The Portfolio Matrix ranks every recommended asset allocation across a variety of valuable metrics and allows you to sort the list by any data point you like. Use this to study the relative strengths and weaknesses of each option, balance the impact of critical tradeoffs, and find the right portfolio for your own personal needs.
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Members can include their own custom portfolio in the Matrix with the Toolkit.
Overview
Rather than calculating the returns of an individual portfolio, the Portfolio Matrix collects the stats for every portfolio on the site in one image. It consists of two parts — Rankings and Performance. Selecting a portfolio metric will always sort the results from best to worst.
Rankings
The rankings matrix on the left displays the relative performance of every portfolio across eight different metrics. The horizontal rows correlate to an individual portfolio, and the vertical columns track a performance metric across portfolios. The rankings are also color-coded with blue representing the best portfolios and red representing the worst portfolios. A red color does not mean that a portfolio is an objectively poor choice, but simply that it is less desirable for that metric relative to other good options.
Performance
The bar chart on the right displays the actual values for the specified performance metric. Use this to understand the true values behind the rankings.
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Calculations
- Compound Return : The inflation-adjusted compound annual growth rate over a specified timeframe. It also includes a statistical filter of your choice: minimum, baseline (15%), median, stretch (85%), and max.
- Average Return : The average annual real return since 1970
- Safe WR : The withdrawal rate that never ran out of money in any 30-year retirement
- Standard Deviation : The statistical uncertainty of the average real return
- Ulcer Index : A composite measure of drawdown depth, length, and frequency
- Deepest Drawdown : The deepest compound loss since 1970 using year-end data
- Start Date Sensitivity : A measure of the degree of potential start date bias. High scores indicate that returns are inconsistent.
- Weighted Score : A composite score that accounts for every other metric. You can manually adjust the weights from 0 to 5 to control which metrics you most care about.
Portfolio Definitions
The default behavior for translating portfolio concepts between countries is to interpret each portfolio through the lens of a local investor who substitutes domestic stocks and bonds where American investors would normally buy the US variety. I like to do this to evaluate the underlying portfolio theory independent of a specific market. To understand the portfolio assumptions, visit each Portfolio page, change the home country setting, and study the asset allocation inputs. You can also model your own interpretation with the provided tools.
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