Davide Pisicchio PISI Portfolio: ETF allocation and returns

Data Source: from January 1871 to January 2024 (~153 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 04:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.04%
1 Day
Feb 27 2024, 04:00PM Eastern Time
0.02%
Current Month
February 2024

The Davide Pisicchio PISI Portfolio is a Medium Risk portfolio and can be implemented with 4 ETFs.

It's exposed for 30% on the Stock Market and for 10% on Commodities.

In the last 30 Years, the Davide Pisicchio PISI Portfolio obtained a 6.90% compound annual return, with a 6.50% standard deviation.

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About the Author

My name is Davide Pisicchio, I am an independent consultant and financial educator.

I help people understand the mechanisms that govern the financial markets so they can exploit them to their advantage.

My thought is that everyone should invest in order not to become impoverished, and for this reason the financial markets, if exploited correctly, are the best tool to do so.

Portfolio Overview

The objective of the PISI portfolio (Portfolio of Investments Simple and Innovative) is to obtain protection from inflation with the least possible risk (volatility) in the long run.

Asset Allocation and ETFs

The Davide Pisicchio PISI Portfolio has the following asset allocation:

30% Stocks
60% Fixed Income
10% Commodities

The Davide Pisicchio PISI Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
30.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap
50.00
IEF
USD iShares 7-10 Year Treasury Bond Bond, U.S., Intermediate-Term
10.00
LQD
USD iShares Investment Grade Corporate Bond Bond, U.S., All-Term
10.00
GLD
USD SPDR Gold Trust Commodity, Gold

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 Jan 31, 2024

The Davide Pisicchio PISI Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: February 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DAVIDE PISICCHIO PISI PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 04:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~153Y)
Davide Pisicchio PISI Portfolio -0.04 -0.02 0.18 3.81 6.76 5.33 5.09 6.90 6.22
US Inflation Adjusted return -0.12 2.11 3.54 1.12 2.24 4.26 4.02
Components
VTI
USD Vanguard Total Stock Market 0.33 03:59PM, Feb 27 2024 5.08 1.12 5.88 19.21 13.44 11.92 9.95 9.11
IEF
USD iShares 7-10 Year Treasury Bond -0.22 04:00PM, Feb 27 2024 -2.63 0.07 2.39 0.13 0.08 1.28 4.66 4.54
LQD
USD iShares Investment Grade Corporate Bond -0.14 03:59PM, Feb 27 2024 -2.01 -0.44 4.41 3.57 2.03 2.75 5.10 4.64
GLD
USD SPDR Gold Trust -0.10 03:59PM, Feb 27 2024 -0.23 -1.42 3.35 5.04 8.60 4.61 5.48 2.92
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the Davide Pisicchio PISI Portfolio granted a 2.45% dividend yield. If you are interested in getting periodic income, please refer to the Davide Pisicchio PISI Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 7.40$, with a total return of 639.97% (6.90% annualized).

The Inflation Adjusted Capital now would be 3.50$, with a net total return of 249.57% (4.26% annualized).
An investment of 1$, since January 1871, now would be worth 10288.00$, with a total return of 1028700.00% (6.22% annualized).

The Inflation Adjusted Capital now would be 414.55$, with a net total return of 41354.68% (4.02% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Davide Pisicchio PISI Portfolio, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
DAVIDE PISICCHIO PISI PORTFOLIO
Advanced Metrics
Data Source: 1 January 1871 - 31 January 2024 (~153 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~153Y)
Investment Return (%) 0.18 10.79 3.81 6.76 0.40 5.33 5.09 6.23 6.90 6.22
Infl. Adjusted Return (%) details -0.12 10.02 2.11 3.54 -4.98 1.12 2.24 3.56 4.26 4.02
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 2.12
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -6.30 -18.36 -18.36 -18.36 -18.36 -18.36 -34.97
Start to Recovery (# months) details 5 25* 25* 25* 25* 25* 68
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01 2022 01 1929 09
Start to Bottom (# months) 3 9 9 9 9 9 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 16 16 16 16 16 35
End (yyyy mm) 2023 12 - - - - - 1935 04
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 2022 01 2022 01 1929 09
Start to Bottom (# months) 3 9 9 9 9 9 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1932 05
Bottom to End (# months) 2 16 16 16 16 16 35
End (yyyy mm) 2023 12 - - - - - 1935 04
Longest negative period (# months) details 9 34 41 41 41 41 80
Period Start (yyyy mm) 2023 02 2021 02 2020 06 2020 06 2020 06 2020 06 1925 11
Period End (yyyy mm) 2023 10 2023 11 2023 10 2023 10 2023 10 2023 10 1932 06
Annualized Return (%) -4.82 -1.06 -0.55 -0.55 -0.55 -0.55 -0.10
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.19 -24.30 -24.30 -24.30 -24.30 -24.30 -47.26
Start to Recovery (# months) details 5 29* 29* 29* 29* 29* 179
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2021 09 1911 07
Start to Bottom (# months) 3 13 13 13 13 13 108
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1920 06
Bottom to End (# months) 2 16 16 16 16 16 71
End (yyyy mm) 2023 12 - - - - - 1926 05
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 09 2021 09 2021 09 2021 09 2021 09 1911 07
Start to Bottom (# months) 3 13 13 13 13 13 108
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 1920 06
Bottom to End (# months) 2 16 16 16 16 16 71
End (yyyy mm) 2023 12 - - - - - 1926 05
Longest negative period (# months) details 10 36* 57 88 88 88 340
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2016 07 2016 07 2016 07 1892 04
Period End (yyyy mm) 2023 11 2024 01 2023 10 2023 10 2023 10 2023 10 1920 07
Annualized Return (%) -0.25 -4.98 -0.84 -0.06 -0.06 -0.06 -0.07
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 10.00 10.19 8.95 7.12 6.61 6.50 6.37
Sharpe Ratio 0.17 -0.18 0.40 0.56 0.74 0.71 0.35
Sortino Ratio 0.25 -0.25 0.54 0.76 1.00 0.97 0.50
Ulcer Index 2.46 9.32 7.29 5.30 4.10 3.57 4.22
Ratio: Return / Standard Deviation 0.68 0.04 0.60 0.71 0.94 1.06 0.98
Ratio: Return / Deepest Drawdown 1.07 0.02 0.29 0.28 0.34 0.38 0.18
% Positive Months details 58% 52% 60% 60% 65% 64% 63%
Positive Months 7 19 36 72 156 233 1163
Negative Months 5 17 24 48 84 127 674
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 5.09 7.98 9.51 14.29
Worst 10 Years Return (%) - Annualized 3.97 3.97 1.76
Best 10 Years Return (%) - Annualized 2.24 6.05 6.87 10.96
Worst 10 Years Return (%) - Annualized 1.31 1.31 -4.72
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 25.75 15.21 12.55 9.51 8.58 6.90
Worst Rolling Return (%) - Annualized -16.31 -1.65 3.03 3.97 5.94
% Positive Periods 90% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.54 29.06 20.19 11.16 6.92 6.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.45 3.63 4.59
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 22.64 12.53 9.93 6.87 6.19 4.26
Worst Rolling Return (%) - Annualized -22.33 -6.98 -0.70 1.31 3.28
% Positive Periods 84% 93% 98% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 86.54 29.06 20.19 11.16 6.92 6.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.45 3.63 4.59
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1871 - Jan 2024)
Best Rolling Return (%) - Annualized 46.41 22.36 20.43 14.29 12.07 10.96
Worst Rolling Return (%) - Annualized -24.76 -11.80 -2.93 1.76 2.61 3.19
% Positive Periods 82% 96% 99% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.62 25.88 14.25 7.67 4.41 3.34
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 0.45
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 56.79 18.73 16.41 10.96 8.07 7.22
Worst Rolling Return (%) - Annualized -22.33 -13.14 -10.81 -4.72 -1.66 0.31
% Positive Periods 70% 83% 86% 90% 96% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.62 25.88 14.25 7.67 4.41 3.34
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 0.45
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 31 January 2024
Swipe left to see all data
Asset
VTI
IEF
LQD
GLD
VTI
-
0.73
0.87
0.28
IEF
0.73
-
0.96
0.56
LQD
0.87
0.96
-
0.49
GLD
0.28
0.56
0.49
-
Asset
VTI
IEF
LQD
GLD
VTI
-
0.23
0.69
0.23
IEF
0.23
-
0.77
0.42
LQD
0.69
0.77
-
0.45
GLD
0.23
0.42
0.45
-
Asset
VTI
IEF
LQD
GLD
VTI
-
0.09
0.58
0.10
IEF
0.09
-
0.74
0.45
LQD
0.58
0.74
-
0.42
GLD
0.10
0.45
0.42
-
Asset
VTI
IEF
LQD
GLD
VTI
-
-0.11
0.33
0.06
IEF
-0.11
-
0.69
0.25
LQD
0.33
0.69
-
0.26
GLD
0.06
0.25
0.26
-
Asset
VTI
IEF
LQD
GLD
VTI
-
0.10
0.20
0.02
IEF
0.10
-
0.89
0.07
LQD
0.20
0.89
-
0.07
GLD
0.02
0.07
0.07
-

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.

DAVIDE PISICCHIO PISI PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1871 - 31 January 2024 (~153 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-18.36% Jan 2022 Sep 2022 9 in progress 16 25 11.10
-11.84% Mar 2008 Oct 2008 8 Aug 2009 10 18 5.28
-6.99% Feb 1994 Jun 1994 5 Mar 1995 9 14 4.83
-4.45% May 2013 Jun 2013 2 Oct 2013 4 6 2.44
-4.39% Aug 2016 Nov 2016 4 Apr 2017 5 9 2.26
-4.30% Jul 1998 Aug 1998 2 Sep 1998 1 3 2.20
-4.06% Apr 2004 Apr 2004 1 Oct 2004 6 7 2.54
-3.71% Feb 1999 Aug 1999 7 Nov 1999 3 10 2.35
-3.41% Feb 2001 Mar 2001 2 Oct 2001 7 9 1.85
-3.34% Apr 2000 May 2000 2 Aug 2000 3 5 1.67
-3.27% Feb 2020 Mar 2020 2 Apr 2020 1 3 1.68
-3.27% Feb 2015 Sep 2015 8 Mar 2016 6 14 1.80
-3.17% Sep 2018 Oct 2018 2 Jan 2019 3 5 1.91
-3.11% Feb 1996 Jul 1996 6 Sep 1996 2 8 1.88
-3.03% Dec 1996 Mar 1997 4 May 1997 2 6 1.37
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 159 2.3 Months 44.04%
 
DD = 0% 44.04%
 
0% < DD <= -5% 163 2.2 Months 45.15%
 
DD <= -5% 89.20%
 
-5% < DD <= -10% 23 15.7 Months 6.37%
 
DD <= -10% 95.57%
 
-10% < DD <= -15% 13 27.8 Months 3.60%
 
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
-24.30% Sep 2021 Sep 2022 13 in progress 16 29 16.83
-13.59% Mar 2008 Oct 2008 8 Sep 2009 11 19 5.82
-8.78% Feb 1994 Nov 1994 10 May 1995 6 16 5.87
-5.15% Aug 2016 Nov 2016 4 Jul 2017 8 12 2.71
-5.09% Feb 1999 Aug 1999 7 Mar 2000 7 14 2.88
-4.72% May 2013 Jun 2013 2 Feb 2014 8 10 2.26
-4.70% Sep 2000 Mar 2001 7 Dec 2002 21 28 2.81
-4.65% Jul 1998 Aug 1998 2 Sep 1998 1 3 2.40
-4.53% Feb 1996 Jul 1996 6 Oct 1996 3 9 2.70
-4.50% Feb 2015 Aug 2015 7 Mar 2016 7 14 2.75
-4.39% Apr 2004 May 2004 2 Dec 2004 7 9 2.82
-4.23% Feb 2018 Oct 2018 9 Feb 2019 4 13 2.38
-3.70% Dec 1996 Mar 1997 4 May 1997 2 6 1.76
-3.55% Jan 2021 Mar 2021 3 Jul 2021 4 7 1.89
-3.46% Jul 2005 Oct 2005 4 Dec 2005 2 6 1.52
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 113 3.2 Months 31.30%
 
DD = 0% 31.30%
 
0% < DD <= -5% 201 1.8 Months 55.68%
 
DD <= -5% 86.98%
 
-5% < DD <= -10% 23 15.7 Months 6.37%
 
DD <= -10% 93.35%
 
-10% < DD <= -15% 3 120.3 Months 0.83%
 
DD <= -15% 94.18%
 
-15% < DD <= -20% 14 25.8 Months 3.88%
 
DD <= -20% 98.06%
 
-20% < DD <= -25% 7 51.6 Months 1.94%
 
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
-34.97% Sep 1929 May 1932 33 Apr 1935 35 68 15.59
-18.36% Jan 2022 Sep 2022 9 in progress 16 25 11.10
-16.23% Mar 1937 Mar 1938 13 Oct 1939 19 32 6.81
-12.51% Mar 1974 Sep 1974 7 Feb 1975 5 12 6.34
-12.33% Dec 1968 May 1970 18 Nov 1970 6 24 6.60
-12.30% Apr 1876 Jun 1877 15 Feb 1879 20 35 6.65
-11.84% Mar 2008 Oct 2008 8 Aug 2009 10 18 5.28
-11.13% Oct 1906 Nov 1907 14 Nov 1908 12 26 5.48
-11.04% Dec 1980 Sep 1981 10 Nov 1981 2 12 5.14
-10.38% Feb 1980 Mar 1980 2 May 1980 2 4 5.18
-8.72% Sep 1987 Nov 1987 3 Sep 1988 10 13 3.83
-8.72% Sep 1892 Aug 1893 12 Feb 1895 18 30 3.41
-8.62% Oct 1895 Aug 1896 11 Jan 1897 5 16 4.06
-7.94% Apr 1940 May 1940 2 Oct 1940 5 7 3.73
-7.71% Oct 1902 Nov 1903 14 Oct 1904 11 25 4.80
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 724 2.5 Months 39.39%
 
DD = 0% 39.39%
 
0% < DD <= -5% 897 2.0 Months 48.80%
 
DD <= -5% 88.19%
 
-5% < DD <= -10% 146 12.6 Months 7.94%
 
DD <= -10% 96.14%
 
-10% < DD <= -15% 46 40.0 Months 2.50%
 
DD <= -15% 98.64%
 
-15% < DD <= -20% 7 262.6 Months 0.38%
 
DD <= -20% 99.02%
 
-20% < DD <= -25% 8 229.8 Months 0.44%
 
DD <= -25% 99.46%
 
-25% < DD <= -30% 7 262.6 Months 0.38%
 
DD <= -30% 99.84%
 
-30% < DD <= -35% 3 612.7 Months 0.16%
 
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
-47.26% Jul 1911 Jun 1920 108 May 1926 71 179 21.78
-26.82% Feb 1946 Feb 1948 25 Nov 1954 81 106 16.86
-24.30% Sep 2021 Sep 2022 13 in progress 16 29 16.83
-20.37% Jul 1973 Sep 1974 15 Jun 1980 69 84 8.06
-19.97% Jul 1980 Sep 1981 15 Oct 1982 13 28 11.00
-19.70% Sep 1968 Jun 1970 22 Jan 1972 19 41 9.73
-17.88% Sep 1929 May 1932 33 Aug 1932 3 36 8.29
-17.54% Nov 1905 Oct 1907 24 Feb 1911 40 64 7.84
-16.25% Dec 1940 Apr 1942 17 Feb 1945 34 51 8.31
-16.23% Mar 1937 Mar 1938 13 Jul 1939 16 29 7.80
-14.51% Jul 1901 Feb 1904 32 Mar 1905 13 45 8.60
-14.34% Jul 1876 May 1877 11 Jan 1878 8 19 8.93
-13.59% Mar 2008 Oct 2008 8 Sep 2009 11 19 5.82
-12.63% Feb 1899 Dec 1899 11 Jan 1901 13 24 7.84
-12.35% Jul 1892 Feb 1893 8 Feb 1894 12 20 7.66
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 428 4.3 Months 23.29%
 
DD = 0% 23.29%
 
0% < DD <= -5% 749 2.5 Months 40.75%
 
DD <= -5% 64.04%
 
-5% < DD <= -10% 313 5.9 Months 17.03%
 
DD <= -10% 81.07%
 
-10% < DD <= -15% 160 11.5 Months 8.71%
 
DD <= -15% 89.77%
 
-15% < DD <= -20% 91 20.2 Months 4.95%
 
DD <= -20% 94.72%
 
-20% < DD <= -25% 38 48.4 Months 2.07%
 
DD <= -25% 96.79%
 
-25% < DD <= -30% 18 102.1 Months 0.98%
 
DD <= -30% 97.77%
 
-30% < DD <= -35% 14 131.3 Months 0.76%
 
DD <= -35% 98.53%
 
-35% < DD <= -40% 14 131.3 Months 0.76%
 
DD <= -40% 99.29%
 
-40% < DD <= -45% 9 204.2 Months 0.49%
 
DD <= -45% 99.78%
 
-45% < DD <= -50% 4 459.5 Months 0.22%
 
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.

DAVIDE PISICCHIO PISI PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1871 - 31 January 2024 (~153 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 -16.31 11/2021
10/2022
0.83$ 2.24 1.02$ 7.59 1.07$ 13.67 1.13$ 25.75 01/1995
12/1995
1.25$ 6.76 9.17%
2Y -6.86 11/2021
10/2023
0.86$ 3.18 1.06$ 7.07 1.14$ 11.80 1.24$ 17.06 12/1994
11/1996
1.37$ -0.89 6.23%
3Y -1.65 10/2020
09/2023
0.95$ 4.29 1.13$ 7.19 1.23$ 10.70 1.35$ 15.21 03/2009
02/2012
1.52$ 0.40 1.54%
5Y 3.03 10/2017
09/2022
1.16$ 5.24 1.29$ 7.12 1.41$ 8.93 1.53$ 12.55 01/1995
12/1999
1.80$ 5.33 0.00%
7Y 3.57 10/2016
09/2023
1.27$ 5.75 1.47$ 7.22 1.62$ 8.25 1.74$ 10.03 12/1994
11/2001
1.95$ 5.24 0.00%
10Y 3.97 10/2012
09/2022
1.47$ 6.32 1.84$ 7.37 2.03$ 8.12 2.18$ 9.51 01/1995
12/2004
2.48$ 5.09 0.00%
15Y 5.43 11/2007
10/2022
2.20$ 6.62 2.61$ 7.33 2.88$ 7.82 3.09$ 8.60 12/1994
11/2009
3.44$ 6.72 0.00%
20Y 5.94 11/2003
10/2023
3.16$ 6.56 3.56$ 7.18 4.00$ 7.80 4.49$ 8.58 12/1994
11/2014
5.18$ 6.23 0.00%
30Y 6.90 02/1994
01/2024
7.39$ 6.90 7.39$ 6.90 7.39$ 6.90 7.39$ 6.90 02/1994
01/2024
7.39$ 6.90 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 -22.33 11/2021
10/2022
0.77$ -0.13 0.99$ 4.77 1.04$ 11.56 1.11$ 22.64 01/1995
12/1995
1.22$ 3.54 15.19%
2Y -11.70 11/2021
10/2023
0.77$ 1.02 1.02$ 4.88 1.09$ 9.36 1.19$ 15.92 11/2008
10/2010
1.34$ -5.36 9.79%
3Y -6.98 10/2020
09/2023
0.80$ 1.79 1.05$ 5.01 1.15$ 8.26 1.26$ 12.53 11/2008
10/2011
1.42$ -4.98 6.15%
5Y -0.70 10/2017
09/2022
0.96$ 3.12 1.16$ 4.76 1.26$ 6.59 1.37$ 9.93 01/1995
12/1999
1.60$ 1.12 1.66%
7Y 0.04 10/2016
09/2023
1.00$ 3.50 1.27$ 4.91 1.39$ 6.05 1.50$ 7.89 11/2008
10/2015
1.70$ 1.69 0.00%
10Y 1.31 11/2013
10/2023
1.13$ 3.69 1.43$ 5.20 1.65$ 5.79 1.75$ 6.87 01/1995
12/2004
1.94$ 2.24 0.00%
15Y 2.97 11/2007
10/2022
1.55$ 4.35 1.89$ 5.02 2.08$ 5.46 2.21$ 5.94 12/1994
11/2009
2.37$ 4.06 0.00%
20Y 3.28 11/2003
10/2023
1.90$ 4.08 2.22$ 4.95 2.62$ 5.43 2.88$ 6.19 02/1995
01/2015
3.32$ 3.56 0.00%
30Y 4.26 02/1994
01/2024
3.49$ 4.26 3.49$ 4.26 3.49$ 4.26 3.49$ 4.26 02/1994
01/2024
3.49$ 4.26 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 -24.76 07/1931
06/1932
0.75$ -0.59 0.99$ 6.17 1.06$ 13.25 1.13$ 46.41 07/1932
06/1933
1.46$ 6.76 17.03%
2Y -17.57 06/1930
05/1932
0.67$ 1.30 1.02$ 6.15 1.12$ 11.34 1.23$ 29.64 07/1984
06/1986
1.68$ -0.89 9.10%
3Y -11.80 07/1929
06/1932
0.68$ 2.29 1.07$ 5.96 1.18$ 10.66 1.35$ 22.36 07/1984
06/1987
1.83$ 0.40 3.77%
5Y -2.93 06/1927
05/1932
0.86$ 2.86 1.15$ 6.03 1.34$ 9.60 1.58$ 20.43 04/1982
03/1987
2.53$ 5.33 0.90%
7Y 0.57 07/1925
06/1932
1.04$ 3.33 1.25$ 6.01 1.50$ 9.19 1.85$ 16.54 04/1980
03/1987
2.91$ 5.24 0.00%
10Y 1.76 09/1886
08/1896
1.19$ 3.78 1.44$ 5.89 1.77$ 8.78 2.31$ 14.29 10/1981
09/1991
3.80$ 5.09 0.00%
15Y 2.45 09/1881
08/1896
1.43$ 4.24 1.86$ 5.79 2.32$ 8.86 3.57$ 12.93 08/1982
07/1997
6.19$ 6.72 0.00%
20Y 2.61 07/1901
06/1921
1.67$ 4.24 2.29$ 5.73 3.05$ 9.18 5.79$ 12.07 01/1979
12/1998
9.76$ 6.23 0.00%
30Y 3.19 06/1902
05/1932
2.56$ 4.53 3.78$ 5.60 5.12$ 9.42 14.87$ 10.96 07/1970
06/2000
22.61$ 6.90 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 -22.33 11/2021
10/2022
0.77$ -4.44 0.95$ 4.15 1.04$ 12.82 1.12$ 56.79 07/1932
06/1933
1.56$ 3.54 29.03%
2Y -15.93 12/1916
11/1918
0.70$ -1.50 0.97$ 4.33 1.08$ 9.91 1.20$ 26.22 07/1984
06/1986
1.59$ -5.36 21.06%
3Y -13.14 02/1917
01/1920
0.65$ -0.41 0.98$ 4.26 1.13$ 9.28 1.30$ 18.73 07/1984
06/1987
1.67$ -4.98 16.20%
5Y -10.81 07/1915
06/1920
0.56$ 0.32 1.01$ 4.26 1.23$ 8.07 1.47$ 16.41 04/1982
03/1987
2.13$ 1.12 13.16%
7Y -7.65 06/1913
05/1920
0.57$ 0.40 1.02$ 4.45 1.35$ 7.81 1.69$ 12.29 08/1982
07/1989
2.25$ 1.69 11.29%
10Y -4.72 12/1910
11/1920
0.61$ 0.65 1.06$ 4.52 1.55$ 7.23 2.01$ 10.96 06/1920
05/1930
2.83$ 2.24 9.02%
15Y -3.47 08/1905
07/1920
0.58$ 1.16 1.18$ 4.14 1.83$ 6.55 2.59$ 9.58 08/1920
07/1935
3.94$ 4.06 5.43%
20Y -1.66 07/1901
06/1921
0.71$ 1.84 1.43$ 3.74 2.08$ 6.14 3.29$ 8.07 08/1920
07/1940
4.72$ 3.56 3.19%
30Y 0.31 08/1890
07/1920
1.09$ 2.09 1.85$ 3.57 2.86$ 5.52 5.01$ 7.22 07/1982
06/2012
8.08$ 4.26 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 Davide Pisicchio PISI Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Davide Pisicchio PISI 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
0.60
60%
-0.97
20%
0.33
40%
0.66
80%
0.40
60%
0.77
80%
2.24
100%
-0.13
60%
-2.88
0%
0.37
60%
2.98
80%
1.23
80%
Best 5.0
2023
0.8
2019
3.8
2023
4.5
2020
2.1
2020
3.9
2019
4.2
2022
2.4
2019
-0.5
2019
2.2
2021
6.2
2023
4.1
2023
Worst -3.4
2022
-3.3
2023
-2.5
2020
-5.7
2022
-0.9
2023
-3.3
2022
0.5
2019
-3.8
2022
-5.9
2022
-1.4
2020
-0.1
2021
-2.3
2022
Monthly Seasonality over the period Feb 1871 - Jan 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
1.15
80%
-0.10
40%
0.33
40%
0.48
70%
0.53
70%
0.61
60%
1.42
90%
0.21
60%
-1.71
10%
0.16
60%
1.58
70%
0.57
70%
Best 5.0
2023
2.3
2014
3.8
2023
4.5
2020
2.1
2020
3.9
2019
4.2
2022
2.4
2014
0.2
2016
2.2
2021
6.2
2023
4.1
2023
Worst -3.4
2022
-3.3
2023
-2.5
2020
-5.7
2022
-0.9
2023
-3.3
2022
-1.1
2014
-3.8
2022
-5.9
2022
-2.6
2018
-2.0
2016
-2.3
2022
Monthly Seasonality over the period Feb 1871 - Jan 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
0.74
68%
0.38
62%
0.36
61%
0.57
63%
0.39
59%
0.48
61%
0.53
62%
0.58
66%
0.23
59%
0.38
60%
0.82
67%
0.80
71%
Best 6.9
1933
6.0
1986
5.4
1986
11.1
1933
6.2
1933
6.9
1938
8.7
1932
10.3
1932
5.7
1998
8.3
1982
7.1
1981
6.3
1991
Worst -4.0
2009
-5.3
1933
-7.9
1938
-5.7
2022
-7.8
1940
-4.9
1930
-3.1
1933
-3.9
1990
-8.6
1931
-6.8
2008
-3.2
1969
-4.5
1931
Monthly Seasonality over the period Feb 1871 - Jan 2024

Monthly Returns

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

DAVIDE PISICCHIO PISI PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1871 - 31 January 2024 (~153 years)
233 Positive Months (65%) - 127 Negative Months (35%)
1163 Positive Months (63%) - 674 Negative Months (37%)
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(Scroll down to see all data)
Investment Returns, up to December 2004, 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:
  • VTI - Vanguard Total Stock Market (VTI), up to December 2001
  • IEF - iShares 7-10 Year Treasury Bond (IEF), up to December 2002
  • LQD - iShares Investment Grade Corporate Bond (LQD), up to December 2002
  • GLD - SPDR Gold Trust (GLD), up to December 2004

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 +7.47 7.74 -17.79 40 40 20
PISI Portfolio Davide Pisicchio +6.90 6.50 -18.36 30 60 10

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

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30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 40/60 Momentum +7.86 7.02 -21.11 40 60 0
Couch Potato Scott Burns +7.86 8.77 -27.04 50 50 0
All Weather Portfolio Ray Dalio +7.22 7.43 -20.58 30 55 15
Robo Advisor 50 Betterment +7.01 9.31 -30.72 49.9 50.1 0
PISI Portfolio Davide Pisicchio +6.90 6.50 -18.36 30 60 10
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