What lazy portfolios really bet on: risk vs. capital, 16 portfolios
| Portfolio | Holdings | Window starts | Biggest risk group | Money → risk, full window | Risk, last 10 years | Read | Volatility → equal-risk version |
|---|---|---|---|---|---|---|---|
| Golden Butterfly | 5 | Dec 2004 | Stocks2 holdings | 40% → 66% | 66% | one main group with diversifiers | 8.2% → 3.1% |
| All Weather | 5 | Dec 2004 | Bonds2 holdings | 55% → 56% | 56% | several groups of comparable size | 8.1% → 7.1% |
| Permanent Portfolio | 4 | Dec 2004 | GLD (Gold)1 holding | 25% → 45% | 36% | several groups of comparable size | 7.3% → 1.3% |
| Ivy Portfolio | 5 | Jun 1996 | Stocks and real estate3 holdings | 60% → 78% | 79% | one main group with diversifiers | 11.1% → 6.9% |
| Faber GAA | 10 | Dec 2004 | Bonds, stocks and real estate*8 holdings | 90% → 91% | 93%* | mostly one group | 8.6% → 6.9% |
| Three-Fund Portfolio | 3 | May 1996 | Stocks2 holdings | 67% → 96% | 100%* | mostly one group | 10.6% → 5.8% |
| Wealthfront Classic | 6 | Jul 2000 | Stocks4 holdings | 82% → 96% | 100%* | mostly one group | 13.4% → 8.0% |
| Betterment Core | 9 | Jul 2000 | Stocks5 holdings | 90% → 99% | 100%* | mostly one group | 14.4% → 2.3% |
| 60/40 Portfolioincludes the 40/60 mix | 2 | Jan 1987 | SPY (S&P 500)1 holding | 60% → 93% | 88% | mostly one group | 9.6% → 5.2% |
| Yale Endowment | 6 | Jul 2000 | Stocks and real estate4 holdings | 70% → 93% | 100%* | mostly one group | 11.3% → 8.4% |
| Core Four | 4 | Jun 1996 | Stocks and real estate3 holdings | 80% → 98% | 100%* | mostly one group | 12.3% → 6.6% |
| Couch Potato | 2 | Jul 2000 | VTI (US Total Stock Market)1 holding | 50% → 83% | 100% | mostly one group | 8.7% → 6.4% |
| Coffeehouse | 7 | Jun 1996 | Stocks and real estate6 holdings | 60% → 94% | 100%* | mostly one group | 9.9% → 7.7% |
| No-Brainer | 4 | May 1996 | Stocks3 holdings | 75% → 98% | 100%* | mostly one group | 12.2% → 6.4% |
| Larry Portfolio | 4 | May 1996 | Stocks3 holdings | 30% → 61% | 55% | one main group with diversifiers | 6.3% → 7.0% |
| Buffett 90/10 | 2 | Nov 1991 | SPY (S&P 500)1 holding | 90% → 100% | 100% | mostly one group | 13.1% → 2.0% |
A group is a set of holdings whose monthly returns correlate at 0.5 or more, directly or through a chain. Money and risk shares are over each portfolio's full common history (the same window as the live page); the last-10-years column is the same group's share over the latest 120 months. Volatility is annualized from the simulated monthly returns; the equal-risk version is hypothetical and chosen with hindsight. * Chained: the biggest group holds at least two holdings that are not directly correlated at the threshold (in that window), so its figure is generous; open the page and read the per-holding bars.
Not included: 40/60 Portfolio (a section of the 60/40 Portfolio page: same two holdings, window and equal-risk weights as 60/40 (only the capital split differs), so it is a section of the 60/40 page); Dragon (starts 2017-05: under 15 years of history and no 2008 decline, and its DBMF and CAOS proxies are themselves category stand-ins); Total-sp500 (one holding: its risk share is 100% by definition and there is nothing to correlate). Every page needs at least 15 years of common history that includes 2008 and 2022.
What risk share means
A holding's share of the risk is its weight times how strongly it moves with the whole portfolio, as a fraction of the portfolio's variance. A holding can be a large share of the money and a small share of the risk (a cash-like fund), or the reverse (stocks inside a bond-heavy portfolio). Where holdings move together, the groups below add them up.
Related
Trend filters on the same portfolios · Fund histories: how far back each ETF can be tested · Portfolio strategy guides · All portfolios
Methodology
- Source
- Yahoo Finance via MarketHeist, monthly adjusted close (dividends reinvested), to the last complete calendar month; proxy-extended history as on each fund's history page.
- Numbers
- Every figure is computed by the MarketHeist portfolio engine with the sample covariance of monthly returns (no shrinkage), the same estimator as the live portfolio page; no figure is written by hand and no language model is involved. The sentences on each page are rule-based over those numbers. Windows: the full common history, the latest 120 months, and rolling 36 months for 2008 and 2022.
Historical simulation, not investment advice.