Rob Arnott vs Stocks/Bonds 40/60 Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Rob Arnott Portfolio
1.00$
Initial Capital
September 1994
7.19$
Final Capital
August 2024
6.80%
Yearly Return
7.23
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Stocks/Bonds 40/60 Portfolio
1.00$
Initial Capital
September 1994
8.18$
Final Capital
August 2024
7.26%
Yearly Return
7.00
Std Deviation
-19.17%
Max Drawdown
25 months
Recovery Period
Rob Arnott Portfolio
1.00$
Initial Capital
January 1985
23.03$
Final Capital
August 2024
8.23%
Yearly Return
7.17
Std Deviation
-24.27%
Max Drawdown
22 months
Recovery Period
Stocks/Bonds 40/60 Portfolio
1.00$
Initial Capital
January 1985
23.91$
Final Capital
August 2024
8.33%
Yearly Return
7.26
Std Deviation
-19.17%
Max Drawdown
25 months
Recovery Period

The Rob Arnott Portfolio obtained a 6.80% compound annual return, with a 7.23% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Portfolio obtained a 7.26% compound annual return, with a 7.00% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Rob Arnott Portfolio
Rob Arnott 		5.44 1.61 6.19 10.26 3.76 3.93 6.80 8.23
Stocks/Bonds 40/60 9.21 1.74 7.41 14.89 6.15 6.02 7.26 8.33
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Rob Arnott Portfolio: an investment of 1$, since September 1994, now would be worth 7.19$, with a total return of 618.95% (6.80% annualized).

Stocks/Bonds 40/60 Portfolio: an investment of 1$, since September 1994, now would be worth 8.18$, with a total return of 718.27% (7.26% annualized).


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Rob Arnott Portfolio: an investment of 1$, since January 1985, now would be worth 23.03$, with a total return of 2203.19% (8.23% annualized).

Stocks/Bonds 40/60 Portfolio: an investment of 1$, since January 1985, now would be worth 23.91$, with a total return of 2291.39% (8.33% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Rob Arnott Portfolio Stocks/Bonds 40/60
Author Rob Arnott
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 60% 60%
Commodities 10% 0%
PERFORMANCES
Annualized Return (%) 10.26 14.89
Infl. Adjusted Return (%) 7.67 12.20
DRAWDOWN
Deepest Drawdown Depth (%) -5.54 -5.43
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -5.54 -5.43
Start to Recovery (months) 3 3
Longest Negative Period (months) 4 3
RISK INDICATORS
Standard Deviation (%) 9.56 9.85
Sharpe Ratio 0.51 0.97
Sortino Ratio 0.73 1.32
Ulcer Index 2.02 2.00
Ratio: Return / Standard Deviation 1.07 1.51
Ratio: Return / Deepest Drawdown 1.85 2.74
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Rob Arnott Portfolio Stocks/Bonds 40/60
Author Rob Arnott
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 60% 60%
Commodities 10% 0%
PERFORMANCES
Annualized Return (%) 3.76 6.15
Infl. Adjusted Return (%) -0.36 1.93
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.63
Start to Recovery (months) 32* 30
Longest Drawdown Depth (%) -17.86 -18.63
Start to Recovery (months) 32* 30
Longest Negative Period (months) 45 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 9.77 9.97
Sharpe Ratio 0.17 0.40
Sortino Ratio 0.22 0.54
Ulcer Index 7.63 7.44
Ratio: Return / Standard Deviation 0.39 0.62
Ratio: Return / Deepest Drawdown 0.21 0.33
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Rob Arnott Portfolio Stocks/Bonds 40/60
Author Rob Arnott
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 60% 60%
Commodities 10% 0%
PERFORMANCES
Annualized Return (%) 3.93 6.02
Infl. Adjusted Return (%) 1.08 3.11
DRAWDOWN
Deepest Drawdown Depth (%) -17.86 -18.63
Start to Recovery (months) 32* 30
Longest Drawdown Depth (%) -17.86 -18.63
Start to Recovery (months) 32* 30
Longest Negative Period (months) 45 38
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.85 7.90
Sharpe Ratio 0.32 0.58
Sortino Ratio 0.42 0.77
Ulcer Index 5.66 5.38
Ratio: Return / Standard Deviation 0.50 0.76
Ratio: Return / Deepest Drawdown 0.22 0.32
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Rob Arnott Portfolio Stocks/Bonds 40/60
Author Rob Arnott
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 60% 60%
Commodities 10% 0%
PERFORMANCES
Annualized Return (%) 6.80 7.26
Infl. Adjusted Return (%) 4.18 4.63
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -19.17
Start to Recovery (months) 22 25
Longest Drawdown Depth (%) -17.86 -8.59
Start to Recovery (months) 32* 33
Longest Negative Period (months) 50 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.23 7.00
Sharpe Ratio 0.62 0.71
Sortino Ratio 0.81 0.93
Ulcer Index 4.64 4.21
Ratio: Return / Standard Deviation 0.94 1.04
Ratio: Return / Deepest Drawdown 0.28 0.38
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Rob Arnott Portfolio Stocks/Bonds 40/60
Author Rob Arnott
ASSET ALLOCATION
Stocks 30% 40%
Fixed Income 60% 60%
Commodities 10% 0%
PERFORMANCES
Annualized Return (%) 8.23 8.33
Infl. Adjusted Return (%) 5.30 5.40
DRAWDOWN
Deepest Drawdown Depth (%) -24.27 -19.17
Start to Recovery (months) 22 25
Longest Drawdown Depth (%) -17.86 -8.59
Start to Recovery (months) 32* 33
Longest Negative Period (months) 50 50
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
Standard Deviation (%) 7.17 7.26
Sharpe Ratio 0.71 0.72
Sortino Ratio 0.95 0.95
Ulcer Index 4.18 3.91
Ratio: Return / Standard Deviation 1.15 1.15
Ratio: Return / Deepest Drawdown 0.34 0.43
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Rob Arnott Portfolio Stocks/Bonds 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-19.17 25 Nov 2007
Nov 2009
-18.63 30 Jan 2022
Jun 2024
-17.86 32* Jan 2022
In progress
-8.72 6 Feb 2020
Jul 2020
-8.59 33 Sep 2000
May 2003
-8.09 4 Feb 2020
May 2020
-6.25 5 Jul 1998
Nov 1998
-6.23 16 Mar 2015
Jun 2016
-5.66 10 May 2013
Feb 2014
-5.36 7 Sep 2018
Mar 2019
-4.84 6 Sep 2018
Feb 2019
-4.76 7 Jun 2011
Dec 2011
-4.70 6 Apr 2004
Sep 2004
-4.10 3 Jul 1998
Sep 1998

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Rob Arnott Portfolio Stocks/Bonds 40/60
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-24.27 22 Jun 2008
Mar 2010
-19.17 25 Nov 2007
Nov 2009
-18.63 30 Jan 2022
Jun 2024
-17.86 32* Jan 2022
In progress
-13.08 14 Sep 1987
Oct 1988
-8.72 6 Feb 2020
Jul 2020
-8.59 33 Sep 2000
May 2003
-8.09 4 Feb 2020
May 2020
-7.37 16 Feb 1994
May 1995
-6.25 5 Jul 1998
Nov 1998
-6.23 16 Mar 2015
Jun 2016
-6.11 7 Jan 1990
Jul 1990
-5.98 13 Feb 1994
Feb 1995
-5.70 5 Aug 1990
Dec 1990
-5.66 10 May 2013
Feb 2014

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
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 31 August 2024 (~40 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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Rob Arnott Portfolio Stocks/Bonds 40/60
Year Return Drawdown Return Drawdown
2024
 5.44% -3.00% 9.21% -3.23%
2023
 9.08% -7.06% 13.66% -6.58%
2022
 -14.81% -17.86% -15.67% -18.63%
2021
 11.04% -1.71% 9.15% -2.56%
2020
 7.98% -8.72% 13.04% -8.09%
2019
 16.67% -0.49% 17.57% -1.77%
2018
 -4.12% -4.84% -2.15% -5.36%
2017
 9.02% -0.37% 10.63% 0.00%
2016
 7.14% -3.86% 6.64% -1.57%
2015
 -3.26% -5.73% 0.48% -3.41%
2014
 7.59% -2.79% 8.51% -1.20%
2013
 1.41% -5.66% 12.12% -1.84%
2012
 10.55% -2.17% 8.47% -2.11%
2011
 7.73% -3.51% 5.14% -4.76%
2010
 11.89% -2.99% 10.69% -3.96%
2009
 14.59% -11.26% 13.74% -8.68%
2008
 -11.48% -21.15% -10.67% -14.39%
2007
 7.64% -1.84% 6.30% -1.93%
2006
 8.97% -1.26% 8.84% -1.40%
2005
 7.74% -2.50% 3.96% -1.77%
2004
 11.93% -4.70% 7.66% -2.46%
2003
 17.00% -2.42% 14.68% -1.08%
2002
 8.16% -0.99% -3.23% -6.97%
2001
 0.06% -2.47% 0.67% -5.62%
2000
 12.87% -0.83% 2.61% -4.51%
1999
 7.22% -2.71% 9.07% -2.57%
1998
 6.53% -4.10% 14.45% -6.25%
1997
 7.20% -2.36% 18.06% -2.41%
1996
 11.02% -0.75% 10.53% -2.15%
1995
 21.23% 0.00% 25.22% 0.00%
1994
 -2.84% -7.37% -1.66% -5.98%
1993
 13.77% -2.73% 10.06% -1.23%
1992
 6.56% -2.87% 7.93% -1.27%
1991
 18.67% -1.99% 22.10% -1.98%
1990
 2.80% -6.11% 2.76% -5.70%
1989
 17.53% -1.16% 19.43% -1.12%
1988
 13.48% -1.21% 11.34% -1.71%
1987
 6.41% -5.21% 1.97% -13.08%
1986
 21.76% -3.06% 14.89% -4.37%
1985
 27.17% -1.73% 25.86% -1.17%