Data Source: from January 1985 to November 2023 (~39 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.94%
1 Day
Dec 01 2023
0.94%
Current Month
December 2023
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 6.46% compound annual return, with a 7.22% standard deviation.
Table of contents
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 Nov 30, 2023
The Rob Arnott Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
ROB ARNOTT PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 01 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~39Y) |
|||
| Rob Arnott Portfolio | 0.94 | 0.94 | 6.13 | 2.23 | 1.65 | 4.21 | 3.83 | 6.46 | 8.13 | |||
| US Inflation Adjusted return | 6.13 | 1.05 | -1.64 | 0.13 | 0.99 | 3.84 | 5.19 | |||||
| Components | ||||||||||||
|
VEU
|
USD | Vanguard FTSE All-World ex-US | 0.83 | Dec 01 2023 | 0.83 | 8.23 | 5.00 | 8.02 | 5.37 | 3.75 | 5.13 | 7.64 |
|
VNQ
|
USD | Vanguard Real Estate | 2.46 | Dec 01 2023 | 2.46 | 12.08 | 4.30 | -2.99 | 3.66 | 6.41 | 8.34 | 9.08 |
|
VV
|
USD | Vanguard Large-Cap | 0.60 | Dec 01 2023 | 0.60 | 9.48 | 10.62 | 14.57 | 12.47 | 11.69 | 10.07 | 11.31 |
|
BNDX
|
USD | Vanguard Total International Bond | 0.60 | Dec 01 2023 | 0.60 | 3.43 | 1.56 | 2.49 | 0.52 | 2.06 | 4.69 | 6.57 |
|
LQD
|
USD | iShares Investment Grade Corporate Bond | 1.20 | Dec 01 2023 | 1.20 | 7.57 | 0.87 | 2.70 | 2.20 | 2.52 | 5.02 | 6.65 |
|
TLT
|
USD | iShares 20+ Year Treasury Bond | 1.88 | Dec 01 2023 | 1.88 | 9.92 | -9.50 | -8.15 | -2.46 | 1.07 | 4.92 | 7.15 |
|
TIP
|
USD | iShares TIPS Bond | 0.51 | Dec 01 2023 | 0.51 | 2.77 | -1.03 | -0.52 | 2.25 | 1.70 | 4.90 | 6.69 |
|
DBC
|
USD | Invesco DB Commodity Tracking | -0.46 | Dec 01 2023 | -0.46 | -2.45 | 8.44 | -5.63 | 10.12 | -0.30 | 4.25 | 6.01 |
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023.
Waiting for updates, inflation of Nov 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.35%
, 5Y: 4.07%
, 10Y: 2.82%
, 30Y: 2.52%
Live update: World Markets and Indexes
In 2022, the Rob Arnott Portfolio granted a 2.31% dividend yield. If you are interested in getting periodic income, please refer to the Rob Arnott Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993,
now would be worth 6.53$, with a total return of 553.11% (6.46% annualized).
The Inflation Adjusted Capital now would be 3.09$, with a net total return of 209.50% (3.84% annualized).
The Inflation Adjusted Capital now would be 3.09$, with a net total return of 209.50% (3.84% annualized).
An investment of 1$, since January 1985,
now would be worth 20.94$, with a total return of 1994.28% (8.13% annualized).
The Inflation Adjusted Capital now would be 7.17$, with a net total return of 616.76% (5.19% annualized).
The Inflation Adjusted Capital now would be 7.17$, with a net total return of 616.76% (5.19% annualized).
Readings that may interest you
Portfolio Metrics as of Nov 30, 2023
Metrics of Rob Arnott Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
ROB ARNOTT PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~39Y) |
|
| Investment Return (%) | 6.13 | 0.25 | 2.23 | 1.65 | 0.23 | 4.21 | 3.83 | 5.49 | 6.46 | 8.13 |
| Infl. Adjusted Return (%) details | 6.13 | 0.04 | 1.05 | -1.64 | -5.21 | 0.13 | 0.99 | 2.83 | 3.84 | 5.19 |
| US Inflation (%) | 0.00 | 0.21 | 1.17 | 3.35 | 5.74 | 4.07 | 2.82 | 2.59 | 2.52 | 2.79 |
| Waiting for updates, inflation of Nov 2023 is temporarily set to 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 | 4* | 23* | 23* | 23* | 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) | 1 | 14 | 14 | 14 | 13 | 13 | 13 | |||
| End (yyyy mm) | - | - | - | - | 2010 03 | 2010 03 | 2010 03 | |||
| Longest Drawdown Depth (%) | -3.52 |
same as deepest |
same as deepest |
same as deepest |
-17.86 | -17.86 | -17.86 | |||
| Start to Recovery (# months) details | 6 | 23* | 23* | 23* | ||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 9 | 9 | 9 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Bottom to End (# months) | 5 | 14 | 14 | 14 | 14 | 14 | 14 | |||
| End (yyyy mm) | 2023 07 | - | - | - | - | - | - | |||
| Longest negative period (# months) details | 11 | 35 | 45 | 45 | 50 | 50 | 50 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2020 02 | 2020 02 | 2005 01 | 2005 01 | 2005 01 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2009 02 | 2009 02 | 2009 02 | |||
| Annualized Return (%) | -4.60 | -1.79 | -0.04 | -0.04 | -0.18 | -0.18 | -0.18 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -8.85 | -23.93 | -23.93 | -23.93 | -23.93 | -23.93 | -23.93 | |||
| Start to Recovery (# months) details | 10* | 23* | 23* | 23* | 23* | 23* | 23* | |||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | |||
| Start to Bottom (# months) | 9 | 22 | 22 | 22 | 22 | 22 | 22 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| End (yyyy mm) | - | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
-23.18 | -23.18 | -23.18 | |||
| Start to Recovery (# months) details | 24 | 24 | 24 | |||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2008 05 | 2008 05 | 2008 05 | |||
| Start to Bottom (# months) | 9 | 22 | 22 | 22 | 10 | 10 | 10 | |||
| Bottom (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 1 | 1 | 1 | 14 | 14 | 14 | |||
| End (yyyy mm) | - | - | - | - | 2010 04 | 2010 04 | 2010 04 | |||
| Longest negative period (# months) details | 12* | 36* | 59 | 113 | 113 | 113 | 113 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2018 12 | 2014 06 | 2014 06 | 2014 06 | 2014 06 | |||
| Period End (yyyy mm) | 2023 11 | 2023 11 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2023 10 | |||
| Annualized Return (%) | -1.64 | -5.21 | -1.07 | -0.05 | -0.05 | -0.05 | -0.05 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 10.96 | 10.26 | 9.72 | 7.66 | 7.97 | 7.22 | 7.17 | |||
| Sharpe Ratio | -0.29 | -0.16 | 0.26 | 0.36 | 0.53 | 0.58 | 0.58 | |||
| Sortino Ratio | -0.46 | -0.23 | 0.35 | 0.49 | 0.68 | 0.76 | 0.77 | |||
| Ulcer Index | 2.89 | 9.09 | 7.22 | 5.38 | 5.50 | 4.63 | 4.13 | |||
| Ratio: Return / Standard Deviation | 0.15 | 0.02 | 0.43 | 0.50 | 0.69 | 0.89 | 1.13 | |||
| Ratio: Return / Deepest Drawdown | 0.23 | 0.01 | 0.24 | 0.21 | 0.23 | 0.27 | 0.33 | |||
| % Positive Months details | 50% | 58% | 65% | 65% | 67% | 67% | 69% | |||
| Positive Months | 6 | 21 | 39 | 79 | 161 | 243 | 323 | |||
| Negative Months | 6 | 15 | 21 | 41 | 79 | 117 | 144 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 3.83 | 7.91 | 10.18 | 12.18 | ||||||
| Worst 10 Years Return (%) - Annualized | 3.16 | 3.16 | 3.16 | |||||||
| Best 10 Years Return (%) - Annualized | 0.99 | 6.04 | 7.57 | 8.33 | ||||||
| Worst 10 Years Return (%) - Annualized | 0.35 | 0.35 | 0.35 | |||||||
|
ROLLING PERIOD RETURNS
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 | 6.46 | ||||
| Worst Rolling Return (%) - Annualized | -22.41 | -3.13 | 1.31 | 3.16 | 5.23 | |||||
| % Positive Periods | 86% | 98% | 100% | 100% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 26.64 | 14.90 | 10.22 | 7.57 | 6.02 | 3.84 | ||||
| Worst Rolling Return (%) - Annualized | -22.59 | -5.49 | -1.31 | 0.35 | 2.59 | |||||
| % Positive Periods | 82% | 91% | 95% | 100% | 100% | 100% | ||||
| Over all the available data source (Jan 1985 - Nov 2023) | ||||||||||
| 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% | ||||
| Best Rolling Return (%) - Annualized | 34.76 | 16.13 | 12.91 | 8.33 | 7.94 | 6.70 | ||||
| Worst Rolling Return (%) - Annualized | -22.59 | -5.49 | -1.31 | 0.35 | 2.59 | 3.53 | ||||
| % Positive Periods | 83% | 93% | 96% | 100% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 32.12 | 21.99 | 11.32 | 7.36 | 6.42 | 8.98 | ||||
| Perpetual WR (%) | 0.00 | 0.13 | 0.98 | 2.75 | 3.70 | 4.94 | ||||
- 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 original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Explore historical data since 1871 and fine-tune your investment strategy for better results.
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.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
| Asset |
VEU
|
VNQ
|
VV
|
BNDX
|
LQD
|
TLT
|
TIP
|
DBC
|
|---|---|---|---|---|---|---|---|---|
|
VEU
|
-
|
0.94
|
0.90
|
0.74
|
0.90
|
0.88
|
0.83
|
0.42
|
|
VNQ
|
0.94
|
-
|
0.91
|
0.75
|
0.87
|
0.86
|
0.74
|
0.28
|
|
VV
|
0.90
|
0.91
|
-
|
0.85
|
0.86
|
0.84
|
0.78
|
0.27
|
|
BNDX
|
0.74
|
0.75
|
0.85
|
-
|
0.89
|
0.87
|
0.90
|
0.05
|
|
LQD
|
0.90
|
0.87
|
0.86
|
0.89
|
-
|
0.98
|
0.94
|
0.15
|
|
TLT
|
0.88
|
0.86
|
0.84
|
0.87
|
0.98
|
-
|
0.92
|
0.02
|
|
TIP
|
0.83
|
0.74
|
0.78
|
0.90
|
0.94
|
0.92
|
-
|
0.18
|
|
DBC
|
0.42
|
0.28
|
0.27
|
0.05
|
0.15
|
0.02
|
0.18
|
-
|
| Asset |
VEU
|
VNQ
|
VV
|
BNDX
|
LQD
|
TLT
|
TIP
|
DBC
|
|---|---|---|---|---|---|---|---|---|
|
VEU
|
-
|
0.82
|
0.88
|
0.51
|
0.71
|
0.16
|
0.56
|
0.61
|
|
VNQ
|
0.82
|
-
|
0.87
|
0.58
|
0.70
|
0.29
|
0.66
|
0.49
|
|
VV
|
0.88
|
0.87
|
-
|
0.54
|
0.66
|
0.15
|
0.61
|
0.49
|
|
BNDX
|
0.51
|
0.58
|
0.54
|
-
|
0.89
|
0.70
|
0.84
|
-0.08
|
|
LQD
|
0.71
|
0.70
|
0.66
|
0.89
|
-
|
0.72
|
0.83
|
0.12
|
|
TLT
|
0.16
|
0.29
|
0.15
|
0.70
|
0.72
|
-
|
0.67
|
-0.34
|
|
TIP
|
0.56
|
0.66
|
0.61
|
0.84
|
0.83
|
0.67
|
-
|
0.12
|
|
DBC
|
0.61
|
0.49
|
0.49
|
-0.08
|
0.12
|
-0.34
|
0.12
|
-
|
| Asset |
VEU
|
VNQ
|
VV
|
BNDX
|
LQD
|
TLT
|
TIP
|
DBC
|
|---|---|---|---|---|---|---|---|---|
|
VEU
|
-
|
0.66
|
0.86
|
0.37
|
0.62
|
0.07
|
0.47
|
0.54
|
|
VNQ
|
0.66
|
-
|
0.74
|
0.58
|
0.69
|
0.38
|
0.63
|
0.27
|
|
VV
|
0.86
|
0.74
|
-
|
0.42
|
0.57
|
0.07
|
0.48
|
0.42
|
|
BNDX
|
0.37
|
0.58
|
0.42
|
-
|
0.85
|
0.73
|
0.79
|
-0.15
|
|
LQD
|
0.62
|
0.69
|
0.57
|
0.85
|
-
|
0.72
|
0.81
|
0.09
|
|
TLT
|
0.07
|
0.38
|
0.07
|
0.73
|
0.72
|
-
|
0.69
|
-0.35
|
|
TIP
|
0.47
|
0.63
|
0.48
|
0.79
|
0.81
|
0.69
|
-
|
0.11
|
|
DBC
|
0.54
|
0.27
|
0.42
|
-0.15
|
0.09
|
-0.35
|
0.11
|
-
|
| Asset |
VEU
|
VNQ
|
VV
|
BNDX
|
LQD
|
TLT
|
TIP
|
DBC
|
|---|---|---|---|---|---|---|---|---|
|
VEU
|
-
|
0.60
|
0.83
|
0.17
|
0.35
|
-0.12
|
0.21
|
0.45
|
|
VNQ
|
0.60
|
-
|
0.62
|
0.29
|
0.44
|
0.09
|
0.33
|
0.26
|
|
VV
|
0.83
|
0.62
|
-
|
0.16
|
0.33
|
-0.10
|
0.21
|
0.32
|
|
BNDX
|
0.17
|
0.29
|
0.16
|
-
|
0.68
|
0.51
|
0.61
|
0.08
|
|
LQD
|
0.35
|
0.44
|
0.33
|
0.68
|
-
|
0.66
|
0.74
|
0.14
|
|
TLT
|
-0.12
|
0.09
|
-0.10
|
0.51
|
0.66
|
-
|
0.67
|
-0.17
|
|
TIP
|
0.21
|
0.33
|
0.21
|
0.61
|
0.74
|
0.67
|
-
|
0.26
|
|
DBC
|
0.45
|
0.26
|
0.32
|
0.08
|
0.14
|
-0.17
|
0.26
|
-
|
| 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
|
0.27
|
0.40
|
0.12
|
0.30
|
0.19
|
|
VV
|
0.72
|
0.61
|
-
|
0.21
|
0.33
|
0.00
|
0.24
|
0.22
|
|
BNDX
|
0.21
|
0.27
|
0.21
|
-
|
0.74
|
0.59
|
0.72
|
0.03
|
|
LQD
|
0.32
|
0.40
|
0.33
|
0.74
|
-
|
0.72
|
0.81
|
0.08
|
|
TLT
|
-0.02
|
0.12
|
0.00
|
0.59
|
0.72
|
-
|
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
|
0.03
|
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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
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 | 14 | 23 | 11.27 |
| -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 |
| -5.66% | May 2013 | Jun 2013 | 2 | Feb 2014 | 8 | 10 | 3.39 |
| -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 period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -23.93% | Jan 2022 | Oct 2023 | 22 | in progress | 1 | 23 | 17.06 |
| -23.18% | May 2008 | Feb 2009 | 10 | Apr 2010 | 14 | 24 | 11.60 |
| -9.53% | Feb 1994 | Nov 1994 | 10 | Aug 1995 | 9 | 19 | 5.92 |
| -8.77% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 | 3.90 |
| -7.47% | Feb 2015 | Jan 2016 | 12 | Jul 2016 | 6 | 18 | 4.71 |
| -6.19% | May 2013 | Aug 2013 | 4 | Apr 2014 | 8 | 12 | 3.46 |
| -5.92% | Jan 2018 | Dec 2018 | 12 | Mar 2019 | 3 | 15 | 3.02 |
| -5.00% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 3.17 |
| -4.42% | May 1998 | Aug 1998 | 4 | Oct 1998 | 2 | 6 | 1.78 |
| -4.15% | Aug 2016 | Nov 2016 | 4 | Jul 2017 | 8 | 12 | 1.98 |
| -4.06% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 | 1.76 |
| -3.77% | Feb 2001 | Sep 2001 | 8 | Aug 2002 | 11 | 19 | 1.81 |
| -3.55% | Sep 2005 | Oct 2005 | 2 | Dec 2005 | 2 | 4 | 1.76 |
| -3.23% | Dec 2006 | Jul 2007 | 8 | Sep 2007 | 2 | 10 | 1.64 |
| -3.21% | Jan 1997 | Mar 1997 | 3 | May 1997 | 2 | 5 | 1.85 |
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 | 14 | 23 | 11.27 |
| -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 period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -23.93% | Jan 2022 | Oct 2023 | 22 | in progress | 1 | 23 | 17.06 |
| -23.18% | May 2008 | Feb 2009 | 10 | Apr 2010 | 14 | 24 | 11.60 |
| -9.53% | Feb 1994 | Nov 1994 | 10 | Aug 1995 | 9 | 19 | 5.92 |
| -8.77% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 | 3.90 |
| -8.15% | Jan 1990 | Apr 1990 | 4 | Feb 1991 | 10 | 14 | 4.73 |
| -7.47% | Feb 2015 | Jan 2016 | 12 | Jul 2016 | 6 | 18 | 4.71 |
| -6.19% | May 2013 | Aug 2013 | 4 | Apr 2014 | 8 | 12 | 3.46 |
| -6.03% | Aug 1987 | Nov 1987 | 4 | Feb 1988 | 3 | 7 | 3.39 |
| -5.92% | Jan 2018 | Dec 2018 | 12 | Mar 2019 | 3 | 15 | 3.02 |
| -5.00% | Apr 2004 | Apr 2004 | 1 | Oct 2004 | 6 | 7 | 3.17 |
| -4.42% | May 1998 | Aug 1998 | 4 | Oct 1998 | 2 | 6 | 1.78 |
| -4.15% | Aug 2016 | Nov 2016 | 4 | Jul 2017 | 8 | 12 | 1.98 |
| -4.06% | May 2011 | Sep 2011 | 5 | Oct 2011 | 1 | 6 | 1.76 |
| -3.85% | Jan 1992 | Mar 1992 | 3 | Jul 1992 | 4 | 7 | 2.06 |
| -3.77% | Feb 2001 | Sep 2001 | 8 | Aug 2002 | 11 | 19 | 1.81 |
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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
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$ | 0.54 | 1.00$ | 7.60 | 1.07$ | 13.54 | 1.13$ | 29.35 |
03/2009 02/2010 |
1.29$ | 1.65 | 13.75% |
| 2Y | -8.96 |
03/2007 02/2009 |
0.82$ | 2.24 | 1.04$ | 7.45 | 1.15$ | 11.36 | 1.24$ | 21.91 |
03/2009 02/2011 |
1.48$ | -4.43 | 8.31% |
| 3Y | -3.13 |
03/2006 02/2009 |
0.90$ | 3.12 | 1.09$ | 7.11 | 1.22$ | 10.74 | 1.35$ | 17.62 |
03/2009 02/2012 |
1.62$ | 0.23 | 1.85% |
| 5Y | 1.31 |
03/2004 02/2009 |
1.06$ | 4.11 | 1.22$ | 6.71 | 1.38$ | 9.73 | 1.59$ | 12.47 |
03/2009 02/2014 |
1.79$ | 4.21 | 0.00% |
| 7Y | 2.93 |
11/2016 10/2023 |
1.22$ | 4.83 | 1.39$ | 6.81 | 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$ | 5.13 | 1.64$ | 7.07 | 1.98$ | 8.87 | 2.33$ | 10.18 |
01/1995 12/2004 |
2.63$ | 3.83 | 0.00% |
| 15Y | 4.20 |
11/2007 10/2022 |
1.85$ | 5.64 | 2.27$ | 6.94 | 2.73$ | 7.95 | 3.15$ | 8.57 |
12/1994 11/2009 |
3.43$ | 6.11 | 0.00% |
| 20Y | 5.23 |
11/2003 10/2023 |
2.77$ | 6.34 | 3.41$ | 6.90 | 3.79$ | 7.73 | 4.43$ | 8.40 |
12/1994 11/2014 |
5.01$ | 5.49 | 0.00% |
| 30Y | 6.46 |
12/1993 11/2023 |
6.53$ | 6.46 | 6.53$ | 6.46 | 6.53$ | 6.46 | 6.53$ | 6.46 |
12/1993 11/2023 |
6.53$ | 6.46 | 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 | -22.59 |
03/2008 02/2009 |
0.77$ | -1.36 | 0.98$ | 5.08 | 1.05$ | 10.43 | 1.10$ | 26.64 |
03/2009 02/2010 |
1.26$ | -1.64 | 17.77% |
| 2Y | -12.69 |
11/2021 10/2023 |
0.76$ | 0.62 | 1.01$ | 4.86 | 1.09$ | 8.70 | 1.18$ | 19.37 |
03/2009 02/2011 |
1.42$ | -9.17 | 12.17% |
| 3Y | -5.49 |
11/2020 10/2023 |
0.84$ | 1.40 | 1.04$ | 4.67 | 1.14$ | 8.02 | 1.26$ | 14.90 |
03/2009 02/2012 |
1.51$ | -5.21 | 8.92% |
| 5Y | -1.31 |
03/2004 02/2009 |
0.93$ | 2.38 | 1.12$ | 4.42 | 1.24$ | 7.09 | 1.40$ | 10.22 |
03/2009 02/2014 |
1.62$ | 0.13 | 4.98% |
| 7Y | -0.56 |
10/2016 09/2023 |
0.96$ | 2.97 | 1.22$ | 4.50 | 1.36$ | 6.26 | 1.53$ | 7.35 |
09/1998 08/2005 |
1.64$ | 0.53 | 1.08% |
| 10Y | 0.35 |
11/2013 10/2023 |
1.03$ | 3.29 | 1.38$ | 4.70 | 1.58$ | 6.11 | 1.81$ | 7.57 |
01/1995 12/2004 |
2.07$ | 0.99 | 0.00% |
| 15Y | 1.77 |
11/2007 10/2022 |
1.30$ | 3.53 | 1.68$ | 4.72 | 1.99$ | 5.41 | 2.20$ | 5.94 |
12/1994 11/2009 |
2.37$ | 3.52 | 0.00% |
| 20Y | 2.59 |
11/2003 10/2023 |
1.66$ | 3.97 | 2.17$ | 4.63 | 2.47$ | 5.29 | 2.80$ | 6.02 |
02/1995 01/2015 |
3.21$ | 2.83 | 0.00% |
| 30Y | 3.84 |
12/1993 11/2023 |
3.09$ | 3.84 | 3.09$ | 3.84 | 3.09$ | 3.84 | 3.09$ | 3.84 |
12/1993 11/2023 |
3.09$ | 3.84 | 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$ | 1.95 | 1.01$ | 8.36 | 1.08$ | 14.90 | 1.14$ | 36.91 |
05/1985 04/1986 |
1.36$ | 1.65 | 11.18% |
| 2Y | -8.96 |
03/2007 02/2009 |
0.82$ | 3.47 | 1.07$ | 8.47 | 1.17$ | 12.58 | 1.26$ | 26.35 |
03/1985 02/1987 |
1.59$ | -4.43 | 6.31% |
| 3Y | -3.13 |
03/2006 02/2009 |
0.90$ | 3.65 | 1.11$ | 8.15 | 1.26$ | 11.98 | 1.40$ | 19.67 |
03/1985 02/1988 |
1.71$ | 0.23 | 1.39% |
| 5Y | 1.31 |
03/2004 02/2009 |
1.06$ | 4.48 | 1.24$ | 8.27 | 1.48$ | 10.60 | 1.65$ | 17.05 |
01/1985 12/1989 |
2.19$ | 4.21 | 0.00% |
| 7Y | 2.93 |
11/2016 10/2023 |
1.22$ | 5.25 | 1.43$ | 8.19 | 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$ | 5.41 | 1.69$ | 8.10 | 2.17$ | 9.98 | 2.58$ | 12.18 |
01/1985 12/1994 |
3.15$ | 3.83 | 0.00% |
| 15Y | 4.20 |
11/2007 10/2022 |
1.85$ | 5.92 | 2.37$ | 7.83 | 3.09$ | 9.45 | 3.87$ | 11.62 |
01/1985 12/1999 |
5.20$ | 6.11 | 0.00% |
| 20Y | 5.23 |
11/2003 10/2023 |
2.77$ | 6.62 | 3.60$ | 7.86 | 4.54$ | 9.45 | 6.08$ | 11.18 |
01/1985 12/2004 |
8.32$ | 5.49 | 0.00% |
| 30Y | 6.15 |
11/1993 10/2023 |
5.98$ | 6.93 | 7.45$ | 7.70 | 9.25$ | 8.36 | 11.12$ | 9.57 |
01/1985 12/2014 |
15.51$ | 6.46 | 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 | -22.59 |
03/2008 02/2009 |
0.77$ | -0.52 | 0.99$ | 5.78 | 1.05$ | 11.71 | 1.11$ | 34.76 |
05/1985 04/1986 |
1.34$ | -1.64 | 16.45% |
| 2Y | -12.69 |
11/2021 10/2023 |
0.76$ | 1.57 | 1.03$ | 5.06 | 1.10$ | 9.44 | 1.19$ | 23.14 |
03/1985 02/1987 |
1.51$ | -9.17 | 9.23% |
| 3Y | -5.49 |
11/2020 10/2023 |
0.84$ | 2.05 | 1.06$ | 5.02 | 1.15$ | 8.51 | 1.27$ | 16.13 |
03/1985 02/1988 |
1.56$ | -5.21 | 6.71% |
| 5Y | -1.31 |
03/2004 02/2009 |
0.93$ | 2.63 | 1.13$ | 5.40 | 1.30$ | 7.39 | 1.42$ | 12.91 |
01/1985 12/1989 |
1.83$ | 0.13 | 3.68% |
| 7Y | -0.56 |
10/2016 09/2023 |
0.96$ | 3.33 | 1.25$ | 5.46 | 1.45$ | 6.74 | 1.57$ | 10.77 |
01/1985 12/1991 |
2.04$ | 0.53 | 0.78% |
| 10Y | 0.35 |
11/2013 10/2023 |
1.03$ | 3.48 | 1.40$ | 5.46 | 1.70$ | 6.67 | 1.90$ | 8.33 |
10/1985 09/1995 |
2.22$ | 0.99 | 0.00% |
| 15Y | 1.77 |
11/2007 10/2022 |
1.30$ | 3.81 | 1.75$ | 5.32 | 2.17$ | 6.41 | 2.54$ | 8.19 |
01/1985 12/1999 |
3.25$ | 3.52 | 0.00% |
| 20Y | 2.59 |
11/2003 10/2023 |
1.66$ | 4.42 | 2.37$ | 5.19 | 2.75$ | 6.19 | 3.32$ | 7.94 |
01/1985 12/2004 |
4.60$ | 2.83 | 0.00% |
| 30Y | 3.53 |
11/1993 10/2023 |
2.83$ | 4.31 | 3.54$ | 5.20 | 4.57$ | 5.56 | 5.06$ | 6.70 |
03/1985 02/2015 |
7.00$ | 3.84 | 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.
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 |
1.48
60% |
-1.00
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% |
0.24
60% |
| Best |
5.1 2023 |
0.7 2019 |
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 |
2.5 2021 |
| 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 - Nov 2023
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 |
1.03
70% |
-0.32
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% |
0.26
60% |
| Best |
5.1 2023 |
2.4 2014 |
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 |
2.5 2021 |
| 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 - Nov 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.79
67% |
0.32
62% |
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% |
1.41
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 - Nov 2023
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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1985 - 30 November 2023 (~39 years)
243 Positive Months (68%) - 117 Negative Months (33%)
323 Positive Months (69%) - 144 Negative Months (31%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2013, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, the series derived from equivalent datasets are:
- VEU - Vanguard FTSE All-World ex-US, up to December 2007
- VNQ - Vanguard Real Estate, up to December 2004
- VV - Vanguard Large-Cap, up to December 2004
- BNDX - Vanguard Total International Bond, up to December 2013
- LQD - iShares Investment Grade Corporate Bond, up to December 2002
- TLT - iShares 20+ Year Treasury Bond, up to December 2002
- TIP - iShares TIPS Bond, up to December 2003
- DBC - Invesco DB Commodity Tracking, 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.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 40/60 Momentum | +7.75 | 6.99 | -21.11 | 40 | 60 | 0 | ||
| Golden Butterfly | +7.46 | 7.68 | -17.79 | 40 | 40 | 20 | ||
| All Weather Portfolio | +7.19 | 7.39 | -20.58 | 30 | 55 | 15 | ||
| Stocks/Bonds 40/60 | +6.83 | 6.98 | -19.17 | 40 | 60 | 0 | ||
| Simplified Permanent Portfolio | +6.75 | 6.88 | -16.43 | 25 | 50 | 25 | ||
| Zefiro Portfolio | +6.52 | 7.48 | -20.61 | 20 | 50 | 30 | ||
| Edge Select Moderately Conservative | +6.49 | 6.86 | -20.48 | 37 | 63 | 0 | ||
| Desert Portfolio | +6.48 | 5.50 | -14.72 | 30 | 60 | 10 | ||
| Rob Arnott Portfolio | +6.46 | 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.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Couch Potato | +7.83 | 8.76 | -27.04 | 50 | 50 | 0 | ||
| Stocks/Bonds 40/60 Momentum | +7.75 | 6.99 | -21.11 | 40 | 60 | 0 | ||
| All Weather Portfolio | +7.19 | 7.39 | -20.58 | 30 | 55 | 15 | ||
| Robo Advisor 50 | +7.16 | 9.32 | -30.72 | 49.9 | 50.1 | 0 | ||
| One-Decision Portfolio | +6.85 | 8.38 | -31.96 | 50 | 50 | 0 | ||
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
Explore historical data since 1871 and fine-tune your investment strategy for better results.
