Consolidated Returns as of 31 May 2023
Live Update: Jun 02 2023
The Dynamic 60/40 Income Portfolio is a High Risk portfolio and can be implemented with 5 ETFs.
It's exposed for 60% on the Stock Market.
In the last 30 Years, the Dynamic 60/40 Income Portfolio obtained a 6.83% compound annual return, with a 9.22% standard deviation.
Asset Allocation and ETFs
The Dynamic 60/40 Income Portfolio has the following asset allocation:
The Dynamic 60/40 Income Portfolio can be implemented with the following ETFs:
Weight (%) | Ticker | ETF Name | Investment Themes |
---|---|---|---|
20.00 |
PFF
|
iShares Preferred and Income Securities ETF | Preferred Stock, U.S. |
20.00 |
VTI
|
Vanguard Total Stock Market | Equity, U.S., Large Cap |
20.00 |
VNQ
|
Vanguard Real Estate | Real Estate, U.S. |
20.00 |
SHY
|
iShares 1-3 Year Treasury Bond | Bond, U.S., Short Term |
20.00 |
HYG
|
iShares iBoxx $ High Yield Corporate Bond | Bond, U.S., Intermediate-Term |
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 Dynamic 60/40 Income Portfolio guaranteed the following returns.
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
Chg (%) | Return (%) | Return (%) as of May 31, 2023 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
1 Day | Time ET(*) | Jun 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~31Y) |
||
Dynamic 60/40 Income Portfolio | 1.15 | 1.61 | -1.48 | -0.83 | -4.63 | 3.97 | 4.90 | 6.83 | 7.21 | ||
US Inflation Adjusted return | -1.48 | -2.68 | -8.11 | 0.15 | 2.17 | 4.21 | 4.56 | ||||
Components | |||||||||||
PFF
|
iShares Preferred and Income Securities ETF | 1.41 | Jun 02 2023 | 1.96 | -2.36 | -2.18 | -7.75 | 1.02 | 2.72 | 5.59 | 6.37 |
VTI
|
Vanguard Total Stock Market | 1.65 | Jun 02 2023 | 2.67 | 0.43 | 2.44 | 2.13 | 9.99 | 11.40 | 9.70 | 9.04 |
VNQ
|
Vanguard Real Estate | 2.44 | Jun 02 2023 | 2.45 | -3.96 | -6.98 | -15.87 | 4.07 | 5.34 | 8.35 | 6.94 |
SHY
|
iShares 1-3 Year Treasury Bond | -0.28 | Jun 02 2023 | -0.13 | -0.38 | 1.41 | -0.24 | 0.88 | 0.65 | 3.03 | 4.43 |
HYG
|
iShares iBoxx $ High Yield Corporate Bond | 0.51 | Jun 02 2023 | 1.12 | -1.23 | 0.38 | -1.98 | 2.06 | 2.93 | 5.40 | 7.36 |
In 2022, the Dynamic 60/40 Income Portfolio granted a 2.82% dividend yield. If you are interested in getting periodic income, please refer to the Dynamic 60/40 Income Portfolio: Dividend Yield page.
Portfolio Metrics as of May 31, 2023
Metrics of Dynamic 60/40 Income Portfolio, updated as of 31 May 2023.
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
Metrics as of May 31, 2023 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~31Y) |
|
Portfolio Return (%) | -1.48 | -0.91 | -0.83 | -4.63 | 3.77 | 3.97 | 4.90 | 6.05 | 6.83 | 7.21 |
US Inflation (%) | 0.00 | 0.84 | 1.90 | 3.79 | 5.77 | 3.81 | 2.68 | 2.55 | 2.51 | 2.54 |
Infl. Adjusted Return (%) | -1.48 | -1.73 | -2.68 | -8.11 | -1.88 | 0.15 | 2.17 | 3.42 | 4.21 | 4.56 |
Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
RISK INDICATORS | ||||||||||
Standard Deviation (%) | 14.03 | 11.02 | 11.28 | 8.82 | 10.53 | 9.22 | 9.06 | |||
Sharpe Ratio | -0.56 | 0.25 | 0.23 | 0.47 | 0.46 | 0.50 | 0.36 | |||
Sortino Ratio | -0.83 | 0.34 | 0.31 | 0.62 | 0.60 | 0.65 | 0.46 | |||
MAXIMUM DRAWDOWN | ||||||||||
Drawdown Depth (%) | -9.50 | -18.21 | -18.21 | -18.21 | -41.44 | -41.44 | -41.44 | |||
Start (yyyy mm) | 2022 08 | 2022 01 | 2022 01 | 2022 01 | 2007 06 | 2007 06 | 2007 06 | |||
Bottom (yyyy mm) | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 2009 02 | |||
Start to Bottom (# months) | 2 | 9 | 9 | 9 | 21 | 21 | 21 | |||
Start to Recovery (# months) in progress |
> 10
|
> 17
|
> 17
|
> 17
|
40
|
40
|
40
|
|||
ROLLING PERIOD RETURNS - Annualized | ||||||||||
Best Return (%) | 57.27 | 24.89 | 18.49 | 11.81 | 8.51 | 8.11 | ||||
Worst Return (%) | -36.55 | -12.45 | -4.51 | 1.60 | 5.95 | 6.83 | ||||
% Positive Periods | 85% | 94% | 98% | 100% | 100% | 100% | ||||
MONTHS | ||||||||||
Positive | 0 | 1 | 2 | 5 | 21 | 39 | 80 | 162 | 244 | 257 |
Negative | 1 | 2 | 4 | 7 | 15 | 21 | 40 | 78 | 116 | 120 |
% Positive | 0% | 33% | 33% | 42% | 58% | 65% | 67% | 68% | 68% | 68% |
WITHDRAWAL RATES (WR) | ||||||||||
Safe WR (%) | 36.29 | 22.00 | 12.40 | 7.65 | 6.81 | 7.60 | ||||
Perpetual WR (%) | 0.00 | 0.15 | 2.12 | 3.31 | 4.04 | 4.36 |
- 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).
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Asset |
PFF
|
VTI
|
VNQ
|
SHY
|
HYG
|
---|---|---|---|---|---|
PFF
|
-
|
0.70
|
0.87
|
0.49
|
0.73
|
VTI
|
0.70
|
-
|
0.92
|
0.64
|
0.94
|
VNQ
|
0.87
|
0.92
|
-
|
0.66
|
0.88
|
SHY
|
0.49
|
0.64
|
0.66
|
-
|
0.70
|
HYG
|
0.73
|
0.94
|
0.88
|
0.70
|
-
|
Asset |
PFF
|
VTI
|
VNQ
|
SHY
|
HYG
|
---|---|---|---|---|---|
PFF
|
-
|
0.79
|
0.83
|
0.14
|
0.83
|
VTI
|
0.79
|
-
|
0.85
|
0.06
|
0.85
|
VNQ
|
0.83
|
0.85
|
-
|
0.08
|
0.78
|
SHY
|
0.14
|
0.06
|
0.08
|
-
|
0.23
|
HYG
|
0.83
|
0.85
|
0.78
|
0.23
|
-
|
Asset |
PFF
|
VTI
|
VNQ
|
SHY
|
HYG
|
---|---|---|---|---|---|
PFF
|
-
|
0.71
|
0.75
|
0.16
|
0.77
|
VTI
|
0.71
|
-
|
0.73
|
0.00
|
0.82
|
VNQ
|
0.75
|
0.73
|
-
|
0.14
|
0.67
|
SHY
|
0.16
|
0.00
|
0.14
|
-
|
0.21
|
HYG
|
0.77
|
0.82
|
0.67
|
0.21
|
-
|
Asset |
PFF
|
VTI
|
VNQ
|
SHY
|
HYG
|
---|---|---|---|---|---|
PFF
|
-
|
0.46
|
0.52
|
0.09
|
0.64
|
VTI
|
0.46
|
-
|
0.62
|
-0.14
|
0.69
|
VNQ
|
0.52
|
0.62
|
-
|
-0.02
|
0.68
|
SHY
|
0.09
|
-0.14
|
-0.02
|
-
|
0.02
|
HYG
|
0.64
|
0.69
|
0.68
|
0.02
|
-
|
Asset |
PFF
|
VTI
|
VNQ
|
SHY
|
HYG
|
---|---|---|---|---|---|
PFF
|
-
|
0.45
|
0.51
|
0.10
|
0.64
|
VTI
|
0.45
|
-
|
0.62
|
-0.14
|
0.68
|
VNQ
|
0.51
|
0.62
|
-
|
-0.01
|
0.68
|
SHY
|
0.10
|
-0.14
|
-0.01
|
-
|
0.04
|
HYG
|
0.64
|
0.68
|
0.68
|
0.04
|
-
|
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
Capital Growth as of May 31, 2023
The Inflation Adjusted Capital now would be 3447.78$, with a net total return of 244.78% (4.21% annualized).
The Inflation Adjusted Capital now would be 4055.00$, with a net total return of 305.50% (4.56% 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.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-41.44% | Jun 2007 | Feb 2009 | 21 | Sep 2010 | 19 | 40 |
-18.21% | Jan 2022 | Sep 2022 | 9 | in progress | 8 | 17 |
-14.24% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 |
-10.41% | Jun 2011 | Sep 2011 | 4 | Jan 2012 | 4 | 8 |
-7.02% | Jul 1998 | Aug 1998 | 2 | Dec 1998 | 4 | 6 |
-6.80% | Feb 1994 | Nov 1994 | 10 | Apr 1995 | 5 | 15 |
-6.80% | Sep 2018 | Dec 2018 | 4 | Feb 2019 | 2 | 6 |
-6.19% | Apr 2002 | Oct 2002 | 7 | Apr 2003 | 6 | 13 |
-4.42% | Apr 2015 | Sep 2015 | 6 | Mar 2016 | 6 | 12 |
-4.29% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
-3.78% | May 2013 | Aug 2013 | 4 | Oct 2013 | 2 | 6 |
-3.60% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
-3.30% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 |
-3.29% | Sep 2001 | Sep 2001 | 1 | Nov 2001 | 2 | 3 |
-3.09% | May 2012 | May 2012 | 1 | Jun 2012 | 1 | 2 |
-2.92% | Aug 2016 | Nov 2016 | 4 | Feb 2017 | 3 | 7 |
-2.58% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-2.49% | Jan 2018 | Feb 2018 | 2 | Jun 2018 | 4 | 6 |
-2.37% | Feb 2001 | Mar 2001 | 2 | May 2001 | 2 | 4 |
-2.32% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 1 | 2 |
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-41.44% | Jun 2007 | Feb 2009 | 21 | Sep 2010 | 19 | 40 |
-18.21% | Jan 2022 | Sep 2022 | 9 | in progress | 8 | 17 |
-14.24% | Feb 2020 | Mar 2020 | 2 | Nov 2020 | 8 | 10 |
-10.41% | Jun 2011 | Sep 2011 | 4 | Jan 2012 | 4 | 8 |
-7.02% | Jul 1998 | Aug 1998 | 2 | Dec 1998 | 4 | 6 |
-6.80% | Feb 1994 | Nov 1994 | 10 | Apr 1995 | 5 | 15 |
-6.80% | Sep 2018 | Dec 2018 | 4 | Feb 2019 | 2 | 6 |
-6.19% | Apr 2002 | Oct 2002 | 7 | Apr 2003 | 6 | 13 |
-4.42% | Apr 2015 | Sep 2015 | 6 | Mar 2016 | 6 | 12 |
-4.29% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
-3.78% | May 2013 | Aug 2013 | 4 | Oct 2013 | 2 | 6 |
-3.60% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
-3.30% | Jul 1999 | Sep 1999 | 3 | Dec 1999 | 3 | 6 |
-3.29% | Sep 2001 | Sep 2001 | 1 | Nov 2001 | 2 | 3 |
-3.09% | May 2012 | May 2012 | 1 | Jun 2012 | 1 | 2 |
-2.92% | Aug 2016 | Nov 2016 | 4 | Feb 2017 | 3 | 7 |
-2.58% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-2.49% | Jan 2018 | Feb 2018 | 2 | Jun 2018 | 4 | 6 |
-2.37% | Feb 2001 | Mar 2001 | 2 | May 2001 | 2 | 4 |
-2.32% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 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.
Rolling Period |
Annualized Return (%) | Negative Periods |
|||
---|---|---|---|---|---|
Average | Latest | Best | Worst | ||
1 Year |
7.75 | -4.63 |
57.27 Mar 2009 - Feb 2010 |
-36.55 Mar 2008 - Feb 2009 |
15.03% |
2 Years |
7.58 | -3.65 |
36.22 Mar 2009 - Feb 2011 |
-22.81 Mar 2007 - Feb 2009 |
7.06% |
3 Years |
7.54 | 3.77 |
24.89 Mar 2009 - Feb 2012 |
-12.45 Mar 2006 - Feb 2009 |
6.43% |
5 Years |
7.46 | 3.97 |
18.49 Mar 2009 - Feb 2014 |
-4.51 Mar 2004 - Feb 2009 |
1.57% |
7 Years |
7.28 | 4.38 |
13.85 Mar 2009 - Feb 2016 |
-0.10 Mar 2002 - Feb 2009 |
0.34% |
10 Years |
7.20 | 4.90 |
11.81 Mar 2009 - Feb 2019 |
1.60 Mar 1999 - Feb 2009 |
0.00% |
15 Years |
6.87 | 5.28 |
9.93 Feb 1992 - Jan 2007 |
4.43 Mar 1994 - Feb 2009 |
0.00% |
20 Years |
7.19 | 6.05 |
8.51 Dec 1994 - Nov 2014 |
5.95 Apr 2000 - Mar 2020 |
0.00% |
30 Years |
7.31 | 6.83 |
8.11 Jan 1992 - Dec 2021 |
6.83 Jun 1993 - May 2023 |
0.00% |
If you need a deeper detail about rolling returns, please refer to the Dynamic 60/40 Income Portfolio: Rolling Returns page.
Previous vs subsequent Returns
Considering all 10-year rolling periods, is there a relationship between past and future returns, at a given date?
In the following chart, we show how past returns (x-axis) and subsequent returns (y-axis) are related.
Neighboring data is aggregated and occurrences are indicated. It is possible to zoom by clicking or drawing the desired area
The annualized return of the last 10 years has been 4.90% (updated at May 31, 2023).
Seasonality
In which months is it better to invest in Dynamic 60/40 Income Portfolio?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
1.65
60% |
-1.33
40% |
-0.96
60% |
1.38
80% |
-0.05
60% |
0.15
80% |
2.71
100% |
0.40
80% |
-1.97
20% |
0.46
60% |
1.93
80% |
0.18
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
101.65
|
100.29
|
99.33
|
100.70
|
100.64
|
100.80
|
103.53
|
103.94
|
101.89
|
102.37
|
104.34
|
104.53
|
Best |
6.4 2023 |
1.2 2019 |
2.6 2021 |
6.9 2020 |
2.3 2020 |
2.7 2019 |
6.0 2022 |
1.9 2020 |
1.0 2019 |
3.2 2021 |
5.8 2020 |
4.1 2021 |
Worst |
-4.5 2022 |
-4.1 2020 |
-10.6 2020 |
-4.8 2022 |
-1.5 2019 |
-5.5 2022 |
1.0 2019 |
-3.7 2022 |
-6.1 2022 |
-3.0 2018 |
-1.4 2021 |
-4.1 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.92
60% |
-0.28
60% |
0.02
70% |
0.85
80% |
0.45
80% |
0.14
70% |
1.94
90% |
-0.18
60% |
-1.07
30% |
0.99
70% |
1.10
60% |
0.31
70% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.92
|
100.64
|
100.66
|
101.52
|
101.97
|
102.12
|
104.09
|
103.91
|
102.79
|
103.81
|
104.95
|
105.28
|
Best |
6.4 2023 |
2.9 2014 |
4.4 2016 |
6.9 2020 |
2.3 2020 |
2.7 2019 |
6.0 2022 |
2.3 2014 |
1.9 2013 |
3.7 2015 |
5.8 2020 |
4.1 2021 |
Worst |
-4.5 2022 |
-4.1 2020 |
-10.6 2020 |
-4.8 2022 |
-1.5 2019 |
-5.5 2022 |
-1.0 2014 |
-3.7 2022 |
-6.1 2022 |
-3.0 2018 |
-1.4 2021 |
-4.1 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.82
75% |
-0.01
69% |
0.69
72% |
1.30
72% |
0.55
66% |
0.29
68% |
1.25
71% |
0.30
68% |
-0.20
52% |
0.37
58% |
0.63
65% |
1.40
84% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.82
|
100.81
|
101.50
|
102.82
|
103.39
|
103.68
|
104.98
|
105.30
|
105.09
|
105.47
|
106.14
|
107.63
|
Best |
6.4 2023 |
2.9 2010 |
6.2 2009 |
13.5 2009 |
5.9 2009 |
3.3 2012 |
7.5 2009 |
2.7 2004 |
4.5 2009 |
7.8 2011 |
5.8 2020 |
8.3 2008 |
Worst |
-7.7 2009 |
-12.7 2009 |
-10.6 2020 |
-4.8 2022 |
-4.4 2010 |
-6.4 2008 |
-3.2 2007 |
-5.4 1998 |
-8.5 2008 |
-11.8 2008 |
-8.0 2008 |
-4.1 2018 |
Monthly/Yearly Returns
Dynamic 60/40 Income Portfolio data source starts from January 1992: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
+2.34 | +0.13 | 6.4 | -2.9 | 0.0 | 0.6 | -1.5 | |||||||
2022 |
-15.89 | -20.99 | -4.5 | -2.0 | 1.3 | -4.8 | 0.0 | -5.5 | 6.0 | -3.7 | -6.1 | 2.1 | 3.9 | -3.1 |
2021 |
+15.27 | +7.69 | -0.5 | 1.1 | 2.6 | 3.1 | 0.4 | 1.6 | 1.5 | 1.3 | -2.6 | 3.2 | -1.4 | 4.1 |
2020 |
+6.26 | +4.83 | 0.6 | -4.1 | -10.6 | 6.9 | 2.3 | 0.6 | 3.8 | 1.9 | -1.5 | -0.9 | 5.8 | 2.5 |
2019 |
+18.59 | +15.94 | 6.2 | 1.2 | 1.8 | 1.1 | -1.5 | 2.7 | 1.0 | 0.8 | 1.0 | 0.8 | 0.5 | 1.5 |
2018 |
-3.28 | -5.10 | -0.1 | -2.4 | 0.4 | 0.2 | 1.5 | 1.3 | 1.2 | 1.7 | -0.7 | -3.0 | 0.9 | -4.1 |
2017 |
+8.11 | +5.88 | 1.0 | 2.2 | -0.4 | 0.7 | 0.4 | 0.8 | 1.0 | 0.0 | 0.5 | 0.2 | 1.2 | 0.2 |
2016 |
+7.39 | +5.21 | -2.2 | 0.3 | 4.4 | 0.4 | 1.1 | 2.2 | 2.2 | -0.4 | -0.3 | -2.0 | -0.2 | 1.8 |
2015 |
+0.49 | -0.24 | 1.4 | 0.9 | 0.0 | -0.9 | 0.3 | -1.8 | 1.6 | -2.9 | -0.7 | 3.7 | -0.4 | -0.5 |
2014 |
+11.87 | +11.03 | 0.9 | 2.9 | 0.5 | 1.2 | 1.4 | 1.0 | -1.0 | 2.3 | -2.3 | 3.1 | 1.0 | 0.2 |
2013 |
+8.15 | +6.55 | 2.2 | 0.8 | 1.8 | 2.4 | -1.4 | -1.5 | 1.9 | -2.8 | 1.9 | 2.5 | -0.2 | 0.5 |
2012 |
+12.84 | +10.91 | 4.0 | 1.6 | 1.5 | 0.8 | -3.1 | 3.3 | 1.2 | 1.1 | 0.4 | -0.2 | 0.4 | 1.4 |
2011 |
+3.16 | +0.19 | 1.6 | 2.3 | -0.1 | 2.5 | 0.3 | -1.3 | -0.4 | -3.2 | -5.8 | 7.8 | -2.0 | 2.1 |
2010 |
+14.75 | +13.06 | -1.8 | 2.9 | 4.0 | 2.4 | -4.4 | -1.6 | 5.8 | -0.8 | 3.5 | 2.2 | -0.7 | 2.9 |
2009 |
+25.31 | +21.99 | -7.7 | -12.7 | 6.2 | 13.5 | 5.9 | 0.8 | 7.5 | 2.5 | 4.5 | -2.3 | 3.2 | 4.0 |
2008 |
-21.78 | -21.85 | 0.5 | -1.3 | 0.1 | 4.0 | 0.1 | -6.4 | -0.2 | 0.7 | -8.5 | -11.8 | -8.0 | 8.3 |
2007 |
-3.54 | -7.32 | 2.4 | -0.4 | 0.0 | 1.1 | 0.6 | -2.8 | -3.2 | 2.1 | 1.5 | 1.3 | -4.3 | -1.6 |
2006 |
+14.28 | +11.45 | 2.6 | 0.9 | 1.3 | -0.6 | -1.3 | 0.9 | 1.2 | 2.3 | 1.5 | 2.6 | 2.2 | 0.0 |
2005 |
+5.27 | +1.79 | -1.9 | 1.3 | -1.5 | 1.1 | 2.1 | 1.4 | 2.1 | -0.5 | -0.2 | -1.4 | 2.2 | 0.5 |
2004 |
+12.11 | +8.58 | 2.1 | 1.1 | 1.2 | -4.3 | 0.8 | 1.1 | -0.2 | 2.7 | 1.0 | 1.9 | 1.6 | 2.7 |
2003 |
+22.26 | +20.00 | 0.5 | 0.7 | 1.0 | 3.7 | 3.5 | 1.7 | 0.6 | 1.3 | 1.7 | 1.8 | 1.4 | 2.3 |
2002 |
-0.78 | -3.08 | 0.0 | 0.0 | 2.0 | -0.1 | 0.0 | -0.9 | -3.1 | 1.3 | -2.4 | -1.2 | 3.4 | 0.2 |
2001 |
+5.55 | +3.93 | 2.2 | -1.4 | -0.9 | 1.8 | 1.1 | 0.9 | 0.5 | 0.4 | -3.3 | 0.9 | 3.0 | 0.5 |
2000 |
+5.79 | +2.32 | -0.9 | 0.1 | 2.2 | -0.2 | -1.1 | 3.1 | 2.2 | 1.2 | -0.1 | -1.8 | -1.7 | 2.9 |
1999 |
+4.89 | +2.15 | 0.6 | -1.2 | 1.1 | 3.1 | -0.4 | 0.5 | -1.5 | -0.6 | -1.3 | 0.9 | 0.7 | 2.9 |
1998 |
+5.13 | +3.46 | 0.6 | 1.4 | 1.9 | -0.2 | -0.2 | 1.2 | -1.7 | -5.4 | 2.9 | 0.7 | 2.6 | 1.4 |
1997 |
+16.74 | +14.79 | 1.4 | 0.7 | -0.9 | 0.7 | 3.0 | 2.6 | 3.4 | -0.8 | 3.8 | -0.9 | 1.3 | 1.5 |
1996 |
+16.21 | +12.47 | 1.1 | 0.4 | 0.3 | 0.5 | 1.5 | 0.5 | -0.8 | 1.8 | 2.3 | 1.6 | 3.8 | 2.0 |
1995 |
+20.42 | +17.44 | 0.9 | 2.6 | 1.0 | 1.6 | 3.5 | 1.5 | 1.4 | 1.1 | 1.7 | -0.1 | 1.8 | 1.9 |
1994 |
-3.20 | -5.72 | 1.8 | -0.8 | -3.0 | -0.7 | -0.1 | -0.8 | 1.1 | 1.5 | -1.4 | -0.6 | -2.2 | 2.0 |
1993 |
+14.00 | +10.95 | 2.7 | 2.6 | 2.9 | -0.8 | 0.5 | 1.7 | 0.8 | 1.9 | 1.4 | 0.7 | -1.8 | 0.7 |
1992 |
+13.92 | +10.70 | 2.3 | 1.0 | -0.4 | 0.9 | 2.3 | -0.1 | 3.0 | 0.6 | 1.2 | -0.5 | 1.6 | 1.4 |
Portofolio Returns, up to December 2007, 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:
- PFF - iShares Preferred and Income Securities ETF: simulated historical serie, up to December 2007
- VTI - Vanguard Total Stock Market: simulated historical serie, up to December 2001
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- SHY - iShares 1-3 Year Treasury Bond: simulated historical serie, up to December 2002
- HYG - iShares iBoxx $ High Yield Corporate Bond: simulated historical serie, up to December 2007
Portfolio efficiency
Compared to the Dynamic 60/40 Income Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Stocks/Bonds 60/40 Momentum | +9.28 | 9.43 | -32.52 | 60 | 40 | 0 | ||
Stocks/Bonds 80/20 | +8.89 | 12.33 | -41.09 | 80 | 20 | 0 | ||
Simple Path to Wealth | +8.66 | 11.60 | -38.53 | 75 | 25 | 0 | ||
Yale Endowment | +8.06 | 10.83 | -39.48 | 70 | 30 | 0 | ||
Talmud Portfolio | +8.00 | 10.64 | -40.17 | 66.7 | 33.3 | 0 | ||
Stocks/Bonds 60/40 | +7.93 | 9.46 | -30.55 | 60 | 40 | 0 | ||
Couch Potato | +7.88 | 8.66 | -27.04 | 50 | 50 | 0 | ||
Seven Value | +7.85 | 11.26 | -41.22 | 71.5 | 28.5 | 0 | ||
Edge Select Moderately Aggressive | +7.77 | 11.04 | -38.23 | 69 | 31 | 0 | ||
Stocks/Bonds 40/60 Momentum | +7.77 | 6.87 | -21.11 | 40 | 60 | 0 | ||
Sheltered Sam 70/30 | +7.72 | 10.60 | -39.73 | 67.9 | 30 | 2.1 | ||
Lazy Portfolio | +7.71 | 10.76 | -40.89 | 70 | 30 | 0 | ||
Family Taxable Portfolio | +7.65 | 11.54 | -38.46 | 70 | 30 | 0 | ||
Six Ways from Sunday | +7.60 | 10.87 | -39.14 | 66.7 | 33.3 | 0 | ||
Jane Bryant Quinn Portfolio | +7.59 | 10.65 | -39.55 | 70 | 30 | 0 | ||
Golden Butterfly | +7.52 | 7.52 | -17.79 | 40 | 40 | 20 | ||
Coffeehouse | +7.42 | 9.53 | -33.93 | 60 | 40 | 0 | ||
No Brainer Portfolio | +7.30 | 11.63 | -40.40 | 75 | 25 | 0 | ||
Robo Advisor 50 | +7.29 | 9.24 | -30.72 | 49.9 | 50.1 | 0 | ||
Sheltered Sam 60/40 | +7.25 | 9.15 | -34.12 | 58.2 | 40 | 1.8 | ||
Pinwheel | +7.25 | 10.41 | -36.89 | 65 | 25 | 10 | ||
Dimensional 2030 Retirement Income | +7.25 | 9.17 | -31.78 | 55.9 | 44.1 | 0 | ||
Tilt Toward Value | +7.25 | 9.29 | -34.63 | 60 | 40 | 0 | ||
Marc Faber Portfolio | +7.20 | 9.54 | -28.82 | 50 | 25 | 25 | ||
All Weather Portfolio | +7.19 | 7.21 | -20.19 | 30 | 55 | 15 | ||
Edge Select Moderate | +7.18 | 8.84 | -29.58 | 53 | 47 | 0 | ||
Five Fold | +7.18 | 9.64 | -37.94 | 60 | 40 | 0 | ||
Simple Money Portfolio | +7.08 | 9.00 | -32.39 | 60 | 40 | 0 | ||
Sandwich Portfolio | +7.08 | 8.23 | -28.96 | 55 | 45 | 0 | ||
Margaritaville | +7.07 | 10.78 | -38.70 | 67 | 33 | 0 | ||
Nano Portfolio | +7.04 | 9.55 | -36.66 | 60 | 40 | 0 | ||
Simple and Cheap | +7.02 | 9.29 | -34.84 | 60 | 40 | 0 | ||
Global Market Portfolio | +6.96 | 8.14 | -25.90 | 45 | 55 | 0 | ||
Ultimate Buy&Hold | +6.95 | 9.20 | -34.23 | 60 | 40 | 0 | ||
Coward's Portfolio | +6.94 | 9.02 | -32.68 | 60 | 40 | 0 | ||
LifeStrategy Moderate Growth | +6.90 | 9.43 | -33.52 | 60 | 40 | 0 | ||
Dynamic 40/60 Income | +6.88 | 8.02 | -29.84 | 40 | 60 | 0 | ||
Big Rocks Portfolio | +6.87 | 9.06 | -33.80 | 60 | 40 | 0 | ||
One-Decision Portfolio | +6.84 | 8.25 | -31.96 | 50 | 50 | 0 | ||
GAA Global Asset Allocation | +6.84 | 7.93 | -24.91 | 40.5 | 49.5 | 10 | ||
Stocks/Bonds 40/60 | +6.84 | 6.83 | -19.17 | 40 | 60 | 0 | ||
Dynamic 60/40 Income | +6.83 | 9.22 | -41.44 | 60 | 40 | 0 |
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years
and High Risk categorization.30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
Stocks/Bonds 60/40 Momentum | +9.28 | 9.43 | -32.52 | 60 | 40 | 0 | ||
Simple Path to Wealth | +8.66 | 11.60 | -38.53 | 75 | 25 | 0 | ||
Late Sixties and Beyond | +8.19 | 11.57 | -41.80 | 71 | 29 | 0 | ||
Yale Endowment | +8.06 | 10.83 | -39.48 | 70 | 30 | 0 | ||
Talmud Portfolio | +8.00 | 10.64 | -40.17 | 66.7 | 33.3 | 0 |