Robert Shiller Cape US Sector Value Portfolio: ETF allocation and returns

Simulation Settings

Period: November 2012 - November 2024 (~12 years)
Consolidated Returns as of 30 November 2024
Live Update available for December 2024

Currency: USD

(Change Settings)

1.00$
Initial Capital
December 2014
3.81$
Final Capital
November 2024
14.30%
Yearly Return
15.99
Std Deviation
-21.00%
Max Drawdown
6months
Recovery Period

1.00$
Initial Capital
November 2012
6.04$
Final Capital
November 2024
16.04%
Yearly Return
15.09
Std Deviation
-21.00%
Max Drawdown
6months
Recovery Period

Live returns:

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The Robert Shiller Cape US Sector Value Portfolio can be implemented with 1 ETF. 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: 100% on the Stock Market, 0% 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 0% allocation to bonds, leading to its classification as very high risk.

As of November 2024, over the analyzed timeframe, the Robert Shiller Cape US Sector Value Portfolio obtained a 16.04% compound annual return, with a 15.09% standard deviation. It suffered a maximum drawdown of -21.00% that required 6 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 Allocation and ETFs

To effectively implement the asset allocation of the Robert Shiller Cape US Sector Value 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.

          100% Stocks
        
          0% Fixed Income
        
          0% Commodities

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Weight (%)	ETF Ticker	ETF Currency	ETF Name	Investment Themes (Orig.Currency)
100.00	CAPE	USD	DoubleLine Shiller U.S. Equities ETF	Equity, U.S., Large Cap (USD)

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Portfolio and ETF Returns as of Nov 30, 2024

The Robert Shiller Cape US Sector Value Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming:

no fees or capital gain taxes.
dividend reinvestment, when applicable.
the actual US Inflation rates.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO

1 November 2012 - 30 November 2024 (~12 years)

Live Update: December 2024

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	Chg (%)		Return (%)	Return (%) as of Nov 30, 2024
	1 Day	Time ET^(*)	---	YTD (11M)	1M	6M	1Y	5Y	10Y	MAX (~12Y)
Investment Return	---		---	21.80	8.52	17.93	28.52	15.44	14.30	16.04
US Inflation Adjusted Return				18.84	8.19	16.73	25.10	10.81	11.05	13.09
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%

In 2023, the Robert Shiller Cape US Sector Value Portfolio granted a 1.05% dividend yield. If you are interested in getting periodic income, please refer to the Robert Shiller Cape US Sector Value Portfolio: Dividend Yield page.

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Capital Growth as of Nov 30, 2024

An investment of 1$, from December 2014 to November 2024, would be worth 3.81$, with a total return of 280.73% (14.30% annualized).

The Inflation Adjusted Capital would be 2.85$, with a net total return of 185.13% (11.05% annualized).

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An investment of 1$, from November 2012 to November 2024, would be worth 6.04$, with a total return of 503.73% (16.04% annualized).

The Inflation Adjusted Capital would be 4.42$, with a net total return of 341.94% (13.09% annualized).

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Portfolio Metrics as of Nov 30, 2024

Metrics of Robert Shiller Cape US Sector Value 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.
dividend reinvestment, when applicable.
the actual US Inflation rates.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO

Advanced Metrics

1 November 2012 - 30 November 2024 (~12 years)

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	Metrics as of Nov 30, 2024
	YTD (11M)	1M	3M	6M	1Y	3Y	5Y	10Y	MAX (~12Y)
Investment Return (%)	21.80	8.52	9.77	17.93	28.52	11.13	15.44	14.30	16.04
Growth of 1$	1.22	1.09	1.10	1.18	1.29	1.37	2.05	3.81	6.04
Infl. Adjusted Return (%)	18.84	8.19	8.96	16.73	25.10	6.53	10.81	11.05	13.09
US Inflation (%)	2.49	0.31	0.74	1.03	2.73	4.31	4.18	2.93	2.62
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN Inflation Adjusted: Inflation Adjusted:				Current	1Y	3Y	5Y	10Y	MAX
Deepest Drawdown Depth (%)				0.00	-5.36	-20.07	-21.00	-21.00	-21.00
Start to Recovery (# months)					4	19	6	6	6
Start (yyyy mm)					2024 04	2022 01	2020 02	2020 02	2020 02
Start to Bottom (# months)					1	9	2	2	2
Bottom (yyyy mm)					2024 04	2022 09	2020 03	2020 03	2020 03
Bottom to End (# months)					3	10	4	4	4
End (yyyy mm)					2024 07	2023 07	2020 07	2020 07	2020 07
Longest Drawdown Depth (%)					same	same	-20.07	-20.07	-20.07
Start to Recovery (# months)					same	same	19	19	19
Start (yyyy mm)					2024 04	2022 01	2022 01	2022 01	2022 01
Start to Bottom (# months)					1	9	9	9	9
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2022 09
Bottom to End (# months)					3	10	10	10	10
End (yyyy mm)					2024 07	2023 07	2023 07	2023 07	2023 07
Longest negative period (# months)					4	23	26	26	26
Start (yyyy mm)					2024 01	2021 12	2021 09	2018 02	2018 02
End (yyyy mm)					2024 04	2023 10	2023 10	2020 03	2020 03
Annualized Return (%)					-0.36	-0.95	-1.71	-2.29	-2.29
Deepest Drawdown Depth (%)				0.00	-5.66	-24.26	-24.50	-24.50	-24.50
Start to Recovery (# months)					4	26	31	31	31
Start (yyyy mm)					2024 04	2022 01	2021 09	2021 09	2021 09
Start to Bottom (# months)					1	9	13	13	13
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2022 09
Bottom to End (# months)					3	17	18	18	18
End (yyyy mm)					2024 07	2024 02	2024 03	2024 03	2024 03
Longest Drawdown Depth (%)					same	same	same	same	same
Start to Recovery (# months)					same	same	same	same	same
Start (yyyy mm)					2024 04	2022 01	2021 09	2021 09	2021 09
Start to Bottom (# months)					1	9	13	13	13
Bottom (yyyy mm)					2024 04	2022 09	2022 09	2022 09	2022 09
Bottom to End (# months)					3	17	18	18	18
End (yyyy mm)					2024 07	2024 02	2024 03	2024 03	2024 03
Longest negative period (# months)					4	29	33	33	33
Start (yyyy mm)					2024 01	2022 01	2021 08	2021 08	2021 08
End (yyyy mm)					2024 04	2024 05	2024 04	2024 04	2024 04
Annualized Return (%)					-4.56	-0.11	-0.09	-0.09	-0.09
RISK INDICATORS					1Y	3Y	5Y	10Y	MAX
Standard Deviation (%)					11.49	18.55	18.91	15.99	15.09
Sharpe Ratio					2.03	0.40	0.70	0.80	0.98
Sortino Ratio					2.72	0.56	0.94	1.08	1.32
Ulcer Index					1.64	7.48	6.84	5.43	4.97
Ratio: Return / Standard Deviation					2.48	0.60	0.82	0.89	1.06
Ratio: Return / Deepest Drawdown					5.32	0.55	0.73	0.68	0.76
Positive Months (%)					83.33	58.33	63.33	67.50	68.96
Positive Months					10	21	38	81	100
Negative Months					2	15	22	39	45
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted:					1Y	3Y	5Y	10Y	MAX
Best 10 Years Return (%) - Annualized								14.30	15.31
Worst 10 Years Return (%) - Annualized								14.30	12.71
Best 10 Years Return (%) - Annualized								11.05	12.39
Worst 10 Years Return (%) - Annualized								11.05	9.65
TIMEFRAMES Inflation Adjusted: Inflation Adjusted:		1M	3M	6M	1Y	3Y	5Y	10Y	MAX
··· As of Nov 2024 - Over the previous 10Y
Best Rolling Return (%) - Annualized					62.89	26.51	19.92	14.30
Worst Rolling Return (%) - Annualized					-15.62	4.34	8.27	14.30
Positive Periods (%)					84.4	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					58.73	22.15	16.85	11.05
Worst Rolling Return (%) - Annualized					-20.70	1.04	6.10	11.05
Positive Periods (%)					82.5	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		6.37	9.47	11.24
95% CVaR - Conditional Value at Risk (%)		8.28	12.79	15.94
99% VaR - Value at Risk (%) - Cumulative		9.51	14.92	18.95
99% CVaR - Conditional Value at Risk (%)		11.52	18.39	23.85
Short term VaRs: analytical
Safe Withdrawal Rate (%)					87.68	30.22	23.65	15.50
Perpetual Withdrawal Rate (%)					---	0.99	6.06	10.06
% based on initial capital, inflation-adj. monthly withdrawals afterwards \| Credits: BestRetirementPortfolio.com
··· All available data (Nov 2012 - Nov 2024)
Best Rolling Return (%) - Annualized					62.89	26.51	19.92	15.31
Worst Rolling Return (%) - Annualized					-15.62	4.34	8.27	12.71
Positive Periods (%)					87.3	100.0	100.0	100.0
Best Rolling Return (%) - Annualized					58.73	22.15	16.85	12.39
Worst Rolling Return (%) - Annualized					-20.70	1.04	6.10	9.65
Positive Periods (%)					85.8	100.0	100.0	100.0
95% VaR - Value at Risk (%) - Cumulative		5.82	8.38	9.49	7.03
95% CVaR - Conditional Value at Risk (%)		7.63	11.51	13.92	11.53
99% VaR - Value at Risk (%) - Cumulative		8.79	13.52	16.76	15.62
99% CVaR - Conditional Value at Risk (%)		10.68	16.79	21.39	15.62
Short term VaRs: analytical \| 1+ year VaRs: historical data
Safe Withdrawal Rate (%)					87.68	30.22	23.65	15.50
Perpetual Withdrawal Rate (%)					---	0.99	6.06	10.00
% 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.

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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.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO

Drawdown periods

Drawdown periods - Inflation Adjusted

1 December 2014 - 30 November 2024 (10 Years)

1 November 2012 - 30 November 2024 (~12 years)

Inflation Adjusted:

Chart Table Range

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Rolling Returns

For a detailed rolling return analysis, click here
Robert Shiller Cape US Sector Value 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.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO

Annualized Rolling Returns

Annualized Rolling Returns - Inflation Adjusted

1 December 2014 - 30 November 2024 (10 Years)

1 November 2012 - 30 November 2024 (~12 years)

Inflation Adjusted:

Return Chart Capital Chart Table

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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 Robert Shiller Cape US Sector Value 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 November 2012 to November 2024.

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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 Robert Shiller Cape US Sector Value Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ROBERT SHILLER CAPE US SECTOR VALUE PORTFOLIO

Monthly Returns Distribution

1 December 2014 - 30 November 2024 (10 Years)

1 November 2012 - 30 November 2024 (~12 years)

81 Positive Months (68%) - 39 Negative Months (33%)

100 Positive Months (69%) - 45 Negative Months (31%)

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Methodology

Returns, up to April 2022, 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:

DoubleLine Shiller U.S. Equities ETF (CAPE), up to April 2022

Portfolio efficiency

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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

Drawdowns

Rolling Returns

Seasonality

Monthly Returns

Portfolio efficiency