Burton Malkiel Late Thirties to Early Forties Portfolio: ETF allocation and returns

Simulation Settings

Period: January 1985 - November 2024 (~40 years)
Consolidated Returns as of 30 November 2024
Live Update available for December 2024

Rebalancing: at every Jan 1^st

Currency: USD

(Change Settings)

1.00$
Initial Capital
December 1994
12.57$
Final Capital
November 2024
8.80%
Yearly Return
13.55
Std Deviation
-48.28%
Max Drawdown
42months
Recovery Period

1.00$
Initial Capital
January 1985
52.13$
Final Capital
November 2024
10.41%
Yearly Return
13.63
Std Deviation
-48.28%
Max Drawdown
42months
Recovery Period

Live returns:

---

1 Day: ---

---

Month: ---

The Burton Malkiel Late Thirties to Early Forties Portfolio can be implemented with 8 ETFs. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.

The portfolio asset allocation is: 85% on the Stock Market, 15% on Fixed Income, 0% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 15% allocation to bonds, leading to its classification as very high risk.

As of November 2024, in the previous 30 Years, the Burton Malkiel Late Thirties to Early Forties Portfolio obtained a 8.80% compound annual return, with a 13.55% standard deviation. It suffered a maximum drawdown of -48.28% that required 42 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.

The first official book of

Mastering ETF Investing

Build wealth
with Lazy Portfolios and Passive Investing

Set your goal
Use top metrics to evaluate
Join the passive investing strategy

Exclusive new asset allocations in EUR and USD

Buy now
English book

Buy now
Italian book

Asset Allocation and ETFs

To effectively implement the asset allocation of the Burton Malkiel Late Thirties to Early Forties Portfolio, investors can utilize the following selection of ETFs. These ETFs have been chosen specifically for their ability to represent each asset class within the portfolio and facilitate ease of management.

          85% Stocks
        
          15% Fixed Income
        
          0% Commodities

Loading data
Please wait

Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
32.50	VTI	USD	Vanguard Total Stock Market	Equity, U.S., Large Cap (USD)
16.25	EEM	USD	iShares MSCI Emerging Markets	Equity, Emerging Markets, Large Cap (USD)
16.25	EFA	USD	iShares MSCI EAFE	Equity, EAFE, Large Cap (USD)
10.00	VIG	USD	Vanguard Dividend Appreciation	Equity, U.S., Large Cap (USD)
10.00	VNQ	USD	Vanguard Real Estate	Real Estate, U.S. (USD)
5.00	BIL	USD	SPDR Blmbg Barclays 1-3 Mth T-Bill	Bond, U.S., Ultra Short-Term (USD)
5.00	EMB	USD	iShares JP Morgan USD Em Mkts Bd	Bond, Emerging Markets, All-Term (USD)
5.00	LQD	USD	iShares Investment Grade Corporate Bond	Bond, U.S., All-Term (USD)

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.

Ready to invest smarter?
Create Your Winning Portfolio!
With data going back to 1871, optimize your investment strategy

Portfolio and ETF Returns as of Nov 30, 2024

The Burton Malkiel Late Thirties to Early Forties Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
the actual US Inflation rates.

BURTON MALKIEL LATE THIRTIES TO EARLY FORTIES PORTFOLIO

1 January 1985 - 30 November 2024 (~40 years)

Live Update: December 2024

Swipe left to see all data

			Chg (%)		Return (%)	Return (%) as of Nov 30, 2024
			1 Day	Time ET^(*)	---	YTD (11M)	1M	6M	1Y	5Y	10Y	30Y	MAX (~40Y)
Investment Return			---		---	15.86	2.99	9.86	21.68	8.51	7.80	8.80	10.41
US Inflation Adjusted Return						13.04	2.67	8.74	18.44	4.16	4.73	6.13	7.42
*Components*
VTI	USD	Vanguard Total Stock Market	---	---	---	27.69	6.70	15.90	34.45	15.16	12.85	10.97	11.53
EEM	USD	iShares MSCI Emerging Markets	---	---	---	8.33	-2.68	4.23	12.19	2.64	2.63	4.94	8.72
EFA	USD	iShares MSCI EAFE	---	---	---	6.63	-0.32	-1.02	12.34	5.95	5.09	4.93	7.77
VIG	USD	Vanguard Dividend Appreciation	---	---	---	21.73	5.40	14.18	26.76	12.91	11.84	11.14	11.66
VNQ	USD	Vanguard Real Estate	---	---	---	14.39	4.26	20.40	25.19	4.95	6.17	9.76	9.46
BIL	USD	SPDR Blmbg Barclays 1-3 Mth T-Bill	---	---	---	4.77	0.37	2.53	5.22	2.28	1.57	2.29	3.15
EMB	USD	iShares JP Morgan USD Em Mkts Bd	---	---	---	7.94	1.83	6.16	12.85	0.54	2.58	9.31	9.46
LQD	USD	iShares Investment Grade Corporate Bond	---	---	---	3.63	1.79	5.70	8.68	0.37	2.54	5.47	6.70
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
The live monthly return is calculated by assuming, for each asset, the weight defined by the base asset allocation.
US Inflation is updated to Nov 2024. Inflation (annualized) is 1Y: 2.73% , 5Y: 4.18% , 10Y: 2.93% , 30Y: 2.52%

In 2023, the Burton Malkiel Late Thirties to Early Forties Portfolio granted a 2.96% dividend yield. If you are interested in getting periodic income, please refer to the Burton Malkiel Late Thirties to Early Forties Portfolio: Dividend Yield page.

Looking for more portfolios? Choose Your Currency and Explore!

USD

CAD

EUR

Discover a wide range of portfolios in various currencies

Capital Growth as of Nov 30, 2024

An investment of 1$, from December 1994 to November 2024, would be worth 12.57$, with a total return of 1157.34% (8.80% annualized).

The Inflation Adjusted Capital would be 5.95$, with a net total return of 495.21% (6.13% annualized).

Loading data
Please wait

An investment of 1$, from January 1985 to November 2024, would be worth 52.13$, with a total return of 5113.21% (10.41% annualized).

The Inflation Adjusted Capital would be 17.38$, with a net total return of 1638.06% (7.42% annualized).

Loading data
Please wait

Readings that may interest you

Portfolio Metrics as of Nov 30, 2024

Metrics of Burton Malkiel Late Thirties to Early Forties Portfolio, updated as of 30 November 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:

no fees or capital gain taxes.
rebalancing: at every January 1^st. How do returns change with different rebalancing strategies?
dividend reinvestment, when applicable.
the actual US Inflation rates.

BURTON MALKIEL LATE THIRTIES TO EARLY FORTIES PORTFOLIO

Advanced Metrics

1 January 1985 - 30 November 2024 (~40 years)

Swipe left to see all data

	Metrics as of Nov 30, 2024
	YTD (11M)	1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX (~40Y)
Investment Return (%)	15.86	2.99	2.96	9.86	21.68	5.19	8.51	7.80	8.01	8.80	10.41
Growth of 1$	1.16	1.03	1.03	1.10	1.22	1.16	1.50	2.12	4.67	12.57	52.13
Infl. Adjusted Return (%)	13.04	2.67	2.20	8.74	18.44	0.84	4.16	4.73	5.34	6.13	7.42
US Inflation (%)	2.49	0.31	0.74	1.03	2.73	4.31	4.18	2.93	2.54	2.52	2.79
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	20Y	30Y	MAX
Deepest Drawdown Depth (%)				0.00	-3.45	-24.26	-24.26	-24.26	-48.28	-48.28	-48.28
Start to Recovery (# months)					2	27	27	27	42	42	42
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2007 11	2007 11	2007 11
Start to Bottom (# months)					1	9	9	9	16	16	16
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2009 02	2009 02	2009 02
Bottom to End (# months)					1	18	18	18	26	26	26
End (yyyy mm)					2024 05	2024 03	2024 03	2024 03	2011 04	2011 04	2011 04
Longest Drawdown Depth (%)					-0.89	same	same	same	same	same	same
Start to Recovery (# months)					2	same	same	same	same	same	same
Start (yyyy mm)					2024 01	2022 01	2022 01	2022 01	2007 11	2007 11	2007 11
Start to Bottom (# months)					1	9	9	9	16	16	16
Bottom (yyyy mm)					2024 01	2022 09	2022 09	2022 09	2009 02	2009 02	2009 02
Bottom to End (# months)					1	18	18	18	26	26	26
End (yyyy mm)					2024 02	2024 03	2024 03	2024 03	2011 04	2011 04	2011 04
Longest negative period (# months)					2	28	34	34	58	63	63
Start (yyyy mm)					2024 03	2022 01	2021 01	2021 01	2006 12	2003 12	2003 12
End (yyyy mm)					2024 04	2024 04	2023 10	2023 10	2011 09	2009 02	2009 02
Annualized Return (%)					-4.75	-0.83	-0.62	-0.62	-0.10	-0.22	-0.22
Deepest Drawdown Depth (%)				-1.61	-3.76	-28.23	-28.81	-28.81	-49.13	-49.13	-49.13
Start to Recovery (# months)				39*	3	35*	39*	39*	63	63	63
Start (yyyy mm)					2024 04	2022 01	2021 09	2021 09	2007 11	2007 11	2007 11
Start to Bottom (# months)					1	9	13	13	16	16	16
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2009 02	2009 02	2009 02
Bottom to End (# months)					2	26	26	26	47	47	47
End (yyyy mm)					2024 06	-	-	-	2013 01	2013 01	2013 01
Longest Drawdown Depth (%)					same	same	same	same	same	same	same
Start to Recovery (# months)					same	same	same	same	same	same	same
Start (yyyy mm)					2024 04	2022 01	2021 09	2021 09	2007 11	2007 11	2007 11
Start to Bottom (# months)					1	9	13	13	16	16	16
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2009 02	2009 02	2009 02
Bottom to End (# months)					2	26	26	26	47	47	47
End (yyyy mm)					2024 06	-	-	-	2013 01	2013 01	2013 01
Longest negative period (# months)					2	35	47	69	69	131	131
Start (yyyy mm)					2024 03	2021 12	2019 12	2018 02	2018 02	1998 04	1998 04
End (yyyy mm)					2024 04	2024 10	2023 10	2023 10	2023 10	2009 02	2009 02
Annualized Return (%)					-8.61	-0.04	-1.11	-0.18	-0.18	-0.19	-0.19
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Standard Deviation (%)					8.52	14.93	15.47	12.91	13.99	13.55	13.63
Sharpe Ratio					1.93	0.10	0.40	0.48	0.47	0.48	0.53
Sortino Ratio					2.34	0.14	0.53	0.65	0.61	0.62	0.69
Ulcer Index					1.19	10.81	9.11	7.01	10.87	9.81	9.00
Ratio: Return / Standard Deviation					2.54	0.35	0.55	0.60	0.57	0.65	0.76
Ratio: Return / Deepest Drawdown					6.28	0.21	0.35	0.32	0.17	0.18	0.22
Positive Months (%)					75.00	55.55	60.00	62.50	63.75	64.44	65.34
Positive Months					9	20	36	75	153	232	313
Negative Months					3	16	24	45	87	128	166
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	20Y	30Y	MAX
Best 10 Years Return (%) - Annualized								7.80	12.91	12.91	15.78
Worst 10 Years Return (%) - Annualized								7.80	5.07	2.84	2.84
Best 10 Years Return (%) - Annualized								4.73	10.95	10.95	12.26
Worst 10 Years Return (%) - Annualized								4.73	3.08	0.25	0.25
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	20Y	30Y	MAX
··· As of Nov 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized					57.14	25.05	19.97	12.91	9.44	8.80
Worst Rolling Return (%) - Annualized					-41.31	-11.83	-1.97	2.84	6.06	8.80
Positive Periods (%)					77.0	87.6	99.0	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					53.83	22.13	17.13	10.95	7.04	6.13
Worst Rolling Return (%) - Annualized					-41.31	-13.71	-4.49	0.25	3.90	6.13
Positive Periods (%)					72.7	80.3	93.3	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		5.65	8.79	11.05	15.04	10.12	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		7.27	11.60	15.03	26.66	17.16	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		8.31	13.40	17.58	36.73	23.98	0.47	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		10.01	16.34	21.73	39.70	29.40	6.16	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					73.13	25.05	16.12	9.51	6.73	7.90
Perpetual Withdrawal Rate (%)					---	---	---	0.31	3.64	6.57
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Jan 1985 - Nov 2024)
Best Rolling Return (%) - Annualized					57.14	25.05	20.20	15.78	13.03	11.23
Worst Rolling Return (%) - Annualized					-41.31	-11.83	-1.97	2.84	6.06	7.78
Positive Periods (%)					78.6	90.9	99.2	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					53.83	22.13	17.13	12.26	9.70	8.28
Worst Rolling Return (%) - Annualized					-41.31	-13.71	-4.49	0.25	3.90	5.13
Positive Periods (%)					75.0	85.3	95.2	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		5.57	8.49	10.41	11.02	7.47	0.00	0.00	0.00
95% CVaR - Conditional Value at Risk (%)		7.20	11.32	14.41	22.91	14.77	0.00	0.00	0.00
99% VaR - Value at Risk (%) - Cumulative		8.25	13.13	16.98	35.85	20.10	0.00	0.00	0.00
99% CVaR - Conditional Value at Risk (%)		9.95	16.09	21.16	38.17	27.62	4.29	0.00	0.00
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					73.13	25.05	16.12	9.51	6.73	6.81
Perpetual Withdrawal Rate (%)					---	---	---	0.31	3.64	5.37
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| 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.
Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
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.

The first official book of

Mastering ETF Investing

Build wealth
with Lazy Portfolios and Passive Investing

Buy now
English book

Buy now
Italian book

Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS

Monthly correlations as of 30 November 2024

Swipe left to see all data

Loading data
Please wait

Terms and Definitions

Correlation values range between -1 and +1

A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

Learn about historical correlations here: see how the main asset classes relate 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.

BURTON MALKIEL LATE THIRTIES TO EARLY FORTIES PORTFOLIO

Drawdown periods

Drawdown periods - Inflation Adjusted

1 December 1994 - 30 November 2024 (30 Years)

1 January 1985 - 30 November 2024 (~40 years)

Inflation Adjusted:

Chart Table Range

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

Rolling Returns

For a detailed rolling return analysis, click here
Burton Malkiel Late Thirties to Early Forties Portfolio: Rolling Returns

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.

BURTON MALKIEL LATE THIRTIES TO EARLY FORTIES PORTFOLIO

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

1 December 1994 - 30 November 2024 (30 Years)

1 January 1985 - 30 November 2024 (~40 years)

Inflation Adjusted:

Return Chart Capital Chart Table

Loading data
Please wait

The values shown for the rolling periods represent key statistical points: the minimum, maximum, median, and the 15th and 85th percentiles. These percentiles give insight into the distribution of the data, indicating the range within which the central 70% of the values lie, while the median represents the middle value.

Seasonality

In which months is it better to invest in Burton Malkiel Late Thirties to Early Forties Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from January 1985 to November 2024.

Swipe left to see all data

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

Swipe left to see all data

Loading data
Please wait

For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Burton Malkiel Late Thirties to Early Forties Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

BURTON MALKIEL LATE THIRTIES TO EARLY FORTIES PORTFOLIO

Monthly Returns Distribution

1 December 1994 - 30 November 2024 (30 Years)

1 January 1985 - 30 November 2024 (~40 years)

232 Positive Months (64%) - 128 Negative Months (36%)

313 Positive Months (65%) - 166 Negative Months (35%)

Loading data
Please wait

Swipe left to see all data

(Scroll down to see all data)

Loading data
Please wait

Methodology

Returns, up to December 2007, 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:

Vanguard Total Stock Market (VTI), up to December 2001
iShares MSCI Emerging Markets (EEM), up to December 2003
iShares MSCI EAFE (EFA), up to December 2001
Vanguard Dividend Appreciation (VIG), up to December 2006
Vanguard Real Estate (VNQ), up to December 2004
SPDR Blmbg Barclays 1-3 Mth T-Bill (BIL), up to December 2007
iShares JP Morgan USD Em Mkts Bd (EMB), up to December 2007
iShares Investment Grade Corporate Bond (LQD), up to December 2002

Portfolio efficiency

Compare Burton Malkiel Late Thirties to Early Forties Portfolio performance and efficiency against top portfolios to identify strengths and areas for improvement.

Better Portfolios

Popular

Custom Comparison

Loading data
Please wait

Compare this portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

Loading data
Please wait

Compare this portfolio with up to 3 other portfolios.

Loading data
Please wait

The first official book of

Mastering ETF Investing

Build wealth
with Lazy Portfolios and Passive Investing

Buy now
English book

Buy now
Italian book

Table of contents

Asset Allocation and ETFs

Portfolio and ETF Returns as of Nov 30, 2024

Capital Growth as of Nov 30, 2024

Portfolio Metrics as of Nov 30, 2024

Portfolio Components Correlation

Drawdowns

Rolling Returns

Seasonality

Monthly Returns

Portfolio efficiency