Data Source: from November 2012 to November 2023 (~11 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 11 2023, 10:57AM Eastern Time
Consolidated Returns as of 30 November 2023
Live Update: Dec 11 2023, 10:57AM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.16%
1 Day
Dec 11 2023, 10:57AM Eastern Time
0.85%
Current Month
December 2023
The Robert Shiller Cape US Sector Value Portfolio is a Very High Risk portfolio and can be implemented with 1 ETF.
It's exposed for 100% on the Stock Market.
In the last 10 Years, the Robert Shiller Cape US Sector Value Portfolio obtained a 13.36% compound annual return, with a 15.80% standard deviation.
Table of contents
Asset Allocation and ETFs
The Robert Shiller Cape US Sector Value Portfolio has the following asset allocation:
100% Stocks
0% Fixed Income
0% Commodities
The Robert Shiller Cape US Sector Value Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 100.00 |
CAPE
|
USD | DoubleLine Shiller U.S. Equities ETF | Equity, U.S., Large Cap |
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 Nov 30, 2023
The Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 11 2023, 10:57AM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y |
MAX
(~11Y) |
|||
| Robert Shiller Cape US Sector Value Portfolio | 0.16 | 0.85 | 8.75 | 12.61 | 12.17 | 13.49 | 13.36 | 14.98 | |||
| US Inflation Adjusted return | 8.75 | 11.31 | 8.54 | 9.06 | 10.26 | 12.06 | |||||
Returns over 1 year are annualized | Available data source: since Nov 2012
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.35%
, 5Y: 4.07%
, 10Y: 2.82%
Live update: World Markets and Indexes
In 2022, the Robert Shiller Cape US Sector Value Portfolio granted a 0.44% 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 Nov 30, 2023
An investment of 1$, since December 2013,
now would be worth 3.51$, with a total return of 250.54% (13.36% annualized).
The Inflation Adjusted Capital now would be 2.66$, with a net total return of 165.54% (10.26% annualized).
The Inflation Adjusted Capital now would be 2.66$, with a net total return of 165.54% (10.26% annualized).
An investment of 1$, since November 2012,
now would be worth 4.70$, with a total return of 369.75% (14.98% annualized).
The Inflation Adjusted Capital now would be 3.53$, with a net total return of 253.17% (12.06% annualized).
The Inflation Adjusted Capital now would be 3.53$, with a net total return of 253.17% (12.06% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Robert Shiller Cape US Sector Value Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Advanced Metrics
Data Source: 1 November 2012 - 30 November 2023 (~11 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~11Y) |
|
| Investment Return (%) | 8.75 | 1.77 | 12.61 | 12.17 | 10.67 | 13.49 | 13.36 | 14.98 |
| Infl. Adjusted Return (%) details | 8.75 | 1.56 | 11.31 | 8.54 | 4.66 | 9.06 | 10.26 | 12.06 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.61 |
| Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||
|
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Deepest Drawdown Depth (%) | -8.27 | -20.07 | -21.00 | -21.00 | -21.00 | |||
| Start to Recovery (# months) details | 4* | 19 | 6 | 6 | 6 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2020 02 | 2020 02 | 2020 02 | |||
| Start to Bottom (# months) | 3 | 9 | 2 | 2 | 2 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2020 03 | 2020 03 | 2020 03 | |||
| Bottom to End (# months) | 1 | 10 | 4 | 4 | 4 | |||
| End (yyyy mm) | - | 2023 07 | 2020 07 | 2020 07 | 2020 07 | |||
| Longest Drawdown Depth (%) | -2.29 |
same as deepest |
-20.07 | -20.07 | -20.07 | |||
| Start to Recovery (# months) details | 5 | 19 | 19 | 19 | ||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 9 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 1 | 10 | 10 | 10 | 10 | |||
| End (yyyy mm) | 2023 06 | 2023 07 | 2023 07 | 2023 07 | 2023 07 | |||
| Longest negative period (# months) details | 6 | 26 | 26 | 26 | 26 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 09 | 2021 09 | 2018 02 | 2018 02 | |||
| Period End (yyyy mm) | 2023 05 | 2023 10 | 2023 10 | 2020 03 | 2020 03 | |||
| Annualized Return (%) | -0.77 | -1.72 | -1.72 | -2.29 | -2.29 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||
| Deepest Drawdown Depth (%) | -8.86 | -24.92 | -24.92 | -24.92 | -24.92 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 23* | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 9 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | - | - | - | - | - | |||
| Longest Drawdown Depth (%) | -3.88 |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
|||
| Start to Recovery (# months) details | 5 | |||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 4 | 9 | 9 | 9 | 9 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | 2023 06 | - | - | - | - | |||
| Longest negative period (# months) details | 11 | 32 | 32 | 32 | 32 | |||
| Period Start (yyyy mm) | 2022 12 | 2021 03 | 2021 03 | 2021 03 | 2021 03 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Annualized Return (%) | -0.21 | -0.26 | -0.26 | -0.26 | -0.26 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Standard Deviation (%) | 18.49 | 18.38 | 19.60 | 15.80 | 15.34 | |||
| Sharpe Ratio | 0.39 | 0.48 | 0.60 | 0.78 | 0.72 | |||
| Sortino Ratio | 0.62 | 0.66 | 0.81 | 1.06 | 0.97 | |||
| Ulcer Index | 3.78 | 7.47 | 6.94 | 5.42 | 5.16 | |||
| Ratio: Return / Standard Deviation | 0.66 | 0.58 | 0.69 | 0.85 | 0.98 | |||
| Ratio: Return / Deepest Drawdown | 1.47 | 0.53 | 0.64 | 0.64 | 0.71 | |||
| % Positive Months details | 50% | 55% | 61% | 65% | 67% | |||
| Positive Months | 6 | 20 | 37 | 79 | 90 | |||
| Negative Months | 6 | 16 | 23 | 41 | 43 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 13.36 | 15.31 | ||||||
| Worst 10 Years Return (%) - Annualized | 12.71 | |||||||
| Best 10 Years Return (%) - Annualized | 10.26 | 12.38 | ||||||
| Worst 10 Years Return (%) - Annualized | 9.64 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Over the latest 10Y | ||||||||
| Best Rolling Return (%) - Annualized | 62.89 | 26.51 | 19.92 | 13.36 | ||||
| Worst Rolling Return (%) - Annualized | -15.62 | 4.34 | 8.27 | |||||
| % Positive Periods | 84% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 58.73 | 22.19 | 16.85 | 10.26 | ||||
| Worst Rolling Return (%) - Annualized | -20.73 | 2.38 | 6.08 | |||||
| % Positive Periods | 82% | 100% | 100% | 100% | ||||
| Over all the available data source (Nov 2012 - Nov 2023) | ||||||||
| 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 | 86% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 58.73 | 22.19 | 16.85 | 12.38 | ||||
| Worst Rolling Return (%) - Annualized | -20.73 | 2.38 | 6.08 | 9.64 | ||||
| % Positive Periods | 84% | 100% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | MAX | |||
| Safe WR (%) | 35.90 | 24.86 | 15.82 | 17.33 | ||||
| Perpetual WR (%) | 4.46 | 8.30 | 9.30 | 10.76 | ||||
- 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 original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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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.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 November 2012 - 30 November 2023 (~11 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -21.00% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 | 10.24 |
| -20.07% | Jan 2022 | Sep 2022 | 9 | Jul 2023 | 10 | 19 | 9.80 |
| -15.27% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 7.29 |
| -8.74% | Aug 2015 | Sep 2015 | 2 | Oct 2015 | 1 | 3 | 5.37 |
| -8.27% | Aug 2023 | Oct 2023 | 3 | in progress | 1 | 4 | 4.84 |
| -5.96% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 3.44 |
| -5.62% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 3.44 |
| -5.00% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 | 2.89 |
| -4.58% | Jan 2016 | Jan 2016 | 1 | Mar 2016 | 2 | 3 | 2.58 |
| -4.02% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.25 |
| -3.84% | Jan 2014 | Jan 2014 | 1 | Feb 2014 | 1 | 2 | 2.22 |
| -3.14% | Oct 2016 | Oct 2016 | 1 | Nov 2016 | 1 | 2 | 1.81 |
| -2.77% | Dec 2014 | Jan 2015 | 2 | Feb 2015 | 1 | 3 | 1.45 |
| -2.05% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 1 | 2 | 1.18 |
| -2.04% | Aug 2019 | Aug 2019 | 1 | Oct 2019 | 2 | 3 | 1.12 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -24.92% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.15 |
| -21.35% | Jan 2020 | Mar 2020 | 3 | Aug 2020 | 5 | 8 | 9.17 |
| -14.86% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 7.19 |
| -9.52% | Mar 2015 | Sep 2015 | 7 | Dec 2015 | 3 | 10 | 3.84 |
| -6.60% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 3.97 |
| -6.16% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 | 3.08 |
| -5.26% | Sep 2021 | Sep 2021 | 1 | Dec 2021 | 3 | 4 | 2.84 |
| -4.73% | Jan 2016 | Jan 2016 | 1 | Mar 2016 | 2 | 3 | 2.71 |
| -4.20% | Jan 2014 | Jan 2014 | 1 | Feb 2014 | 1 | 2 | 2.42 |
| -4.19% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.36 |
| -3.26% | Oct 2016 | Oct 2016 | 1 | Nov 2016 | 1 | 2 | 1.88 |
| -2.12% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 1 | 2 | 1.23 |
| -2.04% | Aug 2019 | Aug 2019 | 1 | Oct 2019 | 2 | 3 | 1.13 |
| -1.75% | Dec 2014 | Jan 2015 | 2 | Feb 2015 | 1 | 3 | 0.89 |
| -1.62% | Apr 2016 | Apr 2016 | 1 | Jun 2016 | 2 | 3 | 0.81 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -21.00% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 | 10.24 |
| -20.07% | Jan 2022 | Sep 2022 | 9 | Jul 2023 | 10 | 19 | 9.80 |
| -15.27% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 7.29 |
| -8.74% | Aug 2015 | Sep 2015 | 2 | Oct 2015 | 1 | 3 | 5.37 |
| -8.27% | Aug 2023 | Oct 2023 | 3 | in progress | 1 | 4 | 4.84 |
| -5.96% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 3.44 |
| -5.62% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 3.44 |
| -5.00% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 | 2.89 |
| -4.58% | Jan 2016 | Jan 2016 | 1 | Mar 2016 | 2 | 3 | 2.58 |
| -4.02% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.25 |
| -3.84% | Jan 2014 | Jan 2014 | 1 | Feb 2014 | 1 | 2 | 2.22 |
| -3.14% | Oct 2016 | Oct 2016 | 1 | Nov 2016 | 1 | 2 | 1.81 |
| -2.99% | Aug 2013 | Aug 2013 | 1 | Sep 2013 | 1 | 2 | 1.73 |
| -2.77% | Dec 2014 | Jan 2015 | 2 | Feb 2015 | 1 | 3 | 1.45 |
| -2.29% | Jun 2013 | Jun 2013 | 1 | Jul 2013 | 1 | 2 | 1.32 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -24.92% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 14.15 |
| -21.35% | Jan 2020 | Mar 2020 | 3 | Aug 2020 | 5 | 8 | 9.17 |
| -14.86% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 7.19 |
| -9.52% | Mar 2015 | Sep 2015 | 7 | Dec 2015 | 3 | 10 | 3.84 |
| -6.60% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 3.97 |
| -6.16% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 | 3.08 |
| -5.26% | Sep 2021 | Sep 2021 | 1 | Dec 2021 | 3 | 4 | 2.84 |
| -4.73% | Jan 2016 | Jan 2016 | 1 | Mar 2016 | 2 | 3 | 2.71 |
| -4.20% | Jan 2014 | Jan 2014 | 1 | Feb 2014 | 1 | 2 | 2.42 |
| -4.19% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.36 |
| -3.26% | Oct 2016 | Oct 2016 | 1 | Nov 2016 | 1 | 2 | 1.88 |
| -3.11% | Aug 2013 | Aug 2013 | 1 | Sep 2013 | 1 | 2 | 1.79 |
| -2.52% | Jun 2013 | Jun 2013 | 1 | Jul 2013 | 1 | 2 | 1.46 |
| -2.12% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 1 | 2 | 1.23 |
| -2.04% | Aug 2019 | Aug 2019 | 1 | Oct 2019 | 2 | 3 | 1.13 |
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.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 November 2012 - 30 November 2023 (~11 years)
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 | -15.62 |
01/2022 12/2022 |
0.84$ | -1.00 | 0.98$ | 12.72 | 1.12$ | 25.50 | 1.25$ | 62.89 |
04/2020 03/2021 |
1.62$ | 12.17 | 15.60% |
| 2Y | -1.92 |
11/2021 10/2023 |
0.96$ | 7.55 | 1.15$ | 12.74 | 1.27$ | 22.15 | 1.49$ | 37.58 |
04/2020 03/2022 |
1.89$ | 3.33 | 1.03% |
| 3Y | 4.34 |
04/2017 03/2020 |
1.13$ | 11.68 | 1.39$ | 14.71 | 1.50$ | 19.15 | 1.69$ | 26.51 |
01/2019 12/2021 |
2.02$ | 10.67 | 0.00% |
| 5Y | 8.27 |
04/2015 03/2020 |
1.48$ | 11.27 | 1.70$ | 13.46 | 1.88$ | 17.93 | 2.28$ | 19.92 |
11/2016 10/2021 |
2.47$ | 13.49 | 0.00% |
| 7Y | 12.98 |
10/2016 09/2023 |
2.35$ | 13.56 | 2.43$ | 14.95 | 2.65$ | 16.33 | 2.88$ | 16.84 |
09/2014 08/2021 |
2.97$ | 13.66 | 0.00% |
| 10Y | 13.36 |
12/2013 11/2023 |
3.50$ | 13.36 | 3.50$ | 13.36 | 3.50$ | 13.36 | 3.50$ | 13.36 |
12/2013 11/2023 |
3.50$ | 13.36 | 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 | -20.73 |
01/2022 12/2022 |
0.79$ | -3.23 | 0.96$ | 10.43 | 1.10$ | 22.77 | 1.22$ | 58.73 |
04/2020 03/2021 |
1.58$ | 8.54 | 17.43% |
| 2Y | -7.01 |
11/2021 10/2023 |
0.86$ | 2.78 | 1.05$ | 10.19 | 1.21$ | 18.63 | 1.40$ | 30.36 |
04/2020 03/2022 |
1.69$ | -1.79 | 12.37% |
| 3Y | 2.38 |
04/2017 03/2020 |
1.07$ | 7.22 | 1.23$ | 12.49 | 1.42$ | 15.13 | 1.52$ | 22.19 |
01/2019 12/2021 |
1.82$ | 4.66 | 0.00% |
| 5Y | 6.08 |
10/2018 09/2023 |
1.34$ | 7.52 | 1.43$ | 11.47 | 1.72$ | 15.44 | 2.05$ | 16.85 |
05/2016 04/2021 |
2.17$ | 9.06 | 0.00% |
| 7Y | 9.13 |
10/2016 09/2023 |
1.84$ | 9.79 | 1.92$ | 11.65 | 2.16$ | 14.07 | 2.51$ | 14.53 |
09/2014 08/2021 |
2.58$ | 9.79 | 0.00% |
| 10Y | 10.26 |
12/2013 11/2023 |
2.65$ | 10.26 | 2.65$ | 10.26 | 2.65$ | 10.26 | 2.65$ | 10.26 |
12/2013 11/2023 |
2.65$ | 10.26 | 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 | -15.62 |
01/2022 12/2022 |
0.84$ | 0.83 | 1.00$ | 15.77 | 1.15$ | 26.95 | 1.26$ | 62.89 |
04/2020 03/2021 |
1.62$ | 12.17 | 13.93% |
| 2Y | -1.92 |
11/2021 10/2023 |
0.96$ | 7.99 | 1.16$ | 13.10 | 1.27$ | 22.81 | 1.50$ | 37.58 |
04/2020 03/2022 |
1.89$ | 3.33 | 0.91% |
| 3Y | 4.34 |
04/2017 03/2020 |
1.13$ | 11.71 | 1.39$ | 14.63 | 1.50$ | 17.97 | 1.64$ | 26.51 |
01/2019 12/2021 |
2.02$ | 10.67 | 0.00% |
| 5Y | 8.27 |
04/2015 03/2020 |
1.48$ | 11.60 | 1.73$ | 13.86 | 1.91$ | 18.08 | 2.29$ | 19.92 |
11/2016 10/2021 |
2.47$ | 13.49 | 0.00% |
| 7Y | 11.24 |
04/2013 03/2020 |
2.10$ | 13.22 | 2.38$ | 14.72 | 2.61$ | 16.37 | 2.88$ | 16.84 |
09/2014 08/2021 |
2.97$ | 13.66 | 0.00% |
| 10Y | 12.71 |
11/2013 10/2023 |
3.30$ | 13.25 | 3.47$ | 14.29 | 3.80$ | 14.69 | 3.93$ | 15.31 |
12/2012 11/2022 |
4.15$ | 13.36 | 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 | -20.73 |
01/2022 12/2022 |
0.79$ | -2.20 | 0.97$ | 13.20 | 1.13$ | 23.69 | 1.23$ | 58.73 |
04/2020 03/2021 |
1.58$ | 8.54 | 15.57% |
| 2Y | -7.01 |
11/2021 10/2023 |
0.86$ | 4.87 | 1.09$ | 10.98 | 1.23$ | 19.77 | 1.43$ | 30.36 |
04/2020 03/2022 |
1.69$ | -1.79 | 10.91% |
| 3Y | 2.38 |
04/2017 03/2020 |
1.07$ | 7.79 | 1.25$ | 12.64 | 1.42$ | 15.25 | 1.53$ | 22.19 |
01/2019 12/2021 |
1.82$ | 4.66 | 0.00% |
| 5Y | 6.08 |
10/2018 09/2023 |
1.34$ | 7.82 | 1.45$ | 11.81 | 1.74$ | 15.82 | 2.08$ | 16.85 |
05/2016 04/2021 |
2.17$ | 9.06 | 0.00% |
| 7Y | 9.13 |
10/2016 09/2023 |
1.84$ | 9.80 | 1.92$ | 12.00 | 2.21$ | 14.24 | 2.53$ | 14.91 |
01/2013 12/2019 |
2.64$ | 9.79 | 0.00% |
| 10Y | 9.64 |
11/2013 10/2023 |
2.51$ | 10.26 | 2.65$ | 11.26 | 2.90$ | 11.80 | 3.05$ | 12.38 |
12/2012 11/2022 |
3.21$ | 10.26 | 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 Robert Shiller Cape US Sector Value Portfolio: Rolling Returns page.
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.
For further information about the seasonality, check the Asset Class Seasonality page.
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 |
2.68
50% |
-0.96
40% |
-0.36
80% |
3.60
80% |
-0.41
40% |
1.93
80% |
4.93
100% |
0.60
40% |
-4.25
20% |
2.27
60% |
5.71
80% |
-1.07
60% |
| Best |
9.9 2023 |
4.4 2021 |
4.3 2021 |
11.7 2020 |
5.6 2020 |
8.8 2023 |
11.7 2022 |
6.7 2020 |
1.2 2019 |
7.1 2022 |
12.2 2020 |
4.6 2021 |
| Worst |
-4.5 2022 |
-9.2 2020 |
-13.0 2020 |
-3.8 2022 |
-6.0 2019 |
-9.7 2022 |
1.7 2021 |
-3.7 2022 |
-10.6 2022 |
-2.1 2020 |
-2.0 2021 |
-8.9 2018 |
Monthly Seasonality over the period Dec 2012 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.23
44% |
1.01
60% |
0.01
60% |
2.05
70% |
0.84
70% |
1.37
70% |
3.56
90% |
0.49
60% |
-2.27
40% |
1.50
60% |
4.32
90% |
-0.25
70% |
| Best |
9.9 2023 |
5.5 2014 |
6.0 2016 |
11.7 2020 |
5.6 2020 |
8.8 2023 |
11.7 2022 |
6.7 2020 |
1.7 2016 |
9.9 2015 |
12.2 2020 |
4.6 2021 |
| Worst |
-4.6 2016 |
-9.2 2020 |
-13.0 2020 |
-3.8 2022 |
-6.0 2019 |
-9.7 2022 |
-0.9 2014 |
-6.2 2015 |
-10.6 2022 |
-7.9 2018 |
-2.0 2021 |
-8.9 2018 |
Monthly Seasonality over the period Dec 2012 - Nov 2023
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 |
1.64
50% |
1.06
64% |
0.30
64% |
1.94
73% |
1.26
73% |
1.03
64% |
3.74
91% |
0.18
55% |
-1.76
45% |
1.84
64% |
3.89
92% |
-0.14
73% |
| Best |
9.9 2023 |
5.5 2014 |
6.0 2016 |
11.7 2020 |
5.6 2020 |
8.8 2023 |
11.7 2022 |
6.7 2020 |
3.4 2013 |
9.9 2015 |
12.2 2020 |
4.6 2021 |
| Worst |
-4.6 2016 |
-9.2 2020 |
-13.0 2020 |
-3.8 2022 |
-6.0 2019 |
-9.7 2022 |
-0.9 2014 |
-6.2 2015 |
-10.6 2022 |
-7.9 2018 |
-2.0 2021 |
-8.9 2018 |
Monthly Seasonality over the period Dec 2012 - Nov 2023
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.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 2013 - 30 November 2023 (10 Years)
Data Source: 1 November 2012 - 30 November 2023 (~11 years)
79 Positive Months (66%) - 41 Negative Months (34%)
90 Positive Months (68%) - 43 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to April 2022, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.
In particular, the series derived from equivalent datasets are:
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- CAPE - DoubleLine Shiller U.S. Equities ETF, 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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10 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Cape US Sector Value | +13.36 | 15.80 | -21.00 | 100 | 0 | 0 | ||
The following portfolios share asset allocation strategy and/or similar asset weights.
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5 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Cape US Sector Value | +13.49 | 19.60 | -21.00 | 100 | 0 | 0 | ||
| US Stocks ESG | +12.59 | 19.66 | -27.79 | 100 | 0 | 0 | ||
| US Stocks | +11.71 | 19.38 | -24.81 | 100 | 0 | 0 | ||
| US Stocks Value | +10.48 | 19.42 | -26.06 | 100 | 0 | 0 | ||
| US Stocks Equal Weight | +9.86 | 20.93 | -26.65 | 100 | 0 | 0 | ||
| US Stocks Minimum Volatility | +8.15 | 15.13 | -19.06 | 100 | 0 | 0 | ||
| US Stocks Momentum | +8.09 | 18.85 | -30.16 | 100 | 0 | 0 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 10 Years and Very High Risk categorization.
Swipe left to see all data
10 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +17.35 | 18.35 | -32.58 | 100 | 0 | 0 | ||
| US Stocks Momentum | +11.25 | 15.49 | -30.16 | 100 | 0 | 0 | ||
| US Stocks | +11.16 | 15.49 | -24.81 | 100 | 0 | 0 | ||
| Warren Buffett Portfolio | +10.69 | 13.69 | -23.08 | 90 | 10 | 0 | ||
| Dedalo Three | +10.15 | 15.23 | -25.03 | 100 | 0 | 0 | ||
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