Rob Arnott 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)
0.63%
1 Day
Mar 01 2024
0.63%
Current Month
March 2024

The Rob Arnott Portfolio is a Medium Risk portfolio and can be implemented with 8 ETFs.

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

In the last 30 Years, the Rob Arnott Portfolio obtained a 6.50% compound annual return, with a 7.22% standard deviation.

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Asset Allocation and ETFs

The Rob Arnott Portfolio has the following asset allocation:

30% Stocks
60% Fixed Income
10% Commodities

The Rob Arnott Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
10.00
VEU
USD Vanguard FTSE All-World ex-US Equity, Global ex-US, Large Cap
10.00
VNQ
USD Vanguard Real Estate Real Estate, U.S.
10.00
VV
USD Vanguard Large-Cap Equity, U.S., Large Cap
20.00
BNDX
USD Vanguard Total International Bond Bond, Developed Markets, All-Term
20.00
LQD
USD iShares Investment Grade Corporate Bond Bond, U.S., All-Term
10.00
TLT
USD iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
10.00
TIP
USD iShares TIPS Bond Bond, U.S., All-Term
10.00
DBC
USD Invesco DB Commodity Tracking Commodity, Broad Diversified

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 Rob Arnott 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.
ROB ARNOTT 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)
Rob Arnott Portfolio 0.63 0.63 0.06 3.82 6.79 4.16 3.85 6.50 8.17
US Inflation Adjusted return 0.06 2.65 3.97 0.06 1.04 3.88 5.24
Components
VEU
USD Vanguard FTSE All-World ex-US 1.14 Mar 01 2024 1.14 3.17 7.74 13.10 5.87 4.30 4.79 7.76
VNQ
USD Vanguard Real Estate 1.19 Mar 01 2024 1.19 1.98 6.13 4.14 4.12 6.04 8.49 9.18
VV
USD Vanguard Large-Cap 0.91 Mar 01 2024 0.91 5.24 14.22 31.09 14.61 12.53 10.42 11.55
BNDX
USD Vanguard Total International Bond 0.15 Mar 01 2024 0.15 -0.54 3.57 6.68 0.45 2.10 4.76 6.58
LQD
USD iShares Investment Grade Corporate Bond 0.61 Mar 01 2024 0.61 -1.93 3.66 5.99 1.67 2.43 5.11 6.67
TLT
USD iShares 20+ Year Treasury Bond 0.62 Mar 01 2024 0.62 -2.26 -0.68 -4.13 -2.64 0.97 5.10 7.20
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
DBC
USD Invesco DB Commodity Tracking 0.50 Mar 01 2024 0.50 -1.52 -6.21 -2.93 8.11 -0.89 4.00 5.87
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 Rob Arnott Portfolio granted a 3.83% dividend yield. If you are interested in getting periodic income, please refer to the Rob Arnott Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 6.62$, with a total return of 561.71% (6.50% annualized).

The Inflation Adjusted Capital now would be 3.13$, with a net total return of 213.46% (3.88% annualized).
An investment of 1$, since January 1985, now would be worth 21.69$, with a total return of 2068.86% (8.17% annualized).

The Inflation Adjusted Capital now would be 7.39$, with a net total return of 638.86% (5.24% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Rob Arnott Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
ROB ARNOTT 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 (%) 0.06 3.56 3.82 6.79 0.87 4.16 3.85 5.29 6.50 8.17
Infl. Adjusted Return (%) details 0.06 3.01 2.65 3.97 -4.41 0.06 1.04 2.65 3.88 5.24
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 (%) -7.06 -17.86 -17.86 -17.86 -24.27 -24.27 -24.27
Start to Recovery (# months) details 5 26* 26* 26* 22 22 22
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 13 13 13
End (yyyy mm) 2023 12 - - - 2010 03 2010 03 2010 03
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-17.86 -17.86 -17.86
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 34* 45 45 50 50 50
Period Start (yyyy mm) 2023 03 2021 05 2020 02 2020 02 2005 01 2005 01 2005 01
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2009 02 2009 02 2009 02
Annualized Return (%) -4.22 -0.24 -0.04 -0.04 -0.18 -0.18 -0.18
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.94 -23.90 -23.90 -23.90 -23.90 -23.90 -23.90
Start to Recovery (# months) details 5 30* 30* 30* 30* 30* 30*
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 26 26 26 26 26 26
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 09 2021 09 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 26 26 26 26 26 26
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 8 36* 59* 113 113 113 113
Period Start (yyyy mm) 2023 03 2021 03 2019 04 2014 06 2014 06 2014 06 2014 06
Period End (yyyy mm) 2023 10 2024 02 2024 02 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -7.02 -4.41 -0.33 -0.09 -0.09 -0.09 -0.09
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.43 10.50 9.68 7.74 7.98 7.22 7.17
Sharpe Ratio 0.17 -0.14 0.24 0.35 0.49 0.59 0.58
Sortino Ratio 0.26 -0.20 0.32 0.46 0.64 0.77 0.78
Ulcer Index 2.55 9.34 7.41 5.51 5.56 4.61 4.16
Ratio: Return / Standard Deviation 0.72 0.08 0.43 0.50 0.66 0.90 1.14
Ratio: Return / Deepest Drawdown 0.96 0.05 0.23 0.22 0.22 0.27 0.34
% Positive Months details 58% 58% 65% 65% 66% 67% 69%
Positive Months 7 21 39 78 160 243 325
Negative Months 5 15 21 42 80 117 145
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.85 7.91 10.18 12.18
Worst 10 Years Return (%) - Annualized 3.16 3.16 3.16
Best 10 Years Return (%) - Annualized 1.04 6.04 7.52 8.32
Worst 10 Years Return (%) - Annualized 0.36 0.36 0.36
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 29.35 17.62 12.47 10.18 8.40 6.50
Worst Rolling Return (%) - Annualized -22.41 -3.13 1.31 3.16 5.23
% Positive Periods 87% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.37 30.48 20.07 10.89 6.99 6.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.40 2.85 4.38
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 26.63 14.88 10.20 7.52 6.00 3.88
Worst Rolling Return (%) - Annualized -22.42 -5.49 -1.30 0.36 2.59
% Positive Periods 82% 90% 95% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.37 30.48 20.07 10.89 6.99 6.43
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.40 2.85 4.38
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 36.91 19.67 17.05 12.18 11.18 9.57
Worst Rolling Return (%) - Annualized -22.41 -3.13 1.31 3.16 5.23 6.15
% Positive Periods 88% 98% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.37 30.48 20.07 10.89 6.99 6.21
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.40 2.85 4.05
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 34.77 16.17 12.91 8.32 7.91 6.70
Worst Rolling Return (%) - Annualized -22.42 -5.49 -1.30 0.36 2.59 3.53
% Positive Periods 83% 92% 96% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 87.37 30.48 20.07 10.89 6.99 6.21
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 0.40 2.85 4.05
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
VEU
VNQ
VV
BNDX
LQD
TLT
TIP
DBC
VEU
-
0.90
0.91
0.65
0.80
0.80
0.71
0.16
VNQ
0.90
-
0.86
0.72
0.80
0.82
0.63
-0.05
VV
0.91
0.86
-
0.63
0.76
0.78
0.64
0.01
BNDX
0.65
0.72
0.63
-
0.94
0.95
0.91
-0.34
LQD
0.80
0.80
0.76
0.94
-
0.98
0.94
-0.14
TLT
0.80
0.82
0.78
0.95
0.98
-
0.91
-0.26
TIP
0.71
0.63
0.64
0.91
0.94
0.91
-
-0.05
DBC
0.16
-0.05
0.01
-0.34
-0.14
-0.26
-0.05
-
Asset
VEU
VNQ
VV
BNDX
LQD
TLT
TIP
DBC
VEU
-
0.81
0.88
0.53
0.72
0.21
0.56
0.57
VNQ
0.81
-
0.85
0.63
0.72
0.37
0.67
0.43
VV
0.88
0.85
-
0.56
0.67
0.21
0.62
0.45
BNDX
0.53
0.63
0.56
-
0.89
0.72
0.85
-0.10
LQD
0.72
0.72
0.67
0.89
-
0.74
0.83
0.10
TLT
0.21
0.37
0.21
0.72
0.74
-
0.69
-0.34
TIP
0.56
0.67
0.62
0.85
0.83
0.69
-
0.10
DBC
0.57
0.43
0.45
-0.10
0.10
-0.34
0.10
-
Asset
VEU
VNQ
VV
BNDX
LQD
TLT
TIP
DBC
VEU
-
0.68
0.86
0.39
0.63
0.11
0.49
0.52
VNQ
0.68
-
0.75
0.59
0.69
0.40
0.63
0.25
VV
0.86
0.75
-
0.43
0.57
0.09
0.50
0.40
BNDX
0.39
0.59
0.43
-
0.86
0.74
0.79
-0.16
LQD
0.63
0.69
0.57
0.86
-
0.73
0.82
0.08
TLT
0.11
0.40
0.09
0.74
0.73
-
0.69
-0.35
TIP
0.49
0.63
0.50
0.79
0.82
0.69
-
0.11
DBC
0.52
0.25
0.40
-0.16
0.08
-0.35
0.11
-
Asset
VEU
VNQ
VV
BNDX
LQD
TLT
TIP
DBC
VEU
-
0.60
0.83
0.18
0.35
-0.11
0.20
0.45
VNQ
0.60
-
0.62
0.30
0.44
0.10
0.33
0.26
VV
0.83
0.62
-
0.15
0.33
-0.10
0.21
0.31
BNDX
0.18
0.30
0.15
-
0.69
0.52
0.61
0.08
LQD
0.35
0.44
0.33
0.69
-
0.67
0.74
0.13
TLT
-0.11
0.10
-0.10
0.52
0.67
-
0.67
-0.17
TIP
0.20
0.33
0.21
0.61
0.74
0.67
-
0.25
DBC
0.45
0.26
0.31
0.08
0.13
-0.17
0.25
-
Asset
VEU
VNQ
VV
BNDX
LQD
TLT
TIP
DBC
VEU
-
0.53
0.72
0.21
0.32
-0.02
0.22
0.33
VNQ
0.53
-
0.61
0.28
0.40
0.13
0.30
0.19
VV
0.72
0.61
-
0.21
0.33
0.00
0.24
0.22
BNDX
0.21
0.28
0.21
-
0.75
0.59
0.72
0.02
LQD
0.32
0.40
0.33
0.75
-
0.73
0.81
0.08
TLT
-0.02
0.13
0.00
0.59
0.73
-
0.73
-0.16
TIP
0.22
0.30
0.24
0.72
0.81
0.73
-
0.16
DBC
0.33
0.19
0.22
0.02
0.08
-0.16
0.16
-

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.

ROB ARNOTT 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
-24.27% Jun 2008 Feb 2009 9 Mar 2010 13 22 12.41
-17.86% Jan 2022 Sep 2022 9 in progress 17 26 10.92
-8.72% Feb 2020 Mar 2020 2 Jul 2020 4 6 4.02
-6.23% Mar 2015 Jan 2016 11 Jun 2016 5 16 3.65
-5.66% May 2013 Jun 2013 2 Feb 2014 8 10 3.39
-5.26% Mar 1994 Nov 1994 9 Apr 1995 5 14 3.05
-4.84% Sep 2018 Dec 2018 4 Feb 2019 2 6 2.63
-4.70% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.74
-4.10% Jul 1998 Aug 1998 2 Sep 1998 1 3 2.15
-3.86% Aug 2016 Nov 2016 4 May 2017 6 10 1.64
-3.51% Aug 2011 Sep 2011 2 Oct 2011 1 3 1.80
-2.99% May 2010 May 2010 1 Jul 2010 2 3 1.99
-2.79% Sep 2014 Sep 2014 1 Jan 2015 4 5 1.31
-2.77% Feb 2018 Feb 2018 1 Aug 2018 6 7 1.39
-2.71% Feb 1999 Feb 1999 1 Apr 1999 2 3 1.36
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 162 2.2 Months 44.88%
 
DD = 0% 44.88%
 
0% < DD <= -5% 154 2.3 Months 42.66%
 
DD <= -5% 87.53%
 
-5% < DD <= -10% 20 18.1 Months 5.54%
 
DD <= -10% 93.07%
 
-10% < DD <= -15% 16 22.6 Months 4.43%
 
DD <= -15% 97.51%
 
-15% < DD <= -20% 6 60.2 Months 1.66%
 
DD <= -20% 99.17%
 
-20% < DD <= -25% 3 120.3 Months 0.83%
 
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
-23.90% Sep 2021 Oct 2023 26 in progress 4 30 15.86
-23.68% May 2008 Feb 2009 10 Apr 2010 14 24 11.90
-8.45% Feb 2020 Mar 2020 2 Jul 2020 4 6 3.65
-7.35% Feb 2015 Jan 2016 12 Jun 2016 5 17 4.49
-7.22% Mar 1994 Nov 1994 9 May 1995 6 15 4.36
-6.32% May 2013 Aug 2013 4 Apr 2014 8 12 3.66
-6.01% Jan 2018 Dec 2018 12 Mar 2019 3 15 2.69
-4.85% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.05
-4.63% Aug 2016 Nov 2016 4 Jul 2017 8 12 2.26
-4.59% May 1998 Aug 1998 4 Oct 1998 2 6 1.87
-4.28% May 2011 Sep 2011 5 Dec 2011 3 8 1.72
-3.65% Sep 2005 Oct 2005 2 Jan 2006 3 5 1.72
-3.38% Feb 2001 Sep 2001 8 Apr 2002 7 15 1.77
-2.93% May 2010 May 2010 1 Jul 2010 2 3 1.94
-2.91% Dec 1996 Mar 1997 4 May 1997 2 6 1.54
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 116 3.1 Months 32.13%
 
DD = 0% 32.13%
 
0% < DD <= -5% 191 1.9 Months 52.91%
 
DD <= -5% 85.04%
 
-5% < DD <= -10% 20 18.1 Months 5.54%
 
DD <= -10% 90.58%
 
-10% < DD <= -15% 8 45.1 Months 2.22%
 
DD <= -15% 92.80%
 
-15% < DD <= -20% 16 22.6 Months 4.43%
 
DD <= -20% 97.23%
 
-20% < DD <= -25% 10 36.1 Months 2.77%
 
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
-24.27% Jun 2008 Feb 2009 9 Mar 2010 13 22 12.41
-17.86% Jan 2022 Sep 2022 9 in progress 17 26 10.92
-8.72% Feb 2020 Mar 2020 2 Jul 2020 4 6 4.02
-7.37% Feb 1994 Nov 1994 10 May 1995 6 16 4.71
-6.23% Mar 2015 Jan 2016 11 Jun 2016 5 16 3.65
-6.11% Jan 1990 Apr 1990 4 Jul 1990 3 7 3.26
-5.66% May 2013 Jun 2013 2 Feb 2014 8 10 3.39
-5.21% Sep 1987 Nov 1987 3 Jan 1988 2 5 3.32
-4.84% Sep 2018 Dec 2018 4 Feb 2019 2 6 2.63
-4.70% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.74
-4.10% Jul 1998 Aug 1998 2 Sep 1998 1 3 2.15
-3.86% Aug 2016 Nov 2016 4 May 2017 6 10 1.64
-3.51% Aug 2011 Sep 2011 2 Oct 2011 1 3 1.80
-3.06% Sep 1986 Sep 1986 1 Dec 1986 3 4 1.79
-2.99% May 2010 May 2010 1 Jul 2010 2 3 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%) 231 2.0 Months 49.04%
 
DD = 0% 49.04%
 
0% < DD <= -5% 185 2.5 Months 39.28%
 
DD <= -5% 88.32%
 
-5% < DD <= -10% 30 15.7 Months 6.37%
 
DD <= -10% 94.69%
 
-10% < DD <= -15% 16 29.4 Months 3.40%
 
DD <= -15% 98.09%
 
-15% < DD <= -20% 6 78.5 Months 1.27%
 
DD <= -20% 99.36%
 
-20% < DD <= -25% 3 157.0 Months 0.64%
 
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
-23.90% Sep 2021 Oct 2023 26 in progress 4 30 15.86
-23.68% May 2008 Feb 2009 10 Apr 2010 14 24 11.90
-9.53% Feb 1994 Nov 1994 10 Aug 1995 9 19 5.87
-8.45% Feb 2020 Mar 2020 2 Jul 2020 4 6 3.65
-8.01% Jan 1990 Apr 1990 4 Feb 1991 10 14 4.59
-7.35% Feb 2015 Jan 2016 12 Jun 2016 5 17 4.49
-6.32% May 2013 Aug 2013 4 Apr 2014 8 12 3.66
-6.11% Sep 1987 Nov 1987 3 Feb 1988 3 6 3.65
-6.01% Jan 2018 Dec 2018 12 Mar 2019 3 15 2.69
-4.85% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.05
-4.63% Aug 2016 Nov 2016 4 Jul 2017 8 12 2.26
-4.59% May 1998 Aug 1998 4 Oct 1998 2 6 1.87
-4.28% May 2011 Sep 2011 5 Dec 2011 3 8 1.72
-3.65% Sep 2005 Oct 2005 2 Jan 2006 3 5 1.72
-3.50% Jan 1992 Mar 1992 3 Jul 1992 4 7 1.86
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 166 2.8 Months 35.24%
 
DD = 0% 35.24%
 
0% < DD <= -5% 236 2.0 Months 50.11%
 
DD <= -5% 85.35%
 
-5% < DD <= -10% 35 13.5 Months 7.43%
 
DD <= -10% 92.78%
 
-10% < DD <= -15% 8 58.9 Months 1.70%
 
DD <= -15% 94.48%
 
-15% < DD <= -20% 16 29.4 Months 3.40%
 
DD <= -20% 97.88%
 
-20% < DD <= -25% 10 47.1 Months 2.12%
 
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.

ROB ARNOTT 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 -22.41 03/2008
02/2009
0.77$ 0.88 1.00$ 7.64 1.07$ 13.54 1.13$ 29.35 03/2009
02/2010
1.29$ 6.79 12.89%
2Y -8.96 03/2007
02/2009
0.82$ 2.02 1.04$ 7.20 1.14$ 11.36 1.24$ 21.91 03/2009
02/2011
1.48$ -2.26 9.20%
3Y -3.13 03/2006
02/2009
0.90$ 3.01 1.09$ 7.10 1.22$ 10.74 1.35$ 17.62 03/2009
02/2012
1.62$ 0.87 1.85%
5Y 1.31 03/2004
02/2009
1.06$ 4.11 1.22$ 6.68 1.38$ 9.73 1.59$ 12.47 03/2009
02/2014
1.79$ 4.16 0.00%
7Y 2.93 11/2016
10/2023
1.22$ 4.75 1.38$ 6.80 1.58$ 8.99 1.82$ 10.21 09/1998
08/2005
1.97$ 4.07 0.00%
10Y 3.16 11/2013
10/2023
1.36$ 5.11 1.64$ 6.89 1.94$ 8.87 2.33$ 10.18 01/1995
12/2004
2.63$ 3.85 0.00%
15Y 4.20 11/2007
10/2022
1.85$ 5.64 2.27$ 6.93 2.73$ 7.95 3.15$ 8.57 12/1994
11/2009
3.43$ 6.65 0.00%
20Y 5.23 11/2003
10/2023
2.77$ 6.17 3.31$ 6.87 3.77$ 7.49 4.23$ 8.40 12/1994
11/2014
5.01$ 5.29 0.00%
30Y 6.50 03/1994
02/2024
6.61$ 6.50 6.61$ 6.50 6.61$ 6.50 6.61$ 6.50 03/1994
02/2024
6.61$ 6.50 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 -22.42 03/2008
02/2009
0.77$ -0.60 0.99$ 5.08 1.05$ 10.44 1.10$ 26.63 03/2009
02/2010
1.26$ 3.97 17.19%
2Y -12.70 11/2021
10/2023
0.76$ 0.53 1.01$ 4.83 1.09$ 8.70 1.18$ 19.36 03/2009
02/2011
1.42$ -6.31 13.06%
3Y -5.49 11/2020
10/2023
0.84$ 1.12 1.03$ 4.64 1.14$ 7.99 1.25$ 14.88 03/2009
02/2012
1.51$ -4.41 9.54%
5Y -1.30 03/2004
02/2009
0.93$ 2.32 1.12$ 4.38 1.23$ 7.09 1.40$ 10.20 03/2009
02/2014
1.62$ 0.06 4.98%
7Y -0.55 10/2016
09/2023
0.96$ 2.86 1.21$ 4.47 1.35$ 6.25 1.52$ 7.37 09/1998
08/2005
1.64$ 0.59 1.08%
10Y 0.36 11/2013
10/2023
1.03$ 3.25 1.37$ 4.65 1.57$ 6.16 1.81$ 7.52 01/1995
12/2004
2.06$ 1.04 0.00%
15Y 1.78 11/2007
10/2022
1.30$ 3.53 1.68$ 4.73 2.00$ 5.42 2.20$ 5.92 12/1994
11/2009
2.36$ 4.01 0.00%
20Y 2.59 11/2003
10/2023
1.66$ 3.57 2.01$ 4.61 2.46$ 5.23 2.76$ 6.00 02/1995
01/2015
3.20$ 2.65 0.00%
30Y 3.88 03/1994
02/2024
3.13$ 3.88 3.13$ 3.88 3.13$ 3.88 3.13$ 3.88 03/1994
02/2024
3.13$ 3.88 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 -22.41 03/2008
02/2009
0.77$ 1.98 1.01$ 8.36 1.08$ 14.80 1.14$ 36.91 05/1985
04/1986
1.36$ 6.79 11.11%
2Y -8.96 03/2007
02/2009
0.82$ 3.28 1.06$ 8.39 1.17$ 12.58 1.26$ 26.35 03/1985
02/1987
1.59$ -2.26 6.94%
3Y -3.13 03/2006
02/2009
0.90$ 3.60 1.11$ 8.13 1.26$ 11.98 1.40$ 19.67 03/1985
02/1988
1.71$ 0.87 1.38%
5Y 1.31 03/2004
02/2009
1.06$ 4.44 1.24$ 8.22 1.48$ 10.59 1.65$ 17.05 01/1985
12/1989
2.19$ 4.16 0.00%
7Y 2.93 11/2016
10/2023
1.22$ 5.16 1.42$ 8.18 1.73$ 9.92 1.93$ 15.13 01/1985
12/1991
2.68$ 4.07 0.00%
10Y 3.16 11/2013
10/2023
1.36$ 5.38 1.68$ 8.04 2.16$ 9.97 2.58$ 12.18 01/1985
12/1994
3.15$ 3.85 0.00%
15Y 4.20 11/2007
10/2022
1.85$ 5.92 2.37$ 7.83 3.09$ 9.43 3.86$ 11.62 01/1985
12/1999
5.20$ 6.65 0.00%
20Y 5.23 11/2003
10/2023
2.77$ 6.60 3.59$ 7.85 4.53$ 9.44 6.07$ 11.18 01/1985
12/2004
8.32$ 5.29 0.00%
30Y 6.15 11/1993
10/2023
5.98$ 6.82 7.23$ 7.70 9.24$ 8.33 11.03$ 9.57 01/1985
12/2014
15.51$ 6.50 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 -22.42 03/2008
02/2009
0.77$ -0.43 0.99$ 5.67 1.05$ 11.72 1.11$ 34.77 05/1985
04/1986
1.34$ 3.97 16.56%
2Y -12.70 11/2021
10/2023
0.76$ 1.47 1.02$ 5.06 1.10$ 9.45 1.19$ 23.21 03/1985
02/1987
1.51$ -6.31 9.84%
3Y -5.49 11/2020
10/2023
0.84$ 1.86 1.05$ 5.03 1.15$ 8.49 1.27$ 16.17 03/1985
02/1988
1.56$ -4.41 7.13%
5Y -1.30 03/2004
02/2009
0.93$ 2.61 1.13$ 5.39 1.30$ 7.39 1.42$ 12.91 01/1985
12/1989
1.83$ 0.06 3.65%
7Y -0.55 10/2016
09/2023
0.96$ 3.27 1.25$ 5.45 1.44$ 6.73 1.57$ 10.77 01/1985
12/1991
2.04$ 0.59 0.78%
10Y 0.36 11/2013
10/2023
1.03$ 3.45 1.40$ 5.47 1.70$ 6.67 1.90$ 8.32 10/1985
09/1995
2.22$ 1.04 0.00%
15Y 1.78 11/2007
10/2022
1.30$ 3.81 1.75$ 5.32 2.17$ 6.39 2.53$ 8.18 01/1985
12/1999
3.25$ 4.01 0.00%
20Y 2.59 11/2003
10/2023
1.66$ 4.38 2.35$ 5.20 2.75$ 6.18 3.32$ 7.91 01/1985
12/2004
4.58$ 2.65 0.00%
30Y 3.53 11/1993
10/2023
2.83$ 4.20 3.43$ 5.20 4.57$ 5.53 5.02$ 6.70 03/1985
02/2015
7.00$ 3.88 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 Rob Arnott Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Rob Arnott 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
0.43
40%
-1.13
40%
-0.39
80%
0.87
80%
0.18
60%
0.82
80%
2.17
100%
-0.53
60%
-2.60
20%
0.34
60%
3.02
80%
1.38
80%
Best 5.1
2023
0.4
2021
2.5
2023
4.1
2020
2.1
2020
3.0
2019
3.8
2022
2.0
2019
0.2
2019
2.9
2021
6.1
2023
4.3
2023
Worst -2.5
2022
-3.5
2023
-7.2
2020
-4.2
2022
-2.1
2023
-4.7
2022
0.4
2019
-3.9
2022
-7.0
2022
-2.2
2023
-1.5
2021
-2.8
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
0.88
60%
-0.55
60%
0.23
70%
0.74
70%
0.37
70%
0.65
80%
1.35
90%
-0.21
60%
-1.57
30%
0.14
60%
1.39
70%
0.67
60%
Best 5.1
2023
1.5
2017
3.9
2016
4.1
2020
2.1
2020
3.1
2016
3.8
2022
2.0
2019
0.2
2016
2.9
2021
6.1
2023
4.3
2023
Worst -2.5
2022
-3.5
2023
-7.2
2020
-4.2
2022
-2.1
2023
-4.7
2022
-0.6
2014
-3.9
2022
-7.0
2022
-3.3
2018
-1.8
2016
-2.8
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
0.75
65%
0.31
63%
0.69
64%
0.92
82%
0.63
64%
0.62
74%
1.08
74%
0.49
67%
0.05
64%
0.31
67%
0.82
64%
1.48
82%
Best 5.1
2023
6.0
1986
6.0
1986
4.5
2009
5.7
1985
4.7
1986
4.7
2009
4.6
1986
4.3
1998
4.2
2011
6.1
2023
8.2
2008
Worst -5.7
2009
-5.9
2009
-7.2
2020
-4.7
2004
-3.0
2013
-4.7
2022
-2.3
2003
-3.9
2022
-7.0
2022
-11.6
2008
-2.7
1993
-2.8
2022
Monthly Seasonality over the period Feb 1985 - Feb 2024

Monthly Returns

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

ROB ARNOTT PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
243 Positive Months (68%) - 117 Negative Months (33%)
325 Positive Months (69%) - 145 Negative Months (31%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2013, 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:
  • VEU - Vanguard FTSE All-World ex-US (VEU), up to December 2007
  • VNQ - Vanguard Real Estate (VNQ), up to December 2004
  • VV - Vanguard Large-Cap (VV), up to December 2004
  • BNDX - Vanguard Total International Bond (BNDX), up to December 2013
  • LQD - iShares Investment Grade Corporate Bond (LQD), up to December 2002
  • TLT - iShares 20+ Year Treasury Bond (TLT), up to December 2002
  • TIP - iShares TIPS Bond (TIP), up to December 2003
  • DBC - Invesco DB Commodity Tracking (DBC), up to December 2006

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
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Stocks/Bonds 40/60 Momentum +8.06 7.02 -21.11 40 60 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
Aim comfortable trip Aim Ways +7.42 7.59 -20.15 40 45 15
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
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
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
Edge Select Moderately Conservative Merrill Lynch +6.56 6.85 -20.48 37 63 0
Rob Arnott Portfolio Rob Arnott +6.50 7.22 -24.27 30 60 10

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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