Zefiro SCF Zefiro Portfolio: ETF allocation and returns

Data Source: from January 1985 to February 2024 (~39 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.87%
1 Day
Mar 01 2024
0.87%
Current Month
March 2024

The Zefiro SCF Zefiro Portfolio is a Medium Risk portfolio and can be implemented with 5 ETFs.

It's exposed for 20% on the Stock Market and for 30% on Commodities.

In the last 30 Years, the Zefiro SCF Zefiro Portfolio obtained a 6.62% compound annual return, with a 7.46% standard deviation.

Table of contents
The first official book of
How to build wealth
with Lazy Portfolios and Passive Investing Strategies
Choose a goal
Employ the best metrics to evaluate it
Join the passive investing strategy
Discover new asset allocations in USD and EUR,
in addition to the lazy portfolios on the website.

Asset Allocation and ETFs

The Zefiro SCF Zefiro Portfolio has the following asset allocation:

20% Stocks
50% Fixed Income
30% Commodities

The Zefiro SCF Zefiro Portfolio can be implemented with the following ETFs:

Weight (%) Ticker Currency ETF Name Investment Themes
20.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap
30.00
TIP
USD iShares TIPS Bond Bond, U.S., All-Term
20.00
TLT
USD iShares 20+ Year Treasury Bond Bond, U.S., Long-Term
15.00
GLD
USD SPDR Gold Trust Commodity, Gold
15.00
GSG
USD iShares S&P GSCI Commodity Indexed Trust Commodity, Broad Diversified

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

Portfolio and ETF Returns as of Feb 29, 2024

The Zefiro SCF Zefiro 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.
ZEFIRO SCF ZEFIRO PORTFOLIO
Consolidated returns as of 29 February 2024
Live Update: Mar 01 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
Zefiro SCF Zefiro Portfolio 0.87 0.87 0.52 3.69 7.73 5.94 3.74 6.62 7.90
US Inflation Adjusted return 0.52 2.52 4.88 1.77 0.94 4.00 4.98
Components
VTI
USD Vanguard Total Stock Market 0.92 Mar 01 2024 0.92 5.30 13.69 28.61 13.82 11.96 10.22 11.25
TIP
USD iShares TIPS Bond 0.37 Mar 01 2024 0.37 -1.05 1.78 1.82 2.23 1.77 4.98 6.69
TLT
USD iShares 20+ Year Treasury Bond 0.62 Mar 01 2024 0.62 -2.26 -0.68 -4.13 -2.64 0.97 5.10 7.20
GLD
USD SPDR Gold Trust 1.89 Mar 01 2024 1.89 0.46 5.16 11.50 8.83 4.02 5.46 4.73
GSG
USD iShares S&P GSCI Commodity Indexed Trust 1.09 Mar 01 2024 1.09 0.86 -2.67 3.99 6.08 -4.36 1.76 4.12
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77% , 30Y: 2.52%

In 2023, the Zefiro SCF Zefiro Portfolio granted a 1.88% dividend yield. If you are interested in getting periodic income, please refer to the Zefiro SCF Zefiro Portfolio: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 6.85$, with a total return of 584.67% (6.62% annualized).

The Inflation Adjusted Capital now would be 3.24$, with a net total return of 224.33% (4.00% annualized).
An investment of 1$, since January 1985, now would be worth 19.68$, with a total return of 1867.51% (7.90% annualized).

The Inflation Adjusted Capital now would be 6.70$, with a net total return of 570.27% (4.98% annualized).

Portfolio Metrics as of Feb 29, 2024

Metrics of Zefiro SCF Zefiro Portfolio, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
ZEFIRO SCF ZEFIRO PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 0.52 4.14 3.69 7.73 2.85 5.94 3.74 5.40 6.62 7.90
Infl. Adjusted Return (%) details 0.52 3.58 2.52 4.88 -2.53 1.77 0.94 2.77 4.00 4.98
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.79
Pending updates, the monthly inflation after Jan 2024 is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -5.88 -15.09 -15.09 -15.09 -20.61 -20.61 -20.61
Start to Recovery (# months) details 5 23* 23* 23* 26 26 26
Start (yyyy mm) 2023 08 2022 04 2022 04 2022 04 2008 07 2008 07 2008 07
Start to Bottom (# months) 3 6 6 6 8 8 8
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 17 17 18 18 18
End (yyyy mm) 2023 12 - - - 2010 08 2010 08 2010 08
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-11.32 -11.32 -11.32 -11.32
Start to Recovery (# months) details 36 36 36 36
Start (yyyy mm) 2023 08 2022 04 2022 04 2014 09 2014 09 2014 09 2014 09
Start to Bottom (# months) 3 6 6 16 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2015 12 2015 12 2015 12 2015 12
Bottom to End (# months) 2 17 17 20 20 20 20
End (yyyy mm) 2023 12 - - 2017 08 2017 08 2017 08 2017 08
Longest negative period (# months) details 8 30 34 54 54 54 54
Period Start (yyyy mm) 2023 03 2021 05 2021 01 2014 07 2014 07 2014 07 2014 07
Period End (yyyy mm) 2023 10 2023 10 2023 10 2018 12 2018 12 2018 12 2018 12
Annualized Return (%) -1.24 -1.13 -0.22 -0.08 -0.08 -0.08 -0.08
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -6.77 -19.20 -19.20 -19.20 -20.13 -20.13 -20.13
Start to Recovery (# months) details 5 28* 28* 28* 26 26 26
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2008 07 2008 07 2008 07
Start to Bottom (# months) 3 24 24 24 4 4 4
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2008 10 2008 10 2008 10
Bottom to End (# months) 2 4 4 4 22 22 22
End (yyyy mm) 2023 12 - - - 2010 08 2010 08 2010 08
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest
-11.43 -11.43 -11.43 -11.43
Start to Recovery (# months) details 41 41 41 41
Start (yyyy mm) 2023 08 2021 11 2021 11 2014 09 2014 09 2014 09 2014 09
Start to Bottom (# months) 3 24 24 16 16 16 16
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2015 12 2015 12 2015 12 2015 12
Bottom to End (# months) 2 4 4 25 25 25 25
End (yyyy mm) 2023 12 - - 2018 01 2018 01 2018 01 2018 01
Longest negative period (# months) details 8 36* 55 112 134 134 134
Period Start (yyyy mm) 2023 03 2021 03 2019 04 2014 07 2012 09 2012 09 2012 09
Period End (yyyy mm) 2023 10 2024 02 2023 10 2023 10 2023 10 2023 10 2023 10
Annualized Return (%) -4.13 -2.53 -0.08 -0.11 -0.04 -0.04 -0.04
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 7.90 9.47 8.87 7.42 7.88 7.46 7.24
Sharpe Ratio 0.32 0.05 0.46 0.35 0.52 0.58 0.54
Sortino Ratio 0.45 0.07 0.61 0.47 0.67 0.77 0.72
Ulcer Index 2.26 7.05 5.59 4.98 5.21 4.36 3.92
Ratio: Return / Standard Deviation 0.98 0.30 0.67 0.50 0.69 0.89 1.09
Ratio: Return / Deepest Drawdown 1.31 0.19 0.39 0.25 0.26 0.32 0.38
% Positive Months details 66% 58% 61% 58% 61% 63% 64%
Positive Months 8 21 37 70 147 227 302
Negative Months 4 15 23 50 93 133 168
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.74 7.66 10.18 11.24
Worst 10 Years Return (%) - Annualized 2.47 2.47 2.47
Best 10 Years Return (%) - Annualized 0.94 5.24 7.50 7.50
Worst 10 Years Return (%) - Annualized -0.05 -0.05 -0.05
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 23.52 16.24 12.18 10.18 8.46 6.62
Worst Rolling Return (%) - Annualized -18.05 -2.52 0.66 2.47 5.37
% Positive Periods 84% 96% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.46 31.46 19.19 10.14 7.08 6.53
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.98 4.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 20.80 13.52 8.88 7.50 5.93 4.00
Worst Rolling Return (%) - Annualized -18.06 -3.89 -0.63 -0.05 2.73
% Positive Periods 79% 86% 95% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.46 31.46 19.19 10.14 7.08 6.53
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.98 4.52
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1985 - Feb 2024)
Best Rolling Return (%) - Annualized 31.72 17.02 15.25 11.24 10.46 9.11
Worst Rolling Return (%) - Annualized -18.05 -2.52 0.66 2.47 5.37 6.30
% Positive Periods 86% 97% 100% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.46 31.46 19.19 10.14 7.08 6.26
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.98 4.20
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 29.67 13.60 11.18 7.50 7.23 6.26
Worst Rolling Return (%) - Annualized -18.06 -3.89 -0.63 -0.05 2.73 3.69
% Positive Periods 80% 89% 96% 99% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 88.46 31.46 19.19 10.14 7.08 6.26
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 2.98 4.20
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
VTI
TIP
TLT
GLD
GSG
VTI
-
0.62
0.78
0.16
-0.02
TIP
0.62
-
0.91
0.56
-0.20
TLT
0.78
0.91
-
0.35
-0.36
GLD
0.16
0.56
0.35
-
-0.29
GSG
-0.02
-0.20
-0.36
-0.29
-
Asset
VTI
TIP
TLT
GLD
GSG
VTI
-
0.61
0.19
0.24
0.44
TIP
0.61
-
0.69
0.48
0.07
TLT
0.19
0.69
-
0.40
-0.37
GLD
0.24
0.48
0.40
-
-0.05
GSG
0.44
0.07
-0.37
-0.05
-
Asset
VTI
TIP
TLT
GLD
GSG
VTI
-
0.49
0.08
0.09
0.41
TIP
0.49
-
0.69
0.49
0.07
TLT
0.08
0.69
-
0.42
-0.40
GLD
0.09
0.49
0.42
-
0.01
GSG
0.41
0.07
-0.40
0.01
-
Asset
VTI
TIP
TLT
GLD
GSG
VTI
-
0.20
-0.12
0.06
0.35
TIP
0.20
-
0.67
0.35
0.21
TLT
-0.12
0.67
-
0.20
-0.22
GLD
0.06
0.35
0.20
-
0.22
GSG
0.35
0.21
-0.22
0.22
-
Asset
VTI
TIP
TLT
GLD
GSG
VTI
-
0.23
-0.02
-0.02
0.25
TIP
0.23
-
0.73
0.20
0.13
TLT
-0.02
0.73
-
0.13
-0.20
GLD
-0.02
0.20
0.13
-
0.22
GSG
0.25
0.13
-0.20
0.22
-

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.

ZEFIRO SCF ZEFIRO PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-20.61% Jul 2008 Feb 2009 8 Aug 2010 18 26 10.91
-15.09% Apr 2022 Sep 2022 6 in progress 17 23 8.73
-11.32% Sep 2014 Dec 2015 16 Aug 2017 20 36 5.25
-7.24% Oct 2012 Jun 2013 9 Apr 2014 10 19 3.17
-6.38% Feb 2020 Mar 2020 2 Jun 2020 3 5 2.87
-5.38% Sep 2018 Dec 2018 4 Mar 2019 3 7 2.85
-5.32% Apr 2004 Apr 2004 1 Sep 2004 5 6 3.29
-5.09% May 1998 Aug 1998 4 Nov 1998 3 7 1.99
-4.49% Jun 2003 Jul 2003 2 Sep 2003 2 4 2.22
-4.38% Mar 1994 Nov 1994 9 Feb 1995 3 12 2.66
-4.21% Dec 1996 Mar 1997 4 May 1997 2 6 2.07
-3.79% Feb 2001 Dec 2001 11 Apr 2002 4 15 2.14
-3.57% Sep 2020 Oct 2020 2 Dec 2020 2 4 1.80
-3.17% Feb 1999 Feb 1999 1 Apr 1999 2 3 1.60
-2.91% May 1999 May 1999 1 Sep 1999 4 5 1.76
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 131 2.8 Months 36.29%
 
DD = 0% 36.29%
 
0% < DD <= -5% 177 2.0 Months 49.03%
 
DD <= -5% 85.32%
 
-5% < DD <= -10% 33 10.9 Months 9.14%
 
DD <= -10% 94.46%
 
-10% < DD <= -15% 13 27.8 Months 3.60%
 
DD <= -15% 98.06%
 
-15% < DD <= -20% 5 72.2 Months 1.39%
 
DD <= -20% 99.45%
 
-20% < DD <= -25% 2 180.5 Months 0.55%
 
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
-20.13% Jul 2008 Oct 2008 4 Aug 2010 22 26 10.02
-19.20% Nov 2021 Oct 2023 24 in progress 4 28 13.02
-11.43% Sep 2014 Dec 2015 16 Jan 2018 25 41 5.55
-7.81% Oct 2012 Jun 2013 9 Jun 2014 12 21 3.80
-6.75% Feb 2018 Dec 2018 11 Jun 2019 6 17 2.86
-6.36% Mar 1994 Nov 1994 9 Apr 1995 5 14 3.68
-6.11% Feb 2020 Mar 2020 2 May 2020 2 4 2.88
-5.78% May 1998 Aug 1998 4 Jan 1999 5 9 2.13
-5.47% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.62
-5.33% Jan 2001 Jan 2002 13 Aug 2002 7 20 3.06
-4.90% Jun 2003 Jul 2003 2 Oct 2003 3 5 2.32
-4.87% Dec 1996 Mar 1997 4 Jul 1997 4 8 2.23
-3.90% Sep 2020 Oct 2020 2 Dec 2020 2 4 2.02
-3.17% Feb 1999 Feb 1999 1 Apr 1999 2 3 1.61
-3.15% Sep 2005 Oct 2005 2 Dec 2005 2 4 1.46
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 94 3.8 Months 26.04%
 
DD = 0% 26.04%
 
0% < DD <= -5% 192 1.9 Months 53.19%
 
DD <= -5% 79.22%
 
-5% < DD <= -10% 43 8.4 Months 11.91%
 
DD <= -10% 91.14%
 
-10% < DD <= -15% 17 21.2 Months 4.71%
 
DD <= -15% 95.84%
 
-15% < DD <= -20% 14 25.8 Months 3.88%
 
DD <= -20% 99.72%
 
-20% < DD <= -25% 1 361.0 Months 0.28%
 
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
-20.61% Jul 2008 Feb 2009 8 Aug 2010 18 26 10.91
-15.09% Apr 2022 Sep 2022 6 in progress 17 23 8.73
-11.32% Sep 2014 Dec 2015 16 Aug 2017 20 36 5.25
-7.24% Oct 2012 Jun 2013 9 Apr 2014 10 19 3.17
-6.78% Feb 1994 Nov 1994 10 Apr 1995 5 15 4.44
-6.38% Feb 2020 Mar 2020 2 Jun 2020 3 5 2.87
-5.38% Sep 2018 Dec 2018 4 Mar 2019 3 7 2.85
-5.32% Apr 2004 Apr 2004 1 Sep 2004 5 6 3.29
-5.20% Jan 1990 Apr 1990 4 Jul 1990 3 7 2.66
-5.09% May 1998 Aug 1998 4 Nov 1998 3 7 1.99
-4.72% Aug 1987 Nov 1987 4 Mar 1988 4 8 2.53
-4.49% Jun 2003 Jul 2003 2 Sep 2003 2 4 2.22
-4.21% Dec 1996 Mar 1997 4 May 1997 2 6 2.07
-3.79% Feb 2001 Dec 2001 11 Apr 2002 4 15 2.14
-3.57% Sep 2020 Oct 2020 2 Dec 2020 2 4 1.80
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 190 2.5 Months 40.34%
 
DD = 0% 40.34%
 
0% < DD <= -5% 219 2.2 Months 46.50%
 
DD <= -5% 86.84%
 
-5% < DD <= -10% 42 11.2 Months 8.92%
 
DD <= -10% 95.75%
 
-10% < DD <= -15% 13 36.2 Months 2.76%
 
DD <= -15% 98.51%
 
-15% < DD <= -20% 5 94.2 Months 1.06%
 
DD <= -20% 99.58%
 
-20% < DD <= -25% 2 235.5 Months 0.42%
 
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
-20.13% Jul 2008 Oct 2008 4 Aug 2010 22 26 10.02
-19.20% Nov 2021 Oct 2023 24 in progress 4 28 13.02
-11.43% Sep 2014 Dec 2015 16 Jan 2018 25 41 5.55
-8.96% Feb 1994 Nov 1994 10 May 1995 6 16 5.77
-7.81% Oct 2012 Jun 2013 9 Jun 2014 12 21 3.80
-7.11% Jan 1990 Apr 1990 4 Dec 1990 8 12 3.55
-6.75% Feb 2018 Dec 2018 11 Jun 2019 6 17 2.86
-6.11% Feb 2020 Mar 2020 2 May 2020 2 4 2.88
-6.05% Aug 1987 Nov 1987 4 Jan 1989 14 18 3.14
-5.78% May 1998 Aug 1998 4 Jan 1999 5 9 2.13
-5.47% Apr 2004 Apr 2004 1 Oct 2004 6 7 3.62
-5.33% Jan 2001 Jan 2002 13 Aug 2002 7 20 3.06
-4.90% Jun 2003 Jul 2003 2 Oct 2003 3 5 2.32
-4.87% Dec 1996 Mar 1997 4 Jul 1997 4 8 2.23
-3.90% Sep 2020 Oct 2020 2 Dec 2020 2 4 2.02
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 141 3.3 Months 29.94%
 
DD = 0% 29.94%
 
0% < DD <= -5% 242 1.9 Months 51.38%
 
DD <= -5% 81.32%
 
-5% < DD <= -10% 56 8.4 Months 11.89%
 
DD <= -10% 93.21%
 
-10% < DD <= -15% 17 27.7 Months 3.61%
 
DD <= -15% 96.82%
 
-15% < DD <= -20% 14 33.6 Months 2.97%
 
DD <= -20% 99.79%
 
-20% < DD <= -25% 1 471.0 Months 0.21%
 
DD <= -25% 100.00%
 
-25% < DD <= -30% 0 - 0.00%
 
DD <= -30% 100.00%
 
-30% < DD <= -35% 0 - 0.00%
 
DD <= -35% 100.00%
 
-35% < DD <= -40% 0 - 0.00%
 
DD <= -40% 100.00%
 
-40% < DD <= -45% 0 - 0.00%
 
DD <= -45% 100.00%
 
-45% < DD <= -50% 0 - 0.00%
 
DD <= -50% 100.00%
 
-50% < DD <= -55% 0 - 0.00%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ZEFIRO SCF ZEFIRO PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -18.05 03/2008
02/2009
0.81$ -0.93 0.99$ 7.91 1.07$ 14.28 1.14$ 23.52 02/1995
01/1996
1.23$ 7.73 15.76%
2Y -5.19 11/2021
10/2023
0.89$ 0.72 1.01$ 7.27 1.15$ 12.25 1.26$ 17.77 05/2009
04/2011
1.38$ -1.80 10.98%
3Y -2.52 02/2013
01/2016
0.92$ 2.58 1.07$ 7.02 1.22$ 11.38 1.38$ 16.24 03/2009
02/2012
1.57$ 2.85 3.69%
5Y 0.66 10/2012
09/2017
1.03$ 2.87 1.15$ 7.11 1.40$ 9.78 1.59$ 12.18 04/2003
03/2008
1.77$ 5.94 0.00%
7Y 1.54 12/2011
11/2018
1.11$ 4.09 1.32$ 7.52 1.66$ 8.99 1.82$ 11.05 07/2001
06/2008
2.08$ 5.17 0.00%
10Y 2.47 10/2012
09/2022
1.27$ 4.34 1.52$ 7.38 2.03$ 9.27 2.42$ 10.18 12/1994
11/2004
2.63$ 3.74 0.00%
15Y 3.93 07/2008
06/2023
1.78$ 5.44 2.21$ 6.68 2.63$ 8.44 3.37$ 9.17 12/1994
11/2009
3.72$ 5.84 0.00%
20Y 5.37 11/2003
10/2023
2.84$ 6.16 3.30$ 6.67 3.63$ 7.29 4.08$ 8.46 07/1994
06/2014
5.07$ 5.40 0.00%
30Y 6.62 03/1994
02/2024
6.84$ 6.62 6.84$ 6.62 6.84$ 6.62 6.84$ 6.62 03/1994
02/2024
6.84$ 6.62 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 -18.06 03/2008
02/2009
0.81$ -2.58 0.97$ 5.07 1.05$ 11.20 1.11$ 20.80 04/2003
03/2004
1.20$ 4.88 20.92%
2Y -10.11 11/2021
10/2023
0.80$ -0.92 0.98$ 4.77 1.09$ 9.38 1.19$ 14.74 05/2009
04/2011
1.31$ -5.87 18.99%
3Y -3.89 10/2020
09/2023
0.88$ 0.30 1.00$ 4.62 1.14$ 8.15 1.26$ 13.52 03/2009
02/2012
1.46$ -2.53 13.54%
5Y -0.63 10/2012
09/2017
0.96$ 0.96 1.04$ 4.76 1.26$ 7.11 1.40$ 8.88 04/2003
03/2008
1.53$ 1.77 4.98%
7Y 0.01 01/2012
12/2018
1.00$ 1.87 1.13$ 5.02 1.40$ 6.26 1.53$ 7.89 07/2001
06/2008
1.70$ 1.65 0.00%
10Y -0.05 10/2012
09/2022
0.99$ 2.45 1.27$ 4.67 1.57$ 6.55 1.88$ 7.50 12/1994
11/2004
2.06$ 0.94 0.41%
15Y 1.54 03/2008
02/2023
1.25$ 3.23 1.61$ 4.52 1.94$ 5.86 2.35$ 6.50 12/1994
11/2009
2.57$ 3.22 0.00%
20Y 2.73 11/2003
10/2023
1.71$ 3.64 2.04$ 4.41 2.36$ 4.98 2.64$ 5.93 07/1994
06/2014
3.16$ 2.77 0.00%
30Y 4.00 03/1994
02/2024
3.24$ 4.00 3.24$ 4.00 3.24$ 4.00 3.24$ 4.00 03/1994
02/2024
3.24$ 4.00 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 -18.05 03/2008
02/2009
0.81$ 0.30 1.00$ 8.65 1.08$ 14.66 1.14$ 31.72 05/1985
04/1986
1.31$ 7.73 13.73%
2Y -5.19 11/2021
10/2023
0.89$ 1.78 1.03$ 8.37 1.17$ 12.52 1.26$ 23.45 03/1985
02/1987
1.52$ -1.80 8.28%
3Y -2.52 02/2013
01/2016
0.92$ 3.61 1.11$ 7.88 1.25$ 11.73 1.39$ 17.02 03/1985
02/1988
1.60$ 2.85 2.76%
5Y 0.66 10/2012
09/2017
1.03$ 4.31 1.23$ 8.15 1.47$ 10.29 1.63$ 15.25 01/1985
12/1989
2.03$ 5.94 0.00%
7Y 1.54 12/2011
11/2018
1.11$ 4.42 1.35$ 8.31 1.74$ 9.67 1.90$ 13.65 01/1985
12/1991
2.44$ 5.17 0.00%
10Y 2.47 10/2012
09/2022
1.27$ 4.67 1.57$ 8.23 2.20$ 9.59 2.49$ 11.24 10/1985
09/1995
2.90$ 3.74 0.00%
15Y 3.93 07/2008
06/2023
1.78$ 5.62 2.27$ 8.29 3.30$ 9.12 3.70$ 10.83 03/1985
02/2000
4.67$ 5.84 0.00%
20Y 5.37 11/2003
10/2023
2.84$ 6.47 3.50$ 7.96 4.62$ 9.12 5.73$ 10.46 03/1985
02/2005
7.31$ 5.40 0.00%
30Y 6.30 11/1993
10/2023
6.25$ 6.80 7.18$ 7.38 8.47$ 7.92 9.83$ 9.11 03/1985
02/2015
13.67$ 6.62 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 -18.06 03/2008
02/2009
0.81$ -1.94 0.98$ 5.29 1.05$ 11.44 1.11$ 29.67 09/1985
08/1986
1.29$ 4.88 19.17%
2Y -10.11 11/2021
10/2023
0.80$ 0.08 1.00$ 5.08 1.10$ 9.30 1.19$ 20.37 03/1985
02/1987
1.44$ -5.87 14.32%
3Y -3.89 10/2020
09/2023
0.88$ 1.13 1.03$ 5.00 1.15$ 8.14 1.26$ 13.60 03/1985
02/1988
1.46$ -2.53 10.11%
5Y -0.63 10/2012
09/2017
0.96$ 1.57 1.08$ 5.39 1.30$ 7.15 1.41$ 11.18 01/1985
12/1989
1.69$ 1.77 3.65%
7Y 0.01 01/2012
12/2018
1.00$ 2.43 1.18$ 5.52 1.45$ 6.48 1.55$ 9.35 01/1985
12/1991
1.87$ 1.65 0.00%
10Y -0.05 10/2012
09/2022
0.99$ 2.83 1.32$ 5.48 1.70$ 6.51 1.87$ 7.50 12/1994
11/2004
2.06$ 0.94 0.28%
15Y 1.54 03/2008
02/2023
1.25$ 3.56 1.69$ 5.51 2.23$ 6.23 2.47$ 7.41 03/1985
02/2000
2.92$ 3.22 0.00%
20Y 2.73 11/2003
10/2023
1.71$ 4.25 2.29$ 5.35 2.83$ 6.07 3.25$ 7.23 03/1985
02/2005
4.04$ 2.77 0.00%
30Y 3.69 11/1993
10/2023
2.96$ 4.18 3.41$ 4.85 4.14$ 5.13 4.47$ 6.26 03/1985
02/2015
6.17$ 4.00 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 Zefiro SCF Zefiro Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Zefiro SCF Zefiro 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
0.87
60%
-0.45
40%
0.00
60%
1.09
80%
0.30
40%
0.75
80%
2.51
100%
-0.25
60%
-2.81
0%
0.60
60%
1.95
80%
1.62
80%
Best 4.4
2023
1.9
2022
3.4
2023
3.9
2020
2.4
2020
3.7
2019
5.0
2020
2.9
2019
-0.8
2019
3.5
2021
4.3
2023
3.3
2023
Worst -1.1
2022
-3.4
2023
-5.4
2020
-3.4
2022
-2.1
2023
-4.5
2022
0.4
2019
-3.6
2022
-7.0
2022
-1.8
2020
-1.8
2021
-1.8
2022
Monthly Seasonality over the period Feb 1985 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.37
80%
-0.06
50%
0.05
50%
1.07
90%
0.28
50%
0.72
70%
1.00
70%
0.14
60%
-1.89
10%
0.05
60%
0.53
50%
0.68
60%
Best 4.4
2023
2.4
2016
3.4
2023
3.9
2020
2.4
2020
3.7
2019
5.0
2020
2.9
2019
0.6
2016
3.5
2021
4.3
2023
3.3
2023
Worst -1.1
2022
-3.4
2023
-5.4
2020
-3.4
2022
-2.1
2023
-4.5
2022
-1.7
2015
-3.6
2022
-7.0
2022
-3.3
2018
-2.4
2016
-1.9
2015
Monthly Seasonality over the period Feb 1985 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.92
73%
0.42
58%
0.51
62%
0.78
77%
0.69
64%
0.62
64%
0.80
64%
0.79
62%
0.24
51%
0.14
64%
0.89
64%
1.08
69%
Best 4.5
1987
5.0
1986
5.4
1986
3.9
2020
6.5
2003
4.0
2000
5.0
2020
5.3
1986
5.0
1998
3.8
2011
4.6
2009
6.1
2008
Worst -5.0
2009
-3.6
2009
-5.4
2020
-5.3
2004
-3.1
2013
-4.5
2022
-3.2
2008
-3.6
2022
-7.0
2022
-12.9
2008
-2.4
2016
-2.3
2006
Monthly Seasonality over the period Feb 1985 - Feb 2024

Monthly Returns

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

ZEFIRO SCF ZEFIRO PORTFOLIO
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1985 - 29 February 2024 (~39 years)
227 Positive Months (63%) - 133 Negative Months (37%)
302 Positive Months (64%) - 168 Negative Months (36%)
Swipe left to see all data
(Scroll down to see all data)
Investment Returns, up to December 2006, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • VTI - Vanguard Total Stock Market (VTI), up to December 2001
  • TIP - iShares TIPS Bond (TIP), up to December 2003
  • TLT - iShares 20+ Year Treasury Bond (TLT), up to December 2002
  • GLD - SPDR Gold Trust (GLD), up to December 2004
  • GSG - iShares S&P GSCI Commodity Indexed Trust (GSG), up to December 2006

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Shield Strategy Aim Ways +8.74 8.84 -19.36 42 38 20
Gold Pivot Ptf Aim Ways +7.76 8.20 -19.49 22 44 34
In Saecula Saeculorum Fulvio Marchese +7.72 7.83 -20.39 45 45 10
Golden Butterfly Tyler +7.56 7.73 -17.79 40 40 20
Aim comfortable trip Aim Ways +7.42 7.59 -20.15 40 45 15
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
PISI Portfolio Davide Pisicchio +7.00 6.48 -18.36 30 60 10
Simplified Permanent Portfolio +6.85 6.88 -16.43 25 50 25

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

Swipe left to see all data
30 Years Stats (%)
% Allocation
Portfolio Author Return Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 40/60 Momentum +8.06 7.02 -21.11 40 60 0
Couch Potato Scott Burns +8.04 8.75 -27.04 50 50 0
All Weather Portfolio Ray Dalio +7.34 7.40 -20.58 30 55 15
Robo Advisor 50 Betterment +7.19 9.28 -30.72 49.9 50.1 0
Stocks/Bonds 40/60 +7.00 6.99 -19.17 40 60 0
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.