Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns

Data Source: from November 2012 to May 2023 (~11 years)
Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
2.13%
1 Day
Jun 02 2023
3.24%
Current Month
June 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 13.25% compound annual return, with a 15.46% standard deviation.

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 ETF Name Investment Themes
100.00
CAPE
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 May 31, 2023

The Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.

Portfolio 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 31 May 2023
Live Update: Jun 02 2023
Swipe left to see all data
    Chg (%) Return (%) Return (%) as of May 31, 2023
    1 Day Time ET(*) Jun 2023 1M 6M 1Y 5Y 10Y MAX
(~11Y)
Robert Shiller Cape US Sector Value Portfolio 2.13 3.24 -1.03 -0.39 -1.50 11.44 13.25 14.45
US Inflation Adjusted return -1.03 -2.24 -5.10 7.34 10.30 11.55
Components
CAPE
DoubleLine Shiller U.S. Equities ETF 2.13 Jun 02 2023 3.24 -1.03 -0.39 -1.50 11.44 13.25 14.45
Returns over 1 year are annualized | Available data source: since Nov 2012
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Apr 2023. Waiting for updates, inflation of May 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.79% , 5Y: 3.81% , 10Y: 2.68%
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.

Portfolio Metrics as of May 31, 2023

Metrics of Robert Shiller Cape US Sector Value Portfolio, updated as of 31 May 2023.

Portfolio 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
Portfolio Metrics
Data Source: 1 November 2012 - 31 May 2023 (~11 years)
Swipe left to see all data
Metrics as of May 31, 2023
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~11Y)
Portfolio Return (%) -1.03 -0.04 -0.39 -1.50 14.10 11.44 13.25 14.45
US Inflation (%) 0.00 0.84 1.90 3.79 5.77 3.81 2.68 2.60
Infl. Adjusted Return (%) -1.03 -0.87 -2.24 -5.10 7.88 7.34 10.30 11.55
Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 24.61 18.51 19.20 15.46 15.17
Sharpe Ratio -0.19 0.71 0.53 0.81 0.69
Sortino Ratio -0.27 0.98 0.70 1.08 0.92
MAXIMUM DRAWDOWN
Drawdown Depth (%) -13.88 -20.07 -21.00 -21.00 -21.00
Start (yyyy mm) 2022 08 2022 01 2020 02 2020 02 2020 02
Bottom (yyyy mm) 2022 09 2022 09 2020 03 2020 03 2020 03
Start to Bottom (# months) 2 9 2 2 2
Start to Recovery (# months) in progress
> 10
> 17
6
6
6
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 62.89 26.51 19.92 15.31
Worst Return (%) -15.62 4.34 8.27 13.25
% Positive Periods 85% 100% 100% 100%
MONTHS
Positive 0 2 3 6 21 39 80 87
Negative 1 1 3 6 15 21 40 40
% Positive 0% 67% 50% 50% 58% 65% 67% 69%
WITHDRAWAL RATES (WR)
Safe WR (%) 44.31 25.54 17.65 17.33
Perpetual WR (%) 7.31 6.84 9.34 10.36
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
  • 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).
  • Maximum Drawdown: 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.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative 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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Capital Growth as of May 31, 2023

An investment of 1000$, since June 2013, now would be worth 3471.71$, with a total return of 247.17% (13.25% annualized).

The Inflation Adjusted Capital now would be 2665.84$, with a net total return of 166.58% (10.30% annualized).
An investment of 1000$, since November 2012, now would be worth 4171.53$, with a total return of 317.15% (14.45% annualized).

The Inflation Adjusted Capital now would be 3180.83$, with a net total return of 218.08% (11.55% annualized).

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
Updated to May 2023
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-21.00% Feb 2020 Mar 2020 2 Jul 2020 4 6
-20.07% Jan 2022 Sep 2022 9 in progress 8 17
-15.27% Oct 2018 Dec 2018 3 Apr 2019 4 7
-8.74% Aug 2015 Sep 2015 2 Oct 2015 1 3
-5.96% May 2019 May 2019 1 Jun 2019 1 2
-5.62% Feb 2018 Mar 2018 2 Jul 2018 4 6
-5.00% Sep 2021 Sep 2021 1 Oct 2021 1 2
-4.58% Jan 2016 Jan 2016 1 Mar 2016 2 3
-4.02% Sep 2020 Oct 2020 2 Nov 2020 1 3
-3.84% Jan 2014 Jan 2014 1 Feb 2014 1 2
-3.14% Oct 2016 Oct 2016 1 Nov 2016 1 2
-2.99% Aug 2013 Aug 2013 1 Sep 2013 1 2
-2.77% Dec 2014 Jan 2015 2 Feb 2015 1 3
-2.29% Jun 2013 Jun 2013 1 Jul 2013 1 2
-2.05% Sep 2014 Sep 2014 1 Oct 2014 1 2
-2.04% Aug 2019 Aug 2019 1 Oct 2019 2 3
-2.03% Nov 2021 Nov 2021 1 Dec 2021 1 2
-2.02% Mar 2015 Apr 2015 2 Jul 2015 3 5
-1.15% Apr 2016 Apr 2016 1 May 2016 1 2
-1.07% Jan 2021 Jan 2021 1 Feb 2021 1 2
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-21.00% Feb 2020 Mar 2020 2 Jul 2020 4 6
-20.07% Jan 2022 Sep 2022 9 in progress 8 17
-15.27% Oct 2018 Dec 2018 3 Apr 2019 4 7
-8.74% Aug 2015 Sep 2015 2 Oct 2015 1 3
-5.96% May 2019 May 2019 1 Jun 2019 1 2
-5.62% Feb 2018 Mar 2018 2 Jul 2018 4 6
-5.00% Sep 2021 Sep 2021 1 Oct 2021 1 2
-4.58% Jan 2016 Jan 2016 1 Mar 2016 2 3
-4.02% Sep 2020 Oct 2020 2 Nov 2020 1 3
-3.84% Jan 2014 Jan 2014 1 Feb 2014 1 2
-3.14% Oct 2016 Oct 2016 1 Nov 2016 1 2
-2.99% Aug 2013 Aug 2013 1 Sep 2013 1 2
-2.77% Dec 2014 Jan 2015 2 Feb 2015 1 3
-2.29% Jun 2013 Jun 2013 1 Jul 2013 1 2
-2.05% Sep 2014 Sep 2014 1 Oct 2014 1 2
-2.04% Aug 2019 Aug 2019 1 Oct 2019 2 3
-2.03% Nov 2021 Nov 2021 1 Dec 2021 1 2
-2.02% Mar 2015 Apr 2015 2 Jul 2015 3 5
-1.15% Apr 2016 Apr 2016 1 May 2016 1 2
-1.07% Jan 2021 Jan 2021 1 Feb 2021 1 2

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
Data Source: from November 2012 to May 2023
Swipe left to see all data
Rolling
Period		 Annualized Return (%) Negative
Periods
Average Latest Best Worst
1 Year
 15.09 -1.50 62.89
Apr 2020 - Mar 2021 		-15.62
Jan 2022 - Dec 2022 		14.66%
2 Years
 15.23 0.18 37.58
Apr 2020 - Mar 2022 		0.18
Jun 2021 - May 2023 		0.00%
3 Years
 15.05 14.10 26.51
Jan 2019 - Dec 2021 		4.34
Apr 2017 - Mar 2020 		0.00%
5 Years
 14.83 11.44 19.92
Nov 2016 - Oct 2021 		8.27
Apr 2015 - Mar 2020 		0.00%
7 Years
 14.91 13.56 16.84
Sep 2014 - Aug 2021 		11.24
Apr 2013 - Mar 2020 		0.00%
10 Years
 14.33 13.25 15.31
Dec 2012 - Nov 2022 		13.25
Jun 2013 - May 2023 		0.00%
Annualized rolling and average 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.
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
60%
-0.96
40%
-0.36
80%
3.60
80%
-0.41
40%
0.30
80%
4.98
100%
1.78
60%
-2.99
40%
1.03
60%
4.16
80%
-1.07
60%
 Capital Growth on monthly avg returns
100
102.68
101.69
101.32
104.97
104.53
104.85
110.07
112.03
108.69
109.80
114.37
113.15
Best 9.9
2023 		4.4
2021 		4.3
2021 		11.7
2020 		5.6
2020 		6.5
2019 		11.7
2022 		6.7
2020 		1.5
2018 		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 		-7.9
2018 		-2.0
2021 		-8.9
2018
Monthly Seasonality over the period Jun 2018 - May 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
1.23
50%
1.01
60%
0.01
60%
2.05
70%
0.84
70%
0.26
60%
3.73
90%
0.39
60%
-1.45
50%
2.19
70%
3.71
90%
-0.25
70%
 Capital Growth on monthly avg returns
100
101.23
102.24
102.25
104.35
105.23
105.51
109.44
109.87
108.27
110.65
114.75
114.46
Best 9.9
2023 		5.5
2014 		6.0
2016 		11.7
2020 		5.6
2020 		6.5
2019 		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 Jun 2013 - May 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
55%
1.06
64%
0.30
64%
1.94
73%
1.26
73%
0.26
60%
3.73
90%
0.39
60%
-1.45
50%
2.19
70%
3.44
91%
-0.14
73%
 Capital Growth on monthly avg returns
100
101.64
102.71
103.03
105.03
106.36
106.63
110.61
111.04
109.43
111.83
115.68
115.52
Best 9.9
2023 		5.5
2014 		6.0
2016 		11.7
2020 		5.6
2020 		6.5
2019 		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 Nov 2012 - May 2023

Monthly/Yearly Returns

Robert Shiller Cape US Sector Value Portfolio data source starts from November 2012: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Nov 2012 - May 2023
87 Positive Months (69%) - 40 Negative Months (31%)
MONTHLY RETURNS TABLE
Nov 2012 - May 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2023
 +7.43 +5.10 9.9 -2.3 0.4 0.6 -1.0
2022
 -15.62 -20.73 -4.5 -1.2 3.9 -3.8 -2.3 -9.7 11.7 -3.7 -10.6 7.1 6.4 -7.3
2021
 +27.80 +19.40 -1.1 4.4 4.3 5.4 1.7 2.0 1.7 4.0 -5.0 5.4 -2.0 4.6
2020
 +19.47 +17.86 0.0 -9.2 -13.0 11.7 5.6 2.2 5.2 6.7 -2.0 -2.1 12.2 3.9
2019
 +32.61 +29.65 9.0 3.5 2.6 4.1 -6.0 6.5 2.2 -2.0 1.2 2.6 3.3 2.3
2018
 -3.51 -5.32 6.3 -2.3 -3.4 0.0 2.7 0.6 4.1 3.9 1.5 -7.9 1.0 -8.9
2017
 +21.38 +18.87 2.9 4.0 0.9 1.9 1.8 -0.2 1.7 0.4 0.0 2.1 3.2 0.9
2016
 +18.06 +15.66 -4.6 2.3 6.0 -1.2 1.9 1.3 5.0 0.8 1.7 -3.1 5.8 1.2
2015
 +4.57 +3.81 -1.9 5.3 -1.5 -0.5 1.9 -0.4 1.1 -6.2 -2.7 9.9 0.2 0.2
2014
 +15.77 +14.90 -3.8 5.5 -0.1 2.3 2.1 2.8 -0.9 2.9 -2.1 2.8 4.4 -0.9
2013
 +33.36 +31.39 5.8 1.6 3.3 0.8 5.5 -2.3 5.4 -3.0 3.4 5.2 2.6 1.3
2012
 - - 0.8 1.0

Portofolio Returns, up to April 2022, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

  • CAPE - DoubleLine Shiller U.S. Equities ETF: simulated historical serie, up to April 2022

Portfolio efficiency

Compared to the Robert Shiller Cape US Sector Value Portfolio, no other portfolio in our database granted a higher return over 10 Years and a less severe drawdown at the same time.

The following portfolios share asset allocation strategy and/or similar asset weights.

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5 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Cape US Sector Value Robert Shiller +11.44 19.20 -21.00 100 0 0
US Stocks +9.99 18.95 -24.81 100 0 0
US Stocks ESG +9.37 19.16 -27.79 100 0 0
US Stocks Value +9.02 18.80 -26.06 100 0 0
US Stocks Equal Weight +8.61 20.33 -26.65 100 0 0
US Stocks Minimum Volatility +8.29 14.99 -19.06 100 0 0
US Stocks Momentum +5.61 18.81 -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 Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Technology +17.93 18.04 -32.58 100 0 0
US Stocks +11.40 15.16 -24.81 100 0 0
US Stocks Momentum +11.37 15.22 -30.16 100 0 0
Warren Buffett Portfolio Warren Buffett +10.82 13.39 -23.08 90 10 0
US Stocks Minimum Volatility +10.21 12.08 -19.06 100 0 0