Dynamic 60/40 Income Portfolio: ETF allocation and returns

Data Source: from January 1992 to February 2024 (~32 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.38%
1 Day
Mar 01 2024
0.38%
Current Month
March 2024

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 6.98% compound annual return, with a 9.36% standard deviation.

Table of contents
The first official book of
How to build wealth
with Lazy Portfolios and Passive Investing Strategies
Choose a goal
Employ the best metrics to evaluate it
Join the passive investing strategy
Discover new asset allocations in USD and EUR,
in addition to the lazy portfolios on the website.

Asset Allocation and ETFs

The Dynamic 60/40 Income Portfolio has the following asset allocation:

60% Stocks
40% Fixed Income
0% Commodities

The Dynamic 60/40 Income Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
20.00
PFF
USD iShares Preferred and Income Securities ETF Preferred Stock, U.S.
20.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap
20.00
VNQ
USD Vanguard Real Estate Real Estate, U.S.
20.00
SHY
USD iShares 1-3 Year Treasury Bond Bond, U.S., Short Term
20.00
HYG
USD 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 Feb 29, 2024

The Dynamic 60/40 Income Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: March 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DYNAMIC 60/40 INCOME 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 30Y MAX
(~32Y)
Dynamic 60/40 Income Portfolio 0.38 0.38 1.62 7.29 10.32 5.29 5.40 6.98 7.40
US Inflation Adjusted return 1.62 6.08 7.41 1.15 2.55 4.35 4.74
Components
PFF
USD iShares Preferred and Income Securities ETF -0.22 Mar 01 2024 -0.22 0.92 8.24 5.18 2.81 3.72 5.71 6.56
VTI
USD Vanguard Total Stock Market 0.92 Mar 01 2024 0.92 5.30 13.69 28.61 13.82 11.96 10.22 10.17
VNQ
USD Vanguard Real Estate 1.19 Mar 01 2024 1.19 1.98 6.13 4.14 4.12 6.04 8.49 9.02
SHY
USD iShares 1-3 Year Treasury Bond 0.20 Mar 01 2024 0.20 -0.39 2.35 4.12 1.03 0.87 3.03 3.22
HYG
USD iShares iBoxx $ High Yield Corporate Bond -0.19 Mar 01 2024 -0.19 0.30 5.81 10.12 2.92 3.14 5.37 6.03
Returns over 1 year are annualized | Available data source: since Jan 1992
(*) 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% , 30Y: 2.52%

In 2023, the Dynamic 60/40 Income Portfolio granted a 4.47% dividend yield. If you are interested in getting periodic income, please refer to the Dynamic 60/40 Income Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 7.57$, with a total return of 657.27% (6.98% annualized).

The Inflation Adjusted Capital now would be 3.59$, with a net total return of 258.72% (4.35% annualized).
An investment of 1$, since January 1992, now would be worth 9.93$, with a total return of 893.13% (7.40% annualized).

The Inflation Adjusted Capital now would be 4.43$, with a net total return of 343.19% (4.74% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Dynamic 60/40 Income Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
DYNAMIC 60/40 INCOME PORTFOLIO
Advanced Metrics
Data Source: 1 January 1992 - 29 February 2024 (~32 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~32Y)
Investment Return (%) 1.62 5.93 7.29 10.32 3.17 5.29 5.40 5.88 6.98 7.40
Infl. Adjusted Return (%) details 1.62 5.37 6.08 7.41 -2.23 1.15 2.55 3.24 4.35 4.74
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.54
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 20Y 30Y MAX
Deepest Drawdown Depth (%) -6.45 -18.21 -18.21 -18.21 -41.44 -41.44 -41.44
Start to Recovery (# months) details 4 26* 26* 26* 40 40 40
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 9 9 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 19 19 19
End (yyyy mm) 2023 11 - - - 2010 09 2010 09 2010 09
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

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 2022 01 2022 01 2022 01 2007 06 2007 06 2007 06
Start to Bottom (# months) 3 9 9 9 21 21 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 1 17 17 17 19 19 19
End (yyyy mm) 2023 11 - - - 2010 09 2010 09 2010 09
Longest negative period (# months) details 8 32 35 35 62 87 87
Period Start (yyyy mm) 2023 03 2021 03 2020 12 2020 12 2004 03 2001 12 2001 12
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 04 2009 02 2009 02
Annualized Return (%) -3.97 -1.18 -0.05 -0.05 -0.84 -0.01 -0.01
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.33 -22.79 -22.79 -22.79 -43.24 -43.24 -43.24
Start to Recovery (# months) details 5 26* 26* 26* 49 49 49
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 02 2007 02 2007 02
Start to Bottom (# months) 3 22 22 22 25 25 25
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2009 02 2009 02
Bottom to End (# months) 2 4 4 4 24 24 24
End (yyyy mm) 2023 12 - - - 2011 02 2011 02 2011 02
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

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 2022 01 2022 01 2022 01 2007 02 2007 02 2007 02
Start to Bottom (# months) 3 22 22 22 25 25 25
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2009 02 2009 02
Bottom to End (# months) 2 4 4 4 24 24 24
End (yyyy mm) 2023 12 - - - 2011 02 2011 02 2011 02
Longest negative period (# months) details 8 36* 56 87 87 139 139
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2016 08 2016 08 1997 08 1997 08
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2009 02 2009 02
Annualized Return (%) -6.78 -2.23 -1.31 -0.12 -0.12 -0.27 -0.27
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.70 11.59 11.47 9.17 10.72 9.36 9.11
Sharpe Ratio 0.53 0.07 0.30 0.46 0.42 0.50 0.37
Sortino Ratio 0.84 0.10 0.40 0.62 0.56 0.66 0.49
Ulcer Index 2.20 9.76 7.99 5.81 8.09 6.70 6.49
Ratio: Return / Standard Deviation 1.06 0.27 0.46 0.59 0.55 0.75 0.81
Ratio: Return / Deepest Drawdown 1.60 0.17 0.29 0.30 0.14 0.17 0.18
% Positive Months details 50% 55% 63% 65% 65% 67% 67%
Positive Months 6 20 38 79 158 242 262
Negative Months 6 16 22 41 82 118 124
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.40 11.81 11.81 11.81
Worst 10 Years Return (%) - Annualized 4.51 1.60 1.60
Best 10 Years Return (%) - Annualized 2.55 9.87 9.87 9.87
Worst 10 Years Return (%) - Annualized 1.68 -0.97 -0.97
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 57.27 24.89 18.49 11.81 8.51 6.98
Worst Rolling Return (%) - Annualized -36.55 -12.45 -4.51 1.60 5.59
% Positive Periods 85% 93% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.93 27.30 17.45 10.11 6.81 6.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.14 4.73
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 53.96 21.97 16.10 9.87 6.05 4.35
Worst Rolling Return (%) - Annualized -36.55 -14.32 -6.97 -0.97 2.93
% Positive Periods 79% 84% 93% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.93 27.30 17.45 10.11 6.81 6.56
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.14 4.73
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1992 - Feb 2024)
Best Rolling Return (%) - Annualized 57.27 24.89 18.49 11.81 8.51 8.11
Worst Rolling Return (%) - Annualized -36.55 -12.45 -4.51 1.60 5.59 6.53
% Positive Periods 85% 93% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.93 27.30 17.45 10.11 6.81 6.41
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.14 4.38
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 53.96 21.97 16.10 9.87 6.05 5.58
Worst Rolling Return (%) - Annualized -36.55 -14.32 -6.97 -0.97 2.93 3.91
% Positive Periods 79% 86% 93% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 78.93 27.30 17.45 10.11 6.81 6.41
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 3.14 4.38
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.

Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. 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.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 29 February 2024
Swipe left to see all data
Asset
PFF
VTI
VNQ
SHY
HYG
PFF
-
0.73
0.76
0.09
0.72
VTI
0.73
-
0.89
0.20
0.86
VNQ
0.76
0.89
-
0.29
0.89
SHY
0.09
0.20
0.29
-
0.61
HYG
0.72
0.86
0.89
0.61
-
Asset
PFF
VTI
VNQ
SHY
HYG
PFF
-
0.81
0.82
0.20
0.84
VTI
0.81
-
0.86
0.12
0.86
VNQ
0.82
0.86
-
0.16
0.79
SHY
0.20
0.12
0.16
-
0.31
HYG
0.84
0.86
0.79
0.31
-
Asset
PFF
VTI
VNQ
SHY
HYG
PFF
-
0.74
0.76
0.19
0.79
VTI
0.74
-
0.76
0.03
0.82
VNQ
0.76
0.76
-
0.18
0.69
SHY
0.19
0.03
0.18
-
0.24
HYG
0.79
0.82
0.69
0.24
-
Asset
PFF
VTI
VNQ
SHY
HYG
PFF
-
0.47
0.52
0.10
0.65
VTI
0.47
-
0.63
-0.14
0.69
VNQ
0.52
0.63
-
-0.02
0.69
SHY
0.10
-0.14
-0.02
-
0.02
HYG
0.65
0.69
0.69
0.02
-
Asset
PFF
VTI
VNQ
SHY
HYG
PFF
-
0.46
0.52
0.11
0.65
VTI
0.46
-
0.63
-0.13
0.68
VNQ
0.52
0.63
-
0.00
0.68
SHY
0.11
-0.13
0.00
-
0.05
HYG
0.65
0.68
0.68
0.05
-

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.

DYNAMIC 60/40 INCOME PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1992 - 29 February 2024 (~32 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-41.44% Jun 2007 Feb 2009 21 Sep 2010 19 40 16.67
-18.21% Jan 2022 Sep 2022 9 in progress 17 26 11.41
-14.24% Feb 2020 Mar 2020 2 Nov 2020 8 10 5.81
-10.41% Jun 2011 Sep 2011 4 Jan 2012 4 8 4.57
-7.02% Jul 1998 Aug 1998 2 Dec 1998 4 6 3.48
-6.80% Sep 2018 Dec 2018 4 Feb 2019 2 6 3.15
-6.19% Apr 2002 Oct 2002 7 Apr 2003 6 13 2.86
-6.05% Mar 1994 Nov 1994 9 Mar 1995 4 13 3.45
-4.42% Apr 2015 Sep 2015 6 Mar 2016 6 12 2.43
-4.29% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.49
-3.78% May 2013 Aug 2013 4 Oct 2013 2 6 2.06
-3.60% Sep 2000 Nov 2000 3 Jan 2001 2 5 1.70
-3.30% Jul 1999 Sep 1999 3 Dec 1999 3 6 1.93
-3.29% Sep 2001 Sep 2001 1 Nov 2001 2 3 2.05
-3.09% May 2012 May 2012 1 Jun 2012 1 2 1.78
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 160 2.3 Months 44.32%
 
DD = 0% 44.32%
 
0% < DD <= -5% 137 2.6 Months 37.95%
 
DD <= -5% 82.27%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 90.30%
 
-10% < DD <= -15% 18 20.1 Months 4.99%
 
DD <= -15% 95.29%
 
-15% < DD <= -20% 8 45.1 Months 2.22%
 
DD <= -20% 97.51%
 
-20% < DD <= -25% 1 361.0 Months 0.28%
 
DD <= -25% 97.78%
 
-25% < DD <= -30% 4 90.3 Months 1.11%
 
DD <= -30% 98.89%
 
-30% < DD <= -35% 2 180.5 Months 0.55%
 
DD <= -35% 99.45%
 
-35% < DD <= -40% 1 361.0 Months 0.28%
 
DD <= -40% 99.72%
 
-40% < DD <= -45% 1 361.0 Months 0.28%
 
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
-43.24% Feb 2007 Feb 2009 25 Feb 2011 24 49 17.35
-22.79% Jan 2022 Oct 2023 22 in progress 4 26 16.76
-13.99% Feb 2020 Mar 2020 2 Nov 2020 8 10 5.50
-11.15% May 2011 Sep 2011 5 Feb 2012 5 10 4.66
-7.99% Mar 1994 Nov 1994 9 May 1995 6 15 4.51
-7.59% Apr 2002 Oct 2002 7 Apr 2003 6 13 4.08
-7.36% Jul 1998 Aug 1998 2 Apr 1999 8 10 3.08
-7.20% Sep 2018 Dec 2018 4 Mar 2019 3 7 3.20
-5.26% Mar 2015 Sep 2015 7 May 2016 8 15 2.85
-4.47% May 2013 Aug 2013 4 Jan 2014 5 9 2.06
-4.44% Apr 2004 Apr 2004 1 Oct 2004 6 7 2.80
-4.43% Sep 2000 Nov 2000 3 Jul 2001 8 11 1.94
-4.34% Jul 1999 Sep 1999 3 Jun 2000 9 12 2.22
-4.10% Aug 2005 Oct 2005 3 Jan 2006 3 6 2.00
-3.69% Aug 2016 Nov 2016 4 Feb 2017 3 7 2.07
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 121 3.0 Months 33.52%
 
DD = 0% 33.52%
 
0% < DD <= -5% 161 2.2 Months 44.60%
 
DD <= -5% 78.12%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 86.15%
 
-10% < DD <= -15% 16 22.6 Months 4.43%
 
DD <= -15% 90.58%
 
-15% < DD <= -20% 16 22.6 Months 4.43%
 
DD <= -20% 95.01%
 
-20% < DD <= -25% 9 40.1 Months 2.49%
 
DD <= -25% 97.51%
 
-25% < DD <= -30% 3 120.3 Months 0.83%
 
DD <= -30% 98.34%
 
-30% < DD <= -35% 3 120.3 Months 0.83%
 
DD <= -35% 99.17%
 
-35% < DD <= -40% 2 180.5 Months 0.55%
 
DD <= -40% 99.72%
 
-40% < DD <= -45% 1 361.0 Months 0.28%
 
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
-41.44% Jun 2007 Feb 2009 21 Sep 2010 19 40 16.67
-18.21% Jan 2022 Sep 2022 9 in progress 17 26 11.41
-14.24% Feb 2020 Mar 2020 2 Nov 2020 8 10 5.81
-10.41% Jun 2011 Sep 2011 4 Jan 2012 4 8 4.57
-7.02% Jul 1998 Aug 1998 2 Dec 1998 4 6 3.48
-6.80% Feb 1994 Nov 1994 10 Apr 1995 5 15 3.87
-6.80% Sep 2018 Dec 2018 4 Feb 2019 2 6 3.15
-6.19% Apr 2002 Oct 2002 7 Apr 2003 6 13 2.86
-4.42% Apr 2015 Sep 2015 6 Mar 2016 6 12 2.43
-4.29% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.49
-3.78% May 2013 Aug 2013 4 Oct 2013 2 6 2.06
-3.60% Sep 2000 Nov 2000 3 Jan 2001 2 5 1.70
-3.30% Jul 1999 Sep 1999 3 Dec 1999 3 6 1.93
-3.29% Sep 2001 Sep 2001 1 Nov 2001 2 3 2.05
-3.09% May 2012 May 2012 1 Jun 2012 1 2 1.78
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 177 2.2 Months 45.74%
 
DD = 0% 45.74%
 
0% < DD <= -5% 145 2.7 Months 37.47%
 
DD <= -5% 83.20%
 
-5% < DD <= -10% 30 12.9 Months 7.75%
 
DD <= -10% 90.96%
 
-10% < DD <= -15% 18 21.5 Months 4.65%
 
DD <= -15% 95.61%
 
-15% < DD <= -20% 8 48.4 Months 2.07%
 
DD <= -20% 97.67%
 
-20% < DD <= -25% 1 387.0 Months 0.26%
 
DD <= -25% 97.93%
 
-25% < DD <= -30% 4 96.8 Months 1.03%
 
DD <= -30% 98.97%
 
-30% < DD <= -35% 2 193.5 Months 0.52%
 
DD <= -35% 99.48%
 
-35% < DD <= -40% 1 387.0 Months 0.26%
 
DD <= -40% 99.74%
 
-40% < DD <= -45% 1 387.0 Months 0.26%
 
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
-43.24% Feb 2007 Feb 2009 25 Feb 2011 24 49 17.35
-22.79% Jan 2022 Oct 2023 22 in progress 4 26 16.76
-13.99% Feb 2020 Mar 2020 2 Nov 2020 8 10 5.50
-11.15% May 2011 Sep 2011 5 Feb 2012 5 10 4.66
-8.98% Feb 1994 Nov 1994 10 May 1995 6 16 5.27
-7.59% Apr 2002 Oct 2002 7 Apr 2003 6 13 4.08
-7.36% Jul 1998 Aug 1998 2 Apr 1999 8 10 3.08
-7.20% Sep 2018 Dec 2018 4 Mar 2019 3 7 3.20
-5.26% Mar 2015 Sep 2015 7 May 2016 8 15 2.85
-4.47% May 2013 Aug 2013 4 Jan 2014 5 9 2.06
-4.44% Apr 2004 Apr 2004 1 Oct 2004 6 7 2.80
-4.43% Sep 2000 Nov 2000 3 Jul 2001 8 11 1.94
-4.34% Jul 1999 Sep 1999 3 Jun 2000 9 12 2.22
-4.10% Aug 2005 Oct 2005 3 Jan 2006 3 6 2.00
-3.69% Aug 2016 Nov 2016 4 Feb 2017 3 7 2.07
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 138 2.8 Months 35.66%
 
DD = 0% 35.66%
 
0% < DD <= -5% 167 2.3 Months 43.15%
 
DD <= -5% 78.81%
 
-5% < DD <= -10% 32 12.1 Months 8.27%
 
DD <= -10% 87.08%
 
-10% < DD <= -15% 16 24.2 Months 4.13%
 
DD <= -15% 91.21%
 
-15% < DD <= -20% 16 24.2 Months 4.13%
 
DD <= -20% 95.35%
 
-20% < DD <= -25% 9 43.0 Months 2.33%
 
DD <= -25% 97.67%
 
-25% < DD <= -30% 3 129.0 Months 0.78%
 
DD <= -30% 98.45%
 
-30% < DD <= -35% 3 129.0 Months 0.78%
 
DD <= -35% 99.22%
 
-35% < DD <= -40% 2 193.5 Months 0.52%
 
DD <= -40% 99.74%
 
-40% < DD <= -45% 1 387.0 Months 0.26%
 
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.

DYNAMIC 60/40 INCOME PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1992 - 29 February 2024 (~32 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 -36.55 03/2008
02/2009
0.63$ 0.28 1.00$ 7.47 1.07$ 16.05 1.16$ 57.27 03/2009
02/2010
1.57$ 10.32 14.04%
2Y -22.81 03/2007
02/2009
0.59$ 2.25 1.04$ 7.46 1.15$ 12.25 1.26$ 36.22 03/2009
02/2011
1.85$ 1.19 9.79%
3Y -12.45 03/2006
02/2009
0.67$ 3.50 1.10$ 7.20 1.23$ 12.05 1.40$ 24.89 03/2009
02/2012
1.94$ 3.17 6.77%
5Y -4.51 03/2004
02/2009
0.79$ 3.93 1.21$ 7.14 1.41$ 10.32 1.63$ 18.49 03/2009
02/2014
2.33$ 5.29 1.66%
7Y -0.10 03/2002
02/2009
0.99$ 5.03 1.41$ 6.90 1.59$ 8.71 1.79$ 13.85 03/2009
02/2016
2.47$ 5.03 0.36%
10Y 1.60 03/1999
02/2009
1.17$ 5.42 1.69$ 6.77 1.92$ 9.21 2.41$ 11.81 03/2009
02/2019
3.05$ 5.40 0.00%
15Y 4.43 03/1994
02/2009
1.91$ 5.87 2.35$ 6.71 2.64$ 7.41 2.92$ 9.59 03/2009
02/2024
3.95$ 9.59 0.00%
20Y 5.59 11/2003
10/2023
2.96$ 6.37 3.43$ 6.86 3.76$ 7.69 4.40$ 8.51 12/1994
11/2014
5.12$ 5.88 0.00%
30Y 6.98 03/1994
02/2024
7.57$ 6.98 7.57$ 6.98 7.57$ 6.98 7.57$ 6.98 03/1994
02/2024
7.57$ 6.98 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 -36.55 03/2008
02/2009
0.63$ -2.05 0.97$ 5.24 1.05$ 13.13 1.13$ 53.96 03/2009
02/2010
1.53$ 7.41 20.06%
2Y -24.37 03/2007
02/2009
0.57$ -0.17 0.99$ 5.25 1.10$ 9.79 1.20$ 33.37 03/2009
02/2011
1.77$ -3.00 15.13%
3Y -14.32 03/2006
02/2009
0.62$ -0.33 0.99$ 5.16 1.16$ 9.50 1.31$ 21.97 03/2009
02/2012
1.81$ -2.23 15.08%
5Y -6.97 03/2004
02/2009
0.69$ 0.83 1.04$ 5.06 1.27$ 7.74 1.45$ 16.10 03/2009
02/2014
2.10$ 1.15 6.98%
7Y -2.61 03/2002
02/2009
0.83$ 2.53 1.19$ 4.86 1.39$ 6.41 1.54$ 12.08 03/2009
02/2016
2.22$ 1.52 1.81%
10Y -0.97 03/1999
02/2009
0.90$ 3.00 1.34$ 4.38 1.53$ 6.55 1.88$ 9.87 03/2009
02/2019
2.56$ 2.55 0.83%
15Y 1.88 03/1994
02/2009
1.32$ 3.76 1.73$ 4.40 1.90$ 5.00 2.07$ 6.88 03/2009
02/2024
2.71$ 6.88 0.00%
20Y 2.93 11/2003
10/2023
1.78$ 3.92 2.15$ 4.57 2.44$ 5.35 2.83$ 6.05 02/1995
01/2015
3.23$ 3.24 0.00%
30Y 4.35 03/1994
02/2024
3.58$ 4.35 3.58$ 4.35 3.58$ 4.35 3.58$ 4.35 03/1994
02/2024
3.58$ 4.35 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 -36.55 03/2008
02/2009
0.63$ 0.01 1.00$ 7.62 1.07$ 16.34 1.16$ 57.27 03/2009
02/2010
1.57$ 10.32 14.67%
2Y -22.81 03/2007
02/2009
0.59$ 2.84 1.05$ 7.43 1.15$ 12.25 1.26$ 36.22 03/2009
02/2011
1.85$ 1.19 9.09%
3Y -12.45 03/2006
02/2009
0.67$ 3.77 1.11$ 7.56 1.24$ 11.65 1.39$ 24.89 03/2009
02/2012
1.94$ 3.17 6.27%
5Y -4.51 03/2004
02/2009
0.79$ 4.07 1.22$ 7.37 1.42$ 10.90 1.67$ 18.49 03/2009
02/2014
2.33$ 5.29 1.53%
7Y -0.10 03/2002
02/2009
0.99$ 5.11 1.41$ 7.10 1.61$ 9.37 1.87$ 13.85 03/2009
02/2016
2.47$ 5.03 0.33%
10Y 1.60 03/1999
02/2009
1.17$ 5.54 1.71$ 6.87 1.94$ 9.22 2.41$ 11.81 03/2009
02/2019
3.05$ 5.40 0.00%
15Y 4.43 03/1994
02/2009
1.91$ 5.96 2.38$ 6.81 2.68$ 7.68 3.03$ 9.93 02/1992
01/2007
4.13$ 9.59 0.00%
20Y 5.59 11/2003
10/2023
2.96$ 6.40 3.45$ 7.02 3.88$ 7.97 4.63$ 8.51 12/1994
11/2014
5.12$ 5.88 0.00%
30Y 6.53 11/1993
10/2023
6.67$ 6.83 7.25$ 7.01 7.62$ 7.60 9.01$ 8.11 01/1992
12/2021
10.36$ 6.98 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 -36.55 03/2008
02/2009
0.63$ -2.46 0.97$ 5.40 1.05$ 13.34 1.13$ 53.96 03/2009
02/2010
1.53$ 7.41 20.80%
2Y -24.37 03/2007
02/2009
0.57$ 0.29 1.00$ 5.14 1.10$ 9.73 1.20$ 33.37 03/2009
02/2011
1.77$ -3.00 14.05%
3Y -14.32 03/2006
02/2009
0.62$ 0.99 1.02$ 5.28 1.16$ 9.25 1.30$ 21.97 03/2009
02/2012
1.81$ -2.23 13.96%
5Y -6.97 03/2004
02/2009
0.69$ 1.07 1.05$ 5.35 1.29$ 8.45 1.50$ 16.10 03/2009
02/2014
2.10$ 1.15 6.42%
7Y -2.61 03/2002
02/2009
0.83$ 2.56 1.19$ 4.95 1.40$ 6.82 1.58$ 12.08 03/2009
02/2016
2.22$ 1.52 1.65%
10Y -0.97 03/1999
02/2009
0.90$ 3.12 1.35$ 4.51 1.55$ 6.58 1.89$ 9.87 03/2009
02/2019
2.56$ 2.55 0.75%
15Y 1.88 03/1994
02/2009
1.32$ 3.76 1.73$ 4.45 1.92$ 5.22 2.14$ 7.14 01/1992
12/2006
2.81$ 6.88 0.00%
20Y 2.93 11/2003
10/2023
1.78$ 4.02 2.19$ 4.75 2.52$ 5.39 2.85$ 6.05 02/1995
01/2015
3.23$ 3.24 0.00%
30Y 3.91 11/1993
10/2023
3.16$ 4.21 3.44$ 4.39 3.63$ 5.02 4.35$ 5.58 01/1992
12/2021
5.09$ 4.35 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 Dynamic 60/40 Income Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Dynamic 60/40 Income 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
0.37
40%
-1.26
40%
-0.96
60%
1.38
80%
-0.05
60%
0.52
80%
2.83
100%
-0.18
60%
-2.44
20%
0.59
60%
3.16
80%
1.87
80%
Best 6.4
2023
1.6
2024
2.6
2021
6.9
2020
2.3
2020
3.2
2023
6.0
2022
1.9
2020
1.0
2019
3.2
2021
7.0
2023
4.4
2023
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
-2.3
2023
-1.4
2021
-3.1
2022
Monthly Seasonality over the period Feb 1992 - Feb 2024
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
0.81
50%
-0.41
60%
0.02
70%
0.85
80%
0.45
80%
0.61
80%
1.92
90%
-0.02
60%
-1.57
20%
0.50
60%
1.83
70%
0.70
70%
Best 6.4
2023
2.2
2017
4.4
2016
6.9
2020
2.3
2020
3.2
2023
6.0
2022
2.3
2014
1.0
2019
3.7
2015
7.0
2023
4.4
2023
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 Seasonality over the period Feb 1992 - Feb 2024
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
0.79
73%
0.04
70%
0.69
72%
1.30
72%
0.55
66%
0.38
69%
1.27
72%
0.25
66%
-0.29
50%
0.29
56%
0.83
66%
1.50
84%
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
7.0
2023
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 Seasonality over the period Feb 1992 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Dynamic 60/40 Income Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DYNAMIC 60/40 INCOME PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1992 - 29 February 2024 (~32 years)
242 Positive Months (67%) - 118 Negative Months (33%)
262 Positive Months (68%) - 124 Negative Months (32%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2007, 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:
  • PFF - iShares Preferred and Income Securities ETF (PFF), up to December 2007
  • VTI - Vanguard Total Stock Market (VTI), up to December 2001
  • VNQ - Vanguard Real Estate (VNQ), up to December 2004
  • SHY - iShares 1-3 Year Treasury Bond (SHY), up to December 2002
  • HYG - iShares iBoxx $ High Yield Corporate Bond (HYG), up to December 2007

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.77 9.60 -32.52 60 40 0
Stocks/Bonds 80/20 +9.29 12.51 -41.09 80 20 0
Simple Path to Wealth JL Collins +9.04 11.77 -38.53 75 25 0
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Stocks/Bonds 60/40 +8.22 9.62 -30.55 60 40 0
Talmud Portfolio Roger Gibson +8.20 10.85 -40.17 66.7 33.3 0
Weird Portfolio Value Stock Geek +8.09 10.84 -32.97 60 20 20
Stocks/Bonds 40/60 Momentum +8.06 7.02 -21.11 40 60 0
Couch Potato Scott Burns +8.04 8.75 -27.04 50 50 0
Seven Value Scott Burns +8.03 11.31 -41.22 71.5 28.5 0
Edge Select Moderately Aggressive Merrill Lynch +7.90 11.14 -38.23 69 31 0
Yale Endowment David Swensen +7.80 10.83 -40.68 70 30 0
Jane Bryant Quinn Portfolio Jane Bryant Quinn +7.79 10.79 -39.55 70 30 0
Lazy Portfolio David Swensen +7.78 10.88 -40.89 70 30 0
Sheltered Sam 70/30 Bill Bernstein +7.76 10.70 -39.73 67.9 30 2.1
Six Ways from Sunday Scott Burns +7.76 10.91 -39.14 66.7 33.3 0
Gold Pivot Ptf Aim Ways +7.76 8.20 -19.49 22 44 34
In Saecula Saeculorum Fulvio Marchese +7.72 7.83 -20.39 45 45 10
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
Family Taxable Portfolio Ted Aronson +7.56 11.63 -38.46 70 30 0
Coffeehouse Bill Schultheis +7.50 9.72 -33.93 60 40 0
No Brainer Portfolio Bill Bernstein +7.48 11.75 -40.40 75 25 0
Aim comfortable trip Aim Ways +7.42 7.59 -20.15 40 45 15
Tilt Toward Value Time Inc +7.38 9.44 -34.63 60 40 0
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Sheltered Sam 60/40 Bill Bernstein +7.28 9.24 -34.12 58.2 40 1.8
Edge Select Moderate Merrill Lynch +7.27 8.96 -29.58 53 47 0
Marc Faber Portfolio Marc Faber +7.25 9.66 -28.82 50 25 25
Five Fold Scott Burns +7.25 9.75 -37.94 60 40 0
Pinwheel +7.20 10.50 -36.89 65 25 10
Margaritaville Scott Burns +7.20 10.82 -38.70 67 33 0
Robo Advisor 50 Betterment +7.19 9.28 -30.72 49.9 50.1 0
Simple and Cheap Time Inc +7.16 9.42 -34.84 60 40 0
Nano Portfolio John Wasik +7.14 9.67 -36.66 60 40 0
LifeStrategy Moderate Growth Vanguard +7.06 9.53 -33.52 60 40 0
Simple Money Portfolio Tim Maurer +7.04 9.11 -32.39 60 40 0
Sandwich Portfolio Bob Clyatt +7.03 8.32 -28.96 55 45 0
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
PISI Portfolio Davide Pisicchio +7.00 6.48 -18.36 30 60 10
One-Decision Portfolio Marvin Appel +6.99 8.42 -31.96 50 50 0
Coward's Portfolio Bill Bernstein +6.99 9.11 -32.68 60 40 0
Dynamic 60/40 Income +6.98 9.36 -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.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 60/40 Momentum +9.77 9.60 -32.52 60 40 0
Simple Path to Wealth JL Collins +9.04 11.77 -38.53 75 25 0
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Aim Bold Strategy Aim Ways +8.30 9.92 -30.09 45 40 15
Stocks/Bonds 60/40 +8.22 9.62 -30.55 60 40 0
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.