Consolidated Returns as of 30 November 2024
Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio
December 1994
November 2024
August 1953
November 2024
The Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio can be implemented with 5 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.
The portfolio asset allocation is: 45% on the Stock Market, 45% on Fixed Income, 10% 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 45% allocation to bonds, leading to its classification as high risk.
As of November 2024, in the previous 30 Years, the Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio obtained a 8.38% compound annual return, with a 7.53% standard deviation. It suffered a maximum drawdown of -16.77% that required 57 months to be recovered.
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About the Author: Fulvio Marchese
I am Italian, living in Sanremo, Italy, near Monaco-Montecarlo. In 2023, I completed 50 years of work for a major Italian bank. Throughout my career, I assisted both institutional investors and individuals in building wealth through a life-strategy perspective, employing Strategic and Tactical Asset Allocation with modern 'liability-driven' Risk Management protocols, grounded in methodology and rules.
"Uncompromising quality" has been the guiding principle, where I consistently paired experience and innovation in the financial field.
Through my finance career, I've learned that long-term success is achieved by avoiding mistakes rather than attempting to predict market trends, approaching tasks with the tranquility of doing things well consistently.
Today, I offer my expertise to those in need. I am passionate about planning, organizing, and guiding important life decisions for individuals, extending beyond merely economic and financial aspects. As a 'life coach,' I help individuals grow and enhance their qualities in their professional, social, and economic lives, steering them towards the best path.
I enjoy sharing these topics on LinkedIn and Facebook and have initiated a Financial e-Learning Group on Telegram.
https://www.linkedin.com/in/fulviomarchese
'If we only walk on sunny days, we will never reach our destination.' (Paulo Coelho)
Portfolio Overview
Why Title an Asset Allocation "Saecula Saeculorum"?
Because it can be a choice based on various considerations, including aesthetics, inspiration, or symbolic meaning. "Saecula Saeculorum" is a Latin expression meaning "in the centuries of the centuries" or "forever." The use of such a significant term reflects the intention to create a long-term investment portfolio that can endure through generations.
As for the specific composition of the portfolio, each asset represents a different element and can play a specific role in risk management and achieving financial goals.
Total US Stock Market (45%): Represents a significant portion of US stocks, providing diversification within the stock market.
US Intermediate-Term Bond (20%): Intermediate-term bonds can provide stability and more predictable income flows compared to stocks. They may be considered less risky than stocks but still offer higher returns than short-term bonds.
US Investment Grade Corporate Bond (15%): Investment-grade corporate bonds are issued by companies with good financial strength, offering a balance between yield and risk.
US 1-3 Year Treasury Short-Term Bond (10%): Short-term US Treasury bonds are generally considered safer, being issued by the US government. They can be used for short-term stability and liquidity.
US Gold Trust Commodity (10%): Gold is often seen as a safe-haven asset in times of economic uncertainty. The allocation in gold can serve as diversification and protection against inflation.
The selection of these components depends on the investor's preferences, time horizon, risk tolerance, and financial goals. Titling the asset allocation with a symbolic term like 'In Saecula Saeculorum' may reflect the desire to build a robust and enduring portfolio over time.
Asset Allocation and ETFs
To effectively implement the asset allocation of the Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged 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.
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| Weight (%) |
ETF Ticker |
ETF Currency |
ETF Name | Investment Themes (Orig.Currency) |
|---|---|---|---|---|
| 45.00 |
XD9U.DE
|
EUR | Xtrackers MSCI USA | Equity, U.S., Large Cap (USD) |
| 20.00 |
IBB1.DE
|
EUR Hedged |
iShares USD Treasury Bond 7-10yr Eur Hedged | Bond, U.S., Intermediate-Term (USD) |
| 15.00 |
VDCE.DE
|
EUR Hedged |
Vanguard USD Corporate Bond EUR Hedged | Bond, U.S., All-Term (USD) |
| 10.00 |
2B7S.DE
|
EUR Hedged |
iShares USD Treasury Bond 1-3yr EUR Hedged | Bond, U.S., Short Term (USD) |
| 10.00 |
PHAU
|
EUR | WisdomTree Physical Gold | Commodity, Gold (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.
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Portfolio and ETF Returns as of Nov 30, 2024
The Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio guaranteed the following returns.
- no fees or capital gain taxes.
- rebalancing: at every January 1st. How do returns change with different rebalancing strategies?
- dividend reinvestment, when applicable.
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | --- |
YTD (11M) |
1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX (~71Y) |
|||
| Investment Return | --- | --- | 19.31 | 4.57 | 13.00 | 23.12 | 8.38 | 7.90 | 8.38 | 8.79 | |||
| Components | |||||||||||||
|
XD9U.DE
|
EUR | Xtrackers MSCI USA | --- | --- | --- | 33.94 | 8.86 | 20.38 | 39.22 | 16.45 | 14.79 | 11.54 | 11.46 |
|
IBB1.DE
|
EUR Hedged |
iShares USD Treasury Bond 7-10yr Eur Hedged | --- | --- | --- | 0.00 | 0.67 | 3.54 | 3.51 | -2.84 | -0.71 | 4.27 | 5.07 |
|
VDCE.DE
|
EUR Hedged |
Vanguard USD Corporate Bond EUR Hedged | --- | --- | --- | 2.29 | 1.16 | 4.29 | 6.51 | -0.63 | 1.29 | 4.79 | 5.37 |
|
2B7S.DE
|
EUR Hedged |
iShares USD Treasury Bond 1-3yr EUR Hedged | --- | --- | --- | 2.35 | 0.24 | 2.42 | 3.26 | -0.14 | -0.20 | 2.46 | 4.52 |
|
PHAU
|
EUR | WisdomTree Physical Gold | --- | --- | --- | 34.55 | -0.19 | 17.07 | 34.35 | 13.25 | 9.82 | 6.88 | 6.29 |
| 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. | |||||||||||||
Capital Growth as of Nov 30, 2024
The Inflation Adjusted Capital would be 6.10€, with a net total return of 509.86% (6.21% annualized).
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The Inflation Adjusted Capital would be 62.52€, with a net total return of 6151.72% (5.97% annualized).
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Portfolio Metrics as of Nov 30, 2024
Metrics of Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged 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.
- no fees or capital gain taxes.
- rebalancing: at every January 1st. How do returns change with different rebalancing strategies?
- dividend reinvestment, when applicable.
| Metrics as of Nov 30, 2024 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
YTD
(11M) |
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~71Y) |
|
| Investment Return (%) | 19.31 | 4.57 | 7.47 | 13.00 | 23.12 | 5.98 | 8.38 | 7.90 | 8.04 | 8.38 | 8.79 |
| Growth of 1€ | 1.19 | 1.05 | 1.07 | 1.13 | 1.23 | 1.19 | 1.50 | 2.14 | 4.69 | 11.19 | 408.07 |
| Euro Inflation (%) | 2.08 | -0.32 | -0.08 | 0.25 | 2.24 | 4.84 | 3.80 | 2.39 | 2.09 | 2.04 | 2.66 |
| Returns / Inflation rates over 1 year are annualized. | |||||||||||
|
DRAWDOWN
|
Current | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | 0.00 | -1.56 | -12.57 | -12.57 | -12.57 | -13.76 | -16.77 | -18.53 | |||
| Start to Recovery (# months) | 3 | 26 | 26 | 26 | 25 | 57 | 16 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1974 03 | ||||
| Start to Bottom (# months) | 1 | 12 | 12 | 12 | 16 | 31 | 7 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 12 | 2022 12 | 2022 12 | 2009 02 | 2003 03 | 1974 09 | ||||
| Bottom to End (# months) | 2 | 14 | 14 | 14 | 9 | 26 | 9 | ||||
| End (yyyy mm) | 2024 06 | 2024 02 | 2024 02 | 2024 02 | 2009 11 | 2005 05 | 1975 06 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
-12.57 |
same |
-16.77 | ||||
| Start to Recovery (# months) | 26 | 57 | |||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2000 09 | 2000 09 | ||||
| Start to Bottom (# months) | 1 | 12 | 12 | 12 | 12 | 31 | 31 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | 2003 03 | 2003 03 | ||||
| Bottom to End (# months) | 2 | 14 | 14 | 14 | 14 | 26 | 26 | ||||
| End (yyyy mm) | 2024 06 | 2024 02 | 2024 02 | 2024 02 | 2024 02 | 2005 05 | 2005 05 | ||||
| Longest negative period (# months) | 2 | 25 | 28 | 28 | 45 | 56 | 56 | ||||
| Start (yyyy mm) | 2024 04 | 2021 12 | 2021 07 | 2021 07 | 2005 06 | 2000 09 | 2000 09 | ||||
| End (yyyy mm) | 2024 05 | 2023 12 | 2023 10 | 2023 10 | 2009 02 | 2005 04 | 2005 04 | ||||
| Annualized Return (%) | -3.61 | -0.10 | -0.59 | -0.59 | -0.23 | -0.70 | -0.70 | ||||
| Deepest Drawdown Depth (%) | 0.00 | -2.13 | -19.94 | -19.94 | -19.94 | -19.94 | -21.78 | -26.67 | |||
| Start to Recovery (# months) | 3 | 35 | 35 | 35 | 35 | 114 | 47 | ||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2000 09 | 1973 01 | ||||
| Start to Bottom (# months) | 1 | 12 | 12 | 12 | 12 | 31 | 21 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | 2003 03 | 1974 09 | ||||
| Bottom to End (# months) | 2 | 23 | 23 | 23 | 23 | 83 | 26 | ||||
| End (yyyy mm) | 2024 06 | 2024 11 | 2024 11 | 2024 11 | 2024 11 | 2010 02 | 1976 11 | ||||
| Longest Drawdown Depth (%) |
same |
same |
same |
same |
same |
same |
-21.78 | ||||
| Start to Recovery (# months) | 114 | ||||||||||
| Start (yyyy mm) | 2024 04 | 2022 01 | 2022 01 | 2022 01 | 2022 01 | 2000 09 | 2000 09 | ||||
| Start to Bottom (# months) | 1 | 12 | 12 | 12 | 12 | 31 | 31 | ||||
| Bottom (yyyy mm) | 2024 04 | 2022 12 | 2022 12 | 2022 12 | 2022 12 | 2003 03 | 2003 03 | ||||
| Bottom to End (# months) | 2 | 23 | 23 | 23 | 23 | 83 | 83 | ||||
| End (yyyy mm) | 2024 06 | 2024 11 | 2024 11 | 2024 11 | 2024 11 | 2010 02 | 2010 02 | ||||
| Longest negative period (# months) | 2 | 35 | 47 | 47 | 53 | 118 | 133 | ||||
| Start (yyyy mm) | 2024 03 | 2021 12 | 2019 12 | 2019 12 | 2005 02 | 1999 05 | 1963 09 | ||||
| End (yyyy mm) | 2024 04 | 2024 10 | 2023 10 | 2023 10 | 2009 06 | 2009 02 | 1974 09 | ||||
| Annualized Return (%) | -0.72 | -0.52 | -0.46 | -0.46 | -0.20 | -0.07 | -0.10 | ||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Standard Deviation (%) | 5.53 | 8.45 | 8.11 | 7.34 | 6.73 | 7.53 | 8.40 | ||||
| Sharpe Ratio | 3.24 | 0.27 | 0.75 | 0.86 | 0.97 | 0.81 | 0.55 | ||||
| Sortino Ratio | 4.63 | 0.38 | 1.02 | 1.19 | 1.34 | 1.11 | 0.77 | ||||
| Ulcer Index | 0.46 | 6.45 | 5.14 | 3.89 | 3.70 | 4.67 | 4.48 | ||||
| Ratio: Return / Standard Deviation | 4.18 | 0.71 | 1.03 | 1.08 | 1.19 | 1.11 | 1.05 | ||||
| Ratio: Return / Deepest Drawdown | 14.81 | 0.48 | 0.67 | 0.63 | 0.58 | 0.50 | 0.47 | ||||
| Positive Months (%) | 91.66 | 63.88 | 68.33 | 63.33 | 67.08 | 65.27 | 64.95 | ||||
| Positive Months | 11 | 23 | 41 | 76 | 161 | 235 | 556 | ||||
| Negative Months | 1 | 13 | 19 | 44 | 79 | 125 | 300 | ||||
|
LONG TERM RETURNS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | ||||
| Best 10 Years Return (%) - Annualized | 7.90 | 10.33 | 10.33 | 15.45 | |||||||
| Worst 10 Years Return (%) - Annualized | 6.82 | 2.45 | 2.45 | ||||||||
| Best 10 Years Return (%) - Annualized | 5.38 | 8.90 | 8.90 | 12.76 | |||||||
| Worst 10 Years Return (%) - Annualized | 4.48 | 0.30 | -0.83 | ||||||||
|
TIMEFRAMES
|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |
| ··· As of Nov 2024 - Over the previous 30Y | |||||||||||
| Best Rolling Return (%) - Annualized | 37.05 | 21.63 | 18.17 | 10.33 | 9.02 | 8.38 | |||||
| Worst Rolling Return (%) - Annualized | -13.20 | -4.14 | 0.43 | 2.45 | 5.70 | ||||||
| Positive Periods (%) | 84.5 | 92.6 | 100.0 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 35.04 | 19.58 | 16.30 | 8.90 | 7.08 | 6.21 | |||||
| Worst Rolling Return (%) - Annualized | -19.94 | -6.35 | -1.72 | 0.30 | 3.98 | ||||||
| Positive Periods (%) | 78.7 | 78.1 | 94.3 | 100.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 2.88 | 4.10 | 4.58 | 7.43 | 3.91 | 0.00 | 0.00 | 0.00 | |||
| 95% CVaR - Conditional Value at Risk (%) | 3.78 | 5.67 | 6.79 | 9.99 | 6.77 | 0.00 | 0.00 | 0.00 | |||
| 99% VaR - Value at Risk (%) - Cumulative | 4.36 | 6.67 | 8.21 | 12.17 | 9.00 | 0.00 | 0.00 | 0.00 | |||
| 99% CVaR - Conditional Value at Risk (%) | 5.30 | 8.30 | 10.52 | 12.89 | 10.70 | 0.00 | 0.00 | 0.00 | |||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 88.28 | 29.31 | 17.58 | 9.14 | 5.78 | 8.04 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | 0.32 | 3.23 | 6.72 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
| ··· All available data (Aug 1953 - Nov 2024) | |||||||||||
| Best Rolling Return (%) - Annualized | 54.08 | 25.71 | 20.66 | 15.45 | 13.34 | 11.52 | |||||
| Worst Rolling Return (%) - Annualized | -14.19 | -4.14 | 0.43 | 2.45 | 5.70 | 7.27 | |||||
| Positive Periods (%) | 82.4 | 96.3 | 100.0 | 100.0 | 100.0 | 100.0 | |||||
| Best Rolling Return (%) - Annualized | 50.14 | 22.62 | 16.30 | 12.76 | 10.46 | 7.84 | |||||
| Worst Rolling Return (%) - Annualized | -19.94 | -7.72 | -3.53 | -0.83 | 2.39 | 4.46 | |||||
| Positive Periods (%) | 75.2 | 85.9 | 94.1 | 99.0 | 100.0 | 100.0 | |||||
| 95% VaR - Value at Risk (%) - Cumulative | 3.25 | 4.71 | 5.37 | 6.33 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||
| 95% CVaR - Conditional Value at Risk (%) | 4.26 | 6.45 | 7.83 | 9.48 | 2.98 | 0.00 | 0.00 | 0.00 | 0.00 | ||
| 99% VaR - Value at Risk (%) - Cumulative | 4.91 | 7.57 | 9.41 | 11.92 | 6.48 | 0.00 | 0.00 | 0.00 | 0.00 | ||
| 99% CVaR - Conditional Value at Risk (%) | 5.96 | 9.39 | 11.99 | 12.90 | 8.95 | 0.00 | 0.00 | 0.00 | 0.00 | ||
| Short term VaRs: analytical | 1+ year VaRs: historical data | |||||||||||
| Safe Withdrawal Rate (%) | 87.17 | 28.84 | 17.58 | 9.14 | 5.78 | 5.03 | |||||
| Perpetual Withdrawal Rate (%) | --- | --- | --- | --- | 2.55 | 3.77 | |||||
| % based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com | |||||||||||
- 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.
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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.
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- 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.
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.
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Rolling Returns
Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged 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.
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Seasonality
In which months is it better to invest in Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged 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 August 1953 to November 2024.
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Monthly Returns
This section provides a visual/tabular representation of the performance variability in the Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
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Returns, up to April 2021, 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:
- Xtrackers MSCI USA (XD9U.DE), up to May 2014
- iShares USD Treasury Bond 7-10yr Eur Hedged (IBB1.DE), up to March 2019
- Vanguard USD Corporate Bond EUR Hedged (VDCE.DE), up to August 2020
- iShares USD Treasury Bond 1-3yr EUR Hedged (2B7S.DE), up to April 2021
- WisdomTree Physical Gold (PHAU), up to January 2008
Portfolio efficiency
Compare Fulvio Marchese In Saecula Saeculorum European ETF Bond Hedged Portfolio performance and efficiency against top portfolios to identify strengths and areas for improvement.
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