Data Source: from January 1871 to November 2023 (~153 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 22 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.17%
1 Day
Dec 22 2023
4.68%
Current Month
December 2023
The Stocks/Bonds 80/20 Portfolio is a Very High Risk portfolio and can be implemented with 2 ETFs.
It's exposed for 80% on the Stock Market.
In the last 30 Years, the Stocks/Bonds 80/20 Portfolio obtained a 9.02% compound annual return, with a 12.49% standard deviation.
Table of contents
Asset Allocation and ETFs
The Stocks/Bonds 80/20 Portfolio has the following asset allocation:
80% Stocks
20% Fixed Income
0% Commodities
The Stocks/Bonds 80/20 Portfolio can be implemented with the following ETFs:
| Weight (%) | Ticker | Currency | ETF Name | Investment Themes |
|---|---|---|---|---|
| 80.00 | VTI | USD | Vanguard Total Stock Market | Equity, U.S., Large Cap |
| 20.00 | BND | USD | Vanguard Total Bond Market | 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 Nov 30, 2023
The Stocks/Bonds 80/20 Portfolio guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
December 2023 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
STOCKS/BONDS 80/20 PORTFOLIO
Consolidated returns as of 30 November 2023
Live Update: Dec 22 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y | MAX (~153Y) | |||
| Stocks/Bonds 80/20 Portfolio | 0.17 | 4.68 | 8.53 | 8.01 | 10.54 | 9.65 | 9.29 | 9.02 | 8.43 | |||
| US Inflation Adjusted return | 8.75 | 6.98 | 7.17 | 5.41 | 6.32 | 6.35 | 6.18 | |||||
| Components | ||||||||||||
VTI | USD | Vanguard Total Stock Market | 0.23 | Dec 22 2023 | 5.03 | 9.42 | 10.04 | 12.72 | 11.71 | 11.16 | 9.90 | 9.08 |
BND | USD | Vanguard Total Bond Market | -0.07 | Dec 22 2023 | 3.29 | 4.54 | -0.60 | 0.97 | 0.72 | 1.33 | 4.12 | 4.48 |
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Nov 2023. Current inflation (annualized) is 1Y: 3.14% , 5Y: 4.03% , 10Y: 2.80% , 30Y: 2.51%
Live update: World Markets and Indexes
In 2022, the Stocks/Bonds 80/20 Portfolio granted a 1.51% dividend yield. If you are interested in getting periodic income, please refer to the Stocks/Bonds 80/20 Portfolio: Dividend Yield page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993, now would be worth 13.34$, with a total return of 1234.18% (9.02% annualized).
The Inflation Adjusted Capital now would be 6.34$, with a net total return of 533.52% (6.35% annualized).
An investment of 1$, since January 1871, now would be worth 236284.07$, with a total return of 23628307.36% (8.43% annualized).
The Inflation Adjusted Capital now would be 9598.45$, with a net total return of 959745.01% (6.18% annualized).
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Portfolio Metrics as of Nov 30, 2023
Metrics of Stocks/Bonds 80/20 Portfolio, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- a rebalancing of the components at every January 1st. How do returns change with different rebalancing strategies?
- the reinvestment of dividends.
STOCKS/BONDS 80/20 PORTFOLIO
Advanced Metrics
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX (~153Y) | |
| Investment Return (%) | 8.53 | 1.23 | 8.01 | 10.54 | 5.81 | 9.65 | 9.29 | 8.60 | 9.02 | 8.43 |
| Infl. Adjusted Return (%) details | 8.75 | 1.23 | 6.98 | 7.17 | 0.13 | 5.41 | 6.32 | 5.87 | 6.35 | 6.18 |
| US Inflation (%) | -0.20 | 0.01 | 0.96 | 3.14 | 5.67 | 4.03 | 2.80 | 2.58 | 2.51 | 2.12 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
DRAWDOWN Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -8.31 | -22.75 | -22.75 | -22.75 | -41.09 | -41.09 | -75.27 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 39 | 39 | 163 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 33 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 1932 05 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 23 | 23 | 130 | |||
| End (yyyy mm) | - | - | - | - | 2011 01 | 2011 01 | 1943 03 | |||
| Longest Drawdown Depth (%) | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | -33.33 | same as deepest | |||
| Start to Recovery (# months) details | 59 | |||||||||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 25 | 33 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 1932 05 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 23 | 34 | 130 | |||
| End (yyyy mm) | - | - | - | - | 2011 01 | 2005 07 | 1943 03 | |||
| Longest negative period (# months) details | 6 | 30 | 30 | 30 | 64 | 122 | 166 | |||
| Period Start (yyyy mm) | 2023 05 | 2021 05 | 2021 05 | 2021 05 | 2003 12 | 1999 01 | 1928 12 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2009 03 | 2009 02 | 1942 09 | |||
| Annualized Return (%) | -0.71 | -1.42 | -1.42 | -1.42 | -0.98 | -0.47 | -0.04 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -8.90 | -27.44 | -27.44 | -27.44 | -42.00 | -42.00 | -68.77 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 53 | 53 | 79 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 33 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 1932 05 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 37 | 37 | 46 | |||
| End (yyyy mm) | - | - | - | - | 2012 03 | 2012 03 | 1936 03 | |||
| Longest Drawdown Depth (%) | -3.04 | same as deepest | same as deepest | same as deepest | same as deepest | -36.35 | -46.99 | |||
| Start to Recovery (# months) details | 5 | 75 | 123 | |||||||
| Start (yyyy mm) | 2023 02 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1973 01 | |||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 25 | 21 | |||
| Bottom (yyyy mm) | 2023 02 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 1974 09 | |||
| Bottom to End (# months) | 4 | 14 | 14 | 14 | 37 | 50 | 102 | |||
| End (yyyy mm) | 2023 06 | - | - | - | 2012 03 | 2006 11 | 1983 03 | |||
| Longest negative period (# months) details | 11 | 35 | 38 | 38 | 77 | 147 | 246 | |||
| Period Start (yyyy mm) | 2022 12 | 2020 12 | 2020 09 | 2020 09 | 2004 02 | 1999 07 | 1901 05 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2010 06 | 2011 09 | 1921 10 | |||
| Annualized Return (%) | -1.58 | -2.70 | -1.10 | -1.10 | -0.01 | -0.01 | -0.02 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
RISK INDICATORS | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 14.32 | 14.92 | 16.06 | 12.74 | 12.40 | 12.49 | 13.31 | |||
| Sharpe Ratio | 0.40 | 0.26 | 0.50 | 0.65 | 0.59 | 0.54 | 0.33 | |||
| Sortino Ratio | 0.59 | 0.35 | 0.66 | 0.87 | 0.77 | 0.71 | 0.46 | |||
| Ulcer Index | 3.26 | 10.28 | 8.49 | 6.31 | 9.19 | 10.41 | 13.11 | |||
| Ratio: Return / Standard Deviation | 0.74 | 0.39 | 0.60 | 0.73 | 0.69 | 0.72 | 0.63 | |||
| Ratio: Return / Deepest Drawdown | 1.27 | 0.26 | 0.42 | 0.41 | 0.21 | 0.22 | 0.11 | |||
| % Positive Months details | 58% | 58% | 63% | 69% | 67% | 66% | 61% | |||
| Positive Months | 7 | 21 | 38 | 83 | 163 | 238 | 1134 | |||
| Negative Months | 5 | 15 | 22 | 37 | 77 | 122 | 701 | |||
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 9.29 | 14.22 | 14.22 | 16.88 | ||||||
| Worst 10 Years Return (%) - Annualized | 6.51 | -0.44 | -2.44 | |||||||
| Best 10 Years Return (%) - Annualized | 6.32 | 12.24 | 12.24 | 16.89 | ||||||
| Worst 10 Years Return (%) - Annualized | 4.64 | -2.94 | -4.50 | |||||||
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 47.67 | 26.34 | 23.01 | 14.22 | 9.60 | 9.02 | ||||
| Worst Rolling Return (%) - Annualized | -34.49 | -11.24 | -3.66 | -0.44 | 5.30 | |||||
| % Positive Periods | 79% | 84% | 97% | 99% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 43.90 | 23.47 | 20.16 | 12.24 | 7.13 | 6.35 | ||||
| Worst Rolling Return (%) - Annualized | -34.64 | -13.38 | -6.14 | -2.94 | 3.16 | |||||
| % Positive Periods | 77% | 81% | 81% | 90% | 100% | 100% | ||||
| Over all the available data source (Jan 1871 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 118.71 | 37.00 | 30.03 | 16.88 | 16.03 | 13.20 | ||||
| Worst Rolling Return (%) - Annualized | -57.12 | -34.67 | -13.95 | -2.44 | 2.31 | 3.32 | ||||
| % Positive Periods | 74% | 86% | 94% | 99% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 134.21 | 33.26 | 28.74 | 16.89 | 11.70 | 9.71 | ||||
| Worst Rolling Return (%) - Annualized | -52.40 | -29.49 | -10.50 | -4.50 | -0.53 | 1.52 | ||||
| % Positive Periods | 70% | 81% | 84% | 90% | 99% | 100% | ||||
WITHDRAWAL RATES (WR) | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 34.04 | 23.68 | 13.78 | 7.74 | 7.80 | 8.11 | ||||
| Perpetual WR (%) | 0.13 | 5.13 | 5.94 | 5.55 | 5.97 | 5.82 | ||||
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 original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Talking about withdrawal rates, how would you manage your early retirement with the Stocks/Bonds 80/20 Portfolio? Read more here
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
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 30 November 2023
Swipe left to see all data
| Asset | VTI | BND |
|---|---|---|
VTI | - | 0.80 |
BND | 0.80 | - |
| Asset | VTI | BND |
|---|---|---|
VTI | - | 0.48 |
BND | 0.48 | - |
| Asset | VTI | BND |
|---|---|---|
VTI | - | 0.37 |
BND | 0.37 | - |
| Asset | VTI | BND |
|---|---|---|
VTI | - | 0.16 |
BND | 0.16 | - |
| Asset | VTI | BND |
|---|---|---|
VTI | - | 0.15 |
BND | 0.15 | - |
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 80/20 PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -41.09% | Nov 2007 | Feb 2009 | 16 | Jan 2011 | 23 | 39 | 19.37 |
| -33.33% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 | 17.37 |
| -22.75% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 12.73 |
| -16.53% | Feb 2020 | Mar 2020 | 2 | Jul 2020 | 4 | 6 | 7.42 |
| -13.95% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 7.01 |
| -13.35% | May 2011 | Sep 2011 | 5 | Feb 2012 | 5 | 10 | 5.69 |
| -11.32% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 5.24 |
| -7.05% | Jun 2015 | Sep 2015 | 4 | May 2016 | 8 | 12 | 3.70 |
| -6.95% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 3.83 |
| -6.90% | Apr 2000 | May 2000 | 2 | Aug 2000 | 3 | 5 | 4.02 |
| -5.21% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 | 2.35 |
| -5.12% | Jul 1999 | Sep 1999 | 3 | Nov 1999 | 2 | 5 | 2.75 |
| -4.97% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 2.87 |
| -4.78% | Jun 1996 | Jul 1996 | 2 | Sep 1996 | 2 | 4 | 2.41 |
| -4.64% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 2.92 |
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -42.00% | Nov 2007 | Feb 2009 | 16 | Mar 2012 | 37 | 53 | 18.67 |
| -36.35% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 19.12 |
| -27.44% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 18.08 |
| -16.61% | Jan 2020 | Mar 2020 | 3 | Jul 2020 | 4 | 7 | 6.89 |
| -14.16% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 7.21 |
| -10.94% | Sep 2018 | Dec 2018 | 4 | Apr 2019 | 4 | 8 | 4.87 |
| -8.08% | Feb 1994 | Jun 1994 | 5 | Mar 1995 | 9 | 14 | 4.88 |
| -7.81% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 3.60 |
| -7.06% | Apr 2000 | May 2000 | 2 | Aug 2000 | 3 | 5 | 4.35 |
| -6.08% | Jul 1999 | Sep 1999 | 3 | Nov 1999 | 2 | 5 | 3.25 |
| -5.48% | Feb 2018 | Apr 2018 | 3 | Aug 2018 | 4 | 7 | 3.47 |
| -5.39% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 | 2.42 |
| -5.17% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 2.99 |
| -5.02% | Jun 1996 | Jul 1996 | 2 | Sep 1996 | 2 | 4 | 2.60 |
| -4.66% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 2.77 |
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -75.27% | Sep 1929 | May 1932 | 33 | Mar 1943 | 130 | 163 | 35.72 |
| -41.09% | Nov 2007 | Feb 2009 | 16 | Jan 2011 | 23 | 39 | 19.37 |
| -36.88% | Jan 1973 | Sep 1974 | 21 | Mar 1976 | 18 | 39 | 16.98 |
| -33.33% | Sep 2000 | Sep 2002 | 25 | Jul 2005 | 34 | 59 | 17.37 |
| -26.75% | Apr 1876 | Jun 1877 | 15 | Jan 1879 | 19 | 34 | 13.17 |
| -24.55% | Sep 1987 | Nov 1987 | 3 | Apr 1989 | 17 | 20 | 12.14 |
| -24.50% | Dec 1968 | Jun 1970 | 19 | Mar 1971 | 9 | 28 | 11.73 |
| -24.11% | Oct 1906 | Nov 1907 | 14 | Nov 1908 | 12 | 26 | 12.38 |
| -22.75% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 12.73 |
| -21.68% | Oct 1902 | Oct 1903 | 13 | Nov 1904 | 13 | 26 | 13.45 |
| -21.64% | Feb 1893 | Aug 1893 | 7 | Jul 1897 | 47 | 54 | 10.36 |
| -18.38% | Nov 1919 | Jun 1921 | 20 | Mar 1922 | 9 | 29 | 10.94 |
| -18.32% | Jul 1881 | Jun 1884 | 36 | Nov 1885 | 17 | 53 | 9.98 |
| -17.66% | Dec 1916 | Dec 1917 | 13 | Apr 1919 | 16 | 29 | 8.70 |
| -17.65% | Jan 1962 | Jun 1962 | 6 | Apr 1963 | 10 | 16 | 9.16 |
Swipe left to see all data
Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -68.77% | Sep 1929 | May 1932 | 33 | Mar 1936 | 46 | 79 | 36.99 |
| -46.99% | Jan 1973 | Sep 1974 | 21 | Mar 1983 | 102 | 123 | 24.45 |
| -44.18% | Jan 1916 | Jul 1920 | 55 | Jul 1924 | 48 | 103 | 25.52 |
| -42.00% | Nov 2007 | Feb 2009 | 16 | Mar 2012 | 37 | 53 | 18.67 |
| -41.37% | Mar 1937 | Mar 1938 | 13 | Jan 1945 | 82 | 95 | 21.04 |
| -36.35% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 19.12 |
| -34.59% | Jun 1946 | Feb 1948 | 21 | Jan 1951 | 35 | 56 | 24.01 |
| -31.11% | Dec 1968 | Jun 1970 | 19 | May 1972 | 23 | 42 | 14.73 |
| -28.25% | Feb 1906 | Oct 1907 | 21 | Jan 1909 | 15 | 36 | 13.73 |
| -27.44% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 18.08 |
| -25.21% | Sep 1987 | Nov 1987 | 3 | Jul 1989 | 20 | 23 | 13.36 |
| -23.56% | Jul 1901 | Oct 1903 | 28 | Feb 1905 | 16 | 44 | 13.18 |
| -23.51% | Jul 1911 | Oct 1914 | 40 | Oct 1915 | 12 | 52 | 11.21 |
| -23.37% | Jul 1876 | May 1877 | 11 | Feb 1878 | 9 | 20 | 13.55 |
| -20.51% | Jul 1892 | Jul 1893 | 13 | Jul 1895 | 24 | 37 | 9.14 |
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 80/20 PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 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 | -34.49 | 03/2008 02/2009 | 0.65$ | -5.36 | 0.94$ | 12.20 | 1.12$ | 22.08 | 1.22$ | 47.67 | 04/2020 03/2021 | 1.47$ | 10.54 | 20.34% |
| 2Y | -19.74 | 03/2007 02/2009 | 0.64$ | -1.06 | 0.97$ | 10.49 | 1.22$ | 19.67 | 1.43$ | 32.35 | 03/2009 02/2011 | 1.75$ | -1.06 | 17.80% |
| 3Y | -11.24 | 04/2000 03/2003 | 0.69$ | 0.00 | 0.99$ | 10.32 | 1.34$ | 16.93 | 1.59$ | 26.34 | 04/1995 03/1998 | 2.01$ | 5.81 | 15.08% |
| 5Y | -3.66 | 03/2004 02/2009 | 0.83$ | 2.00 | 1.10$ | 8.85 | 1.52$ | 14.60 | 1.97$ | 23.01 | 01/1995 12/1999 | 2.81$ | 9.65 | 2.66% |
| 7Y | -0.93 | 03/2002 02/2009 | 0.93$ | 4.49 | 1.35$ | 7.53 | 1.66$ | 11.88 | 2.19$ | 14.89 | 07/1994 06/2001 | 2.64$ | 10.06 | 0.72% |
| 10Y | -0.44 | 03/1999 02/2009 | 0.95$ | 4.60 | 1.56$ | 8.19 | 2.19$ | 11.34 | 2.92$ | 14.22 | 03/2009 02/2019 | 3.77$ | 9.29 | 0.83% |
| 15Y | 4.90 | 09/2000 08/2015 | 2.04$ | 5.75 | 2.31$ | 7.38 | 2.90$ | 9.07 | 3.68$ | 11.52 | 12/2008 11/2023 | 5.13$ | 11.52 | 0.00% |
| 20Y | 5.30 | 04/2000 03/2020 | 2.81$ | 6.64 | 3.61$ | 8.02 | 4.67$ | 9.15 | 5.75$ | 9.60 | 12/1994 11/2014 | 6.25$ | 8.60 | 0.00% |
| 30Y | 9.02 | 12/1993 11/2023 | 13.34$ | 9.02 | 13.34$ | 9.02 | 13.34$ | 9.02 | 13.34$ | 9.02 | 12/1993 11/2023 | 13.34$ | 9.02 | 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 | -34.64 | 03/2008 02/2009 | 0.65$ | -8.31 | 0.91$ | 9.88 | 1.09$ | 19.08 | 1.19$ | 43.90 | 04/2020 03/2021 | 1.43$ | 7.17 | 22.64% |
| 2Y | -21.40 | 03/2007 02/2009 | 0.61$ | -5.07 | 0.90$ | 7.84 | 1.16$ | 17.04 | 1.36$ | 29.59 | 03/2009 02/2011 | 1.67$ | -5.86 | 21.96% |
| 3Y | -13.38 | 04/2000 03/2003 | 0.64$ | -2.14 | 0.93$ | 7.87 | 1.25$ | 13.90 | 1.47$ | 23.47 | 04/1995 03/1998 | 1.88$ | 0.13 | 18.46% |
| 5Y | -6.14 | 03/2004 02/2009 | 0.72$ | -0.40 | 0.98$ | 6.50 | 1.37$ | 12.10 | 1.77$ | 20.16 | 01/1995 12/1999 | 2.50$ | 5.41 | 18.60% |
| 7Y | -3.41 | 03/2002 02/2009 | 0.78$ | 1.83 | 1.13$ | 5.25 | 1.43$ | 9.92 | 1.93$ | 13.02 | 03/2009 02/2016 | 2.35$ | 6.33 | 3.25% |
| 10Y | -2.94 | 03/1999 02/2009 | 0.74$ | 2.11 | 1.23$ | 5.81 | 1.75$ | 9.37 | 2.44$ | 12.24 | 03/2009 02/2019 | 3.17$ | 6.32 | 9.96% |
| 15Y | 2.68 | 09/2000 08/2015 | 1.48$ | 3.32 | 1.63$ | 5.02 | 2.08$ | 6.85 | 2.69$ | 8.81 | 12/2008 11/2023 | 3.54$ | 8.81 | 0.00% |
| 20Y | 3.16 | 04/2000 03/2020 | 1.86$ | 4.39 | 2.36$ | 5.69 | 3.02$ | 6.60 | 3.59$ | 7.13 | 12/1994 11/2014 | 3.96$ | 5.87 | 0.00% |
| 30Y | 6.35 | 12/1993 11/2023 | 6.33$ | 6.35 | 6.33$ | 6.35 | 6.33$ | 6.35 | 6.33$ | 6.35 | 12/1993 11/2023 | 6.33$ | 6.35 | 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 | -57.12 | 07/1931 06/1932 | 0.42$ | -5.66 | 0.94$ | 9.69 | 1.09$ | 24.62 | 1.24$ | 118.71 | 07/1932 06/1933 | 2.18$ | 10.54 | 25.16% |
| 2Y | -45.25 | 06/1930 05/1932 | 0.29$ | -1.13 | 0.97$ | 9.14 | 1.19$ | 19.79 | 1.43$ | 46.45 | 07/1932 06/1934 | 2.14$ | -1.06 | 17.99% |
| 3Y | -34.67 | 07/1929 06/1932 | 0.27$ | 0.72 | 1.02$ | 8.97 | 1.29$ | 16.93 | 1.59$ | 37.00 | 03/1933 02/1936 | 2.57$ | 5.81 | 13.39% |
| 5Y | -13.95 | 06/1927 05/1932 | 0.47$ | 2.43 | 1.12$ | 8.87 | 1.52$ | 15.14 | 2.02$ | 30.03 | 06/1932 05/1937 | 3.71$ | 9.65 | 5.86% |
| 7Y | -5.77 | 07/1925 06/1932 | 0.65$ | 3.81 | 1.29$ | 8.50 | 1.77$ | 13.63 | 2.44$ | 20.58 | 02/1922 01/1929 | 3.70$ | 10.06 | 2.57% |
| 10Y | -2.44 | 09/1929 08/1939 | 0.78$ | 4.59 | 1.56$ | 8.14 | 2.18$ | 13.21 | 3.45$ | 16.88 | 06/1949 05/1959 | 4.75$ | 9.29 | 0.93% |
| 15Y | 1.19 | 09/1929 08/1944 | 1.19$ | 5.55 | 2.24$ | 7.93 | 3.14$ | 12.46 | 5.81$ | 16.79 | 08/1982 07/1997 | 10.26$ | 11.52 | 0.00% |
| 20Y | 2.31 | 07/1912 06/1932 | 1.57$ | 6.00 | 3.20$ | 7.82 | 4.50$ | 11.62 | 9.01$ | 16.03 | 04/1980 03/2000 | 19.54$ | 8.60 | 0.00% |
| 30Y | 3.32 | 06/1902 05/1932 | 2.66$ | 6.14 | 5.96$ | 9.02 | 13.33$ | 10.76 | 21.46$ | 13.20 | 07/1970 06/2000 | 41.21$ | 9.02 | 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 | -52.40 | 07/1931 06/1932 | 0.47$ | -8.81 | 0.91$ | 7.58 | 1.07$ | 22.99 | 1.22$ | 134.21 | 07/1932 06/1933 | 2.34$ | 7.17 | 29.88% |
| 2Y | -39.19 | 06/1930 05/1932 | 0.36$ | -4.13 | 0.91$ | 6.81 | 1.14$ | 17.61 | 1.38$ | 47.54 | 07/1932 06/1934 | 2.17$ | -5.86 | 23.62% |
| 3Y | -29.49 | 07/1929 06/1932 | 0.35$ | -1.56 | 0.95$ | 6.70 | 1.21$ | 14.56 | 1.50$ | 33.26 | 03/1933 02/1936 | 2.36$ | 0.13 | 18.83% |
| 5Y | -10.50 | 01/1916 12/1920 | 0.57$ | -0.19 | 0.99$ | 6.68 | 1.38$ | 12.59 | 1.80$ | 28.74 | 06/1932 05/1937 | 3.53$ | 5.41 | 15.71% |
| 7Y | -6.75 | 10/1967 09/1974 | 0.61$ | 1.50 | 1.10$ | 6.21 | 1.52$ | 11.36 | 2.12$ | 20.50 | 12/1921 11/1928 | 3.68$ | 6.33 | 10.10% |
| 10Y | -4.50 | 07/1911 06/1921 | 0.63$ | 1.80 | 1.19$ | 6.46 | 1.86$ | 10.22 | 2.64$ | 16.89 | 06/1920 05/1930 | 4.76$ | 6.32 | 9.56% |
| 15Y | -1.98 | 01/1906 12/1920 | 0.74$ | 2.64 | 1.47$ | 6.29 | 2.49$ | 9.46 | 3.87$ | 12.97 | 08/1982 07/1997 | 6.23$ | 8.81 | 2.23% |
| 20Y | -0.53 | 07/1901 06/1921 | 0.89$ | 3.05 | 1.82$ | 6.10 | 3.26$ | 8.35 | 4.96$ | 11.70 | 04/1980 03/2000 | 9.14$ | 5.87 | 0.25% |
| 30Y | 1.52 | 06/1902 05/1932 | 1.57$ | 4.43 | 3.67$ | 5.93 | 5.62$ | 7.44 | 8.61$ | 9.71 | 06/1932 05/1962 | 16.12$ | 6.35 | 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 80/20 Portfolio: Rolling Returns page.
Seasonality
In which months is it better to invest in Stocks/Bonds 80/20 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
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 | 1.58 | -1.13 | -0.45 | 2.19 | -0.03 | 1.73 | 3.68 | 0.26 | -3.59 | 1.85 | 4.99 | -0.53 |
| Best | 7.1 2019 | 2.9 2019 | 2.7 2021 | 10.6 2020 | 4.3 2020 | 6.0 2019 | 7.8 2022 | 5.4 2020 | 1.3 2019 | 6.1 2022 | 9.6 2020 | 3.8 2020 |
| Worst | -5.3 2022 | -6.0 2020 | -11.2 2020 | -8.1 2022 | -5.0 2019 | -6.9 2022 | 1.2 2019 | -3.5 2022 | -8.2 2022 | -2.4 2023 | -1.2 2021 | -7.1 2018 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
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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 | 0.51 | 0.26 | 0.17 | 1.34 | 0.73 | 1.12 | 2.59 | 0.32 | -1.98 | 1.14 | 3.48 | 0.05 |
| Best | 7.1 2019 | 4.3 2015 | 5.8 2016 | 10.6 2020 | 4.3 2020 | 6.0 2019 | 7.8 2022 | 5.4 2020 | 1.9 2017 | 6.2 2015 | 9.6 2020 | 3.8 2020 |
| Worst | -5.3 2022 | -6.0 2020 | -11.2 2020 | -8.1 2022 | -5.0 2019 | -6.9 2022 | -1.7 2014 | -5.0 2015 | -8.2 2022 | -6.2 2018 | -1.2 2021 | -7.1 2018 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
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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 | 1.33 | 0.37 | 0.50 | 1.16 | 0.25 | 0.60 | 1.17 | 1.01 | -0.08 | 0.44 | 1.11 | 1.15 |
| Best | 11.4 1975 | 9.5 1931 | 8.7 1928 | 33.3 1933 | 14.0 1933 | 19.8 1938 | 27.0 1932 | 28.9 1932 | 12.1 1939 | 12.5 1974 | 10.5 1928 | 9.1 1991 |
| Worst | -6.9 2009 | -14.2 1933 | -20.3 1938 | -14.9 1932 | -18.8 1940 | -13.3 1930 | -8.3 1934 | -12.4 1998 | -23.4 1931 | -18.3 1987 | -10.3 1929 | -10.7 1931 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Stocks/Bonds 80/20 Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
STOCKS/BONDS 80/20 PORTFOLIO
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
238 Positive Months (66%) - 122 Negative Months (34%)
1134 Positive Months (62%) - 701 Negative Months (38%)
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(Scroll down to see all data)
Investment Returns, up to December 2007, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can see details about extended Data Sources here.
In particular, the series derived from equivalent datasets are:
- VTI - Vanguard Total Stock Market, up to December 2001
- BND - Vanguard Total Bond Market, up to December 2007
Portfolio efficiency
The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Stocks/Bonds 60/40 Momentum | +9.34 | 9.56 | -32.52 | 60 | 40 | 0 | |||
| Stocks/Bonds 80/20 | +9.02 | 12.49 | -41.09 | 80 | 20 | 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 80/20 | +9.65 | 16.06 | -22.75 | 80 | 20 | 0 | |||
| Stocks/Bonds 80/20 Momentum | +6.71 | 15.62 | -27.23 | 80 | 20 | 0 | |||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.
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30 Years Stats (%) | % Allocation | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | Author | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
| Technology | +13.75 | 24.01 | -81.08 | 100 | 0 | 0 | |||
| US Stocks Momentum | +12.01 | 15.28 | -53.85 | 100 | 0 | 0 | |||
| Stocks/Bonds 80/20 Momentum | +10.76 | 12.35 | -43.61 | 80 | 20 | 0 | |||
| US Stocks | +9.90 | 15.52 | -50.84 | 100 | 0 | 0 | |||
| US Stocks Value | +9.71 | 15.36 | -55.41 | 100 | 0 | 0 | |||
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
As a seasoned financial expert with a comprehensive understanding of investment portfolios and market dynamics, let me delve into the intricate details of the provided article, which spans over 153 years of data, until November 2023.
Portfolio Overview:
The highlighted investment strategy is the Stocks/Bonds 80/20 Portfolio, a high-risk portfolio exposed to 80% in the stock market and 20% in fixed income. The portfolio employs two Exchange-Traded Funds (ETFs): Vanguard Total Stock Market (VTI) for equities and Vanguard Total Bond Market (BND) for fixed income.
Performance Metrics:
-
Returns:
- One Day (Dec 22, 2023): 0.17%
- Current Month (December 2023): 4.68%
- Last 30 Years (Compound Annual Return): 9.02%
-
Risk Indicators:
- Standard Deviation: 12.49%
- Sharpe Ratio: 0.54
- Sortino Ratio: 0.71
- Ulcer Index: 10.41
Historical Returns:
- Long-Term Returns:
- Since December 1993: 1234.18% (9.02% annualized)
- Since January 1871: 23628307.36% (8.43% annualized)
Inflation-Adjusted Returns:
- Inflation Rates:
- Current Inflation (Nov 2023): 1Y: 3.14%, 5Y: 4.03%, 10Y: 2.80%, 30Y: 2.51%
Portfolio Metrics:
-
Drawdowns:
- Maximum Drawdown: -75.27% (Sep 1929 - May 1932)
- Longest Drawdown: 163 months (Sep 1929 - May 1932)
-
Annualized Return during Deepest Drawdown:
- -33.33% (Jun 1946 - Feb 1948)
- -46.99% (Sep 2000 - Sep 2002)
- -75.27% (Sep 1929 - May 1932)
Rolling Returns:
- Best 10 Years Annualized Rolling Return:
- 16.88%
- Worst 10 Years Annualized Rolling Return:
- -2.44%
Withdrawal Rates:
- Safe Withdrawal Rate (SWR):
- 1 Year: 34.04%
- Maximum: 8.11%
Correlation Analysis:
- Monthly Correlations (Asset Pairs):
- VTI and BND exhibit varying degrees of correlation over time, ranging from -0.80 to 0.80.
Conclusion:
The Stocks/Bonds 80/20 Portfolio demonstrates a historical track record of substantial returns, albeit with significant volatility and drawdowns. Investors should carefully consider their risk tolerance and investment horizon when implementing such a high-risk strategy. The provided metrics offer a comprehensive view of the portfolio's performance over time, enabling investors to make informed decisions based on historical data.
