Note: All the data tables have been updated to include the TAA bond strategy .
Thanks to AllocateSmartly , P123 , and Stockcharts.com , I was able to gather 2016 performance data much sooner than last year. This post updates the portfolio statistics, through 2016, for all the various portfolios I track that I have data for going back to 1973. It is not comprehensive by any means but contains a good sample of various diversified global buy and hold portfolios, tactical asset allocation portfolios, and quant portfolios, as well as the popular benchmarks, in particular the 60/40 portfolio for US investors. Last year’s post is here and the portfolios are defined on the portfolios page . I’ll present the comparison of the portfolios in several ways with my favorite being risk adjusted returns. On to the data.
First, with so many years of data the overall stats for the portfolios have not changed much. To begin lets rank the portfolios by 2016 total return.
Note: this table was update on January 12th to reflect new total return data. The changes were minor.
No surprise that the quant portfolios lead the way. Particularly in a bull market. You can see the performance of all the quant portfolios I track in my 2016 post on the subject. Buy and hold and several TAA portfolios did quite well. It was a good year for risk. The benchmark global portfolio, GAA, was up 9% with the US benchmark portfolio up 7.6%. Ok, now for the overall portfolio statistics. First up here are the portfolios sorted by CAGR from 1973 through 2016. You’ll probably need to click on the image to enlarge it and see the numbers.
Quant and TAA portfolios lead the list by CAGR. The Bernstein portfolio is the highest ranked buy and hold portfolio on the list. Now for risk-adjusted performance. Below the portfolios are sorted by Sortino ratio. I prefer Sortino over Sharpe since it does not penalize upside volatility.
Same story here. Quant and TAA portfolios are the highest ranked on the list. Risk Parity is the highest ranked buy and hold portfolio on the list. If you’re a retiree what you probably care about most is the max safe withdrawal rate from your portfolio. Below are the 1996 SWRs for the various portfolios. 2016 caused no changes to these rankings – in fact there will be no change to these rankings for a good while – at least until the next bear market. For details on the 1966 SWR calculations see here .
Same story here. Quant and TAA lead the way in providing a better retirement. Basically double what you get from the standard US benchmark portfolio. The Faber portfolio is the highest ranked buy and hold portfolio on the list.
OK. But what have you done for me lately? What about performance in modern markets? Here is the ranking by CAGR for the portfolios since the start of the last bear/bull cycle, the beginning of 2007.
Buy and hold is definitely higher on the list, as we should expect in this period, but is still beat our by Quant and TAA portfolios.
There you go. Tons of data to make all kinds of comparisons. Go crazy. These are my favorite 4 ways to look at portfolio performance. I think that’s it for looking back at 2016.