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.

Chart

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Overview

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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 metric always sorts the results from best to worst.

Rankings

The matrix on the left displays the relative performance of every portfolio across seven metrics plus a weighted score. Each row is a portfolio and each column is a metric, with blue representing the best portfolios and red the worst for that measure. A red cell does not mean a portfolio is an objectively poor choice, but simply that it is less desirable for that metric relative to other good options. Ties share a rank, and every portfolio name links to its own page for a closer look.

Performance

The bar chart on the right displays the actual values behind the rankings for whatever metric you’re sorting by. This allows you to see whether a difference in rank reflects a chasm or a rounding error.

The settings above the chart control the details. The Compound Return dropdowns choose the statistical band and timeframe used for that column, the Sort By dropdown picks the ranking metric, and the weight row lets you adjust each metric’s importance from 0 to 5 to build a weighted score that reflects what you personally care about.

Featured Discussion

Study the Portfolio Rankings to Find an Investing Winner

Calculations

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Compound Return

The real CAGR over your chosen timeframe, filtered by a statistical band of your choice: minimum, baseline (15th percentile), median, stretch (85th percentile), or maximum. Fully explained on the Long Term Returns chart.

Average Return

The average annual real return since 1970. See Annual Returns.

30-Year SWR

The withdrawal rate that never ran out of money over the worst 30-year retirement on record. See Withdrawal Rates.

Standard Deviation

The statistical uncertainty of the average real return. See Annual Returns.

Ulcer Index

A composite measure of drawdown depth, length, and frequency. See Drawdowns.

Deepest Drawdown

The deepest compound loss since 1970 using year-end data. See Drawdowns.

Start Date Sensitivity

The spread between the luckiest and unluckiest investors’ return differences, a measure of potential start date bias. See Start Date Sensitivity.

Weighted Score

A composite score that accounts for every other metric. Adjust the weights from 0 to 5 to control which metrics matter most to you.

Portfolio Definitions

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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.

Assumptions

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• All returns are adjusted for inflation and expressed in the home country’s currency.
• Portfolios are rebalanced annually, and returns include reinvested dividends.
• Returns ignore taxes and fund fees.
• Calculations cover every year since 1970 for the selected home country.
• Rankings are relative to the tracked portfolios only, not to every possible portfolio.
• Each portfolio is interpreted through the lens of a local investor in the selected home country, per the Portfolio Definitions above.

Discussion

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Articles

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Insights that reference the Portfolio Matrix