Robert Shiller Cape US Sector Value Portfolio vs All Country World Stocks Portfolio Portfolio Comparison

Simulation Settings
Period: November 2012 - May 2025 (~13 years)
Consolidated Returns as of 31 May 2025
Currency: USD
Inflation: US
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Results
All Data
(2012/11 - 2025/05)
Inflation Adjusted:
Robert Shiller Cape US Sector Value Portfolio
1.00$
Invested Capital
November 2012
5.88$
Final Capital
May 2025
15.11%
Yearly Return
15.03%
Std Deviation
-21.00%
Max Drawdown
6months
Recovery Period
1.00$
Invested Capital
November 2012
4.25$
Final Capital
May 2025
12.18%
Yearly Return
15.03%
Std Deviation
-24.50%
Max Drawdown
31months
Recovery Period
All Country World Stocks Portfolio
1.00$
Invested Capital
November 2012
3.43$
Final Capital
May 2025
10.29%
Yearly Return
14.02%
Std Deviation
-25.52%
Max Drawdown
24months
Recovery Period
1.00$
Invested Capital
November 2012
2.48$
Final Capital
May 2025
7.47%
Yearly Return
14.02%
Std Deviation
-30.11%
Max Drawdown
36months
Recovery Period

As of May 2025, over the analyzed timeframe, the Robert Shiller Cape US Sector Value Portfolio obtained a 15.11% compound annual return, with a 15.03% standard deviation. It suffered a maximum drawdown of -21.00% that required 6 months to be recovered.

As of May 2025, over the analyzed timeframe, the All Country World Stocks Portfolio obtained a 10.29% compound annual return, with a 14.02% standard deviation. It suffered a maximum drawdown of -25.52% that required 24 months to be recovered.

Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the portfolio creators, who are the sole owners of their intellectual property. The translation of asset allocations into ETFs is based on the interpretation of LazyPortfolioETF.com and may not exactly reflect the original intent of the portfolio creators. Content is for informational, educational, illustrative, and entertainment purposes only.
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Asset Allocations and ETFs

The compared portfolios have the following asset allocations.

Robert Shiller Cape US Sector Value Portfolio
Weight
(%)		 Ticker Name
100.00
CAPE
DoubleLine Shiller U.S. Equities ETF
All Country World Stocks Portfolio
Weight
(%)		 Ticker Name
100.00
VT
Vanguard Total World Stock
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Portfolio Returns as of May 31, 2025

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
RETURN COMPARISON
Period: 1 November 2012 - 31 May 2025 (~13 years)
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Return (%) as of May 31, 2025
YTD
(5M) 		1M 6M 1Y 5Y 10Y MAX
(~13Y)
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_robert_shiller.webp Cape US Sector Value
Robert Shiller 		3.64 2.98 -2.65 14.80 15.92 13.74 15.11
https://www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_world.webp All Country World Stocks
-- Market Benchmark 		5.36 5.81 2.26 12.87 13.38 9.26 10.29
Return over 1 year are annualized.
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Capital Growth as of May 31, 2025

Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since June 2015, now would be worth 3.62$, with a total return of 262.31% (13.74% annualized).

All Country World Stocks Portfolio: an investment of 1$, since June 2015, now would be worth 2.43$, with a total return of 142.51% (9.26% annualized).


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Robert Shiller Cape US Sector Value Portfolio: an investment of 1$, since November 2012, now would be worth 5.88$, with a total return of 487.71% (15.11% annualized).

All Country World Stocks Portfolio: an investment of 1$, since November 2012, now would be worth 3.43$, with a total return of 242.80% (10.29% annualized).


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Portfolio Metrics as of May 31, 2025

The following metrics, updated as of 31 May 2025, provide an overview of performance and risk, with the best value in each row highlighted within the table.

METRIC COMPARISON
Period: 1 June 2024 - 31 May 2025 (1 year)
Period: 1 June 2020 - 31 May 2025 (5 years)
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 November 2012 - 31 May 2025 (~13 years)
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Cape US Sector Value All Country World Stocks
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 14.80 12.87
Infl. Adjusted Return (%) 12.14 10.25
DRAWDOWN
Deepest Drawdown Depth (%) -6.08 -3.92
Start to Recovery (months) 6* 4
Longest Drawdown Depth (%) -6.08 -3.92
Start to Recovery (months) 6* 4
Longest Negative Period (months) 6* 7
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 12.32 9.48
Sharpe Ratio 0.82 0.86
Sortino Ratio 1.10 1.16
Ulcer Index 2.86 1.76
Ratio: Return / Standard Deviation 1.20 1.36
Ratio: Return / Deepest Drawdown 2.44 3.29
Metrics calculated over the period 1 June 2024 - 31 May 2025
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Cape US Sector Value All Country World Stocks
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 15.92 13.38
Infl. Adjusted Return (%) 10.80 8.37
DRAWDOWN
Deepest Drawdown Depth (%) -20.07 -25.52
Start to Recovery (months) 19 24
Longest Drawdown Depth (%) -20.07 -25.52
Start to Recovery (months) 19 24
Longest Negative Period (months) 26 31
RISK INDICATORS
Standard Deviation (%) 16.95 15.35
Sharpe Ratio 0.79 0.70
Sortino Ratio 1.09 0.96
Ulcer Index 6.04 8.30
Ratio: Return / Standard Deviation 0.94 0.87
Ratio: Return / Deepest Drawdown 0.79 0.52
Metrics calculated over the period 1 June 2020 - 31 May 2025
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Cape US Sector Value All Country World Stocks
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 13.74 9.26
Infl. Adjusted Return (%) 10.35 6.01
DRAWDOWN
Deepest Drawdown Depth (%) -21.00 -25.52
Start to Recovery (months) 6 24
Longest Drawdown Depth (%) -20.07 -25.52
Start to Recovery (months) 19 24
Longest Negative Period (months) 26 34
RISK INDICATORS
Standard Deviation (%) 16.15 15.00
Sharpe Ratio 0.74 0.50
Sortino Ratio 1.00 0.67
Ulcer Index 5.50 7.38
Ratio: Return / Standard Deviation 0.85 0.62
Ratio: Return / Deepest Drawdown 0.65 0.36
Metrics calculated over the period 1 June 2015 - 31 May 2025
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Cape US Sector Value All Country World Stocks
Author Robert Shiller
ASSET ALLOCATION
Stocks 100% 100%
Fixed Income 0% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 15.11 10.29
Infl. Adjusted Return (%) 12.18 7.47
DRAWDOWN
Deepest Drawdown Depth (%) -21.00 -25.52
Start to Recovery (months) 6 24
Longest Drawdown Depth (%) -20.07 -25.52
Start to Recovery (months) 19 24
Longest Negative Period (months) 26 34
RISK INDICATORS
Standard Deviation (%) 15.03 14.02
Sharpe Ratio 0.91 0.63
Sortino Ratio 1.23 0.85
Ulcer Index 4.94 6.63
Ratio: Return / Standard Deviation 1.01 0.73
Ratio: Return / Deepest Drawdown 0.72 0.40
Metrics calculated over the period 1 November 2012 - 31 May 2025
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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.

DRAWDOWN COMPARISON
Period: 1 June 2015 - 31 May 2025 (10 years)
Period: 1 November 2012 - 31 May 2025 (~13 years)

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Cape US Sector Value All Country World Stocks
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-25.52 24 Jan 2022
Dec 2023
-22.15 8 Jan 2020
Aug 2020
-21.00 6 Feb 2020
Jul 2020
-20.07 19 Jan 2022
Jul 2023
-15.27 7 Oct 2018
Apr 2019
-14.45 21 Feb 2018
Oct 2019
-13.76 19 Jun 2015
Dec 2016
-8.74 3 Aug 2015
Oct 2015
-8.27 5 Aug 2023
Dec 2023
-6.08 6* Dec 2024
In progress
-5.96 2 May 2019
Jun 2019
-5.62 6 Feb 2018
Jul 2018
-5.36 4 Apr 2024
Jul 2024
-5.00 2 Sep 2021
Oct 2021
-4.91 3 Sep 2020
Nov 2020

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Cape US Sector Value All Country World Stocks
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-25.52 24 Jan 2022
Dec 2023
-22.15 8 Jan 2020
Aug 2020
-21.00 6 Feb 2020
Jul 2020
-20.07 19 Jan 2022
Jul 2023
-15.27 7 Oct 2018
Apr 2019
-14.45 21 Feb 2018
Oct 2019
-13.76 19 Jun 2015
Dec 2016
-8.74 3 Aug 2015
Oct 2015
-8.27 5 Aug 2023
Dec 2023
-6.08 6* Dec 2024
In progress
-5.96 2 May 2019
Jun 2019
-5.62 6 Feb 2018
Jul 2018
-5.36 4 Apr 2024
Jul 2024
-5.00 2 Sep 2021
Oct 2021
-4.91 3 Sep 2020
Nov 2020

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the Simulation Settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Annualized Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 November 2012 - 31 May 2025 (~13 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown. The highlighted returns represent the highest values for that specific year.

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Cape US Sector Value All Country World Stocks
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2025
 3.64 -4.59 5.36 -3.92
2024
 14.40 -6.08 16.49 -3.58
2023
 27.65 -8.27 22.03 -9.69
2022
 -15.62 -20.07 -18.01 -25.52
2021
 27.80 -5.00 18.27 -4.10
2020
 19.47 -21.00 16.61 -22.15
2019
 32.61 -5.96 26.82 -5.97
2018
 -3.51 -15.27 -9.76 -14.45
2017
 21.38 -0.24 24.49 0.00
2016
 18.06 -4.58 8.51 -6.91
2015
 4.57 -8.74 -1.86 -11.65
2014
 15.77 -3.84 3.67 -4.44
2013
 33.36 -2.99 22.95 -3.20
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