Pinwheel
Four quarters, each split between two funds: US stocks, international stocks, bonds and cash, and real assets.
Designed by Tyler, Portfolio Charts (2018).
Before the numbers. A hypothetical backtest, not a forecast: Jun 30, 2000 to Oct 9, 2026 (26.2 years), the window every published portfolio shares. Rebalanced once a year at 10 basis points a trade. The bar is the three-fund at the same stock share, 65%.
Funds younger than the window are extended by older series, each junction validated (how): BIL by TBILL.IRX before 2007-05-30; GLD by GC=F before 2004-11-18, then CEF before 2000-08-30; VBR by VISVX before 2004-01-30; VEA by VTMGX before 2007-07-26; VGIT by VFITX before 2009-11-23; VNQ by VGSIX before 2004-09-29; VTI by VTSMX before 2001-06-15; VWO by VEIEX before 2005-03-10. Gold before August 2000 is the Central Fund of Canada (CEF), which held silver as well as gold.
What it holds
| Asset class, and the fund this backtest holds it through | Weight | Fund fee |
|---|---|---|
| US total stock market VTI · Vanguard Total Stock Market |
15% | 0.03% |
| International developed stocks VEA · Vanguard Developed Markets |
15% | 0.06% |
| Intermediate Treasuries VGIT · Vanguard Intermediate-Term Treasury |
15% | 0.04% |
| US real estate (REITs) VNQ · Vanguard Real Estate |
15% | 0.13% |
| US small-cap value VBR · Vanguard Small-Cap Value |
10% | 0.07% |
| Emerging-market stocks VWO · Vanguard Emerging Markets |
10% | 0.08% |
| Treasury bills (cash) BIL · SPDR 1-3 Month T-Bill |
10% | 0.14% |
| Gold GLD · SPDR Gold Shares |
10% | 0.40% |
| Together | 100% | 0.11% |
The funds are the ones this backtest uses for each asset class, not a list to buy: any fund tracking the same asset class holds the same thing.
Its record against the three-fund at 65% stocks
| Statistic | Pinwheel | Three-fund at 65% stocks |
|---|---|---|
| Value per $10,000 | $70,766 | $53,383 |
| Total return | 607.66% | 433.83% |
| Annual return (CAGR) | 7.73% | 6.58% |
| Standard deviation | 10.79% | 10.26% |
| Max drawdown | -40.53% | -38.81% |
| Worst calendar year | -23.00% | -23.48% |
| Longest time underwater | 615 days | 830 days |
| Ulcer Index | 7.27% | 8.92% |
| Sharpe ratio | 0.57 | 0.49 |
| Sortino ratio | 0.84 | 0.71 |
| Ulcer Performance Index | 0.81 | 0.53 |
The crises
| Deepest decline from a prior peak | Pinwheel | Three-fund at 65% stocks |
|---|---|---|
| 2000–02 | -15.0% | -26.9% |
| 2008 | -40.5% | -38.8% |
| 2020 | -23.7% | -22.9% |
| 2022 | -20.0% | -22.9% |
2000–02 is measured from June 2000, the window's start, after the March peak; 2008 from October 2007 to June 2009; 2020 from February to April; 2022 through 2023.
Calendar years
The first and last years are partial.
The trade-off
Tyler designed it on Portfolio Charts as a balanced spread across asset types: total market and small-cap value for the US quarter, developed and emerging markets for the international one, intermediate Treasuries and Treasury bills for the fixed-income one, and REITs and gold for real assets.
That makes eight funds to rebalance once a year, and a quarter in REITs and gold, which have long stretches of their own, good and bad. Over this window its worst decline was -40.5%, against -38.8% for the three-fund at 65% stocks, and it returned 7.73% a year.