Larry Swedroe Eliminate Fat Tails Portfolio: ETF allocation and returns

Data Source: from January 1985 to February 2024 (~39 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.40%
1 Day
Mar 01 2024
0.40%
Current Month
March 2024

The Larry Swedroe Eliminate Fat Tails Portfolio is a Medium Risk portfolio and can be implemented with 4 ETFs.

It's exposed for 30% on the Stock Market.

In the last 30 Years, the Larry Swedroe Eliminate Fat Tails Portfolio obtained a 5.29% compound annual return, with a 6.29% standard deviation.

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Asset Allocation and ETFs

The Larry Swedroe Eliminate Fat Tails Portfolio has the following asset allocation:

30% Stocks
70% Fixed Income
0% Commodities

The Larry Swedroe Eliminate Fat Tails Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
15.00
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap
15.00
IJR
USD iShares Core S&P Small-Cap Equity, U.S., Small Cap
35.00
BIL
USD SPDR Blmbg Barclays 1-3 Mth T-Bill Bond, U.S., Ultra Short-Term
35.00
TIP
USD iShares TIPS Bond Bond, U.S., All-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 Larry Swedroe Eliminate Fat Tails 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.
LARRY SWEDROE ELIMINATE FAT TAILS 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
(~39Y)
Larry Swedroe Eliminate Fat Tails Portfolio 0.40 0.40 0.86 3.30 4.56 2.95 2.89 5.29 7.16
US Inflation Adjusted return 0.86 2.13 1.80 -1.11 0.11 2.70 4.25
Components
EEM
USD iShares MSCI Emerging Markets 1.23 Mar 01 2024 1.23 4.17 4.06 7.46 1.11 2.35 4.45 8.66
IJR
USD iShares Core S&P Small-Cap 0.51 Mar 01 2024 0.51 3.22 7.33 6.39 7.65 8.48 9.83 10.93
BIL
USD SPDR Blmbg Barclays 1-3 Mth T-Bill 0.03 Mar 01 2024 0.03 0.44 2.62 5.20 1.82 1.18 2.26 3.11
TIP
USD iShares TIPS Bond 0.37 Mar 01 2024 0.37 -1.05 1.78 1.82 2.23 1.77 4.98 6.69
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) 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 Larry Swedroe Eliminate Fat Tails Portfolio granted a 3.39% dividend yield. If you are interested in getting periodic income, please refer to the Larry Swedroe Eliminate Fat Tails Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 4.69$, with a total return of 368.86% (5.29% annualized).

The Inflation Adjusted Capital now would be 2.22$, with a net total return of 122.10% (2.70% annualized).
An investment of 1$, since January 1985, now would be worth 15.00$, with a total return of 1400.02% (7.16% annualized).

The Inflation Adjusted Capital now would be 5.11$, with a net total return of 411.01% (4.25% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Larry Swedroe Eliminate Fat Tails Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
LARRY SWEDROE ELIMINATE FAT TAILS PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 0.86 3.29 3.30 4.56 -0.26 2.95 2.89 4.38 5.29 7.16
Infl. Adjusted Return (%) details 0.86 2.74 2.13 1.80 -5.48 -1.11 0.11 1.77 2.70 4.25
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.79
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 (%) -5.10 -12.62 -12.62 -12.62 -18.42 -18.42 -18.42
Start to Recovery (# months) details 5 26* 26* 26* 18 18 18
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2008 06 2008 06 2008 06
Start to Bottom (# months) 3 9 9 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 17 17 9 9 9
End (yyyy mm) 2023 12 - - - 2009 11 2009 11 2009 11
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-12.62 -12.62 -12.62
Start to Recovery (# months) details 26* 26* 26*
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 3 9 9 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 17 17 17 17 17 17
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 8 36* 37* 37* 38 38 38
Period Start (yyyy mm) 2023 03 2021 03 2021 02 2021 02 2006 01 2006 01 2006 01
Period End (yyyy mm) 2023 10 2024 02 2024 02 2024 02 2009 02 2009 02 2009 02
Annualized Return (%) -3.21 -0.26 -0.02 -0.02 -0.04 -0.04 -0.04
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -6.00 -20.81 -20.81 -20.81 -20.81 -20.81 -20.81
Start to Recovery (# months) details 5 33* 33* 33* 33* 33* 33*
Start (yyyy mm) 2023 08 2021 06 2021 06 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 3 29 29 29 29 29 29
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 4 4 4 4 4 4
End (yyyy mm) 2023 12 - - - - - -
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 2021 06 2021 06 2021 06 2021 06 2021 06 2021 06
Start to Bottom (# months) 3 29 29 29 29 29 29
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 2 4 4 4 4 4 4
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 9 36* 60* 117 151 151 151
Period Start (yyyy mm) 2023 03 2021 03 2019 03 2014 03 2011 04 2011 04 2011 04
Period End (yyyy mm) 2023 11 2024 02 2024 02 2023 11 2023 10 2023 10 2023 10
Annualized Return (%) -1.21 -5.48 -1.11 -0.16 -0.03 -0.03 -0.03
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 6.49 6.91 6.98 5.87 6.35 6.29 6.99
Sharpe Ratio -0.10 -0.38 0.16 0.29 0.48 0.48 0.45
Sortino Ratio -0.15 -0.54 0.22 0.39 0.63 0.64 0.62
Ulcer Index 1.96 6.08 4.93 3.87 3.94 3.42 3.50
Ratio: Return / Standard Deviation 0.70 -0.04 0.42 0.49 0.69 0.84 1.02
Ratio: Return / Deepest Drawdown 0.89 -0.02 0.23 0.23 0.24 0.29 0.39
% Positive Months details 50% 50% 58% 62% 64% 65% 66%
Positive Months 6 18 35 75 154 234 313
Negative Months 6 18 25 45 86 126 157
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 2.89 6.33 8.55 12.51
Worst 10 Years Return (%) - Annualized 2.25 2.25 2.25
Best 10 Years Return (%) - Annualized 0.11 4.00 5.66 8.78
Worst 10 Years Return (%) - Annualized -0.52 -0.52 -0.52
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 24.41 13.42 11.79 8.55 6.90 5.29
Worst Rolling Return (%) - Annualized -16.84 -0.99 1.55 2.25 4.34
% Positive Periods 83% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 90.48 29.50 19.78 10.43 6.60 5.49
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.02
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 21.79 10.52 8.62 5.66 4.45 2.70
Worst Rolling Return (%) - Annualized -17.98 -5.65 -2.15 -0.52 1.72
% Positive Periods 75% 88% 92% 97% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 90.48 29.50 19.78 10.43 6.60 5.49
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 3.02
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Feb 2024)
Best Rolling Return (%) - Annualized 32.01 20.50 17.49 12.51 10.32 8.46
Worst Rolling Return (%) - Annualized -16.84 -0.99 1.55 2.25 4.34 5.13
% Positive Periods 85% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 90.48 29.50 19.78 10.43 6.60 5.28
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 2.79
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 28.19 17.04 13.06 8.78 7.06 5.58
Worst Rolling Return (%) - Annualized -17.98 -5.65 -2.15 -0.52 1.72 2.54
% Positive Periods 76% 91% 94% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 90.48 29.50 19.78 10.43 6.60 5.28
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.95 2.79
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
EEM
IJR
BIL
TIP
EEM
-
0.77
0.01
0.57
IJR
0.77
-
0.26
0.43
BIL
0.01
0.26
-
0.12
TIP
0.57
0.43
0.12
-
Asset
EEM
IJR
BIL
TIP
EEM
-
0.75
-0.03
0.45
IJR
0.75
-
-0.14
0.47
BIL
-0.03
-0.14
-
-0.09
TIP
0.45
0.47
-0.09
-
Asset
EEM
IJR
BIL
TIP
EEM
-
0.63
-0.02
0.44
IJR
0.63
-
-0.10
0.36
BIL
-0.02
-0.10
-
-0.05
TIP
0.44
0.36
-0.05
-
Asset
EEM
IJR
BIL
TIP
EEM
-
0.71
-0.04
0.18
IJR
0.71
-
-0.05
0.12
BIL
-0.04
-0.05
-
0.09
TIP
0.18
0.12
0.09
-
Asset
EEM
IJR
BIL
TIP
EEM
-
0.66
0.03
0.21
IJR
0.66
-
-0.03
0.13
BIL
0.03
-0.03
-
0.15
TIP
0.21
0.13
0.15
-

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.

LARRY SWEDROE ELIMINATE FAT TAILS PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-18.42% Jun 2008 Feb 2009 9 Nov 2009 9 18 9.58
-12.62% Jan 2022 Sep 2022 9 in progress 17 26 7.11
-8.68% May 1998 Aug 1998 4 Apr 1999 8 12 3.71
-7.91% Jan 2020 Mar 2020 3 Jul 2020 4 7 3.66
-6.64% May 2015 Jan 2016 9 Jul 2016 6 15 3.83
-6.05% Aug 2011 Sep 2011 2 Jan 2012 4 6 2.70
-5.32% Sep 2018 Dec 2018 4 Apr 2019 4 8 2.68
-4.47% Jul 2001 Sep 2001 3 Dec 2001 3 6 1.91
-4.43% Mar 1994 Jun 1994 4 Apr 1995 10 14 2.76
-4.31% May 2002 Jul 2002 3 May 2003 10 13 2.36
-3.79% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.19
-3.62% Mar 2000 May 2000 3 Aug 2000 3 6 1.67
-3.45% May 2013 Jun 2013 2 Oct 2013 4 6 1.99
-3.33% May 2010 Jun 2010 2 Sep 2010 3 5 1.94
-3.33% Feb 2001 Mar 2001 2 May 2001 2 4 1.68
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 137 2.6 Months 37.95%
 
DD = 0% 37.95%
 
0% < DD <= -5% 185 2.0 Months 51.25%
 
DD <= -5% 89.20%
 
-5% < DD <= -10% 30 12.0 Months 8.31%
 
DD <= -10% 97.51%
 
-10% < DD <= -15% 6 60.2 Months 1.66%
 
DD <= -15% 99.17%
 
-15% < DD <= -20% 3 120.3 Months 0.83%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
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
-20.81% Jun 2021 Oct 2023 29 in progress 4 33 14.21
-19.51% Nov 2007 Feb 2009 16 Mar 2010 13 29 8.94
-9.35% May 1998 Aug 1998 4 Apr 1999 8 12 4.44
-7.74% Jan 2020 Mar 2020 3 Jul 2020 4 7 3.34
-7.20% May 2015 Jan 2016 9 Mar 2017 14 23 3.70
-6.99% May 2011 Sep 2011 5 Feb 2012 5 10 2.80
-6.24% Feb 2018 Dec 2018 11 Dec 2019 12 23 2.54
-6.12% Mar 1994 Jan 1995 11 Jun 1995 5 16 3.94
-5.43% Feb 2001 Sep 2001 8 Dec 2001 3 11 2.25
-4.86% May 2002 Mar 2003 11 May 2003 2 13 3.38
-4.69% Mar 2000 Nov 2000 9 Jan 2001 2 11 2.58
-3.95% Apr 2004 Apr 2004 1 Nov 2004 7 8 2.46
-3.85% May 2013 Aug 2013 4 Nov 2013 3 7 2.18
-3.24% May 2010 Jun 2010 2 Sep 2010 3 5 1.95
-2.92% Sep 2014 Sep 2014 1 Feb 2015 5 6 1.50
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 104 3.5 Months 28.81%
 
DD = 0% 28.81%
 
0% < DD <= -5% 199 1.8 Months 55.12%
 
DD <= -5% 83.93%
 
-5% < DD <= -10% 27 13.4 Months 7.48%
 
DD <= -10% 91.41%
 
-10% < DD <= -15% 6 60.2 Months 1.66%
 
DD <= -15% 93.07%
 
-15% < DD <= -20% 23 15.7 Months 6.37%
 
DD <= -20% 99.45%
 
-20% < DD <= -25% 2 180.5 Months 0.55%
 
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
-18.42% Jun 2008 Feb 2009 9 Nov 2009 9 18 9.58
-13.68% Mar 1987 Nov 1987 9 Jan 1989 14 23 6.12
-12.62% Jan 2022 Sep 2022 9 in progress 17 26 7.11
-8.81% Aug 1990 Sep 1990 2 Jan 1991 4 6 4.97
-8.68% May 1998 Aug 1998 4 Apr 1999 8 12 3.71
-7.91% Jan 2020 Mar 2020 3 Jul 2020 4 7 3.66
-7.61% Feb 1994 Jun 1994 5 Jun 1995 12 17 5.27
-6.64% May 2015 Jan 2016 9 Jul 2016 6 15 3.83
-6.05% Aug 2011 Sep 2011 2 Jan 2012 4 6 2.70
-5.32% Sep 2018 Dec 2018 4 Apr 2019 4 8 2.68
-4.47% Jul 2001 Sep 2001 3 Dec 2001 3 6 1.91
-4.31% May 2002 Jul 2002 3 May 2003 10 13 2.36
-3.79% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.19
-3.62% Mar 2000 May 2000 3 Aug 2000 3 6 1.67
-3.45% May 2013 Jun 2013 2 Oct 2013 4 6 1.99
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 193 2.4 Months 40.98%
 
DD = 0% 40.98%
 
0% < DD <= -5% 216 2.2 Months 45.86%
 
DD <= -5% 86.84%
 
-5% < DD <= -10% 50 9.4 Months 10.62%
 
DD <= -10% 97.45%
 
-10% < DD <= -15% 9 52.3 Months 1.91%
 
DD <= -15% 99.36%
 
-15% < DD <= -20% 3 157.0 Months 0.64%
 
DD <= -20% 100.00%
 
-20% < DD <= -25% 0 - 0.00%
 
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
-20.81% Jun 2021 Oct 2023 29 in progress 4 33 14.21
-19.51% Nov 2007 Feb 2009 16 Mar 2010 13 29 8.94
-16.37% Mar 1987 Nov 1987 9 May 1989 18 27 8.58
-10.19% Aug 1990 Sep 1990 2 Feb 1991 5 7 5.99
-9.49% Feb 1994 Jan 1995 12 Nov 1995 10 22 6.17
-9.35% May 1998 Aug 1998 4 Apr 1999 8 12 4.44
-7.74% Jan 2020 Mar 2020 3 Jul 2020 4 7 3.34
-7.20% May 2015 Jan 2016 9 Mar 2017 14 23 3.70
-6.99% May 2011 Sep 2011 5 Feb 2012 5 10 2.80
-6.24% Feb 2018 Dec 2018 11 Dec 2019 12 23 2.54
-5.43% Feb 2001 Sep 2001 8 Dec 2001 3 11 2.25
-4.99% Jan 1990 Apr 1990 4 Jul 1990 3 7 2.95
-4.86% May 2002 Mar 2003 11 May 2003 2 13 3.38
-4.69% Mar 2000 Nov 2000 9 Jan 2001 2 11 2.58
-3.95% Apr 2004 Apr 2004 1 Nov 2004 7 8 2.46
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 145 3.2 Months 30.79%
 
DD = 0% 30.79%
 
0% < DD <= -5% 233 2.0 Months 49.47%
 
DD <= -5% 80.25%
 
-5% < DD <= -10% 54 8.7 Months 11.46%
 
DD <= -10% 91.72%
 
-10% < DD <= -15% 12 39.3 Months 2.55%
 
DD <= -15% 94.27%
 
-15% < DD <= -20% 25 18.8 Months 5.31%
 
DD <= -20% 99.58%
 
-20% < DD <= -25% 2 235.5 Months 0.42%
 
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.

LARRY SWEDROE ELIMINATE FAT TAILS PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 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 -16.84 03/2008
02/2009
0.83$ -0.45 0.99$ 6.00 1.05$ 11.40 1.11$ 24.41 03/2009
02/2010
1.24$ 4.56 16.05%
2Y -4.90 11/2021
10/2023
0.90$ 1.59 1.03$ 5.68 1.11$ 9.62 1.20$ 16.87 03/2009
02/2011
1.36$ -0.91 10.68%
3Y -0.99 03/2006
02/2009
0.97$ 2.54 1.07$ 5.35 1.16$ 9.27 1.30$ 13.42 04/2003
03/2006
1.45$ -0.26 1.85%
5Y 1.55 10/2017
09/2022
1.08$ 2.85 1.15$ 5.64 1.31$ 8.25 1.48$ 11.79 11/2002
10/2007
1.74$ 2.95 0.00%
7Y 1.81 04/2013
03/2020
1.13$ 3.38 1.26$ 5.74 1.47$ 8.04 1.71$ 9.39 12/2000
11/2007
1.87$ 3.14 0.00%
10Y 2.25 11/2013
10/2023
1.24$ 3.76 1.44$ 6.18 1.82$ 7.67 2.09$ 8.55 09/1998
08/2008
2.27$ 2.89 0.00%
15Y 2.94 11/2007
10/2022
1.54$ 4.42 1.91$ 5.86 2.34$ 7.00 2.75$ 7.55 05/1995
04/2010
2.97$ 4.87 0.00%
20Y 4.34 11/2003
10/2023
2.33$ 5.16 2.73$ 5.76 3.06$ 6.26 3.37$ 6.90 07/1994
06/2014
3.79$ 4.38 0.00%
30Y 5.29 03/1994
02/2024
4.68$ 5.29 4.68$ 5.29 4.68$ 5.29 4.68$ 5.29 03/1994
02/2024
4.68$ 5.29 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 -17.98 10/2021
09/2022
0.82$ -2.49 0.97$ 3.49 1.03$ 8.47 1.08$ 21.79 03/2009
02/2010
1.21$ 1.80 24.36%
2Y -9.84 11/2021
10/2023
0.81$ -0.12 0.99$ 3.22 1.06$ 6.76 1.13$ 14.42 03/2009
02/2011
1.30$ -5.02 15.13%
3Y -5.65 02/2021
01/2024
0.84$ 0.88 1.02$ 3.01 1.09$ 6.33 1.20$ 10.52 03/2009
02/2012
1.34$ -5.48 11.69%
5Y -2.15 10/2018
09/2023
0.89$ 1.13 1.05$ 3.21 1.17$ 5.58 1.31$ 8.62 11/2002
10/2007
1.51$ -1.11 7.31%
7Y -0.88 11/2016
10/2023
0.94$ 1.52 1.11$ 3.37 1.26$ 5.15 1.42$ 6.49 11/2000
10/2007
1.55$ -0.31 5.05%
10Y -0.52 11/2013
10/2023
0.94$ 2.04 1.22$ 3.66 1.43$ 5.04 1.63$ 5.66 03/1995
02/2005
1.73$ 0.11 2.90%
15Y 0.54 11/2007
10/2022
1.08$ 2.26 1.39$ 3.70 1.72$ 4.48 1.92$ 5.00 05/1995
04/2010
2.07$ 2.27 0.00%
20Y 1.72 11/2003
10/2023
1.40$ 2.65 1.68$ 3.55 2.00$ 3.93 2.16$ 4.45 02/1995
01/2015
2.39$ 1.77 0.00%
30Y 2.70 03/1994
02/2024
2.22$ 2.70 2.22$ 2.70 2.22$ 2.70 2.22$ 2.70 03/1994
02/2024
2.22$ 2.70 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 -16.84 03/2008
02/2009
0.83$ 0.02 1.00$ 6.99 1.06$ 14.77 1.14$ 32.01 01/1991
12/1991
1.32$ 4.56 14.60%
2Y -4.90 11/2021
10/2023
0.90$ 2.03 1.04$ 6.86 1.14$ 12.73 1.27$ 20.95 10/1990
09/1992
1.46$ -0.91 8.05%
3Y -0.99 03/2006
02/2009
0.97$ 3.10 1.09$ 6.39 1.20$ 10.99 1.36$ 20.50 11/1990
10/1993
1.74$ -0.26 1.38%
5Y 1.55 10/2017
09/2022
1.08$ 3.15 1.16$ 6.62 1.37$ 11.19 1.69$ 17.49 01/1989
12/1993
2.23$ 2.95 0.00%
7Y 1.81 04/2013
03/2020
1.13$ 3.68 1.28$ 6.92 1.59$ 11.68 2.16$ 13.98 11/1987
10/1994
2.49$ 3.14 0.00%
10Y 2.25 11/2013
10/2023
1.24$ 3.97 1.47$ 7.26 2.01$ 10.51 2.71$ 12.51 12/1987
11/1997
3.24$ 2.89 0.00%
15Y 2.94 11/2007
10/2022
1.54$ 4.72 1.99$ 6.85 2.70$ 9.42 3.85$ 10.87 01/1985
12/1999
4.70$ 4.87 0.00%
20Y 4.34 11/2003
10/2023
2.33$ 5.48 2.90$ 6.70 3.65$ 9.24 5.85$ 10.32 12/1987
11/2007
7.13$ 4.38 0.00%
30Y 5.13 11/1993
10/2023
4.48$ 5.82 5.46$ 7.18 8.00$ 7.81 9.55$ 8.46 01/1985
12/2014
11.43$ 5.29 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 -17.98 10/2021
09/2022
0.82$ -2.45 0.97$ 4.29 1.04$ 11.29 1.11$ 28.19 01/1991
12/1991
1.28$ 1.80 23.97%
2Y -9.84 11/2021
10/2023
0.81$ 0.03 1.00$ 4.03 1.08$ 8.79 1.18$ 17.20 10/1990
09/1992
1.37$ -5.02 14.54%
3Y -5.65 02/2021
01/2024
0.84$ 1.28 1.03$ 3.70 1.11$ 7.87 1.25$ 17.04 11/1990
10/1993
1.60$ -5.48 8.74%
5Y -2.15 10/2018
09/2023
0.89$ 1.52 1.07$ 4.14 1.22$ 7.55 1.43$ 13.06 01/1989
12/1993
1.84$ -1.11 5.35%
7Y -0.88 11/2016
10/2023
0.94$ 1.88 1.13$ 4.38 1.34$ 8.00 1.71$ 10.08 10/1990
09/1997
1.95$ -0.31 3.62%
10Y -0.52 11/2013
10/2023
0.94$ 2.19 1.24$ 4.65 1.57$ 6.97 1.96$ 8.78 12/1987
11/1997
2.31$ 0.11 1.99%
15Y 0.54 11/2007
10/2022
1.08$ 2.70 1.49$ 4.28 1.87$ 6.37 2.52$ 7.45 01/1985
12/1999
2.93$ 2.27 0.00%
20Y 1.72 11/2003
10/2023
1.40$ 3.26 1.89$ 4.25 2.29$ 6.10 3.26$ 7.06 11/1987
10/2007
3.91$ 1.77 0.00%
30Y 2.54 02/1994
01/2024
2.12$ 3.23 2.59$ 4.65 3.91$ 5.11 4.45$ 5.58 01/1985
12/2014
5.10$ 2.70 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 Larry Swedroe Eliminate Fat Tails Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Larry Swedroe Eliminate Fat Tails 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
0.31
40%
-0.37
40%
-1.07
60%
0.48
60%
-0.18
60%
0.69
80%
1.34
60%
-0.51
40%
-1.76
20%
0.58
80%
2.13
80%
1.50
80%
Best 3.6
2023
0.9
2024
0.8
2023
3.5
2020
1.2
2020
2.4
2019
2.8
2022
1.2
2020
0.4
2019
1.9
2022
4.1
2020
3.5
2023
Worst -1.8
2022
-1.7
2023
-5.8
2020
-2.8
2022
-1.9
2019
-3.0
2022
-0.5
2021
-2.0
2022
-5.2
2022
-1.4
2023
-0.7
2021
-1.6
2022
Monthly Seasonality over the period Feb 1985 - 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
0.72
60%
-0.10
60%
-0.01
70%
0.41
70%
-0.02
60%
0.57
70%
0.92
60%
-0.24
60%
-1.21
30%
0.26
70%
1.26
80%
0.47
60%
Best 3.7
2019
1.1
2015
3.6
2016
3.5
2020
1.2
2014
2.4
2019
2.8
2022
1.3
2014
0.9
2017
1.9
2022
4.1
2020
3.5
2023
Worst -1.8
2022
-1.8
2018
-5.8
2020
-2.8
2022
-1.9
2019
-3.0
2022
-0.9
2015
-2.4
2015
-5.2
2022
-3.4
2018
-0.7
2021
-2.1
2018
Monthly Seasonality over the period Feb 1985 - 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
0.97
63%
0.52
70%
0.26
62%
0.72
79%
0.60
59%
0.55
67%
0.70
64%
0.19
64%
-0.05
56%
0.40
67%
0.86
72%
1.46
77%
Best 5.4
1988
4.8
1986
5.3
2009
4.1
1999
4.5
1985
5.1
1988
3.4
2009
4.4
1991
3.6
2010
4.6
2011
4.1
2020
9.8
1991
Worst -3.1
2009
-3.3
1994
-5.8
2020
-3.8
2004
-2.5
2010
-3.0
2022
-2.6
2002
-6.1
1990
-5.2
2022
-8.7
2008
-2.1
2008
-2.1
2018
Monthly Seasonality over the period Feb 1985 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Larry Swedroe Eliminate Fat Tails Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

LARRY SWEDROE ELIMINATE FAT TAILS PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
234 Positive Months (65%) - 126 Negative Months (35%)
313 Positive Months (67%) - 157 Negative Months (33%)
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:
  • EEM - iShares MSCI Emerging Markets (EEM), up to December 2003
  • IJR - iShares Core S&P Small-Cap (IJR), up to December 2000
  • BIL - SPDR Blmbg Barclays 1-3 Mth T-Bill (BIL), up to December 2007
  • TIP - iShares TIPS Bond (TIP), up to December 2003

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
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
PISI Portfolio Davide Pisicchio +7.00 6.48 -18.36 30 60 10
Simplified Permanent Portfolio +6.85 6.88 -16.43 25 50 25
Ulcer Free Strategy Aim Ways +6.61 5.50 -17.05 7 82 11
Desert Portfolio Gyroscopic Investing +6.60 5.50 -14.72 30 60 10
Permanent Portfolio Harry Browne +6.47 6.59 -15.92 25 50 25
Stocks/Bonds 20/80 Momentum +6.20 4.95 -17.91 20 80 0
Paul Boyer Portfolio Paul Boyer +6.03 7.47 -18.04 25 50 25
Larry Portfolio Larry Swedroe +5.83 5.55 -15.96 30 70 0
All Country World 20/80 +5.70 5.63 -17.97 20 80 0
Sheltered Sam 30/70 Bill Bernstein +5.68 5.20 -16.58 29.1 70 0.9
Stocks/Bonds 20/80 +5.66 4.92 -16.57 20 80 0
Dimensional Retirement Income Fund DFA +5.44 4.76 -12.91 20.4 79.6 0
LifeStrategy Income Fund Vanguard +5.40 4.78 -16.61 20 80 0
Eliminate Fat Tails Larry Swedroe +5.29 6.29 -18.42 30 70 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Medium Risk categorization.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
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
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Robo Advisor 50 Betterment +7.19 9.28 -30.72 49.9 50.1 0
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
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