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

Data Source: from November 2012 to February 2024 (~11 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.18%
1 Day
Mar 01 2024
0.18%
Current Month
March 2024

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 14.01% compound annual return, with a 15.76% standard deviation.

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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 Feb 29, 2024

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.
  • the actual US Inflation rates.
ROBERT SHILLER CAPE US SECTOR VALUE 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 MAX
(~11Y)
Robert Shiller Cape US Sector Value Portfolio 0.18 0.18 4.23 10.71 22.45 14.78 14.01 15.48
US Inflation Adjusted return 4.23 9.45 19.22 10.26 10.93 12.56
Returns over 1 year are annualized | Available data source: since Nov 2012
(*) 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%

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 Feb 29, 2024

An investment of 1$, since March 2014, now would be worth 3.71$, with a total return of 270.95% (14.01% annualized).

The Inflation Adjusted Capital now would be 2.82$, with a net total return of 182.15% (10.93% annualized).
An investment of 1$, since November 2012, now would be worth 5.11$, with a total return of 410.98% (15.48% annualized).

The Inflation Adjusted Capital now would be 3.82$, with a net total return of 282.20% (12.56% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Robert Shiller Cape US Sector Value Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO
Advanced Metrics
Data Source: 1 November 2012 - 29 February 2024 (~11 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~11Y)
Investment Return (%) 4.23 8.78 10.71 22.45 11.18 14.78 14.01 15.48
Infl. Adjusted Return (%) details 4.23 8.19 9.45 19.22 5.37 10.26 10.93 12.56
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.60
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 MAX
Deepest Drawdown Depth (%) -8.27 -20.07 -21.00 -21.00 -21.00
Start to Recovery (# months) details 5 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) 2 10 4 4 4
End (yyyy mm) 2023 12 2023 07 2020 07 2020 07 2020 07
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-20.07 -20.07 -20.07
Start to Recovery (# months) details 19 19 19
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) 2 10 10 10 10
End (yyyy mm) 2023 12 2023 07 2023 07 2023 07 2023 07
Longest negative period (# months) details 4 26 26 26 26
Period Start (yyyy mm) 2023 07 2021 09 2021 09 2018 02 2018 02
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2020 03
Annualized Return (%) -13.73 -1.72 -1.72 -2.29 -2.29
Deepest Drawdown Depth (%) -9.14 -24.50 -24.50 -24.50 -24.50
Start to Recovery (# months) details 5 30 30 30 30
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2024 02
Longest Drawdown Depth (%)
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 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2024 02
Longest negative period (# months) details 4 32 32 32 32
Period Start (yyyy mm) 2023 07 2021 03 2021 03 2021 03 2021 03
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -16.67 -0.16 -0.16 -0.16 -0.16
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 14.51 18.48 18.89 15.76 15.27
Sharpe Ratio 1.19 0.48 0.69 0.81 0.75
Sortino Ratio 1.82 0.66 0.92 1.10 1.01
Ulcer Index 3.03 7.47 6.85 5.41 5.11
Ratio: Return / Standard Deviation 1.55 0.60 0.78 0.89 1.01
Ratio: Return / Deepest Drawdown 2.71 0.56 0.70 0.67 0.74
% Positive Months details 58% 55% 61% 65% 67%
Positive Months 7 20 37 79 92
Negative Months 5 16 23 41 44
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 14.01 15.31
Worst 10 Years Return (%) - Annualized 12.71
Best 10 Years Return (%) - Annualized 10.93 12.39
Worst 10 Years Return (%) - Annualized 9.65
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 62.89 26.51 19.92 14.01
Worst Rolling Return (%) - Annualized -15.62 4.34 8.27
% Positive Periods 84% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.68 34.77 23.65 16.48
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - 2.62 6.06 10.64
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 58.73 22.15 16.85 10.93
Worst Rolling Return (%) - Annualized -20.70 2.39 6.10
% Positive Periods 82% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.68 34.77 23.65 16.48
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - 2.62 6.06 10.64
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Nov 2012 - Feb 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 86% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.68 34.77 23.65 16.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - 2.62 6.06 10.02
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 58.73 22.15 16.85 12.39
Worst Rolling Return (%) - Annualized -20.70 2.39 6.10 9.65
% Positive Periods 84% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.68 34.77 23.65 16.37
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - 2.62 6.06 10.02
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.

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 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 November 2012 - 29 February 2024 (~11 years)
Inflation Adjusted:
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 Dec 2023 2 5 4.42
-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
-3.14% 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
-2.03% Nov 2021 Nov 2021 1 Dec 2021 1 2 1.17
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 58 2.1 Months 47.93%
 
DD = 0% 47.93%
 
0% < DD <= -5% 32 3.8 Months 26.45%
 
DD <= -5% 74.38%
 
-5% < DD <= -10% 23 5.3 Months 19.01%
 
DD <= -10% 93.39%
 
-10% < DD <= -15% 3 40.3 Months 2.48%
 
DD <= -15% 95.87%
 
-15% < DD <= -20% 3 40.3 Months 2.48%
 
DD <= -20% 98.35%
 
-20% < DD <= -25% 2 60.5 Months 1.65%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
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
-24.50% Sep 2021 Sep 2022 13 Feb 2024 17 30 12.24
-20.86% Jan 2020 Mar 2020 3 Jul 2020 4 7 9.32
-15.47% Oct 2018 Dec 2018 3 Apr 2019 4 7 7.47
-9.11% Mar 2015 Sep 2015 7 Dec 2015 3 10 3.59
-6.11% Feb 2018 Apr 2018 3 Jul 2018 3 6 3.84
-5.99% May 2019 May 2019 1 Jun 2019 1 2 3.46
-4.53% Jan 2016 Jan 2016 1 Mar 2016 2 3 2.52
-4.35% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.44
-3.36% Oct 2016 Oct 2016 1 Nov 2016 1 2 1.94
-2.13% Aug 2019 Aug 2019 1 Oct 2019 2 3 1.21
-2.06% Sep 2014 Sep 2014 1 Oct 2014 1 2 1.19
-1.84% Dec 2014 Jan 2015 2 Feb 2015 1 3 0.96
-1.53% Apr 2016 Apr 2016 1 May 2016 1 2 0.88
-1.27% Jan 2021 Jan 2021 1 Feb 2021 1 2 0.73
-0.99% Jul 2014 Jul 2014 1 Aug 2014 1 2 0.57
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 49 2.5 Months 40.50%
 
DD = 0% 40.50%
 
0% < DD <= -5% 36 3.4 Months 29.75%
 
DD <= -5% 70.25%
 
-5% < DD <= -10% 18 6.7 Months 14.88%
 
DD <= -10% 85.12%
 
-10% < DD <= -15% 7 17.3 Months 5.79%
 
DD <= -15% 90.91%
 
-15% < DD <= -20% 7 17.3 Months 5.79%
 
DD <= -20% 96.69%
 
-20% < DD <= -25% 4 30.3 Months 3.31%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
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
-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 Dec 2023 2 5 4.42
-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 (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 71 1.9 Months 51.82%
 
DD = 0% 51.82%
 
0% < DD <= -5% 35 3.9 Months 25.55%
 
DD <= -5% 77.37%
 
-5% < DD <= -10% 23 6.0 Months 16.79%
 
DD <= -10% 94.16%
 
-10% < DD <= -15% 3 45.7 Months 2.19%
 
DD <= -15% 96.35%
 
-15% < DD <= -20% 3 45.7 Months 2.19%
 
DD <= -20% 98.54%
 
-20% < DD <= -25% 2 68.5 Months 1.46%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
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
-24.50% Sep 2021 Sep 2022 13 Feb 2024 17 30 12.24
-20.86% Jan 2020 Mar 2020 3 Jul 2020 4 7 9.32
-15.47% Oct 2018 Dec 2018 3 Apr 2019 4 7 7.47
-9.11% Mar 2015 Sep 2015 7 Dec 2015 3 10 3.59
-6.11% Feb 2018 Apr 2018 3 Jul 2018 3 6 3.84
-5.99% May 2019 May 2019 1 Jun 2019 1 2 3.46
-4.53% Jan 2016 Jan 2016 1 Mar 2016 2 3 2.52
-4.35% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.44
-4.07% Jan 2014 Jan 2014 1 Feb 2014 1 2 2.35
-3.36% Oct 2016 Oct 2016 1 Nov 2016 1 2 1.94
-3.22% Aug 2013 Aug 2013 1 Sep 2013 1 2 1.86
-2.52% Jun 2013 Jun 2013 1 Jul 2013 1 2 1.46
-2.13% Aug 2019 Aug 2019 1 Oct 2019 2 3 1.21
-2.06% Sep 2014 Sep 2014 1 Oct 2014 1 2 1.19
-1.84% Dec 2014 Jan 2015 2 Feb 2015 1 3 0.96
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 62 2.2 Months 45.26%
 
DD = 0% 45.26%
 
0% < DD <= -5% 39 3.5 Months 28.47%
 
DD <= -5% 73.72%
 
-5% < DD <= -10% 18 7.6 Months 13.14%
 
DD <= -10% 86.86%
 
-10% < DD <= -15% 7 19.6 Months 5.11%
 
DD <= -15% 91.97%
 
-15% < DD <= -20% 7 19.6 Months 5.11%
 
DD <= -20% 97.08%
 
-20% < DD <= -25% 4 34.3 Months 2.92%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
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%
 

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 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 November 2012 - 29 February 2024 (~11 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 -15.62 01/2022
12/2022
0.84$ -1.00 0.98$ 12.72 1.12$ 26.95 1.26$ 62.89 04/2020
03/2021
1.62$ 22.45 15.60%
2Y -1.92 11/2021
10/2023
0.96$ 5.94 1.12$ 12.74 1.27$ 22.15 1.49$ 37.58 04/2020
03/2022
1.89$ 8.52 1.03%
3Y 4.34 04/2017
03/2020
1.13$ 11.24 1.37$ 14.69 1.50$ 19.15 1.69$ 26.51 01/2019
12/2021
2.02$ 11.18 0.00%
5Y 8.27 04/2015
03/2020
1.48$ 11.44 1.71$ 13.54 1.88$ 17.93 2.28$ 19.92 11/2016
10/2021
2.47$ 14.78 0.00%
7Y 12.98 10/2016
09/2023
2.35$ 13.56 2.43$ 14.72 2.61$ 16.33 2.88$ 16.84 09/2014
08/2021
2.97$ 13.72 0.00%
10Y 14.01 03/2014
02/2024
3.70$ 14.01 3.70$ 14.01 3.70$ 14.01 3.70$ 14.01 03/2014
02/2024
3.70$ 14.01 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 -20.70 01/2022
12/2022
0.79$ -3.25 0.96$ 10.40 1.10$ 22.99 1.22$ 58.73 04/2020
03/2021
1.58$ 19.22 17.43%
2Y -7.01 11/2021
10/2023
0.86$ 1.14 1.02$ 10.20 1.21$ 18.58 1.40$ 30.36 04/2020
03/2022
1.69$ 4.02 13.40%
3Y 2.39 04/2017
03/2020
1.07$ 6.70 1.21$ 12.42 1.42$ 15.13 1.52$ 22.15 01/2019
12/2021
1.82$ 5.37 0.00%
5Y 6.10 10/2018
09/2023
1.34$ 7.52 1.43$ 11.42 1.71$ 15.43 2.04$ 16.85 05/2016
04/2021
2.17$ 10.26 0.00%
7Y 9.14 10/2016
09/2023
1.84$ 9.79 1.92$ 11.26 2.11$ 14.05 2.51$ 14.55 09/2014
08/2021
2.58$ 9.91 0.00%
10Y 10.93 03/2014
02/2024
2.82$ 10.93 2.82$ 10.93 2.82$ 10.93 2.82$ 10.93 03/2014
02/2024
2.82$ 10.93 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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$ 1.49 1.01$ 15.90 1.15$ 26.95 1.26$ 62.89 04/2020
03/2021
1.62$ 22.45 13.60%
2Y -1.92 11/2021
10/2023
0.96$ 7.55 1.15$ 13.05 1.27$ 22.22 1.49$ 37.58 04/2020
03/2022
1.89$ 8.52 0.88%
3Y 4.34 04/2017
03/2020
1.13$ 11.41 1.38$ 14.62 1.50$ 17.97 1.64$ 26.51 01/2019
12/2021
2.02$ 11.18 0.00%
5Y 8.27 04/2015
03/2020
1.48$ 11.72 1.74$ 14.12 1.93$ 17.93 2.28$ 19.92 11/2016
10/2021
2.47$ 14.78 0.00%
7Y 11.24 04/2013
03/2020
2.10$ 13.22 2.38$ 14.69 2.61$ 16.33 2.88$ 16.84 09/2014
08/2021
2.97$ 13.72 0.00%
10Y 12.71 11/2013
10/2023
3.30$ 13.36 3.50$ 14.14 3.75$ 14.48 3.86$ 15.31 12/2012
11/2022
4.15$ 14.01 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 -20.70 01/2022
12/2022
0.79$ -1.98 0.98$ 13.41 1.13$ 23.54 1.23$ 58.73 04/2020
03/2021
1.58$ 19.22 15.20%
2Y -7.01 11/2021
10/2023
0.86$ 2.75 1.05$ 10.93 1.23$ 19.49 1.42$ 30.36 04/2020
03/2022
1.69$ 4.02 11.50%
3Y 2.39 04/2017
03/2020
1.07$ 7.08 1.22$ 12.61 1.42$ 15.27 1.53$ 22.15 01/2019
12/2021
1.82$ 5.37 0.00%
5Y 6.10 10/2018
09/2023
1.34$ 7.96 1.46$ 11.83 1.74$ 15.50 2.05$ 16.85 05/2016
04/2021
2.17$ 10.26 0.00%
7Y 9.14 10/2016
09/2023
1.84$ 9.81 1.92$ 11.90 2.19$ 14.07 2.51$ 14.92 01/2013
12/2019
2.64$ 9.91 0.00%
10Y 9.65 11/2013
10/2023
2.51$ 10.29 2.66$ 11.06 2.85$ 11.44 2.95$ 12.39 12/2012
11/2022
3.21$ 10.93 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.
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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
0.65
25%
-0.82
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%
1.81
80%
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
5.5
2023
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
-7.3
2022
Monthly Seasonality over the period Dec 2012 - Feb 2024
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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
1.50
44%
0.88
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%
0.16
70%
Best 9.9
2023
5.3
2015
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
5.5
2023
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 - Feb 2024
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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
1.41
45%
1.32
67%
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%
0.33
75%
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
5.5
2023
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 - Feb 2024

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 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 November 2012 - 29 February 2024 (~11 years)
79 Positive Months (66%) - 41 Negative Months (34%)
92 Positive Months (68%) - 44 Negative Months (32%)
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(Scroll down to see all data)
Investment 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:
  • CAPE - 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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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Cape US Sector Value Robert Shiller +14.01 15.76 -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 Author Return Dev.Std Drawdown Stocks Bonds Comm
US Stocks ESG +14.85 18.99 -27.79 100 0 0
US Stocks Quality +14.82 18.90 -27.78 100 0 0
Cape US Sector Value Robert Shiller +14.78 18.89 -21.00 100 0 0
US Stocks +13.82 18.69 -24.81 100 0 0
US Stocks Value +12.23 18.65 -26.06 100 0 0
US Stocks Momentum +12.02 18.90 -30.16 100 0 0
US Stocks Equal Weight +11.35 20.20 -26.65 100 0 0
US Stocks Minimum Volatility +9.15 14.58 -19.06 100 0 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 10 Years and Very High Risk categorization.

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Technology +18.10 18.36 -32.58 100 0 0
US Stocks Quality +12.77 15.43 -27.78 100 0 0
US Stocks Momentum +12.68 15.71 -30.16 100 0 0
US Stocks +11.96 15.49 -24.81 100 0 0
Warren Buffett Portfolio Warren Buffett +11.45 13.68 -23.08 90 10 0
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