Dedalo Invest Dedalo Eleven Euro Portfolio: ETF allocation and returns

Data Source: from October 1989 to May 2024 (~35 years)
Consolidated Returns as of 31 May 2024
Currency: EUR

The Dedalo Invest Dedalo Eleven Euro Portfolio can be implemented with 11 ETFs. 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: 80% on the Stock Market, 20% 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 20% allocation to bonds, leading to its classification as very high risk.

In the last 30 Years, the Dedalo Invest Dedalo Eleven Euro Portfolio obtained a 7.60% compound annual return, with a 12.17% standard deviation. It suffered a maximum drawdown of -40.74% that required 53 months to be recovered.

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  • Model portfolios.

Portfolio Overview

The Dedalo Eleven Lazy portfolio, in its original composition for EU investors, is composed by 11 ETFs. In its US version, it can be implemented with only 9 ETFs.

The portfolio is described in detail in the official Dedalo Invest page.

Asset Allocation and ETFs

The Dedalo Invest Dedalo Eleven Euro Portfolio has the following asset allocation:

80% Stocks
20% Fixed Income
0% Commodities

The Dedalo Invest Dedalo Eleven Euro Portfolio can be implemented with the following ETFs:

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
24.00
SXRT.DE
EUR iShares Core EURO STOXX 50 Equity, Eurozone, Large Cap (EUR)
20.00
XD9U.DE
EUR Xtrackers MSCI USA Equity, U.S., Large Cap (USD)
12.00
XD9E.DE
EUR Xtrackers MSCI USA EUR Hedged Equity, U.S., Large Cap (USD)
8.00
IS3N.DE
EUR iShares Core MSCI Emerg. Markets Equity, Emerging Markets, Large Cap (USD)
4.00
18MN.DE
EUR Amundi MSCI Switzerland Equity, Switzerland, Large Cap (CHF)
4.00
LCUJ.DE
EUR Amundi MSCI Japan Equity, Japan, Large Cap (JPY)
4.00
SXR1.DE
EUR iShares Core MSCI Pacific ex Japan Equity, Developed Asia Pacific, Large Cap (USD)
4.00
SXRW.DE
EUR iShares Core FTSE 100 UCITS ETF Equity, United Kingdom, Large Cap (GBP)
7.00
DBZB.DE
EUR
Hedged
Xtrackers Global Government Bond Eur Hedged Bond, Global, All-Term (Mix)
7.00
XGIN.DE
EUR
Hedged
Xtrackers II Global Inflation-Linked Bond EUR Hedged Bond, Developed Markets, All-Term (Mix)
6.00
IS3C.DE
EUR
Hedged
iShares J.P. Morgan EM Bond Eur Hedged Bond, Emerging Markets, All-Term (Mix)

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, 2024

The Dedalo Invest Dedalo Eleven Euro Portfolio guaranteed the following returns.

Returns are calculated in EUR, assuming:
DEDALO INVEST DEDALO ELEVEN EURO PORTFOLIO
Consolidated returns as of 31 May 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~35Y)
Dedalo Invest Dedalo Eleven Euro Portfolio n.a. n.a. 1.55 11.67 16.39 8.64 7.16 7.60 7.91
Euro Inflation Adjusted return 1.55 9.73 13.71 4.79 4.74 5.43 5.51
Components
SXRT.DE
EUR iShares Core EURO STOXX 50 n.a. - n.a. 2.18 16.44 21.70 11.76 7.59 6.32 5.89
XD9U.DE
EUR Xtrackers MSCI USA n.a. - n.a. 0.94 15.66 24.65 15.57 14.67 10.74 10.27
XD9E.DE
EUR Xtrackers MSCI USA EUR Hedged n.a. - n.a. 2.24 14.07 24.25 12.38 10.15 9.58 9.90
IS3N.DE
EUR iShares Core MSCI Emerg. Markets n.a. - n.a. -0.75 8.34 12.48 4.92 5.26 5.37 8.41
18MN.DE
EUR Amundi MSCI Switzerland n.a. - n.a. 6.28 8.20 6.47 6.04 5.35 7.77 7.85
LCUJ.DE
EUR Amundi MSCI Japan n.a. - n.a. -0.13 11.76 16.99 8.05 -33.15 -12.57 -11.14
SXR1.DE
EUR iShares Core MSCI Pacific ex Japan n.a. - n.a. 2.14 10.20 8.84 3.98 5.42 5.52 7.16
SXRW.DE
EUR iShares Core FTSE 100 UCITS ETF n.a. - n.a. 2.30 14.47 16.26 7.44 5.33 6.79 6.14
DBZB.DE
EUR
Hedged
Xtrackers Global Government Bond Eur Hedged n.a. - n.a. 0.33 0.49 -0.81 -2.56 -0.36 2.70 3.25
XGIN.DE
EUR
Hedged
Xtrackers II Global Inflation-Linked Bond EUR Hedged n.a. - n.a. 1.04 1.62 0.23 -1.68 0.45 3.93 4.28
IS3C.DE
EUR
Hedged
iShares J.P. Morgan EM Bond Eur Hedged n.a. - n.a. 1.97 5.21 7.95 -1.94 0.07 8.17 9.05
Returns over 1 year are annualized | Available data source: since Oct 1989
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.35% , 5Y: 3.67% , 10Y: 2.31% , 30Y: 2.06%

Capital Growth as of May 31, 2024

An investment of 1€, since June 1994, now would be worth 9.00€, with a total return of 799.68% (7.60% annualized).

The Inflation Adjusted Capital now would be 4.88€, with a net total return of 388.35% (5.43% annualized).
An investment of 1€, since October 1989, now would be worth 14.01€, with a total return of 1301.30% (7.91% annualized).

The Inflation Adjusted Capital now would be 6.42€, with a net total return of 541.51% (5.51% annualized).

Portfolio Metrics as of May 31, 2024

Metrics of Dedalo Invest Dedalo Eleven Euro Portfolio, updated as of 31 May 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.

Metrics are calculated based on monthly returns, assuming:
DEDALO INVEST DEDALO ELEVEN EURO PORTFOLIO
Advanced Metrics
Data Source: 1 October 1989 - 31 May 2024 (~35 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~35Y)
Investment Return (%) 1.55 2.75 11.67 16.39 5.62 8.64 7.16 7.20 7.60 7.91
Infl. Adjusted Return (%)
1.55 1.39 9.73 13.71 0.14 4.79 4.74 5.00 5.43 5.51
Euro Inflation (%) 0.00 1.34 1.78 2.35 5.48 3.67 2.31 2.09 2.06 2.28
Pending updates, the monthly inflation of May 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.12 -17.30 -17.48 -17.48 -40.74 -40.74 -40.74
Start to Recovery (# months)
5 25 11 11 53 53 53
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 9 3 3 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 16 8 8 37 37 37
End (yyyy mm) 2023 12 2024 01 2020 11 2020 11 2012 03 2012 03 2012 03
Longest Drawdown Depth (%)
same

same
-17.30 -17.30
same
-37.40 -37.40
Start to Recovery (# months)
25 25 61 61
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 09 2000 09
Start to Bottom (# months) 3 9 9 9 16 31 31
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2003 03 2003 03
Bottom to End (# months) 2 16 16 16 37 30 30
End (yyyy mm) 2023 12 2024 01 2024 01 2024 01 2012 03 2005 09 2005 09
Longest negative period (# months)
5 29 29 37 68 119 119
Period Start (yyyy mm) 2023 06 2021 06 2021 06 2017 03 2006 02 1999 05 1999 05
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2011 09 2009 03 2009 03
Annualized Return (%) -4.41 -0.27 -0.27 -0.72 -0.13 0.00 0.00
Deepest Drawdown Depth (%) -8.00 -23.47 -23.47 -23.47 -41.96 -41.96 -41.96
Start to Recovery (# months)
5 29* 29* 29* 64 64 64
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 20 20 20 48 48 48
End (yyyy mm) 2023 12 - - - 2013 02 2013 02 2013 02
Longest Drawdown Depth (%)
same

same

same

same

same
-41.17 -41.17
Start to Recovery (# months)
76 76
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 09 2000 09
Start to Bottom (# months) 3 9 9 9 16 31 31
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2003 03 2003 03
Bottom to End (# months) 2 20 20 20 48 45 45
End (yyyy mm) 2023 12 - - - 2013 02 2006 12 2006 12
Longest negative period (# months)
5 35 47 61 77 149 149
Period Start (yyyy mm) 2023 06 2021 06 2019 12 2015 03 2006 01 2000 01 2000 01
Period End (yyyy mm) 2023 10 2024 04 2023 10 2020 03 2012 05 2012 05 2012 05
Annualized Return (%) -6.95 -0.39 -0.69 -0.11 -0.08 -0.14 -0.14
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.74 11.60 12.56 11.27 11.19 12.17 12.21
Sharpe Ratio 1.13 0.24 0.53 0.52 0.52 0.44 0.32
Sortino Ratio 1.52 0.33 0.70 0.69 0.68 0.57 0.42
Ulcer Index 2.46 7.42 6.75 5.76 9.50 11.82 11.38
Ratio: Return / Standard Deviation 1.68 0.48 0.69 0.64 0.64 0.62 0.65
Ratio: Return / Deepest Drawdown 2.30 0.32 0.49 0.41 0.18 0.19 0.19
Positive Months (%)
66.66 58.33 63.33 63.33 65.00 62.77 62.98
Positive Months 8 21 38 76 156 226 262
Negative Months 4 15 22 44 84 134 154
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 7.16 11.19 11.19 17.52
Worst 10 Years Return (%) - Annualized 4.73 0.65 0.65
Best 10 Years Return (%) - Annualized 4.74 9.81 9.81 14.71
Worst 10 Years Return (%) - Annualized 3.25 -1.44 -1.44
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 48.68 27.43 23.80 11.19 9.15 7.60
Worst Rolling Return (%) - Annualized -31.97 -13.65 -2.20 0.65 3.65
Positive Periods (%) 75.3 83.0 94.3 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 46.50 25.29 21.84 9.81 7.20 5.43
Worst Rolling Return (%) - Annualized -33.55 -15.64 -4.24 -1.44 1.97
Positive Periods (%) 71.3 78.1 82.0 91.7 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
5.11 7.99 10.11 19.13 23.21 1.55 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 6.57 10.52 13.69 25.04 33.80 6.11 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
7.50 12.14 15.98 31.45 41.07 10.48 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 9.03 14.78 19.71 31.75 44.68 11.04 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 80.02 25.02 15.10 8.11 4.93 7.35
Perpetual Withdrawal Rate (%) --- --- --- --- 1.61 5.85
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Oct 1989 - May 2024)
Best Rolling Return (%) - Annualized 48.68 27.43 23.80 17.52 9.36 8.84
Worst Rolling Return (%) - Annualized -31.97 -13.65 -2.20 0.65 3.65 7.02
Positive Periods (%) 75.5 85.5 95.2 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 46.50 25.29 21.84 14.71 7.20 6.85
Worst Rolling Return (%) - Annualized -33.55 -15.64 -4.24 -1.44 1.97 4.84
Positive Periods (%) 71.6 81.1 84.8 93.2 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
5.10 7.95 10.01 16.02 17.69 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 6.56 10.48 13.59 23.96 31.78 5.26 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
7.50 12.11 15.89 30.76 38.58 10.32 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 9.03 14.76 19.64 31.65 43.47 10.85 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 80.02 25.02 15.10 8.11 4.93 6.52
Perpetual Withdrawal Rate (%) --- --- --- --- 1.61 4.98
% based on initial capital, inflation-adj. monthly withdrawals afterwards | 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.
  • 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.
  • 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 two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 May 2024
Swipe left to see all data

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.

DEDALO INVEST DEDALO ELEVEN EURO PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 October 1989 - 31 May 2024 (~35 years)
Inflation Adjusted:
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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.

DEDALO INVEST DEDALO ELEVEN EURO PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 October 1989 - 31 May 2024 (~35 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the Dedalo Invest Dedalo Eleven Euro Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Dedalo Invest Dedalo Eleven Euro 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 Returns

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

DEDALO INVEST DEDALO ELEVEN EURO PORTFOLIO
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 October 1989 - 31 May 2024 (~35 years)
226 Positive Months (63%) - 134 Negative Months (37%)
262 Positive Months (63%) - 154 Negative Months (37%)
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(Scroll down to see all data)
Investment Returns, up to April 2018, 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:
  • iShares Core EURO STOXX 50 (SXRT.DE), up to April 2010
  • Xtrackers MSCI USA (XD9U.DE), up to May 2014
  • Xtrackers MSCI USA EUR Hedged (XD9E.DE), up to April 2018
  • iShares Core MSCI Emerg. Markets (IS3N.DE), up to July 2014
  • Amundi MSCI Switzerland (18MN.DE), up to May 2014
  • Amundi MSCI Japan (LCUJ.DE), up to February 2018
  • iShares Core MSCI Pacific ex Japan (SXR1.DE), up to May 2014
  • iShares Core FTSE 100 UCITS ETF (SXRW.DE), up to May 2014
  • Xtrackers Global Government Bond Eur Hedged (DBZB.DE), up to November 2008
  • Xtrackers II Global Inflation-Linked Bond EUR Hedged (XGIN.DE), up to May 2014
  • iShares J.P. Morgan EM Bond Eur Hedged (IS3C.DE), up to August 2015
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