VEU
0.92
0.96
0.77
0.95
-
0.91
0.69
0.24
VNQ
0.88
0.95
0.89
0.83
0.91
-
0.60
0.41
IEI
0.64
0.66
0.32
0.62
0.69
0.60
-
0.30
BIL
0.34
0.23
0.25
0.20
0.24
0.41
0.30
-
Asset
VV
SCZ
IJR
EEM
VEU
VNQ
IEI
BIL
VV
-
0.90
0.87
0.72
0.88
0.85
0.22
-0.06
SCZ
0.90
-
0.88
0.84
0.97
0.84
0.25
-0.07
IJR
0.87
0.88
-
0.74
0.86
0.80
0.05
-0.15
EEM
0.72
0.84
0.74
-
0.92
0.67
0.25
-0.05
VEU
0.88
0.97
0.86
0.92
-
0.81
0.27
-0.04
VNQ
0.85
0.84
0.80
0.67
0.81
-
0.28
-0.12
IEI
0.22
0.25
0.05
0.25
0.27
0.28
-
0.19
BIL
-0.06
-0.07
-0.15
-0.05
-0.04
-0.12
0.19
-
Asset
VV
SCZ
IJR
EEM
VEU
VNQ
IEI
BIL
VV
-
0.87
0.85
0.69
0.86
0.75
0.08
-0.03
SCZ
0.87
-
0.81
0.80
0.95
0.70
0.13
-0.06
IJR
0.85
0.81
-
0.63
0.77
0.71
-0.05
-0.12
EEM
0.69
0.80
0.63
-
0.91
0.56
0.17
-0.04
VEU
0.86
0.95
0.77
0.91
-
0.68
0.14
-0.02
VNQ
0.75
0.70
0.71
0.56
0.68
-
0.30
-0.10
IEI
0.08
0.13
-0.05
0.17
0.14
0.30
-
0.14
BIL
-0.03
-0.06
-0.12
-0.04
-0.02
-0.10
0.14
-
Asset
VV
SCZ
IJR
EEM
VEU
VNQ
IEI
BIL
VV
-
0.74
0.82
0.73
0.83
0.62
-0.10
-0.01
SCZ
0.74
-
0.72
0.76
0.90
0.61
-0.09
-0.09
IJR
0.82
0.72
-
0.70
0.76
0.65
-0.18
-0.05
EEM
0.73
0.76
0.70
-
0.87
0.53
-0.10
-0.04
VEU
0.83
0.90
0.76
0.87
-
0.60
-0.13
-0.04
VNQ
0.62
0.61
0.65
0.53
0.60
-
0.04
-0.02
IEI
-0.10
-0.09
-0.18
-0.10
-0.13
0.04
-
0.17
BIL
-0.01
-0.09
-0.05
-0.04
-0.04
-0.02
0.17
-
Asset
VV
SCZ
IJR
EEM
VEU
VNQ
IEI
BIL
VV
-
0.80
0.84
0.71
0.76
0.61
0.09
0.00
SCZ
0.80
-
0.76
0.72
0.82
0.61
0.07
-0.03
IJR
0.84
0.76
-
0.66
0.68
0.67
0.02
-0.01
EEM
0.71
0.72
0.66
-
0.73
0.50
0.06
-0.03
VEU
0.76
0.82
0.68
0.73
-
0.54
0.06
0.00
VNQ
0.61
0.61
0.67
0.50
0.54
-
0.10
0.01
IEI
0.09
0.07
0.02
0.06
0.06
0.10
-
0.20
BIL
0.00
-0.03
-0.01
-0.03
0.00
0.01
0.20
-

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.

BOB CLYATT SANDWICH PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-28.96% Nov 2007 Feb 2009 16 Apr 2010 14 30 12.89
-19.10% Jan 2022 Sep 2022 9 in progress 16 25 10.95
-10.75% Jan 2020 Mar 2020 3 Jul 2020 4 7 4.85
-9.56% May 2011 Sep 2011 5 Feb 2012 5 10 4.02
-9.04% May 1998 Aug 1998 4 Nov 1998 3 7 4.01
-7.14% Sep 2018 Dec 2018 4 Apr 2019 4 8 3.28
-6.93% Feb 2001 Sep 2001 8 Apr 2002 7 15 3.21
-6.91% Feb 1994 Jun 1994 5 Apr 1995 10 15 4.64
-6.62% Jun 2002 Sep 2002 4 May 2003 8 12 4.15
-5.67% May 2010 Jun 2010 2 Sep 2010 3 5 3.16
-5.03% Jun 2015 Feb 2016 9 Jun 2016 4 13 2.78
-4.69% Sep 2000 Nov 2000 3 Jan 2001 2 5 2.47
-4.32% May 2012 May 2012 1 Sep 2012 4 5 2.04
-3.88% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.38
-3.38% Aug 1997 Aug 1997 1 Feb 1998 6 7 1.78
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 145 2.5 Months 40.17%
 
DD = 0% 40.17%
 
0% < DD <= -5% 147 2.5 Months 40.72%
 
DD <= -5% 80.89%
 
-5% < DD <= -10% 42 8.6 Months 11.63%
 
DD <= -10% 92.52%
 
-10% < DD <= -15% 16 22.6 Months 4.43%
 
DD <= -15% 96.95%
 
-15% < DD <= -20% 5 72.2 Months 1.39%
 
DD <= -20% 98.34%
 
-20% < DD <= -25% 4 90.3 Months 1.11%
 
DD <= -25% 99.45%
 
-25% < DD <= -30% 2 180.5 Months 0.55%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
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
-30.13% Nov 2007 Feb 2009 16 Oct 2010 20 36 13.54
-25.16% Sep 2021 Sep 2022 13 in progress 16 29 16.86
-10.58% Jan 2020 Mar 2020 3 Jul 2020 4 7 4.57
-10.56% May 2011 Sep 2011 5 Sep 2012 12 17 3.95
-9.75% Apr 1998 Aug 1998 5 Dec 1998 4 9 4.05
-9.31% Sep 2000 Mar 2003 31 May 2003 2 33 5.52
-8.52% Feb 1994 Nov 1994 10 Jun 1995 7 17 5.85
-8.08% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.31
-5.35% May 2015 Jan 2016 9 Jul 2016 6 15 2.92
-4.05% Apr 2004 Jul 2004 4 Nov 2004 4 8 2.63
-3.62% Aug 1997 Aug 1997 1 Feb 1998 6 7 2.23
-3.32% Apr 2000 May 2000 2 Aug 2000 3 5 1.71
-3.03% May 2006 Jun 2006 2 Sep 2006 3 5 2.16
-2.85% May 2013 Jun 2013 2 Sep 2013 3 5 1.52
-2.81% Jul 1999 Sep 1999 3 Dec 1999 3 6 1.51
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 114 3.2 Months 31.58%
 
DD = 0% 31.58%
 
0% < DD <= -5% 153 2.4 Months 42.38%
 
DD <= -5% 73.96%
 
-5% < DD <= -10% 53 6.8 Months 14.68%
 
DD <= -10% 88.64%
 
-10% < DD <= -15% 10 36.1 Months 2.77%
 
DD <= -15% 91.41%
 
-15% < DD <= -20% 16 22.6 Months 4.43%
 
DD <= -20% 95.84%
 
-20% < DD <= -25% 11 32.8 Months 3.05%
 
DD <= -25% 98.89%
 
-25% < DD <= -30% 3 120.3 Months 0.83%
 
DD <= -30% 99.72%
 
-30% < DD <= -35% 1 361.0 Months 0.28%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
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
-28.96% Nov 2007 Feb 2009 16 Apr 2010 14 30 12.89
-19.10% Jan 2022 Sep 2022 9 in progress 16 25 10.95
-15.85% Sep 1987 Nov 1987 3 Dec 1988 13 16 7.15
-10.75% Jan 2020 Mar 2020 3 Jul 2020 4 7 4.85
-10.22% Aug 1990 Sep 1990 2 Feb 1991 5 7 5.82
-9.56% May 2011 Sep 2011 5 Feb 2012 5 10 4.02
-9.04% May 1998 Aug 1998 4 Nov 1998 3 7 4.01
-8.94% Feb 1980 Mar 1980 2 May 1980 2 4 4.45
-7.72% Dec 1981 Jun 1982 7 Sep 1982 3 10 4.97
-7.64% Jun 1981 Sep 1981 4 Nov 1981 2 6 3.62
-7.14% Sep 2018 Dec 2018 4 Apr 2019 4 8 3.28
-6.93% Feb 2001 Sep 2001 8 Apr 2002 7 15 3.21
-6.91% Feb 1994 Jun 1994 5 Apr 1995 10 15 4.64
-6.80% Sep 1979 Oct 1979 2 Jan 1980 3 5 2.97
-6.62% Jun 2002 Sep 2002 4 May 2003 8 12 4.15
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 258 2.2 Months 44.64%
 
DD = 0% 44.64%
 
0% < DD <= -5% 227 2.5 Months 39.27%
 
DD <= -5% 83.91%
 
-5% < DD <= -10% 62 9.3 Months 10.73%
 
DD <= -10% 94.64%
 
-10% < DD <= -15% 19 30.4 Months 3.29%
 
DD <= -15% 97.92%
 
-15% < DD <= -20% 6 96.3 Months 1.04%
 
DD <= -20% 98.96%
 
-20% < DD <= -25% 4 144.5 Months 0.69%
 
DD <= -25% 99.65%
 
-25% < DD <= -30% 2 289.0 Months 0.35%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
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
-30.13% Nov 2007 Feb 2009 16 Oct 2010 20 36 13.54
-25.16% Sep 2021 Sep 2022 13 in progress 16 29 16.86
-16.65% Sep 1987 Nov 1987 3 Apr 1989 17 20 7.93
-15.29% Dec 1980 Jul 1982 20 Oct 1982 3 23 8.95
-14.89% Sep 1978 Mar 1980 19 Nov 1980 8 27 5.61
-13.15% Jan 1990 Sep 1990 9 Mar 1991 6 15 6.87
-10.58% Jan 2020 Mar 2020 3 Jul 2020 4 7 4.57
-10.56% May 2011 Sep 2011 5 Sep 2012 12 17 3.95
-9.75% Apr 1998 Aug 1998 5 Dec 1998 4 9 4.05
-9.31% Sep 2000 Mar 2003 31 May 2003 2 33 5.52
-8.52% Feb 1994 Nov 1994 10 Jun 1995 7 17 5.85
-8.08% Feb 2018 Dec 2018 11 Jun 2019 6 17 3.31
-7.60% Jul 1983 May 1984 11 Sep 1984 4 15 3.48
-5.35% May 2015 Jan 2016 9 Jul 2016 6 15 2.92
-5.08% Jan 1977 Feb 1978 14 Apr 1978 2 16 3.13
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 188 3.1 Months 32.53%
 
DD = 0% 32.53%
 
0% < DD <= -5% 240 2.4 Months 41.52%
 
DD <= -5% 74.05%
 
-5% < DD <= -10% 93 6.2 Months 16.09%
 
DD <= -10% 90.14%
 
-10% < DD <= -15% 23 25.1 Months 3.98%
 
DD <= -15% 94.12%
 
-15% < DD <= -20% 19 30.4 Months 3.29%
 
DD <= -20% 97.40%
 
-20% < DD <= -25% 11 52.5 Months 1.90%
 
DD <= -25% 99.31%
 
-25% < DD <= -30% 3 192.7 Months 0.52%
 
DD <= -30% 99.83%
 
-30% < DD <= -35% 1 578.0 Months 0.17%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
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.

BOB CLYATT SANDWICH PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 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 -24.75 03/2008
02/2009
0.75$ -0.15 0.99$ 8.57 1.08$ 14.93 1.14$ 35.08 03/2009
02/2010
1.35$ 5.63 16.05%
2Y -11.72 03/2007
02/2009
0.77$ 1.38 1.02$ 7.93 1.16$ 12.37 1.26$ 25.10 03/2009
02/2011
1.56$ -0.82 11.87%
3Y -4.49 03/2006
02/2009
0.87$ 3.11 1.09$ 7.42 1.23$ 11.42 1.38$ 17.78 03/2009
02/2012
1.63$ 1.27 1.54%
5Y 1.29 03/2004
02/2009
1.06$ 4.60 1.25$ 6.88 1.39$ 10.32 1.63$ 14.43 11/2002
10/2007
1.96$ 5.07 0.00%
7Y 4.24 11/2016
10/2023
1.33$ 5.96 1.49$ 7.07 1.61$ 8.75 1.79$ 10.24 03/2009
02/2016
1.97$ 5.27 0.00%
10Y 4.17 11/2013
10/2023
1.50$ 5.67 1.73$ 7.46 2.05$ 8.94 2.35$ 9.81 01/1995
12/2004
2.54$ 5.17 0.00%
15Y 4.55 10/2007
09/2022
1.94$ 6.39 2.53$ 7.34 2.89$ 7.97 3.15$ 8.65 02/2003
01/2018
3.46$ 7.48 0.00%
20Y 6.14 11/2003
10/2023
3.29$ 6.88 3.78$ 7.33 4.11$ 7.91 4.58$ 8.47 12/1994
11/2014
5.08$ 6.31 0.00%
30Y 6.89 02/1994
01/2024
7.38$ 6.89 7.38$ 6.89 7.38$ 6.89 7.38$ 6.89 02/1994
01/2024
7.38$ 6.89 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 -24.76 03/2008
02/2009
0.75$ -2.40 0.97$ 6.09 1.06$ 12.23 1.12$ 32.24 03/2009
02/2010
1.32$ 2.44 23.78%
2Y -13.50 03/2007
02/2009
0.74$ -0.69 0.98$ 5.63 1.11$ 9.68 1.20$ 22.48 03/2009
02/2011
1.50$ -5.29 17.21%
3Y -6.52 03/2006
02/2009
0.81$ 0.44 1.01$ 5.24 1.16$ 8.69 1.28$ 15.03 03/2009
02/2012
1.52$ -4.16 13.85%
5Y -1.31 03/2004
02/2009
0.93$ 2.12 1.11$ 4.79 1.26$ 7.68 1.44$ 11.93 03/2009
02/2014
1.75$ 0.87 4.32%
7Y 0.72 11/2016
10/2023
1.05$ 3.68 1.28$ 5.06 1.41$ 6.16 1.51$ 8.52 03/2009
02/2016
1.77$ 1.72 0.00%
10Y 1.35 11/2013
10/2023
1.14$ 3.74 1.44$ 5.20 1.65$ 6.28 1.83$ 7.60 03/2009
02/2019
2.08$ 2.32 0.00%
15Y 2.13 10/2007
09/2022
1.37$ 4.23 1.86$ 4.96 2.06$ 5.51 2.23$ 6.43 02/2003
01/2018
2.54$ 4.80 0.00%
20Y 3.47 11/2003
10/2023
1.97$ 4.48 2.40$ 5.04 2.67$ 5.53 2.93$ 6.04 03/1995
02/2015
3.23$ 3.65 0.00%
30Y 4.25 02/1994
01/2024
3.48$ 4.25 3.48$ 4.25 3.48$ 4.25 3.48$ 4.25 02/1994
01/2024
3.48$ 4.25 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 -24.75 03/2008
02/2009
0.75$ 0.48 1.00$ 9.72 1.09$ 18.36 1.18$ 43.70 07/1982
06/1983
1.43$ 5.63 13.25%
2Y -11.72 03/2007
02/2009
0.77$ 3.84 1.07$ 9.71 1.20$ 14.76 1.31$ 31.66 07/1984
06/1986
1.73$ -0.82 7.22%
3Y -4.49 03/2006
02/2009
0.87$ 4.81 1.15$ 9.54 1.31$ 13.97 1.48$ 26.97 08/1984
07/1987
2.04$ 1.27 0.92%
5Y 1.29 03/2004
02/2009
1.06$ 5.40 1.30$ 9.39 1.56$ 13.62 1.89$ 23.63 08/1982
07/1987
2.88$ 5.07 0.00%
7Y 4.24 11/2016
10/2023
1.33$ 6.29 1.53$ 8.96 1.82$ 14.03 2.50$ 19.44 08/1982
07/1989
3.46$ 5.27 0.00%
10Y 4.17 11/2013
10/2023
1.50$ 6.48 1.87$ 8.93 2.35$ 14.35 3.82$ 16.53 08/1982
07/1992
4.61$ 5.17 0.00%
15Y 4.55 10/2007
09/2022
1.94$ 6.97 2.74$ 9.08 3.68$ 13.31 6.52$ 15.02 08/1982
07/1997
8.15$ 7.48 0.00%
20Y 6.14 11/2003
10/2023
3.29$ 7.20 4.01$ 8.72 5.32$ 12.53 10.60$ 13.36 03/1978
02/1998
12.28$ 6.31 0.00%
30Y 6.68 11/1993
10/2023
6.96$ 8.07 10.25$ 9.91 17.01$ 10.98 22.76$ 11.84 11/1977
10/2007
28.70$ 6.89 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 -24.76 03/2008
02/2009
0.75$ -2.87 0.97$ 5.94 1.05$ 14.29 1.14$ 40.23 07/1982
06/1983
1.40$ 2.44 24.73%
2Y -13.50 03/2007
02/2009
0.74$ -0.04 0.99$ 5.71 1.11$ 11.28 1.23$ 28.18 07/1984
06/1986
1.64$ -5.29 15.16%
3Y -6.52 03/2006
02/2009
0.81$ 0.64 1.01$ 5.88 1.18$ 10.13 1.33$ 23.26 08/1984
07/1987
1.87$ -4.16 11.99%
5Y -2.06 07/1977
06/1982
0.90$ 2.48 1.13$ 5.78 1.32$ 9.57 1.57$ 19.87 08/1982
07/1987
2.47$ 0.87 4.83%
7Y 0.72 11/2016
10/2023
1.05$ 3.87 1.30$ 5.74 1.47$ 9.39 1.87$ 15.35 08/1982
07/1989
2.71$ 1.72 0.00%
10Y 1.35 11/2013
10/2023
1.14$ 4.33 1.52$ 6.22 1.82$ 8.86 2.33$ 12.35 08/1982
07/1992
3.20$ 2.32 0.00%
15Y 2.13 10/2007
09/2022
1.37$ 4.71 1.99$ 6.12 2.43$ 8.68 3.48$ 11.26 08/1982
07/1997
4.95$ 4.80 0.00%
20Y 3.47 11/2003
10/2023
1.97$ 4.86 2.58$ 6.03 3.22$ 8.11 4.75$ 9.12 04/1980
03/2000
5.73$ 3.65 0.00%
30Y 4.06 11/1993
10/2023
3.29$ 5.55 5.04$ 6.52 6.64$ 7.23 8.12$ 7.83 08/1982
07/2012
9.58$ 4.25 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 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.
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
0.22
40%
-1.06
40%
-0.72
60%
1.01
80%
-0.04
60%
0.75
80%
2.01
100%
-0.29
40%
-2.56
20%
0.74
60%
3.48
80%
1.94
80%
Best 5.3
2023
1.4
2021
1.8
2023
5.1
2020
2.6
2020
3.6
2019
4.4
2022
2.8
2020
1.1
2019
2.8
2022
6.5
2020
4.6
2023
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
-2.1
2023
-1.5
2021
-2.5
2022
Monthly Seasonality over the period Feb 1976 - Jan 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
0.80
60%
-0.16
50%
0.17
70%
0.75
80%
0.39
80%
0.50
70%
1.50
90%
-0.17
50%
-1.51
30%
0.40
60%
2.07
80%
0.67
60%
Best 5.3
2023
2.7
2014
4.6
2016
5.1
2020
2.6
2020
3.6
2019
4.4
2022
2.8
2020
1.1
2017
3.4
2015
6.5
2020
4.6
2023
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 Feb 1976 - Jan 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
1.00
63%
0.28
56%
0.71
75%
1.27
81%
0.69
65%
0.69
65%
0.96
67%
0.49
65%
-0.01
58%
0.37
60%
1.51
75%
1.47
77%
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 Feb 1976 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Bob Clyatt Sandwich Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BOB CLYATT SANDWICH PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
238 Positive Months (66%) - 122 Negative Months (34%)
388 Positive Months (67%) - 189 Negative Months (33%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2007, 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:
  • VV - Vanguard Large-Cap (VV), up to December 2004
  • SCZ - iShares MSCI EAFE Small-Cap (SCZ), up to December 2007
  • IJR - iShares Core S&P Small-Cap (IJR), up to December 2000
  • EEM - iShares MSCI Emerging Markets (EEM), up to December 2003
  • VEU - Vanguard FTSE All-World ex-US (VEU), up to December 2007
  • VNQ - Vanguard Real Estate (VNQ), up to December 2004
  • IEI - iShares 3-7 Year Treasury Bond (IEI), up to December 2007
  • BIL - SPDR Blmbg Barclays 1-3 Mth T-Bill (BIL), 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
Shield Strategy Aim Ways +8.63 8.85 -19.36 42 38 20
Stocks/Bonds 40/60 Momentum +7.86 7.02 -21.11 40 60 0
Couch Potato Scott Burns +7.86 8.77 -27.04 50 50 0
In Saecula Saeculorum Fulvio Marchese +7.58 7.84 -20.39 45 45 10
Golden Butterfly Tyler +7.47 7.74 -17.79 40 40 20
Aim comfortable trip Aim Ways +7.34 7.60 -20.15 40 45 15
All Weather Portfolio Ray Dalio +7.22 7.43 -20.58 30 55 15
Marc Faber Portfolio Marc Faber +7.16 9.67 -28.82 50 25 25
PISI Portfolio Davide Pisicchio +6.90 6.50 -18.36 30 60 10
Sandwich Portfolio Bob Clyatt +6.89 8.33 -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.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.48 9.58 -32.52 60 40 0
Simple Path to Wealth JL Collins +8.83 11.77 -38.53 75 25 0
Shield Strategy Aim Ways +8.63 8.85 -19.36 42 38 20
Aim Bold Strategy Aim Ways +8.16 9.93 -30.09 45 40 15
Talmud Portfolio Roger Gibson +8.07 10.85 -40.17 66.7 33.3 0
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