NOTE:
This portfolio solely serves for benchmark purpose because of the longevity of historical data of the funds used in this portfolio. It diversifies international stock investments based on geographical regions instead of economic groups (i.e. international developed and emerging markets). We prefer using economic group diversification over this portfolio in real life. For a better diverisification portfolio, please see P Goldman Sachs Global Tactical Include Emerging Market Diversified Bonds.
Inception date: 6/28/1991.
This portfolio uses mutual funds with longest price history. The international and emerging market and REITs are the ones with shorter history.
Funds used in this portfolio:
- U.S. stocks: Vanguard 500 Index (VFINX), inception:3/27/1987
- European stocks: Vanguard European (VEURX), inception: 11/1/1990
- Pacific stocks: Vanguard Pacific (VPACX), inception: 11/1/1990
- US REITs: Vanguard REITs (VGSIX), inception: 6/28/1996
- Gold: GLD, inception:1/4/1971. Before ETF GLD's inception on 11/18/2004, we use London spot gold price (monthly closing).
- US Bonds: Vanguard Total Bond Index (VBMFX), inception: 6/4/1990
- CASH: calculated using 3 month T-Bill interest.
From 6/28/1991 to 9/4/2012, The following table shows the performance between VFINX (Vanguard 500 Index) and this portfolio:
| Return Metrics | VFINX | P Relative Strength Trend Following Six Assets |
| Annualized Return | 8.572% | 11.5% |
| Sharpe Ratio | 34.141% | 89.0% |
| Standard Deviation | 18.866% | 10.6% |
See also P Relative Strength Trend Following Five Assets Dividend Stocks and the discussion for dividend stocks February 18, 2013: Dividend & Income Funds In Asset Allocation.
Historical Returns
The return data shown below all delayed by 3 months. Their latest dates are all the same: 10/31/2024.
AR inception is since 11/09/1992.
AR inception is since 11/09/1992.
| Name | YTD Return | 1Yr AR | 3Yr AR | 5Yr AR | 10Yr Ar | 15Yr Ar | 20Yr Ar |
|---|---|---|---|---|---|---|---|
| P Relative Strength Trend Following Six Assets | 1.86% | 26.75% | 4.31% | 9.43% | 5.79% | 8.04% | 8.56% |
| VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | NA | 37.82% | 8.86% | 15.20% | 12.89% | 14.04% | 10.46% |
| VBINX (VANGUARD BALANCED INDEX FUND INVESTOR SHARES) | NA | 23.38% | 1.77% | 7.20% | 7.34% | 8.81% | 7.32% |
| Ticker/Portfolio | Last 1 Week | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Inception | YTD | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | 1990 | 1989 | 1988 | 1987 | 1986 | 1985 | 1984 | 1983 | 1982 | 1981 | 1980 | 1979 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return (%) | P Relative St...ix Assets | -1.36 | 26.75 | 4.31 | 9.43 | 5.79 | 8.04 | 8.56 | 9.66 | 1.86 | 17.66 | 3.64 | -12.37 | 22.03 | 15.33 | 8.98 | -8.93 | 23.00 | -0.08 | -8.93 | 10.19 | 23.74 | 11.05 | 0.73 | 15.20 | 12.14 | -2.11 | 8.50 | 22.46 | 6.80 | 21.10 | 30.70 | 3.75 | 7.30 | -4.89 | 27.24 | 11.09 | -3.01 | 14.34 | 12.81 | 4.03 | 18.62 | 0.33 | 6.85 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | -1.79 | 37.82 | 8.86 | 15.20 | 12.89 | 14.04 | 10.46 | 10.91 | NA | 24.84 | 26.12 | -18.24 | 28.53 | 18.74 | 31.33 | -4.55 | 21.66 | 11.83 | 1.23 | 13.52 | 32.17 | 15.82 | 1.96 | 14.91 | 26.52 | -37.02 | 5.39 | 15.64 | 4.77 | 10.74 | 28.50 | -22.17 | -12.03 | -9.05 | 21.08 | 28.62 | 33.18 | 22.87 | 37.45 | 1.18 | 10.15 | 8.24 | 32.05 | -3.33 | 28.37 | 14.92 | 3.97 | 9.30 | 22.60 | 3.67 | 17.07 | 19.25 | -8.55 | 27.89 | -2.07 | |
| VBINX (VANGUA...R SHARES) | -1.15 | 23.38 | 1.77 | 7.20 | 7.34 | 8.81 | 7.32 | 8.46 | NA | 10.42 | 14.70 | -17.67 | 12.02 | 15.05 | 21.67 | -2.97 | 13.75 | 8.64 | 0.36 | 9.81 | 17.96 | 11.33 | 4.14 | 13.13 | 20.09 | -22.21 | 6.17 | 11.03 | 4.65 | 10.58 | 19.86 | -9.55 | -3.03 | -0.32 | 15.30 | 19.18 | 21.05 | 12.97 | 28.14 | -1.55 | 11.55 | 3.69 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Sharpe Ratio | P Relative St...ix Assets | NA | 159.23 | 13.76 | 55.20 | 35.35 | NA | NA | 68.79 | 43.59 | 102.71 | -5.98 | -133.17 | 186.37 | 125.73 | 97.25 | -81.70 | 346.95 | -2.88 | -81.99 | 111.86 | 202.17 | 114.84 | 4.58 | 92.90 | 78.47 | -32.69 | 33.98 | 133.58 | 45.28 | 167.27 | 341.37 | 47.72 | 111.22 | -78.74 | 213.48 | 80.84 | -102.17 | 174.32 | 154.92 | 14.10 | 200.17 | -29.74 | 89.11 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 167.32 | 35.29 | 54.59 | 66.14 | NA | NA | 45.80 | 313.57 | 144.05 | 168.50 | -81.42 | 217.48 | 53.11 | 239.69 | -34.37 | 316.32 | 88.64 | 7.76 | 118.55 | 290.33 | 124.85 | 8.24 | 82.04 | 97.09 | -92.28 | 15.05 | 123.84 | 25.29 | 88.29 | 163.16 | -89.66 | -67.65 | -59.22 | 98.26 | 123.57 | 162.11 | 163.05 | 432.60 | -17.93 | 91.08 | 58.43 | 191.72 | -53.33 | 173.14 | 59.74 | -0.19 | 30.84 | 149.03 | -23.73 | 80.36 | 64.68 | -126.79 | 119.12 | -383.89 | |
| VBINX (VANGUA...R SHARES) | NA | 71.05 | -11.97 | 25.17 | 50.51 | NA | NA | 57.90 | 271.94 | 41.44 | 111.33 | -119.10 | 142.11 | 71.50 | 285.34 | -43.90 | 329.21 | 107.95 | 3.85 | 147.07 | 261.51 | 154.65 | 30.31 | 123.20 | 121.00 | -98.17 | 34.78 | 117.15 | 38.04 | 137.91 | 204.46 | -76.83 | -43.65 | -30.73 | 108.09 | 137.09 | 174.84 | 120.29 | 454.07 | -66.00 | 157.21 | 574.16 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Standard Deviation(%) | P Relative St...ix Assets | NA | 10.46 | 10.33 | 11.07 | 10.44 | NA | NA | 10.53 | 5.46 | 10.78 | 10.28 | 10.33 | 11.81 | 12.01 | 7.79 | 12.54 | 6.45 | 9.83 | 10.93 | 9.09 | 11.73 | 9.57 | 15.22 | 16.27 | 15.36 | 9.27 | 16.21 | 14.37 | 10.23 | 12.05 | 8.79 | 5.53 | 4.47 | 11.41 | 11.25 | 9.62 | 6.40 | 6.22 | 5.79 | 7.63 | 8.27 | 6.93 | 5.75 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 12.89 | 17.52 | 21.47 | 17.88 | NA | NA | 18.02 | 15.57 | 12.67 | 13.09 | 24.19 | 13.11 | 34.69 | 12.48 | 17.11 | 6.68 | 13.11 | 15.51 | 11.39 | 11.07 | 12.74 | 23.36 | 18.07 | 27.22 | 40.99 | 16.02 | 10.04 | 10.29 | 11.10 | 17.04 | 25.96 | 21.55 | 22.20 | 18.17 | 20.48 | 18.21 | 11.77 | 7.77 | 9.92 | 8.83 | 9.93 | 14.69 | 16.06 | 13.09 | 17.07 | 33.80 | 16.55 | 11.67 | 12.80 | 13.62 | 18.09 | 14.61 | 16.53 | 23.80 | |
| VBINX (VANGUA...R SHARES) | NA | 9.35 | 12.04 | 13.68 | 11.10 | NA | NA | 10.99 | 10.99 | 9.23 | 9.47 | 16.06 | 8.44 | 20.63 | 7.10 | 9.80 | 4.00 | 7.81 | 8.67 | 6.66 | 6.86 | 7.35 | 13.57 | 10.59 | 16.52 | 23.49 | 9.17 | 6.65 | 6.52 | 6.99 | 9.38 | 13.87 | 12.48 | 14.34 | 11.17 | 11.57 | 9.98 | 7.81 | 5.35 | 6.83 | 6.00 | 4.65 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Draw Down(%) | P Relative St...ix Assets | NA | 5.17 | 11.15 | 15.21 | 19.99 | NA | NA | 19.99 | 0.46 | 5.17 | 11.15 | 14.74 | 6.39 | 14.37 | 4.26 | 17.87 | 2.64 | 8.97 | 14.44 | 6.17 | 10.99 | 8.84 | 13.71 | 10.34 | 7.06 | 12.45 | 10.58 | 17.34 | 6.99 | 13.02 | 3.30 | 7.49 | 3.22 | 9.90 | 5.98 | 12.01 | 9.32 | 5.60 | 3.88 | 6.59 | 6.65 | 5.28 | 2.60 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 8.45 | 22.46 | 33.83 | 33.83 | NA | NA | 55.25 | 2.46 | 8.45 | 9.97 | 24.59 | 5.14 | 33.83 | 6.63 | 19.40 | 2.60 | 10.29 | 12.05 | 7.30 | 5.59 | 9.60 | 18.71 | 15.66 | 27.17 | 47.73 | 9.88 | 7.47 | 7.01 | 7.47 | 13.79 | 33.02 | 29.18 | 16.55 | 11.81 | 19.20 | 10.79 | 7.45 | 2.50 | 8.48 | 4.84 | 5.63 | 5.57 | 19.19 | 7.35 | 7.24 | 33.08 | 11.63 | 7.51 | 10.58 | 7.02 | 13.21 | 15.61 | 16.03 | 2.40 | |
| VBINX (VANGUA...R SHARES) | NA | 7.08 | 19.80 | 23.05 | 23.05 | NA | NA | 35.97 | 1.82 | 6.25 | 8.27 | 21.71 | 3.67 | 22.78 | 3.26 | 11.95 | 1.35 | 5.99 | 7.27 | 4.07 | 4.70 | 5.28 | 10.87 | 8.83 | 17.50 | 31.87 | 5.50 | 4.77 | 4.03 | 4.98 | 7.07 | 18.14 | 15.94 | 9.94 | 7.19 | 12.20 | 6.83 | 5.51 | 1.82 | 7.21 | 2.78 | 0.87 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Yield(%) | P Relative St...ix Assets | NA | 1.95 | 2.05 | 1.93 | 2.20 | NA | NA | 2.95 | NA | 0.44 | 1.88 | 1.67 | 2.45 | 1.80 | 2.28 | 1.76 | 2.72 | 2.06 | 2.13 | 3.99 | 2.80 | 3.65 | 1.57 | 2.82 | 4.19 | 2.96 | 2.48 | 2.31 | 2.88 | 3.53 | 5.59 | 4.73 | 7.08 | 2.83 | 2.55 | 3.70 | 2.75 | 2.32 | 3.07 | 1.47 | 1.94 | 1.91 | 2.08 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| VBINX (VANGUA...R SHARES) | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
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Rolling Returns
From 06/28/1991 to 01/21/2025, the worst annualized return of 3-year rolling returns is 0.09%.
From 06/28/1991 to 01/21/2025, the worst annualized return of 5-year rolling returns is 0.79%.
From 06/28/1991 to 01/21/2025, the worst annualized return of 10-year rolling returns is 4.32%.