Subject: Re: Need help GTR1-ing a benchmark portfolio
gtr1 only does US stocks. There are other websites for asset allocation, for example [Apr 2012 - Mar 2024]: https://www.portfoliovisualize...
Ticker CAGR Stdev MDD SharpeRatio
DIA 13% 15% -23% 0.81
SPY 14% 15% -24% 0.91
RSP 13% 16% -27% 0.75
QQQ 20% 18% -33% 1.04
QQQE 16% 17% -29% 0.90
IWM 10% 20% -32% 0.52
EFA 6% 15% -28% 0.39
EEM 1% 17% -37% 0.10
BIL 1% 0% 0%
correlations:
Ticker DIA SPY RSP QQQ QQQE IWM EFA EEM BIL Portfolio 1
DIA 1 0.95 0.94 0.79 0.86 0.84 0.85 0.65 -0.05 0.93
SPY 0.95 1 0.96 0.91 0.94 0.87 0.87 0.69 -0.02 0.98
RSP 0.94 0.96 1 0.81 0.9 0.92 0.88 0.71 -0.08 0.97
QQQ 0.79 0.91 0.81 1 0.94 0.75 0.77 0.63 0.02 0.9
QQQE 0.86 0.94 0.9 0.94 1 0.86 0.84 0.69 -0.02 0.96
IWM 0.84 0.87 0.92 0.75 0.86 1 0.77 0.63 -0.08 0.91
EFA 0.85 0.87 0.88 0.77 0.84 0.77 1 0.82 0.01 0.92
EEM 0.65 0.69 0.71 0.63 0.69 0.63 0.82 1 0 0.79
BIL -0.05 -0.02 -0.08 0.02 -0.02 -0.08 0.01 0 1 -0.03
Asset classes can be tested, for example Emerging Markets [Jan 1995 - Mar 2024]: https://www.portfoliovisualize...
QQQ has become more correlated with SPY, as software eats the world. As a benchmark, I would just use SPY for US stocks and not overthink it. The stocks/bonds and US/Europe/Emerging decisions are important asset allocation decisions. The type of bond investment is also important (duration, credit risk, ETF or individual bonds).
For the US stock market, DIA RSP QQQ QQQE are all highly correlated with SPY. SPY is guaranteed to return the average investor return (dollar weighted, profitable companies), and so is a starting point.
QQQ SPY IJR can be compared with drawdown charts and rolling returns:
https://www.portfoliovisualize...