The Rob Arnott Portfolio has a similar profile to the All Weather portfolio in that it is trying to minimize volatility and risk while maximizing returns.
This leads to an overweighting in bonds compared to equities.
Rob Arnott is the founder and chairman of Research Affiliates. The research and management firm is well known for the papers they publish and their investment strategies follow those papers.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
20% | BNDX | Vanguard Total International Bond ETF | Bond, International, All-Term | |
20% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
10% | VEU | Vanguard FTSE All-World ex-US | Equity, Global ex-US, Large Cap | |
10% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
10% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
10% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
10% | TIP | iShares TIPS Bond ETF | Bond, U.S., All-Term | |
10% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified |
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Low | Average | High | |
|---|---|---|---|
1-Year | -21.0% | 6.5% | 26.8% |
3-Year | -2.7% | 6.6% | 16.3% |
5-Year | 1.6% | 6.4% | 11.6% |
10-Year | 3.2% | 6.5% | 8.8% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 6.1% | 9.3% | 10.3% |
10Y Annual Return | 3.8% | 7.9% | 12.2% |
Sharpe Ratio | 0.58 | 0.51 | 0.43 |
Max Drawdown | -23.2% | -29.7% | -50.97% |
Volatility (annualized) | 6.8% | 9.9% | 15.4% |
Dot Com Annual Return | 4.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 2.7% | -0.3% | -5.66% |
Positive Periods | 68.5% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
