Consolidated Returns as of 30 September 2024
Live Update: Oct 21 2024, 03:59PM Eastern Time
Currency: USD
October 2014
September 2024
November 2012
September 2024
The Robert Shiller Cape US Sector Value Portfolio can be implemented with 1 ETF. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.
The asset allocation is the following: 100% on the Stock Market, 0% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 0% allocation to bonds, leading to its classification as very high risk.
As of September 2024, over the analyzed timeframe, the Robert Shiller Cape US Sector Value Portfolio obtained a 15.48% compound annual return, with a 15.04% standard deviation. It suffered a maximum drawdown of -21.00% that required 6 months to be recovered.
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Asset Allocation and ETFs
The Robert Shiller Cape US Sector Value Portfolio has the following asset allocation:
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The Robert Shiller Cape US Sector Value Portfolio can be implemented with the following ETFs:
| Weight (%) |
ETF Ticker |
ETF Currency |
ETF Name | Investment Themes (Orig.Currency) |
|---|---|---|---|---|
| 100.00 |
CAPE
|
USD | DoubleLine Shiller U.S. Equities ETF | Equity, U.S., Large Cap (USD) |
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.
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Portfolio and ETF Returns as of Sep 30, 2024
The Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.
- no fees or capital gain taxes.
- dividend reinvestment, when applicable.
| Chg (%) | Return (%) | Return (%) as of Sep 30, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Oct 2024 |
YTD
(9M) |
1M | 6M | 1Y | 5Y | 10Y |
MAX
(~12Y) |
|||
| Robert Shiller Cape US Sector Value Portfolio | -0.99 | 0.61 | 12.17 | 1.09 | 6.28 | 26.54 | 14.89 | 14.17 | 15.48 | |||
| Returns over 1 year are annualized | ||||||||||||
| (*) Eastern Time (ET - America/New York) | ||||||||||||
In 2023, the Robert Shiller Cape US Sector Value Portfolio granted a 1.05% dividend yield. If you are interested in getting periodic income, please refer to the Robert Shiller Cape US Sector Value Portfolio: Dividend Yield page.
Capital Growth as of Sep 30, 2024
The Inflation Adjusted Capital would be 2.84$, with a net total return of 184.02% (11.00% annualized).
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The Inflation Adjusted Capital would be 4.09$, with a net total return of 309.28% (12.55% annualized).
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Portfolio Metrics as of Sep 30, 2024
Metrics of Robert Shiller Cape US Sector Value Portfolio, updated as of 30 September 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.
These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.
- no fees or capital gain taxes.
- dividend reinvestment, when applicable.
| Metrics as of Sep 30, 2024 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
|
YTD
(9M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~12Y) |
|
| Investment Return (%) | 12.17 | 1.09 | 7.08 | 6.28 | 26.54 | 9.28 | 14.89 | 14.17 | 15.48 |
| Growth of 1$ | 1.12 | 1.01 | 1.07 | 1.06 | 1.27 | 1.31 | 2.00 | 3.76 | 5.56 |
| US Inflation (%) | 1.93 | 0.18 | 0.52 | 0.79 | 2.41 | 4.74 | 4.18 | 2.86 | 2.60 |
| Returns / Inflation rates over 1 year are annualized. | |||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | MAX | |||
| Deepest Drawdown Depth (%) | 0.00 | -5.36 | -20.07 | -21.00 | -21.00 | -21.00 | |||
| Start to Recovery (# months) | 4 | 19 | 6 | 6 | 6 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2020 02 | 2020 02 | 2020 02 | ||||
| Start to Bottom (# months) | 1 | 9 | 2 | 2 | 2 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2020 03 | 2020 03 | 2020 03 | ||||
| Bottom to End (# months) | 3 | 10 | 4 | 4 | 4 | ||||
| End (yyyy mm) | 2024 07 | 2023 07 | 2020 07 | 2020 07 | 2020 07 | ||||
| Longest Drawdown Depth (%) |
same |
same |
-20.07 | -20.07 | -20.07 | ||||
| Start to Recovery (# months) | 19 | 19 | 19 | ||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | ||||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 9 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | ||||
| Bottom to End (# months) | 3 | 10 | 10 | 10 | 10 | ||||
| End (yyyy mm) | 2024 07 | 2023 07 | 2023 07 | 2023 07 | 2023 07 | ||||
| Longest negative period (# months) | 4 | 24 | 26 | 26 | 26 | ||||
| Start (yyyy mm) | 2024 01 | 2021 11 | 2021 09 | 2018 02 | 2018 02 | ||||
| End (yyyy mm) | 2024 04 | 2023 10 | 2023 10 | 2020 03 | 2020 03 | ||||
| Annualized Return (%) | -0.36 | -1.92 | -1.71 | -2.29 | -2.29 | ||||
| Deepest Drawdown Depth (%) | 0.00 | -5.66 | -24.26 | -24.50 | -24.50 | -24.50 | |||
| Start to Recovery (# months) | 4 | 26 | 31 | 31 | 31 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 09 | 2021 09 | 2021 09 | ||||
| Start to Bottom (# months) | 1 | 9 | 13 | 13 | 13 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | ||||
| Bottom to End (# months) | 3 | 17 | 18 | 18 | 18 | ||||
| End (yyyy mm) | 2024 07 | 2024 02 | 2024 03 | 2024 03 | 2024 03 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
||||
| Start to Recovery (# months) | |||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2021 09 | 2021 09 | 2021 09 | ||||
| Start to Bottom (# months) | 1 | 9 | 13 | 13 | 13 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | ||||
| Bottom to End (# months) | 3 | 17 | 18 | 18 | 18 | ||||
| End (yyyy mm) | 2024 07 | 2024 02 | 2024 03 | 2024 03 | 2024 03 | ||||
| Longest negative period (# months) | 4 | 30 | 33 | 33 | 33 | ||||
| Start (yyyy mm) | 2024 01 | 2021 11 | 2021 08 | 2021 08 | 2021 08 | ||||
| End (yyyy mm) | 2024 04 | 2024 04 | 2024 04 | 2024 04 | 2024 04 | ||||
| Annualized Return (%) | -4.56 | -1.09 | -0.09 | -0.09 | -0.09 | ||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Standard Deviation (%) | 12.05 | 18.28 | 18.65 | 15.86 | 15.04 | ||||
| Sharpe Ratio | 1.76 | 0.32 | 0.68 | 0.80 | 0.95 | ||||
| Sortino Ratio | 2.37 | 0.45 | 0.91 | 1.08 | 1.27 | ||||
| Ulcer Index | 1.71 | 7.49 | 6.84 | 5.43 | 5.00 | ||||
| Ratio: Return / Standard Deviation | 2.20 | 0.51 | 0.80 | 0.89 | 1.03 | ||||
| Ratio: Return / Deepest Drawdown | 4.95 | 0.46 | 0.71 | 0.67 | 0.74 | ||||
| Positive Months (%) | 75.00 | 55.55 | 63.33 | 67.50 | 68.53 | ||||
| Positive Months | 9 | 20 | 38 | 81 | 98 | ||||
| Negative Months | 3 | 16 | 22 | 39 | 45 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 14.17 | 15.31 | |||||||
| Worst 10 Years Return (%) - Annualized | 12.71 | ||||||||
| Best 10 Years Return (%) - Annualized | 11.00 | 12.39 | |||||||
| Worst 10 Years Return (%) - Annualized | 9.65 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | MAX | |
| ··· As of Sep 2024 - Over the previous 10Y | |||||||||
| Best Rolling Return (%) - Annualized | 62.89 | 26.51 | 19.92 | 14.17 | |||||
| Worst Rolling Return (%) - Annualized | -15.62 | 4.34 | 8.27 | ||||||
| Positive Periods (%) | 84.4 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 58.73 | 22.15 | 16.85 | 11.00 | |||||
| Worst Rolling Return (%) - Annualized | -20.70 | 1.04 | 6.10 | ||||||
| Positive Periods (%) | 82.5 | 100.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 6.32 | 9.40 | 11.16 | ||||||
| 95% CVaR - Conditional Value at Risk (%) | 8.22 | 12.69 | 15.81 | ||||||
| 99% VaR - Value at Risk (%) - Cumulative | 9.44 | 14.80 | 18.80 | ||||||
| 99% CVaR - Conditional Value at Risk (%) | 11.42 | 18.24 | 23.66 | ||||||
| Short term VaRs: analytical | |||||||||
| Safe Withdrawal Rate (%) | 87.68 | 30.22 | 23.65 | 16.43 | |||||
| Perpetual Withdrawal Rate (%) | --- | 0.99 | 6.06 | 10.64 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||
| ··· All available data (Nov 2012 - Sep 2024) | |||||||||
| Best Rolling Return (%) - Annualized | 62.89 | 26.51 | 19.92 | 15.31 | |||||
| Worst Rolling Return (%) - Annualized | -15.62 | 4.34 | 8.27 | 12.71 | |||||
| Positive Periods (%) | 87.1 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 58.73 | 22.15 | 16.85 | 12.39 | |||||
| Worst Rolling Return (%) - Annualized | -20.70 | 1.04 | 6.10 | 9.65 | |||||
| Positive Periods (%) | 85.6 | 100.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 5.84 | 8.47 | 9.69 | 7.03 | |||||
| 95% CVaR - Conditional Value at Risk (%) | 7.64 | 11.59 | 14.11 | 11.53 | |||||
| 99% VaR - Value at Risk (%) - Cumulative | 8.80 | 13.59 | 16.94 | 15.62 | |||||
| 99% CVaR - Conditional Value at Risk (%) | 10.69 | 16.86 | 21.55 | 15.62 | |||||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||
| Safe Withdrawal Rate (%) | 87.68 | 30.22 | 23.65 | 15.96 | |||||
| Perpetual Withdrawal Rate (%) | --- | 0.99 | 6.06 | 10.00 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||
- 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.
- Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
- Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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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.
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Rolling Returns
Robert Shiller Cape US Sector Value Portfolio: Rolling Returns
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.
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Seasonality
In which months is it better to invest in Robert Shiller Cape US Sector Value Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from November 2012 to September 2024.
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Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Robert Shiller Cape US Sector Value Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
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Returns, up to April 2022, 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:
- DoubleLine Shiller U.S. Equities ETF (CAPE), up to April 2022
Portfolio efficiency
No other portfolio in our database granted a higher return over 10 Years and a less severe drawdown at the same time.
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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 10 Years.
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The following portfolios share asset allocation strategy and/or similar asset weights.
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