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

Data Source: from September 2005 to February 2024 (~19 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.77%
1 Day
Mar 01 2024
0.77%
Current Month
March 2024

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

It's exposed for 60% on the Stock Market.

In the last 10 Years, the Stocks/Bonds 60/40 ESG Portfolio obtained a 6.74% compound annual return, with a 10.38% standard deviation.

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Asset Allocation and ETFs

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

60% Stocks
40% Fixed Income
0% Commodities

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

Weight (%) Ticker Currency ETF Name Investment Themes
60.00
ESGV
USD Vanguard ESG U.S. Stock ETF Equity, U.S., Large Cap, Growth
40.00
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 Feb 29, 2024

The Stocks/Bonds 60/40 ESG 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.
STOCKS/BONDS 60/40 ESG 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 MAX
(~19Y)
Stocks/Bonds 60/40 ESG Portfolio 0.77 0.77 2.79 10.14 20.61 9.30 6.74 7.41
US Inflation Adjusted return 2.79 8.90 17.42 5.00 3.86 4.79
Components
ESGV
USD Vanguard ESG U.S. Stock ETF 1.01 Mar 01 2024 1.01 5.39 15.15 32.35 14.85 10.09 9.43
NUBD
USD Nuveen ESG U.S. Aggregate Bond ETF 0.41 Mar 01 2024 0.41 -1.18 2.42 3.36 0.32 1.16 3.26
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. 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%

In 2023, the Stocks/Bonds 60/40 ESG Portfolio granted a 2.14% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 60/40 ESG Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 2014, now would be worth 1.92$, with a total return of 92.06% (6.74% annualized).

The Inflation Adjusted Capital now would be 1.46$, with a net total return of 46.08% (3.86% annualized).
An investment of 1$, since September 2005, now would be worth 3.75$, with a total return of 275.19% (7.41% annualized).

The Inflation Adjusted Capital now would be 2.38$, with a net total return of 137.58% (4.79% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Stocks/Bonds 60/40 ESG Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
STOCKS/BONDS 60/40 ESG PORTFOLIO
Advanced Metrics
Data Source: 1 September 2005 - 29 February 2024 (~19 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~19Y)
Investment Return (%) 2.79 8.61 10.14 20.61 4.80 9.30 6.74 7.41
Infl. Adjusted Return (%) details 2.79 8.02 8.90 17.42 -0.69 5.00 3.86 4.79
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.50
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 MAX
Deepest Drawdown Depth (%) -7.66 -22.44 -22.44 -22.44 -32.78
Start to Recovery (# months) details 5 26 26 26 29
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11
Start to Bottom (# months) 3 9 9 9 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02
Bottom to End (# months) 2 17 17 17 13
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2010 03
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 2022 01 2022 01 2022 01 2007 11
Start to Bottom (# months) 3 9 9 9 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02
Bottom to End (# months) 2 17 17 17 13
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2010 03
Longest negative period (# months) details 7 32 34 34 45
Period Start (yyyy mm) 2023 04 2021 03 2021 01 2021 01 2005 10
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 06
Annualized Return (%) -0.75 -0.76 -0.65 -0.65 -0.06
Deepest Drawdown Depth (%) -8.53 -26.86 -26.86 -26.86 -34.14
Start to Recovery (# months) details 5 30* 30* 30* 40
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 06
Start to Bottom (# months) 3 13 13 13 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02
Bottom to End (# months) 2 17 17 17 19
End (yyyy mm) 2023 12 - - - 2010 09
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 2007 06
Start to Bottom (# months) 3 13 13 13 21
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02
Bottom to End (# months) 2 17 17 17 19
End (yyyy mm) 2023 12 - - - 2010 09
Longest negative period (# months) details 7 36* 47 58 58
Period Start (yyyy mm) 2023 04 2021 03 2019 12 2017 12 2017 12
Period End (yyyy mm) 2023 10 2024 02 2023 10 2022 09 2022 09
Annualized Return (%) -3.93 -0.69 -0.25 -0.24 -0.24
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y MAX
Standard Deviation (%) 11.10 13.27 12.65 10.38 10.89
Sharpe Ratio 1.39 0.18 0.59 0.54 0.31
Sortino Ratio 1.99 0.25 0.79 0.73 0.42
Ulcer Index 2.66 11.12 8.82 6.63 7.65
Ratio: Return / Standard Deviation 1.86 0.36 0.74 0.65 0.68
Ratio: Return / Deepest Drawdown 2.69 0.21 0.41 0.30 0.23
% Positive Months details 75% 61% 65% 64% 63%
Positive Months 9 22 39 77 140
Negative Months 3 14 21 43 82
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Best 10 Years Return (%) - Annualized 6.74 11.13
Worst 10 Years Return (%) - Annualized 5.67
Best 10 Years Return (%) - Annualized 3.86 9.20
Worst 10 Years Return (%) - Annualized 2.81
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y MAX
Over the latest 10Y
Best Rolling Return (%) - Annualized 33.35 18.76 10.83 6.74
Worst Rolling Return (%) - Annualized -19.58 2.34 3.12
% Positive Periods 81% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.58 30.75 20.54 12.05
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - 0.25 3.80
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 29.95 14.66 7.90 3.86
Worst Rolling Return (%) - Annualized -24.43 -2.92 0.22
% Positive Periods 72% 83% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 83.58 30.75 20.54 12.05
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - 0.25 3.80
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Sep 2005 - Feb 2024)
Best Rolling Return (%) - Annualized 46.47 21.14 18.46 11.13
Worst Rolling Return (%) - Annualized -30.16 -6.98 2.82 5.67
% Positive Periods 80% 94% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.36 29.02 18.59 11.07
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - 0.25 3.03
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 43.38 18.31 16.07 9.20
Worst Rolling Return (%) - Annualized -30.17 -8.96 0.22 2.81
% Positive Periods 72% 80% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 81.36 29.02 18.59 11.07
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - 0.25 3.03
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
ESGV
NUBD
ESGV
-
0.72
NUBD
0.72
-
Asset
ESGV
NUBD
ESGV
-
0.48
NUBD
0.48
-
Asset
ESGV
NUBD
ESGV
-
0.34
NUBD
0.34
-
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 60/40 ESG PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 September 2005 - 29 February 2024 (~19 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-22.44% Jan 2022 Sep 2022 9 Feb 2024 17 26 13.00
-10.57% Feb 2020 Mar 2020 2 Jun 2020 3 5 4.82
-10.20% Feb 2018 Dec 2018 11 Apr 2019 4 15 4.48
-8.11% Jun 2015 Jan 2016 8 Jul 2016 6 14 3.96
-3.85% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.27
-3.74% Sep 2021 Sep 2021 1 Oct 2021 1 2 2.16
-3.32% May 2019 May 2019 1 Jun 2019 1 2 1.92
-3.12% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.70
-2.38% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.37
-1.48% Sep 2016 Oct 2016 2 Nov 2016 1 3 0.76
-0.58% Nov 2021 Nov 2021 1 Dec 2021 1 2 0.34
-0.50% Jan 2021 Jan 2021 1 Feb 2021 1 2 0.29
-0.42% Mar 2017 Mar 2017 1 Jun 2017 3 4 0.29
-0.40% Aug 2017 Aug 2017 1 Sep 2017 1 2 0.23
-0.36% Dec 2014 Jan 2015 2 Feb 2015 1 3 0.20
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 45 2.7 Months 37.19%
 
DD = 0% 37.19%
 
0% < DD <= -5% 45 2.7 Months 37.19%
 
DD <= -5% 74.38%
 
-5% < DD <= -10% 13 9.3 Months 10.74%
 
DD <= -10% 85.12%
 
-10% < DD <= -15% 11 11.0 Months 9.09%
 
DD <= -15% 94.21%
 
-15% < DD <= -20% 6 20.2 Months 4.96%
 
DD <= -20% 99.17%
 
-20% < DD <= -25% 1 121.0 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
-26.86% Sep 2021 Sep 2022 13 in progress 17 30 17.06
-11.59% Feb 2018 Dec 2018 11 Jul 2019 7 18 5.11
-10.31% Feb 2020 Mar 2020 2 May 2020 2 4 5.07
-8.36% Jun 2015 Jan 2016 8 Aug 2016 7 15 4.10
-4.18% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.47
-3.12% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.70
-2.49% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.44
-1.97% Sep 2016 Oct 2016 2 Dec 2016 2 4 0.95
-0.78% Aug 2017 Aug 2017 1 Sep 2017 1 2 0.45
-0.70% Jan 2021 Jan 2021 1 Mar 2021 2 3 0.41
-0.63% May 2021 May 2021 1 Jun 2021 1 2 0.36
-0.46% Mar 2017 Apr 2017 2 Jun 2017 2 4 0.30
-0.37% Mar 2015 Mar 2015 1 Apr 2015 1 2 0.21
-0.31% Mar 2014 Mar 2014 1 May 2014 2 3 0.20
-0.24% Aug 2019 Aug 2019 1 Sep 2019 1 2 0.14
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% 47 2.6 Months 38.84%
 
DD <= -5% 70.25%
 
-5% < DD <= -10% 12 10.1 Months 9.92%
 
DD <= -10% 80.17%
 
-10% < DD <= -15% 4 30.3 Months 3.31%
 
DD <= -15% 83.47%
 
-15% < DD <= -20% 8 15.1 Months 6.61%
 
DD <= -20% 90.08%
 
-20% < DD <= -25% 11 11.0 Months 9.09%
 
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
-32.78% Nov 2007 Feb 2009 16 Mar 2010 13 29 15.24
-22.44% Jan 2022 Sep 2022 9 Feb 2024 17 26 13.00
-14.77% May 2011 Sep 2011 5 Sep 2012 12 17 5.93
-10.57% Feb 2020 Mar 2020 2 Jun 2020 3 5 4.82
-10.20% Feb 2018 Dec 2018 11 Apr 2019 4 15 4.48
-8.11% Jun 2015 Jan 2016 8 Jul 2016 6 14 3.96
-7.23% May 2010 Jun 2010 2 Sep 2010 3 5 4.34
-3.85% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.27
-3.74% Sep 2021 Sep 2021 1 Oct 2021 1 2 2.16
-3.32% May 2019 May 2019 1 Jun 2019 1 2 1.92
-3.12% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.70
-2.44% Oct 2005 Oct 2005 1 Dec 2005 2 3 1.32
-2.38% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.37
-2.36% Aug 2013 Aug 2013 1 Sep 2013 1 2 1.36
-2.09% Jun 2007 Aug 2007 3 Oct 2007 2 5 1.17
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 84 2.7 Months 37.67%
 
DD = 0% 37.67%
 
0% < DD <= -5% 82 2.7 Months 36.77%
 
DD <= -5% 74.44%
 
-5% < DD <= -10% 26 8.6 Months 11.66%
 
DD <= -10% 86.10%
 
-10% < DD <= -15% 14 15.9 Months 6.28%
 
DD <= -15% 92.38%
 
-15% < DD <= -20% 9 24.8 Months 4.04%
 
DD <= -20% 96.41%
 
-20% < DD <= -25% 2 111.5 Months 0.90%
 
DD <= -25% 97.31%
 
-25% < DD <= -30% 5 44.6 Months 2.24%
 
DD <= -30% 99.55%
 
-30% < DD <= -35% 1 223.0 Months 0.45%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-34.14% Jun 2007 Feb 2009 21 Sep 2010 19 40 14.68
-26.86% Sep 2021 Sep 2022 13 in progress 17 30 17.06
-15.71% May 2011 Sep 2011 5 Dec 2012 15 20 6.43
-11.59% Feb 2018 Dec 2018 11 Jul 2019 7 18 5.11
-10.31% Feb 2020 Mar 2020 2 May 2020 2 4 5.07
-8.36% Jun 2015 Jan 2016 8 Aug 2016 7 15 4.10
-4.18% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.47
-3.12% Sep 2014 Sep 2014 1 Nov 2014 2 3 1.70
-2.96% Sep 2005 Oct 2005 2 Dec 2005 2 4 1.41
-2.59% Aug 2013 Aug 2013 1 Sep 2013 1 2 1.50
-2.49% Jul 2014 Jul 2014 1 Aug 2014 1 2 1.44
-2.02% May 2006 May 2006 1 Aug 2006 3 4 1.20
-1.97% Sep 2016 Oct 2016 2 Dec 2016 2 4 0.95
-1.93% Jun 2013 Jun 2013 1 Jul 2013 1 2 1.11
-1.57% Jan 2014 Jan 2014 1 Feb 2014 1 2 0.91
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 68 3.3 Months 30.49%
 
DD = 0% 30.49%
 
0% < DD <= -5% 85 2.6 Months 38.12%
 
DD <= -5% 68.61%
 
-5% < DD <= -10% 27 8.3 Months 12.11%
 
DD <= -10% 80.72%
 
-10% < DD <= -15% 11 20.3 Months 4.93%
 
DD <= -15% 85.65%
 
-15% < DD <= -20% 12 18.6 Months 5.38%
 
DD <= -20% 91.03%
 
-20% < DD <= -25% 13 17.2 Months 5.83%
 
DD <= -25% 96.86%
 
-25% < DD <= -30% 4 55.8 Months 1.79%
 
DD <= -30% 98.65%
 
-30% < DD <= -35% 3 74.3 Months 1.35%
 
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 60/40 ESG PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 September 2005 - 29 February 2024 (~19 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 -19.58 01/2022
12/2022
0.80$ -4.58 0.95$ 6.64 1.06$ 16.48 1.16$ 33.35 04/2020
03/2021
1.33$ 20.61 18.35%
2Y -6.69 11/2021
10/2023
0.87$ -0.55 0.98$ 4.84 1.09$ 13.79 1.29$ 20.76 01/2019
12/2020
1.45$ 4.14 16.49%
3Y 2.34 01/2016
12/2018
1.07$ 3.67 1.11$ 5.80 1.18$ 10.99 1.36$ 18.76 01/2019
12/2021
1.67$ 4.80 0.00%
5Y 3.12 04/2015
03/2020
1.16$ 4.60 1.25$ 6.70 1.38$ 9.65 1.58$ 10.83 11/2016
10/2021
1.67$ 9.30 0.00%
7Y 4.92 07/2015
06/2022
1.39$ 5.55 1.45$ 6.72 1.57$ 8.38 1.75$ 8.88 01/2015
12/2021
1.81$ 7.21 0.00%
10Y 6.74 03/2014
02/2024
1.92$ 6.74 1.92$ 6.74 1.92$ 6.74 1.92$ 6.74 03/2014
02/2024
1.92$ 6.74 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 -24.43 01/2022
12/2022
0.75$ -6.36 0.93$ 4.57 1.04$ 13.87 1.13$ 29.95 04/2020
03/2021
1.29$ 17.42 27.52%
2Y -11.53 11/2021
10/2023
0.78$ -6.06 0.88$ 2.83 1.05$ 11.62 1.24$ 18.61 01/2019
12/2020
1.40$ -0.18 23.71%
3Y -2.92 11/2020
10/2023
0.91$ -0.19 0.99$ 3.56 1.11$ 7.91 1.25$ 14.66 01/2019
12/2021
1.50$ -0.69 16.47%
5Y 0.22 10/2017
09/2022
1.01$ 2.08 1.10$ 3.77 1.20$ 7.24 1.41$ 7.90 11/2016
10/2021
1.46$ 5.00 0.00%
7Y 1.73 07/2015
06/2022
1.12$ 2.08 1.15$ 3.19 1.24$ 6.14 1.51$ 6.66 08/2014
07/2021
1.57$ 3.62 0.00%
10Y 3.86 03/2014
02/2024
1.46$ 3.86 1.46$ 3.86 1.46$ 3.86 1.46$ 3.86 03/2014
02/2024
1.46$ 3.86 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 -30.16 03/2008
02/2009
0.69$ -4.02 0.95$ 9.23 1.09$ 18.52 1.18$ 46.47 03/2009
02/2010
1.46$ 20.61 19.91%
2Y -15.77 03/2007
02/2009
0.70$ -0.74 0.98$ 6.36 1.13$ 16.13 1.34$ 31.85 03/2009
02/2011
1.73$ 4.14 16.58%
3Y -6.98 03/2006
02/2009
0.80$ 2.64 1.08$ 6.68 1.21$ 12.66 1.42$ 21.14 03/2009
02/2012
1.77$ 4.80 5.88%
5Y 2.82 06/2007
05/2012
1.14$ 4.59 1.25$ 7.25 1.41$ 10.83 1.67$ 18.46 03/2009
02/2014
2.33$ 9.30 0.00%
7Y 4.92 07/2015
06/2022
1.39$ 6.41 1.54$ 7.68 1.67$ 9.41 1.87$ 13.49 03/2009
02/2016
2.42$ 7.21 0.00%
10Y 5.67 11/2013
10/2023
1.73$ 6.76 1.92$ 7.54 2.06$ 9.16 2.40$ 11.13 03/2009
02/2019
2.87$ 6.74 0.00%
15Y 5.87 10/2007
09/2022
2.35$ 6.52 2.57$ 7.73 3.05$ 8.34 3.32$ 10.52 03/2009
02/2024
4.48$ 10.52 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 -30.17 03/2008
02/2009
0.69$ -5.55 0.94$ 7.15 1.07$ 16.22 1.16$ 43.38 03/2009
02/2010
1.43$ 17.42 27.96%
2Y -17.47 03/2007
02/2009
0.68$ -5.54 0.89$ 4.23 1.08$ 13.47 1.28$ 29.09 03/2009
02/2011
1.66$ -0.18 21.61%
3Y -8.96 03/2006
02/2009
0.75$ -0.69 0.97$ 4.93 1.15$ 10.41 1.34$ 18.31 03/2009
02/2012
1.65$ -0.69 19.25%
5Y 0.22 10/2017
09/2022
1.01$ 2.17 1.11$ 5.36 1.29$ 8.96 1.53$ 16.07 03/2009
02/2014
2.10$ 5.00 0.00%
7Y 1.73 07/2015
06/2022
1.12$ 3.35 1.25$ 5.89 1.49$ 7.63 1.67$ 11.73 03/2009
02/2016
2.17$ 3.62 0.00%
10Y 2.81 11/2013
10/2023
1.31$ 4.15 1.50$ 5.61 1.72$ 7.21 2.00$ 9.20 03/2009
02/2019
2.41$ 3.86 0.00%
15Y 3.41 10/2007
09/2022
1.65$ 4.05 1.81$ 5.62 2.27$ 6.20 2.46$ 7.78 03/2009
02/2024
3.07$ 7.78 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 60/40 ESG Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Stocks/Bonds 60/40 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.
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
0.41
60%
-1.03
40%
0.07
80%
1.50
80%
0.10
60%
1.58
80%
3.21
100%
0.12
40%
-3.34
20%
1.14
60%
4.38
80%
1.58
80%
Best 6.0
2023
2.8
2024
3.1
2023
7.9
2020
3.5
2020
4.7
2019
6.5
2022
4.1
2020
0.7
2019
4.5
2021
8.1
2023
5.0
2023
Worst -5.1
2022
-3.9
2020
-7.0
2020
-7.5
2022
-3.3
2019
-5.2
2022
1.3
2019
-3.8
2022
-7.1
2022
-2.2
2023
-0.6
2021
-4.0
2022
Monthly Seasonality over the period Oct 2005 - Feb 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
0.64
60%
-0.13
60%
0.51
60%
1.08
90%
0.49
80%
0.82
60%
1.80
80%
0.17
50%
-2.12
20%
0.63
60%
3.01
90%
0.18
60%
Best 6.0
2023
3.7
2015
5.3
2016
7.9
2020
3.5
2020
4.7
2019
6.5
2022
4.1
2020
2.0
2017
4.5
2021
8.1
2023
5.0
2023
Worst -5.1
2022
-4.0
2018
-7.0
2020
-7.5
2022
-3.3
2019
-5.2
2022
-2.4
2014
-3.8
2022
-7.1
2022
-4.8
2018
-0.6
2021
-4.4
2018
Monthly Seasonality over the period Oct 2005 - 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
0.82
58%
0.30
63%
1.00
67%
1.74
89%
0.22
67%
-0.13
44%
1.71
72%
0.05
50%
-0.85
47%
0.27
63%
1.74
74%
0.93
63%
Best 6.0
2023
3.7
2015
5.7
2009
9.8
2009
5.1
2009
4.7
2019
7.2
2009
4.1
2020
6.5
2010
7.8
2011
8.1
2023
5.0
2023
Worst -5.1
2022
-6.6
2009
-7.0
2020
-7.5
2022
-4.9
2010
-5.9
2008
-2.4
2014
-4.7
2011
-7.8
2008
-12.7
2008
-3.9
2008
-4.4
2018
Monthly Seasonality over the period Oct 2005 - Feb 2024

Monthly Returns

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

STOCKS/BONDS 60/40 ESG PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 2014 - 29 February 2024 (10 Years)
Data Source: 1 September 2005 - 29 February 2024 (~19 years)
77 Positive Months (64%) - 43 Negative Months (36%)
140 Positive Months (63%) - 82 Negative Months (37%)
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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
Cape US Sector Value Robert Shiller +14.01 15.76 -21.00 100 0 0
Stocks/Bonds 60/40 with Bitcoin +11.08 11.18 -21.45 59 39 2
US Stocks Minimum Volatility +10.62 12.06 -19.06 100 0 0
Simple Path to Wealth JL Collins +9.41 12.09 -22.24 75 25 0
Stocks/Bonds 40/60 with Bitcoin +9.01 8.96 -19.39 39 59 2
Golden Butterfly with Bitcoin +8.72 9.54 -18.74 40 40 20
Permanent Portfolio with Bitcoin Harry Browne +8.16 8.43 -16.88 25 50 25
All Weather Portfolio with Bitcoin Ray Dalio +8.11 9.46 -21.81 30 55 15
Desert Portfolio with Bitcoin Gyroscopic Investing +8.11 7.22 -15.73 30 60 10
Shield Strategy Aim Ways +7.87 8.92 -19.36 42 38 20
Stocks/Bonds 60/40 +7.85 10.15 -20.69 60 40 0
Edge Select Moderately Aggressive Merrill Lynch +7.43 11.12 -22.31 69 31 0
Perfect Portfolio Ben Stein +7.22 11.77 -18.62 80 20 0
Sheltered Sam 80/20 Bill Bernstein +6.97 11.97 -19.89 77.6 20 2.4
Couch Potato Scott Burns +6.96 9.22 -19.77 50 50 0
No Brainer Portfolio Bill Bernstein +6.76 11.64 -19.76 75 25 0
Stocks/Bonds 60/40 ESG +6.74 10.38 -22.44 60 40 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 60/40 2x Leveraged +11.97 23.45 -39.53 60 40 0
Stocks/Bonds 60/40 with Bitcoin +10.63 13.29 -21.45 59 39 2
Stocks/Bonds 60/40 ESG +9.30 12.65 -22.44 60 40 0
Stocks/Bonds 60/40 +8.67 12.59 -20.69 60 40 0
Stocks/Bonds 60/40 Momentum +7.54 12.62 -24.21 60 40 0

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

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10 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Simple Path to Wealth JL Collins +9.41 12.09 -22.24 75 25 0
Stocks/Bonds 60/40 Momentum +8.28 10.33 -24.21 60 40 0
Shield Strategy Aim Ways +7.87 8.92 -19.36 42 38 20
Stocks/Bonds 60/40 +7.85 10.15 -20.69 60 40 0
Edge Select Moderately Aggressive Merrill Lynch +7.43 11.12 -22.31 69 31 0
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