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P Shiller Cyclically Adjusted PE 10 SO SU Stock Market Timing Strategy Weekly Total Return Bond Funds As Cash SAA Six Core
P Shiller Cyclically Adjusted PE 10 SO SU Stock Market Timing Strategy Weekly Total Return Bond Funds As Cash SAA Six Core
live (public) 0.34% November 04
Use Six Core Asset ETFs Strategic Asset Allocation - Optimal Most Aggressive (P_60159) as the underlying Equity fund.
Using total return bond fund portfolio P_46880 (Schwab Total Return Bond) as cash. See portfolio P Shiller Cyclically Adjusted PE 10 SO SU Stock Market Timing Strategy Weekly that uses cash. Equity fund is S&P 500 (SPY).
Also see newsletter April 13, 2015: Total Return Bond Funds As Smart Cash for the discussion on using total return bond fund portfolio as cash substitute.
Delayed
Holdings (As of 09/30/2021)
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| Asset | Fund in this portfolio | Price change* | Percentage |
|---|---|---|---|
| Safe | P_46880 (Schwab Total Return Bond) | 0.30% | 100.00% |
* Day change on 08/31/2021.
Previous
Performance (As of 11/04/2021)
Since 07/01/2001
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| P Shiller Cyclically Adjusted PE 10 SO SU Stock Market Timing Strategy Weekly Total Return Bond Funds As Cash SAA Six Core | 4.7% | 8.1% | 11.1% | 9.6% | 10.3% | 11.9% |
| VFINX (Vanguard (S&P 500) Index) | -3.0% | 14.7% | 11.4% | 15.8% | 12.3% | 13.0% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | -2.8% | 5.8% | 4.2% | 6.2% | 6.4% | 7.7% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 15 Yr | 20 Yr | 20 Yr | Since 07/02/2001 |
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.3 | 8.1 | 11.1 | 9.6 | 10.3 | 11.9 | 12.2 | 11.5 | 11.7 | 11.6 | 3.9 | 9.8 | 19.4 | 3.3 | 7.2 | 27.5 | -1.3 | 5.8 | 15.9 | 16.6 | -4.5 | 16.9 | 65.1 | -1.6 | 8.7 | 7.9 | -0.9 | 7.5 | 28.8 | 12.1 | 4.6 |
| Sharpe Ratio | NA | 2.44 | 2.33 | 2.02 | 1.17 | NA | NA | NA | NA | 0.95 | 1.31 | 1.79 | 3.8 | 0.39 | 2.88 | 2.06 | -0.39 | 1.84 | 1.38 | 1.19 | -0.18 | 0.82 | 2.36 | -0.35 | 1.31 | 1.4 | -0.99 | 0.93 | 5.3 | 3.32 | 0.73 |
| Draw Down(%) | NA | 2.2 | 7.8 | 7.8 | 12.0 | NA | NA | NA | NA | 23.0 | 2.2 | 7.8 | 2.4 | 2.6 | 1.2 | 2.3 | 3.6 | 3.0 | 9.4 | 12.0 | 23.0 | 14.9 | 10.7 | 7.3 | 3.1 | 2.9 | 2.9 | 7.6 | 6.2 | 2.4 | 4.1 |
| Standard Deviation(%) | NA | 2.9 | 4.4 | 4.5 | 8.5 | NA | NA | NA | NA | 11.3 | 3.0 | 5.4 | 4.7 | 5.1 | 2.3 | 13.2 | 3.3 | 3.1 | 11.5 | 13.8 | 25.2 | 20.5 | 27.6 | 7.1 | 4.4 | 3.3 | 3.1 | 7.0 | 5.3 | 3.3 | 5.1 |
| Treynor Ratio | NA | 3.79 | 4.11 | 4.58 | 27.31 | NA | NA | NA | NA | -22.81 | 1.55 | 3.47 | 8.86 | -2.71 | -4.34 | -3.34 | -0.39 | 2.31 | -2.47 | 1084.24 | 0.36 | -2.14 | -5.67 | -0.59 | 1.63 | 0.54 | -0.58 | 1.03 | 5.83 | -13.03 | -1.41 |
| Alpha | NA | 0.03 | 0.04 | 0.03 | 0.04 | NA | NA | NA | NA | 0.04 | 0.02 | 0.03 | 0.06 | 0.01 | 0.03 | 0.1 | -0.01 | 0.02 | 0.07 | 0.06 | 0.0 | 0.07 | 0.23 | 0.0 | 0.02 | 0.01 | -0.01 | 0.02 | 0.09 | 0.04 | 0.03 |
| Beta | NA | 0.02 | 0.03 | 0.02 | 0.0 | NA | NA | NA | NA | 0.0 | 0.03 | 0.03 | 0.02 | -0.01 | -0.02 | -0.08 | 0.03 | 0.02 | -0.06 | 0.0 | -0.13 | -0.08 | -0.11 | 0.04 | 0.04 | 0.08 | 0.05 | 0.06 | 0.05 | -0.01 | -0.03 |
| RSquared | NA | 0.01 | 0.02 | 0.01 | 0.0 | NA | NA | NA | NA | 0.0 | 0.01 | 0.03 | 0.0 | 0.0 | 0.0 | 0.01 | 0.02 | 0.01 | 0.0 | 0.0 | 0.01 | 0.0 | 0.01 | 0.06 | 0.02 | 0.07 | 0.03 | 0.01 | 0.02 | 0.0 | 0.01 |
| Sortino Ratio | NA | 3.87 | 3.4 | 3.45 | 1.97 | NA | NA | NA | NA | 1.42 | 1.98 | 2.35 | 6.39 | 1.05 | 5.42 | 11.54 | -0.54 | 2.8 | 1.95 | 1.8 | -0.24 | 1.18 | 3.7 | -0.48 | 1.87 | 2.26 | -1.34 | 1.35 | 8.6 | 5.18 | 1.04 |
| Yield(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 07/01/2001
Strategies
| Asset Allocation Strategy | Shiller Cyclically Adjusted PE 10 Stock Market Timing Strategy |
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