RISK AND RETURN

The Risk & Return chart maps the relative risk-adjusted performance of every tracked portfolio by whatever measures matter to you most. Use this to study the cloud of investing options from multiple angles, to identify similar asset allocations to your own ideas, and to find an efficient portfolio appropriate for your own needs.

How To Interpret The Chart

The Risk & Return chart is similar in concept to a classic efficient frontier image that maps the average return and standard deviation tradeoffs for any combination of assets. But the calculator takes it a few steps further and allows you to not only select your own risk and return measures, but also compare the real-world results of any asset allocation you like alongside every portfolio on the site.

The vertical Y-axis maps the return metric and is measured in percent. The horizontal X-axis maps the risk metric and the units are shown next to the selection box.

Calculations

  • Baseline LT Return : Conservative practical long-term compound return excluding the worst outliers (15th percentile 15-year real CAGR)
  • Baseline ST Return : Conservative practical short-term compound return excluding the worst outliers (15th percentile 3-year real CAGR)
  • Safe WR : The withdrawal rate that never ran out of money in any 30-year retirement
  • Perpetual WR : The withdrawal rate that sustained the initial inflation-adjusted principal over every 30-year retirement
  • Ulcer Index : A composite measure of drawdown depth, length, and frequency
  • Longest Drawdown : The years it took to permanently recover the initial inflation-adjusted account value in the worst-case drawdown
  • Start Date Sensitivity : A measure of the degree of potential start date bias. High scores indicate that returns are inconsistent.

Additional Reading

Original Overview: Every Portfolio Has a Tradeoff, but It’s Not as Clear-Cut as You Think