Stocks/Bonds 40/60 ESG Portfolio: ETF allocation and returns

Data Source: from September 2005 to January 2024 (~18 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 02:59PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.01%
1 Day
Feb 27 2024, 02:59PM Eastern Time
1.06%
Current Month
February 2024

The Stocks/Bonds 40/60 ESG Portfolio is a Medium Risk portfolio and can be implemented with 2 ETFs.

It's exposed for 40% on the Stock Market.

In the last 10 Years, the Stocks/Bonds 40/60 ESG Portfolio obtained a 5.06% compound annual return, with a 7.86% standard deviation.

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Asset Allocation and ETFs

The Stocks/Bonds 40/60 ESG Portfolio has the following asset allocation:

40% Stocks
60% Fixed Income
0% Commodities

The Stocks/Bonds 40/60 ESG Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
40.00
ESGV
USD Vanguard ESG U.S. Stock ETF Equity, U.S., Large Cap, Growth
60.00
NUBD
USD Nuveen ESG U.S. Aggregate Bond ETF Bond, U.S., All-Term

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of Jan 31, 2024

The Stocks/Bonds 40/60 ESG 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.
STOCKS/BONDS 40/60 ESG PORTFOLIO
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 02:59PM 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 MAX
(~18Y)
Stocks/Bonds 40/60 ESG Portfolio -0.01 1.06 0.33 4.70 10.40 6.38 5.06 6.11
US Inflation Adjusted return 0.02 2.99 7.07 2.13 2.22 3.51
Components
ESGV
USD Vanguard ESG U.S. Stock ETF 0.24 02:59PM, Feb 27 2024 5.16 1.35 7.07 22.85 14.40 10.06 9.16
NUBD
USD Nuveen ESG U.S. Aggregate Bond ETF -0.18 02:49PM, Feb 27 2024 -1.68 -0.36 2.95 1.88 0.56 1.36 3.34
Returns over 1 year are annualized | Available data source: since Sep 2005
(*) 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%

In 2023, the Stocks/Bonds 40/60 ESG Portfolio granted a 2.46% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 40/60 ESG Portfolio: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 2014, now would be worth 1.64$, with a total return of 63.89% (5.06% annualized).

The Inflation Adjusted Capital now would be 1.25$, with a net total return of 24.51% (2.22% annualized).
An investment of 1$, since September 2005, now would be worth 2.98$, with a total return of 198.05% (6.11% annualized).

The Inflation Adjusted Capital now would be 1.89$, with a net total return of 88.73% (3.51% annualized).

Portfolio Metrics as of Jan 31, 2024

Metrics of Stocks/Bonds 40/60 ESG Portfolio, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
STOCKS/BONDS 40/60 ESG PORTFOLIO
Advanced Metrics
Data Source: 1 September 2005 - 31 January 2024 (~18 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~18Y)
Investment Return (%) 0.33 12.22 4.70 10.40 1.68 6.38 5.06 6.11
Infl. Adjusted Return (%) details 0.02 11.44 2.99 7.07 -3.77 2.13 2.22 3.51
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.51
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Deepest Drawdown Depth (%) -6.70 -19.76 -19.76 -19.76 -22.88
Start to Recovery (# months) details 5 25* 25* 25* 16
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2008 06
Start to Bottom (# months) 3 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02
Bottom to End (# months) 2 16 16 16 7
End (yyyy mm) 2023 12 - - - 2009 09
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-19.76
Start to Recovery (# months) details 25*
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 3 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 16 16 16 16
End (yyyy mm) 2023 12 - - - -
Longest negative period (# months) details 9 33 39 39 43
Period Start (yyyy mm) 2023 02 2021 02 2020 08 2020 08 2005 09
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 03
Annualized Return (%) -2.15 -2.35 -0.23 -0.23 -0.86
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.58 -25.14 -25.14 -25.14 -25.14
Start to Recovery (# months) details 5 29* 29* 29* 29*
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2021 09
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 16 16 16 16
End (yyyy mm) 2023 12 - - - -
Longest Drawdown Depth (%)
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
Start to Bottom (# months) 3 13 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 16 16 16 16
End (yyyy mm) 2023 12 - - - -
Longest negative period (# months) details 9 36* 57 92 92
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2015 03 2015 03
Period End (yyyy mm) 2023 10 2024 01 2023 10 2022 10 2022 10
Annualized Return (%) -5.19 -3.77 -0.06 -0.01 -0.01
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 10.16 10.84 9.81 7.86 8.09
Sharpe Ratio 0.52 -0.05 0.47 0.50 0.26
Sortino Ratio 0.80 -0.07 0.63 0.68 0.35
Ulcer Index 2.41 10.22 8.02 5.88 5.77
Ratio: Return / Standard Deviation 1.02 0.15 0.65 0.64 0.75
Ratio: Return / Deepest Drawdown 1.55 0.08 0.32 0.26 0.27
% Positive Months details 66% 58% 65% 65% 65%
Positive Months 8 21 39 79 145
Negative Months 4 15 21 41 76
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 5.06 9.10
Worst 10 Years Return (%) - Annualized 4.09
Best 10 Years Return (%) - Annualized 2.22 7.21
Worst 10 Years Return (%) - Annualized 1.27
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 20.85 13.94 8.35 5.06
Worst Rolling Return (%) - Annualized -17.35 -0.07 2.65
% Positive Periods 83% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.12 29.70 20.46 11.66
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.30
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 17.76 10.02 5.95 2.22
Worst Rolling Return (%) - Annualized -23.27 -5.48 -1.06
% Positive Periods 71% 77% 91% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.12 29.70 20.46 11.66
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 2.30
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Sep 2005 - Jan 2024)
Best Rolling Return (%) - Annualized 37.50 17.74 14.96 9.10
Worst Rolling Return (%) - Annualized -21.80 -3.30 2.65 4.09
% Positive Periods 84% 95% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.12 29.70 20.20 11.57
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.39
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 34.61 14.99 12.64 7.21
Worst Rolling Return (%) - Annualized -23.27 -5.48 -1.06 1.27
% Positive Periods 74% 84% 96% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 85.12 29.70 20.20 11.57
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - 1.39
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
ESGV
NUBD
ESGV
-
0.82
NUBD
0.82
-
Asset
ESGV
NUBD
ESGV
-
0.49
NUBD
0.49
-
Asset
ESGV
NUBD
ESGV
-
0.35
NUBD
0.35
-
Asset
ESGV
NUBD
ESGV
-
0.34
NUBD
0.34
-

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.

STOCKS/BONDS 40/60 ESG PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 2014 - 31 January 2024 (10 Years)
Data Source: 1 September 2005 - 31 January 2024 (~18 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-19.76% Jan 2022 Sep 2022 9 in progress 16 25 12.18
-6.33% Feb 2020 Mar 2020 2 May 2020 2 4 3.01
-6.32% Feb 2018 Dec 2018 11 Mar 2019 3 14 3.03
-5.47% Jun 2015 Jan 2016 8 Apr 2016 3 11 3.06
-2.92% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.69
-2.83% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.64
-2.34% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.24
-1.78% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.03
-1.73% May 2019 May 2019 1 Jun 2019 1 2 1.00
-1.33% Sep 2016 Oct 2016 2 Jan 2017 3 5 0.77
-0.62% Jan 2021 Feb 2021 2 Mar 2021 1 3 0.39
-0.41% Jun 2016 Jun 2016 1 Jul 2016 1 2 0.23
-0.35% Mar 2017 Mar 2017 1 May 2017 2 3 0.18
-0.31% Mar 2014 Mar 2014 1 Apr 2014 1 2 0.18
-0.30% Nov 2021 Nov 2021 1 Dec 2021 1 2 0.17
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 50 2.4 Months 41.32%
 
DD = 0% 41.32%
 
0% < DD <= -5% 45 2.7 Months 37.19%
 
DD <= -5% 78.51%
 
-5% < DD <= -10% 10 12.1 Months 8.26%
 
DD <= -10% 86.78%
 
-10% < DD <= -15% 11 11.0 Months 9.09%
 
DD <= -15% 95.87%
 
-15% < DD <= -20% 5 24.2 Months 4.13%
 
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
-25.14% Sep 2021 Sep 2022 13 in progress 16 29 17.25
-7.93% Jan 2018 Dec 2018 12 Jun 2019 6 18 3.70
-6.05% Feb 2020 Mar 2020 2 May 2020 2 4 2.87
-5.73% Jun 2015 Jan 2016 8 Jul 2016 6 14 2.96
-3.16% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.84
-2.35% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.24
-1.89% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.09
-1.81% Sep 2016 Oct 2016 2 May 2017 7 9 0.97
-1.21% Jan 2021 Feb 2021 2 Apr 2021 2 4 0.76
-0.59% May 2021 May 2021 1 Jun 2021 1 2 0.34
-0.52% Mar 2014 Mar 2014 1 May 2014 2 3 0.30
-0.41% Mar 2015 Mar 2015 1 Apr 2015 1 2 0.23
-0.37% Aug 2017 Aug 2017 1 Sep 2017 1 2 0.21
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 38 3.2 Months 31.40%
 
DD = 0% 31.40%
 
0% < DD <= -5% 52 2.3 Months 42.98%
 
DD <= -5% 74.38%
 
-5% < DD <= -10% 8 15.1 Months 6.61%
 
DD <= -10% 80.99%
 
-10% < DD <= -15% 3 40.3 Months 2.48%
 
DD <= -15% 83.47%
 
-15% < DD <= -20% 10 12.1 Months 8.26%
 
DD <= -20% 91.74%
 
-20% < DD <= -25% 9 13.4 Months 7.44%
 
DD <= -25% 99.17%
 
-25% < DD <= -30% 1 121.0 Months 0.83%
 
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
-22.88% Jun 2008 Feb 2009 9 Sep 2009 7 16 13.06
-19.76% Jan 2022 Sep 2022 9 in progress 16 25 12.18
-10.14% May 2011 Sep 2011 5 Feb 2012 5 10 4.68
-6.33% Feb 2020 Mar 2020 2 May 2020 2 4 3.01
-6.32% Feb 2018 Dec 2018 11 Mar 2019 3 14 3.03
-5.47% Jun 2015 Jan 2016 8 Apr 2016 3 11 3.06
-4.31% May 2010 Jun 2010 2 Sep 2010 3 5 2.40
-2.92% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.69
-2.83% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.64
-2.80% Apr 2012 May 2012 2 Jul 2012 2 4 1.33
-2.34% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.24
-1.94% Oct 2005 Oct 2005 1 Dec 2005 2 3 1.06
-1.89% Aug 2013 Aug 2013 1 Sep 2013 1 2 1.09
-1.85% Jun 2013 Jun 2013 1 Jul 2013 1 2 1.07
-1.78% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.03
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 100 2.2 Months 45.05%
 
DD = 0% 45.05%
 
0% < DD <= -5% 80 2.8 Months 36.04%
 
DD <= -5% 81.08%
 
-5% < DD <= -10% 17 13.1 Months 7.66%
 
DD <= -10% 88.74%
 
-10% < DD <= -15% 14 15.9 Months 6.31%
 
DD <= -15% 95.05%
 
-15% < DD <= -20% 9 24.7 Months 4.05%
 
DD <= -20% 99.10%
 
-20% < DD <= -25% 2 111.0 Months 0.90%
 
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
-25.14% Sep 2021 Sep 2022 13 in progress 16 29 17.25
-23.42% Nov 2007 Feb 2009 16 Nov 2009 9 25 11.45
-11.13% May 2011 Sep 2011 5 Aug 2012 11 16 4.60
-7.93% Jan 2018 Dec 2018 12 Jun 2019 6 18 3.70
-6.05% Feb 2020 Mar 2020 2 May 2020 2 4 2.87
-5.73% Jun 2015 Jan 2016 8 Jul 2016 6 14 2.96
-4.22% May 2010 Jun 2010 2 Sep 2010 3 5 2.40
-3.16% Sep 2020 Oct 2020 2 Nov 2020 1 3 1.84
-3.10% Sep 2005 Oct 2005 2 Jan 2006 3 5 1.48
-2.35% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.24
-2.13% Aug 2013 Aug 2013 1 Sep 2013 1 2 1.23
-2.08% Jun 2013 Jun 2013 1 Jul 2013 1 2 1.20
-1.89% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.09
-1.81% Sep 2016 Oct 2016 2 May 2017 7 9 0.97
-1.57% May 2006 May 2006 1 Aug 2006 3 4 0.97
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 75 3.0 Months 33.78%
 
DD = 0% 33.78%
 
0% < DD <= -5% 97 2.3 Months 43.69%
 
DD <= -5% 77.48%
 
-5% < DD <= -10% 16 13.9 Months 7.21%
 
DD <= -10% 84.68%
 
-10% < DD <= -15% 8 27.8 Months 3.60%
 
DD <= -15% 88.29%
 
-15% < DD <= -20% 13 17.1 Months 5.86%
 
DD <= -20% 94.14%
 
-20% < DD <= -25% 12 18.5 Months 5.41%
 
DD <= -25% 99.55%
 
-25% < DD <= -30% 1 222.0 Months 0.45%
 
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.

STOCKS/BONDS 40/60 ESG PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 2014 - 31 January 2024 (10 Years)
Data Source: 1 September 2005 - 31 January 2024 (~18 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 -17.35 01/2022
12/2022
0.82$ -3.28 0.96$ 4.90 1.04$ 12.87 1.12$ 20.85 04/2020
03/2021
1.20$ 10.40 16.51%
2Y -6.99 11/2021
10/2023
0.86$ -2.34 0.95$ 3.90 1.07$ 11.04 1.23$ 16.41 01/2019
12/2020
1.35$ -0.04 18.56%
3Y -0.07 11/2020
10/2023
0.99$ 2.32 1.07$ 4.47 1.14$ 8.77 1.28$ 13.94 01/2019
12/2021
1.47$ 1.68 1.18%
5Y 2.65 10/2017
09/2022
1.13$ 3.76 1.20$ 4.99 1.27$ 7.52 1.43$ 8.35 01/2017
12/2021
1.49$ 6.38 0.00%
7Y 3.56 11/2015
10/2022
1.27$ 3.95 1.31$ 4.67 1.37$ 6.62 1.56$ 6.96 08/2014
07/2021
1.60$ 5.11 0.00%
10Y 5.06 02/2014
01/2024
1.63$ 5.06 1.63$ 5.06 1.63$ 5.06 1.63$ 5.06 02/2014
01/2024
1.63$ 5.06 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 -23.27 11/2021
10/2022
0.76$ -5.57 0.94$ 2.62 1.02$ 9.50 1.09$ 17.76 04/2020
03/2021
1.17$ 7.07 28.44%
2Y -11.82 11/2021
10/2023
0.77$ -8.35 0.84$ 2.26 1.04$ 8.11 1.16$ 14.34 01/2019
12/2020
1.30$ -4.55 25.77%
3Y -5.48 11/2020
10/2023
0.84$ -2.84 0.91$ 2.52 1.07$ 6.19 1.19$ 10.02 01/2019
12/2021
1.33$ -3.77 22.35%
5Y -1.06 10/2017
09/2022
0.94$ 0.40 1.02$ 2.69 1.14$ 5.14 1.28$ 5.95 02/2016
01/2021
1.33$ 2.13 8.20%
7Y 0.15 11/2016
10/2023
1.01$ 0.65 1.04$ 1.47 1.10$ 4.53 1.36$ 4.90 08/2014
07/2021
1.39$ 1.57 0.00%
10Y 2.22 02/2014
01/2024
1.24$ 2.22 1.24$ 2.22 1.24$ 2.22 1.24$ 2.22 02/2014
01/2024
1.24$ 2.22 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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 -21.80 03/2008
02/2009
0.78$ -0.82 0.99$ 7.47 1.07$ 14.36 1.14$ 37.50 03/2009
02/2010
1.37$ 10.40 15.71%
2Y -9.54 03/2007
02/2009
0.81$ 0.46 1.00$ 5.97 1.12$ 11.73 1.24$ 25.49 03/2009
02/2011
1.57$ -0.04 14.65%
3Y -3.30 03/2006
02/2009
0.90$ 2.56 1.07$ 6.00 1.19$ 9.92 1.32$ 17.74 03/2009
02/2012
1.63$ 1.68 4.30%
5Y 2.65 10/2017
09/2022
1.13$ 4.50 1.24$ 6.62 1.37$ 8.66 1.51$ 14.96 03/2009
02/2014
2.00$ 6.38 0.00%
7Y 3.56 11/2015
10/2022
1.27$ 4.97 1.40$ 6.69 1.57$ 7.71 1.68$ 11.15 12/2008
11/2015
2.09$ 5.11 0.00%
10Y 4.09 11/2013
10/2023
1.49$ 5.21 1.66$ 6.80 1.92$ 7.52 2.06$ 9.10 03/2009
02/2019
2.38$ 5.06 0.00%
15Y 5.12 10/2007
09/2022
2.11$ 5.58 2.25$ 6.78 2.67$ 7.21 2.84$ 7.71 02/2009
01/2024
3.04$ 7.71 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 -23.27 11/2021
10/2022
0.76$ -4.33 0.95$ 5.23 1.05$ 12.01 1.12$ 34.61 03/2009
02/2010
1.34$ 7.07 25.71%
2Y -11.82 11/2021
10/2023
0.77$ -3.81 0.92$ 4.11 1.08$ 9.38 1.19$ 22.86 03/2009
02/2011
1.50$ -4.55 19.70%
3Y -5.48 11/2020
10/2023
0.84$ -0.53 0.98$ 4.09 1.12$ 7.92 1.25$ 14.99 03/2009
02/2012
1.52$ -3.77 15.59%
5Y -1.06 10/2017
09/2022
0.94$ 2.02 1.10$ 4.76 1.26$ 6.87 1.39$ 12.64 03/2009
02/2014
1.81$ 2.13 3.09%
7Y 0.15 11/2016
10/2023
1.01$ 1.57 1.11$ 4.84 1.39$ 5.95 1.49$ 9.41 12/2008
11/2015
1.87$ 1.57 0.00%
10Y 1.27 11/2013
10/2023
1.13$ 2.39 1.26$ 4.90 1.61$ 5.65 1.73$ 7.21 03/2009
02/2019
2.00$ 2.22 0.00%
15Y 2.69 10/2007
09/2022
1.48$ 3.13 1.58$ 4.41 1.91$ 5.10 2.10$ 5.24 08/2006
07/2021
2.15$ 5.02 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 Stocks/Bonds 40/60 ESG Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Stocks/Bonds 40/60 ESG 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.
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.42
60%
-1.03
20%
0.14
60%
0.89
80%
0.16
80%
1.15
80%
2.47
100%
-0.08
60%
-2.82
20%
0.57
60%
3.56
80%
1.26
80%
Best 5.0
2023
1.4
2019
3.0
2023
5.6
2020
2.3
2020
3.6
2019
5.1
2022
2.4
2020
0.2
2019
3.1
2021
7.0
2023
4.6
2023
Worst -4.1
2022
-2.4
2023
-4.4
2020
-6.3
2022
-1.7
2019
-3.9
2022
1.0
2019
-3.5
2022
-6.1
2022
-2.0
2023
-0.3
2021
-2.9
2022
Monthly Seasonality over the period Oct 2005 - Jan 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.62
70%
-0.16
50%
0.39
50%
0.72
90%
0.46
90%
0.61
60%
1.39
80%
0.10
70%
-1.75
20%
0.32
60%
2.27
90%
0.29
60%
Best 5.0
2023
2.5
2014
3.9
2016
5.6
2020
2.3
2020
3.6
2019
5.1
2022
2.5
2014
1.2
2017
3.1
2021
7.0
2023
4.6
2023
Worst -4.1
2022
-3.1
2018
-4.4
2020
-6.3
2022
-1.7
2019
-3.9
2022
-1.8
2014
-3.5
2022
-6.1
2022
-3.5
2018
-0.3
2021
-2.9
2022
Monthly Seasonality over the period Oct 2005 - Jan 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.82
68%
0.09
56%
0.73
67%
1.32
89%
0.22
72%
-0.07
44%
1.43
72%
0.13
67%
-0.73
47%
0.20
63%
1.37
74%
0.77
68%
Best 5.0
2023
2.5
2014
4.4
2009
7.6
2009
4.7
2009
3.6
2019
5.6
2009
2.6
2009
4.5
2010
5.4
2011
7.0
2023
4.6
2023
Worst -4.1
2022
-5.1
2009
-4.4
2020
-6.3
2022
-3.3
2010
-4.3
2008
-1.8
2014
-3.5
2022
-6.6
2008
-8.4
2008
-2.6
2008
-2.9
2022
Monthly Seasonality over the period Oct 2005 - Jan 2024

Monthly Returns

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

STOCKS/BONDS 40/60 ESG PORTFOLIO
Monthly Returns Distribution
Data Source: 1 February 2014 - 31 January 2024 (10 Years)
Data Source: 1 September 2005 - 31 January 2024 (~18 years)
79 Positive Months (66%) - 41 Negative Months (34%)
145 Positive Months (66%) - 76 Negative Months (34%)
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(Scroll down to see all data)
Investment Returns, up to September 2018, 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:
  • ESGV - Vanguard ESG U.S. Stock ETF (ESGV), up to September 2018
  • NUBD - Nuveen ESG U.S. Aggregate Bond ETF (NUBD), up to October 2017

Portfolio efficiency

The following portfolios granted a higher return over 10 Years and a less severe drawdown at the same time.

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
US Stocks Minimum Volatility +10.87 12.11 -19.06 100 0 0
Stocks/Bonds 40/60 with Bitcoin +8.93 8.95 -19.39 39 59 2
Golden Butterfly with Bitcoin +8.76 9.55 -18.74 40 40 20
Permanent Portfolio with Bitcoin Harry Browne +8.18 8.43 -16.88 25 50 25
Shield Strategy Aim Ways +8.08 8.97 -19.36 42 38 20
Desert Portfolio with Bitcoin Gyroscopic Investing +8.07 7.22 -15.73 30 60 10
Perfect Portfolio Ben Stein +7.26 11.78 -18.62 80 20 0
No Brainer Portfolio Bill Bernstein +6.84 11.66 -19.76 75 25 0
In Saecula Saeculorum Fulvio Marchese +6.75 8.46 -18.89 45 45 10
Robust Alpha Architect +6.66 11.27 -19.09 70 20 10
Sheltered Sam 70/30 Bill Bernstein +6.42 10.60 -17.80 67.9 30 2.1
Six Ways from Sunday Scott Burns +6.12 11.56 -19.67 66.7 33.3 0
Andrew Tobias Portfolio Andrew Tobias +6.04 9.78 -18.85 66.7 33.3 0
Coffeehouse Bill Schultheis +5.87 10.29 -19.65 60 40 0
Stocks/Bonds 40/60 +5.83 7.78 -18.63 40 60 0
One-Decision Portfolio Marvin Appel +5.78 8.94 -16.74 50 50 0
Aim comfortable trip Aim Ways +5.75 7.40 -15.56 40 45 15
Sheltered Sam 60/40 Bill Bernstein +5.72 9.22 -16.49 58.2 40 1.8
Coward's Portfolio Bill Bernstein +5.69 9.11 -15.87 60 40 0
Golden Butterfly Tyler +5.64 8.41 -17.79 40 40 20
Pinwheel +5.59 10.15 -19.49 65 25 10
Dynamic 60/40 Income +5.53 9.19 -18.21 60 40 0
Five Asset Roger Gibson +5.52 11.09 -19.30 60 20 20
Ideal Index Frank Armstrong +5.48 10.42 -18.25 70 30 0
Four Square Scott Burns +5.30 8.58 -19.67 50 50 0
Big Rocks Portfolio Larry Swedroe +5.22 9.26 -15.71 60 40 0
Sandwich Portfolio Bob Clyatt +5.17 8.45 -19.10 55 45 0
PISI Portfolio Davide Pisicchio +5.09 7.12 -18.36 30 60 10
Stocks/Bonds 40/60 ESG +5.06 7.86 -19.76 40 60 0

The following portfolios share asset allocation strategy and/or similar asset weights.

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5 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 40/60 with Bitcoin +7.88 10.59 -19.39 39 59 2
Stocks/Bonds 40/60 2x Leveraged +7.34 18.47 -36.46 40 60 0
Stocks/Bonds 40/60 ESG +6.38 9.81 -19.76 40 60 0
Stocks/Bonds 40/60 +6.04 9.87 -18.63 40 60 0
Stocks/Bonds 40/60 Momentum +4.84 9.74 -21.11 40 60 0

Here's a list containing the Best Classic Portfolios, with the highest returns over 10 Years and Medium Risk categorization.

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Couch Potato Scott Burns +7.01 9.23 -19.77 50 50 0
Stocks/Bonds 40/60 Momentum +5.98 7.86 -21.11 40 60 0
Stocks/Bonds 40/60 +5.83 7.78 -18.63 40 60 0
One-Decision Portfolio Marvin Appel +5.78 8.94 -16.74 50 50 0
Four Square Scott Burns +5.30 8.58 -19.67 50 50 0
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