Strategie pasywne
Witam cię na stronie poświęconej strategiom pasywnym. Znajdziesz tutaj statystyki dla ponad 50 różnych portfeli pasywnych. Takie dane jak historyczna stopa zwrotu, maksymalne obsunięcie kapitału czy zmienność może pomóc ci dobrać odpowiedni portfel dla siebie. Zamieszczone tabele możesz dowolnie sortować lub filtrować używając pola „search”. Kliknij na nazwę konkretnego portfela aby zobaczyć wykresy stopy zwrotu oraz inne szczegółowe charakterystyki.
Nr | Name | CAGR | Max Drawdown | Sharpe Ratio | UPI | Standard Deviation |
---|---|---|---|---|---|---|
1 | 7Twelve | 5,46% | -38,56% | 0,38 | 0,49 | 10,56% |
2 | Coffeehouse | 6,67% | -30,71% | 0,54 | 0,87 | 9,50% |
3 | All Seasons | 6,55% | -20,02% | 0,66 | 1,19 | 7,62% |
4 | Smart Money | 5,58% | -33,05% | 0,44 | 0,62 | 9,33% |
5 | Global Market I | 5,26% | -29,50% | 0,40 | 0,54 | 9,42% |
6 | Golden Butterfly | 7,12% | -17,88% | 0,71 | 1,51 | 7,95% |
7 | Ideal Index | 5,47% | -40,49% | 0,36 | 0,46 | 11,12% |
8 | IVY | 5,96% | -46,09% | 0,37 | 0,45 | 11,89% |
9 | Larry Swedroe | 5,83% | -19,96% | 0,70 | 1,07 | 6,21% |
10 | Merriman Ultimate | 6,26% | -33,61% | 0,49 | 0,73 | 9,73% |
11 | No Brainer | 5,78% | -40,94% | 0,34 | 0,42 | 12,44% |
12 | Permanent | 5,79% | -16,52% | 0,63 | 1,20 | 6,82% |
13 | Pinwheel | 6,65% | -37,15% | 0,47 | 0,70 | 11,00% |
14 | Core Four | 6,32% | -42,75% | 0,39 | 0,45 | 12,23% |
15 | Sandwich | 5,92% | -29,52% | 0,48 | 0,70 | 9,13% |
16 | Three-Fund | 5,86% | -28,80% | 0,48 | 0,61 | 9,15% |
17 | Growth | 5,65% | -43,78% | 0,32 | 0,33 | 12,80% |
18 | Moderate | 5,35% | -33,12% | 0,39 | 0,46 | 9,95% |
19 | Conservative | 4,88% | -21,54% | 0,46 | 0,68 | 7,38% |
20 | Income | 4,25% | -19,48% | 0,51 | 0,71 | 5,38% |
21 | Boogleheads Three Funds | 5,67% | -43,63% | 0,33 | 0,34 | 12,69% |
22 | Boogleheads Four Funds | 5,72% | -44,12% | 0,33 | 0,34 | 12,76% |
23 | Lazy Portfolio | 6,40% | -41,54% | 0,44 | 0,57 | 11,26% |
24 | Yale Endowment | 7,07% | -39,59% | 0,49 | 0,68 | 11,33% |
25 | Minimize FatTails | 5,24% | -17,75% | 0,60 | 1,07 | 6,26% |
26 | Simple | 6,28% | -35,55% | 0,45 | 0,70 | 10,73% |
27 | Tobias | 5,48% | -34,49% | 0,39 | 0,45 | 10,18% |
28 | Talmud | 7,20% | -38,79% | 0,52 | 0,74 | 11,01% |
29 | Warren Buffet | 6,51% | -46,07% | 0,36 | 0,35 | 13,76% |
30 | Alpha Architect Robust | 6,56% | -41,36% | 0,44 | 0,57 | 11,62% |
31 | Couch Potato | 6,24% | -27,30% | 0,54 | 0,80 | 8,74% |
32 | Margaritaville | 5,45% | -38,91% | 0,36 | 0,40 | 11,10% |
33 | Family Taxable | 6,32% | -38,92% | 0,41 | 0,53 | 11,81% |
34 | Global Market II | 5,64% | -26,56% | 0,46 | 0,67 | 9,03% |
35 | El-Erian | 5,84% | -45,12% | 0,35 | 0,45 | 12,41% |
36 | GAA | 5,72% | -25,16% | 0,49 | 0,78 | 8,67% |
37 | Risk Parity | 5,47% | -17,91% | 0,61 | 1,03 | 6,52% |
38 | GAA5 | 5,91% | -46,07% | 0,37 | 0,45 | 11,79% |
39 | GAA13 | 6,92% | -40,52% | 0,46 | 0,70 | 11,80% |
40 | S&P500 | 6,77% | -50,97% | 0,34 | 0,32 | 15,41% |
41 | Classic 60/40 | 5,14% | -34,45% | 0,35 | 0,44 | 10,44% |
42 | 0/100 Stocks/Bonds | 3,08% | -23,59% | 0,29 | 0,30 | 5,40% |
43 | 10/90 Stocks/Bonds | 3,51% | -22,10% | 0,36 | 0,43 | 5,61% |
44 | 20/80 Stocks/Bonds | 3,91% | -21,87% | 0,39 | 0,53 | 6,16% |
45 | 30/70 Stocks/Bonds | 4,27% | -22,18% | 0,40 | 0,57 | 6,99% |
46 | 40/60 Stocks/Bonds | 4,60% | -23,19% | 0,39 | 0,56 | 8,02% |
47 | 50/50 Stocks/Bonds | 4,89% | -28,93% | 0,37 | 0,51 | 9,18% |
48 | 70/30 Stocks/Bonds | 5,35% | -39,75% | 0,33 | 0,38 | 11,76% |
49 | 80/20 Stocks/Bonds | 5,53% | -44,83% | 0,31 | 0,34 | 13,15% |
50 | 90/10 Stocks/Bonds | 5,66% | -49,69% | 0,29 | 0,30 | 14,59% |
51 | 100/0 Stocks/Bonds | 5,75% | -54,36% | 0,26 | 0,26 | 16,07% |
Procentowa alokacja aktywów w portfelach
W tabeli znajdziesz wszystkie portfele wraz z podziałem na klasy aktywów. Dodatkowo na górze tabeli zamieściłem propozycję funduszy ETF, które można wykorzystać w celu odwzorowania danego portfela. ETF-y podzielone zostały na te dostępne w Stanach Zjednoczonych oraz dostępne na rynku europejskim (z podziałałem na walutę notowania instrumentu).
AKCJE | OBLIGACJE | INNE AKTYWA | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
US ETF | VOO | VTV | VTI | MTUM | IJH | IWM | VBR | VBK | VT | VEA | VEU | EFV | VSS | AVDV | VGK | VPL | VWO | TLT | IEF | SHY | BND | TIP | HYG | LQD | IGOV | GSG | GLD | VNQ | |
Europa ETF (€) | SXR8 | QDVI | XD9U | QDVA | XRSM | IUS3 | IUS3 (1) | IUS3 (1) | VWCE | (3) | (2) | IS3S | IUSN | IUSN | XMEU | (4) | IS3N | IS04 | IUSM | IBTS | EUNX | IUST | IS0R | IBCD | XGLE | SXRS | 4GLD | IQQ6 | |
Europa ETF ($) | CSPX | IUVL | XD9U | IUMO | XRMU | IDP6 | IDP6 (1) | IDP6 (1) | VWRA | (3) | (2) | IWVL | WSML | WSML | XMED | (4) | EIMI | IDTL | CBU0 | IDBT | IUAA | IDTP | IHYU | LQDE | AGGG | ICOM | PHAU | IDWP | |
Nazwa portfela | US Large Cap | US Large Cap Value | US Total Stock Market | US Mom. Growth | US Mid Cap | US Small Cap | US Small Cap Value | US Small Cap Growth | All World Stocks | Int. Dev. ex. US | Int. All Stocks ex. US | Int. Stocks Value ex. US | Int. Small Cap ex. US | Int. Small Cap Value ex. US | Europe Stocks | Dev. Asia Pacific | Emer. Markets | US Long Term Bonds | US Interm. Bonds | US Short Term Bonds | US Total Bond Market | US Inf.-Prot. Bonds | US High Yield Bonds | US Corp. Bonds | World Bonds | Comm. GSCI | Gold | REITs | Cash |
7Twelve | 8,3% | 8,3% | 8,3% | 8,3% | 8,3% | 17% | 8,3% | 16,6% | 8,3% | 8,3% | |||||||||||||||||||
All Seasons | 30% | 40% | 15% | 7,5% | 7,5% | ||||||||||||||||||||||||
Coffeehouse | 10% | 10% | 10% | 10% | 10% | 40% | 10% | ||||||||||||||||||||||
Smart Money | 15% | 10% | 5% | 10% | 5% | 5% | 5% | 40% | 5% | ||||||||||||||||||||
Global Market I | 45% | 5% | 26% | 18% | 2% | 4% | |||||||||||||||||||||||
Golden Butterfly | 20% | 20% | 20% | 20% | 20% | ||||||||||||||||||||||||
Ideal Index | 6,3% | 9,3% | 9,3% | 6,3% | 31% | 30% | 8% | ||||||||||||||||||||||
IVY | 20% | 20% | 20% | 20% | 20% | ||||||||||||||||||||||||
Larry Swedroe | 15% | 7,5% | 7,5% | 70% | |||||||||||||||||||||||||
Merriman Ultimate | 6% | 6% | 6% | 6% | 6% | 6% | 6% | 6% | 6% | 20% | 12% | 8% | 6% | ||||||||||||||||
No Brainer | 25% | 25% | 25% | 25% | |||||||||||||||||||||||||
Permanent | 25% | 25% | 25% | 25% | |||||||||||||||||||||||||
Pinwheel | 15% | 10% | 15% | 10% | 15% | 10% | 15% | 10% | |||||||||||||||||||||
Core Four | 48% | 24% | 20% | 8% | |||||||||||||||||||||||||
Sandwich | 20% | 8% | 6% | 10% | 6% | 30% | 11% | 5% | 4% | ||||||||||||||||||||
Three- Fund | 40% | 20% | 40% | ||||||||||||||||||||||||||
Growth | 52% | 28% | 16% | 4% | |||||||||||||||||||||||||
Moderate | 39% | 21% | 32% | 8% | |||||||||||||||||||||||||
Conservative | 26% | 14% | 48% | 12% | |||||||||||||||||||||||||
Income | 13% | 7% | 64% | 16% | |||||||||||||||||||||||||
Boogleheads 3 Funds | 50% | 30% | 20% | ||||||||||||||||||||||||||
Boogleheads 4 Funds | 50% | 30% | 10% | 10% | |||||||||||||||||||||||||
Lazy Portfolio | 30% | 15% | 5% | 15% | 15% | 20% | |||||||||||||||||||||||
Yale Endowment | 30% | 15% | 5% | 15% | 15% | 20% | |||||||||||||||||||||||
Minimize FatTails | 15% | 15% | 35% | 35% | |||||||||||||||||||||||||
Simple | 15% | 13% | 15% | 13% | 4% | 40% | |||||||||||||||||||||||
Tobias | 34% | 33% | 33% | ||||||||||||||||||||||||||
Talmud | 20% | 10% | 4% | 33% | 33% | ||||||||||||||||||||||||
Warren Buffet | 90% | 10% | |||||||||||||||||||||||||||
Alphaa Architect Robust | 7,5% | 30% | 7,5% | 7,5% | 7,5% | 20% | 10% | 10% | |||||||||||||||||||||
Couch Potato | 50% | 50% | |||||||||||||||||||||||||||
Margaritaville | 34% | 33% | 33% | ||||||||||||||||||||||||||
Family Taxable | 15% | 5% | 10% | 5% | 5% | 5% | 15% | 10% | 10% | 15% | 5% | ||||||||||||||||||
Global Market II | 20% | 15% | 5% | 15% | 2% | 22% | 16% | 5% | |||||||||||||||||||||
El-Erian | 18% | 18% | 15% | 6% | 6% | 11% | 13% | 13% | |||||||||||||||||||||
GAA | 18% | 12% | 4% | 14% | 2% | 20% | 15% | 5% | 5% | 5% | |||||||||||||||||||
Risk Parity | 8% | 8% | 35% | 35% | 4% | 5% | 5% | ||||||||||||||||||||||
GAA5 | 20% | 20% | 20% | 20% | 20% | ||||||||||||||||||||||||
GAA13 | 10% | 10% | 10% | 10% | 5% | 5% | 5% | 5% | 10% | 10% | 20% | ||||||||||||||||||
Clasic 60/40 | 60% | 24% | 16% | ||||||||||||||||||||||||||
S&P500 | 100% | ||||||||||||||||||||||||||||
0/100 Stocks/Bonds | 60% | 40% | |||||||||||||||||||||||||||
10/90 Stocks/Bonds | 10% | 54% | 36% | ||||||||||||||||||||||||||
20/80 Stocks/Bonds | 20% | 48% | 32% | ||||||||||||||||||||||||||
30/70 Stocks/Bonds | 30% | 42% | 28% | ||||||||||||||||||||||||||
40/60 Stocks/Bonds | 40% | 36% | 24% | ||||||||||||||||||||||||||
50/50 Stocks/Bonds | 50% | 30% | 20% | ||||||||||||||||||||||||||
70/30 Stocks/Bonds | 70% | 18% | 12% | ||||||||||||||||||||||||||
80/20 Stocks/Bonds | 80% | 12% | 8% | ||||||||||||||||||||||||||
90/10 Stocks/Bonds | 90% | 6% | 4% | ||||||||||||||||||||||||||
100/0 Stocks/Bonds | 100% |
Int. – International (inne niż USA) | |
Dev. – Developed | |
Emer. – Emerging | |
Mom. – Factor Momentum | |
Interm. – Intermediate | |
Comm. – Commodities |
1) Brak odpowiedniego ETF-a można zastąpić innym z ekspozycją tylko na małe spółki (pomijamy faktor)
2) Brak odpowiedniego ETF-a zastępujemy ekspozycją na 4 inne ETF-y w następujących proporcjach:
30% MSCI Europe | |
25% MSCI Pacyfic ex Japan | |
15% MSCI Japan | |
30% MSCI Emerging Markets |
60% MSCI Europe | |
40% MSCI Japan |
50% MSCI Pacyfic ex Japan | |
50% MSCI Japan |
Jak ocenić wielkość ryzyka danego portfela?
Jedną z miar ryzyka strategii jest wysokość historycznego, maksymalnego obsunięcia kapitału czy też wielkość odchylenia standardowego. Poniżej zamieściłem dwa wykresy, które pokazują stosunek wspomnianych miar ryzyka w odniesieniu do stopy zwrotu.
Całkowita stopa zwrotu za różne okresy czasowe
Tabela poniżej przedstawia całkowitą stopę zwrotu danego portfela za różne okresy czasowe począwszy od ostatniego pełnego miesiąca.
Nr | Name | 1 mo | 3 mo | 6 mo | 12 mo | YTD | 3 years | 5 years | 10 years | 20 years |
---|---|---|---|---|---|---|---|---|---|---|
1 | 7Twelve | -2,02% | 6,65% | 3,75% | 1,56% | 4,69% | 19,90% | 21,49% | 47,82% | 195,87% |
2 | Coffeehouse | -2,46% | 3,90% | 2,70% | 3,26% | 5,52% | 9,43% | 21,19% | 79,44% | 295,26% |
3 | All Seasons | -2,09% | 2,60% | 4,64% | 1,19% | 6,32% | -3,41% | 23,04% | 65,86% | 263,12% |
4 | Smart Money | -1,84% | 4,68% | 4,13% | 6,36% | 6,54% | 16,72% | 24,51% | 76,54% | 241,50% |
5 | Global Market I | -2,37% | 2,79% | 5,17% | 6,58% | 7,69% | 1,53% | 17,79% | 58,81% | 237,63% |
6 | Golden Butterfly | -2,09% | 3,36% | 3,84% | 5,88% | 6,85% | 5,83% | 29,22% | 76,61% | 318,64% |
7 | Ideal Index | -2,30% | 4,62% | 3,73% | 6,75% | 6,61% | 15,94% | 23,06% | 73,64% | 256,68% |
8 | IVY | -1,91% | 7,10% | 4,91% | 1,72% | 5,82% | 25,56% | 29,62% | 62,54% | 232,70% |
9 | Larry Swedroe | -2,17% | 0,54% | 0,87% | -0,42% | 2,90% | -7,99% | 5,73% | 34,26% | 189,39% |
10 | Merriman Ultimate | -2,34% | 3,90% | 2,85% | 4,89% | 5,73% | 10,22% | 18,24% | 62,78% | 265,80% |
11 | No Brainer | -2,95% | 5,20% | 5,78% | 8,41% | 10,07% | 15,05% | 26,20% | 95,70% | 311,58% |
12 | Permanent | -1,65% | 0,96% | 4,50% | 4,98% | 6,25% | -2,95% | 26,48% | 57,68% | 237,17% |
13 | Pinwheel | -2,48% | 4,01% | 3,71% | 4,82% | 6,62% | 10,26% | 25,58% | 73,83% | 320,48% |
14 | Core Four | -2,45% | 5,18% | 7,78% | 8,99% | 11,56% | 15,53% | 35,65% | 115,95% | 380,03% |
15 | Sandwich | -2,38% | 3,18% | 4,56% | 4,44% | 7,13% | 2,51% | 16,76% | 62,54% | 253,89% |
16 | Three-Fund | -2,12% | 3,60% | 6,94% | 7,55% | 9,91% | 7,25% | 28,40% | 89,06% | 304,53% |
17 | Growth | -2,45% | 5,63% | 8,86% | 11,43% | 12,68% | 17,14% | 36,63% | 115,94% | 354,86% |
18 | Moderate | -2,15% | 4,17% | 7,14% | 8,60% | 10,08% | 8,58% | 26,77% | 84,23% | 270,15% |
19 | Conservative | -1,81% | 2,59% | 5,27% | 5,58% | 7,30% | 0,28% | 17,05% | 55,94% | 192,97% |
20 | Income | -1,42% | 0,85% | 3,22% | 2,37% | 4,33% | -7,76% | 7,51% | 30,84% | 125,83% |
21 | Boogleheads Three Funds | -2,44% | 5,50% | 8,66% | 11,30% | 12,52% | 17,37% | 36,79% | 115,45% | 355,72% |
22 | Boogleheads Four Funds | -2,43% | 5,45% | 8,56% | 10,91% | 12,40% | 18,20% | 37,69% | 116,32% | 358,63% |
23 | Lazy Portfolio | -2,18% | 4,23% | 4,99% | 4,86% | 8,23% | 13,62% | 28,49% | 89,66% | 306,09% |
24 | Yale Endowment | -2,65% | 3,79% | 4,57% | 3,61% | 8,23% | 7,82% | 26,81% | 94,40% | 357,33% |
25 | Minimize FatTails | -1,48% | 2,39% | 1,48% | 0,88% | 3,08% | 4,37% | 12,92% | 35,43% | 163,13% |
26 | Simple | -2,52% | 4,92% | 1,97% | 4,82% | 5,05% | 18,94% | 22,28% | 73,68% | 272,37% |
27 | Tobias | -2,24% | 3,78% | 7,46% | 9,14% | 10,39% | 9,80% | 29,72% | 89,42% | 302,77% |
28 | Talmud | -2,30% | 3,27% | 3,43% | 1,01% | 6,22% | 5,94% | 22,79% | 80,71% | 320,05% |
29 | Warren Buffet | -1,74% | 7,25% | 13,12% | 14,28% | 16,85% | 30,75% | 61,71% | 199,88% | 478,23% |
30 | Alpha Architect Robust | -1,47% | 7,23% | 3,47% | 3,76% | 3,33% | 17,08% | 26,97% | 97,97% | 321,55% |
31 | Couch Potato | -1,65% | 3,83% | 7,00% | 5,57% | 9,79% | 12,77% | 35,57% | 101,02% | 294,90% |
32 | Margaritaville | -2,32% | 4,08% | 6,66% | 8,08% | 9,90% | 13,62% | 30,93% | 88,59% | 294,10% |
33 | Family Taxable | -3,00% | 4,51% | 5,12% | 6,56% | 8,98% | 10,08% | 23,82% | 88,14% | 334,87% |
34 | Global Market II | -2,42% | 2,46% | 4,88% | 4,27% | 7,01% | -4,15% | 15,39% | 58,53% | 235,39% |
35 | El-Erian | -2,36% | 6,34% | 5,35% | 2,98% | 6,41% | 16,70% | 25,04% | 59,99% | 252,68% |
36 | GAA | -2,15% | 3,21% | 4,92% | 3,64% | 6,26% | -0,15% | 19,12% | 53,72% | 225,32% |
37 | Risk Parity | -1,48% | 1,32% | 3,28% | 1,49% | 4,17% | -4,28% | 15,94% | 40,40% | 173,75% |
38 | GAA5 | -1,84% | 7,06% | 5,25% | 2,04% | 6,04% | 26,06% | 30,68% | 64,26% | 231,25% |
39 | GAA13 | -2,53% | 5,38% | 3,79% | 1,97% | 5,54% | 13,30% | 25,55% | 63,53% | 296,18% |
40 | S&P500 | -1,91% | 7,91% | 14,24% | 15,58% | 18,39% | 34,66% | 68,68% | 232,10% | 554,15% |
41 | Classic 60/40 | -2,30% | 4,04% | 6,86% | 8,71% | 9,66% | 6,60% | 22,91% | 71,01% | 238,56% |
42 | 0/100 Stocks/Bonds | -1,18% | -1,00% | 1,05% | -0,97% | 0,73% | -18,28% | -6,19% | 1,94% | 58,02% |
43 | 10/90 Stocks/Bonds | -1,41% | -0,04% | 2,15% | 0,80% | 2,38% | -14,30% | -1,45% | 11,80% | 82,43% |
44 | 20/80 Stocks/Bonds | -1,61% | 0,86% | 3,19% | 2,51% | 3,96% | -10,25% | 3,33% | 22,30% | 109,22% |
45 | 30/70 Stocks/Bonds | -1,81% | 1,72% | 4,18% | 4,15% | 5,47% | -6,14% | 8,17% | 33,44% | 138,35% |
46 | 40/60 Stocks/Bonds | -1,98% | 2,53% | 5,12% | 5,72% | 6,92% | -1,96% | 13,05% | 45,27% | 169,74% |
47 | 50/50 Stocks/Bonds | -2,15% | 3,31% | 6,01% | 7,24% | 8,32% | 2,28% | 17,96% | 57,78% | 203,23% |
48 | 70/30 Stocks/Bonds | -2,45% | 4,74% | 7,67% | 10,12% | 10,95% | 10,98% | 27,90% | 84,98% | 275,39% |
49 | 80/20 Stocks/Bonds | -2,59% | 5,40% | 8,45% | 11,48% | 12,19% | 15,43% | 32,91% | 99,70% | 313,23% |
50 | 90/10 Stocks/Bonds | -2,71% | 6,04% | 9,19% | 12,79% | 13,38% | 19,94% | 37,94% | 115,19% | 351,46% |
51 | 100/0 Stocks/Bonds | -2,83% | 6,64% | 9,90% | 14,06% | 14,54% | 24,53% | 43,00% | 131,47% | 389,31% |