Comparing Portfolio Performance (1973 To 2017)

by: Paul Novell

This is a long overdue bookkeeping post updating statistics for the various portfolios that I track. All portfolio stats were gathered using AllocateSmartly, P123, and the wonder that is Excel. Obviously there are a lot more portfolios. This is just a sampling. Go to AllocateSmartly for more on all kinds of TAA portfolios.

This post updates the portfolio statistics, through 2017, 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, and a more global, better diversified version, GAA. 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. The table below sorts the portfolios by returns over the last 20 years:

One year doesn't change rankings very much, and we can see the Quant and TAA portfolios are the top-performing portfolios. The highest ranked buy-and-hold portfolio is Meb Faber's IVY Buy and Hold 13 asset class portfolio. The table below sorts the portfolios by Sharpe ratio:

Again, we see the same thing here. TAA and Quant portfolios at the top of the list. The highest ranked buy-and-hold portfolio in this case is Risk Parity. Then, we do on more ranking, for those thinking about the withdrawal phase of their investing lives. The table below sorts the portfolios by Safe Withdrawal Rates (SWRs):

Same story with SWRs, TAA and Quant portfolios are at the top of the list. The highest ranked buy-and-hold portfolio is once again the IVY Buy and Hold 13 asset class portfolio.

And that's about it. Whether you're comparing absolute or relative returns, risk-adjusted returns, or safe withdrawal rates, TAA and Quant portfolios offer far better solutions to meeting most financial objectives.