Comparação das carteiras de ETF
Comparação das carteiras de ETF do fórum do investidor
Pouco depois de ter criado o fórum em Outubro de 2022 criei carteiras simples (estilo boogleheads) para acompanharmos e as pessoas perceberem que não precisam de 10/15/20 ETFs ou fundos para terem uma boa perfomance e diversificação.
São 6 carteiras que se dividem em dois grupos, com ou sem ouro. Depois cada grupo tem 3 níveis de risco. As carteiras são para fins educativos e para um ponto de partida, não uma recomendação. As alocações são “Equity/Bonds/Gold”, assim a carteira 70-10-20 tem 70% acções, 10% Obrigações e 20% Ouro.
Os ETFs usados são:
Equity: IWDA
Bonds: EUNA
Ouro: SGLD
Carteira Agr. 80-20: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxLubyzzE8a
Carteira Mod. 50-50: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxMKeyMBYOd
Carteira Cons. 30-70: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxMKy8XvOdh
Carteira Agr. C/ Ouro 70-10-20: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxQCXcLGVTr
Carteira Mod. C/ Ouro 40-45-15: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxQCXcULhrw
Carteira Cons. C/ Ouro 30-70-10: www.trading212.com/pies/ltznpbjPqyyl6eK8yTsxQCXhAjuXH
Performance from 2018-07-03 to 2024-05-28 (≈ 5.9 years)
-------------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 11.14% | 11.32% | 0.98 | -24.55% | 0.45 |
| 80-20-00 | 9.71% | 12.76% | 0.76 | -27.77% | 0.35 |
| 40-45-15 | 6.54% | 7.03% | 0.93 | -15.78% | 0.41 |
| 50-50-00 | 5.85% | 8.26% | 0.71 | -18.69% | 0.31 |
| 25-65-10 | 3.86% | 5.30% | 0.73 | -12.79% | 0.30 |
| 30-70-00 | 3.20% | 5.78% | 0.55 | -14.53% | 0.22 |
Yearly Returns
| 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
| 70-10-20 | 11.87% | 16.32% | -9.70% | 23.32% | 7.48% | 25.33% | -4.40% |
| 80-20-00 | 9.93% | 16.80% | -13.54% | 25.54% | 5.74% | 24.68% | -5.93% |
| 40-45-15 | 6.84% | 11.40% | -10.65% | 12.51% | 6.28% | 17.20% | -2.45% |
| 50-50-00 | 5.73% | 12.15% | -13.53% | 15.06% | 5.03% | 17.32% | -3.78% |
| 25-65-10 | 3.90% | 8.81% | -11.60% | 6.96% | 5.43% | 12.74% | -1.58% |
| 30-70-00 | 2.93% | 9.05% | -13.53% | 8.08% | 4.56% | 12.42% | -2.35% |
Correlação entre o retorno diário dos ETFs
Performance from 2021-05-28 to 2024-05-28 (3 years)
---------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 10.01% | 10.02% | 1.02 | -11.00% | 0.91 |
| 80-20-00 | 8.28% | 11.43% | 0.74 | -15.58% | 0.53 |
| 40-45-15 | 4.74% | 6.78% | 0.72 | -11.25% | 0.42 |
| 50-50-00 | 3.89% | 7.90% | 0.50 | -14.18% | 0.27 |
| 25-65-10 | 1.68% | 5.55% | 0.31 | -12.79% | 0.13 |
| 30-70-00 | 0.88% | 6.00% | 0.15 | -14.53% | 0.06 |
Performance from 2019-05-28 to 2024-05-28 (5 years)
---------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 11.95% | 11.96% | 1.02 | -24.55% | 0.49 |
| 80-20-00 | 10.33% | 13.46% | 0.78 | -27.77% | 0.37 |
| 40-45-15 | 6.76% | 7.48% | 0.92 | -15.78% | 0.43 |
| 50-50-00 | 5.96% | 8.75% | 0.70 | -18.69% | 0.32 |
| 25-65-10 | 3.74% | 5.69% | 0.67 | -12.79% | 0.29 |
| 30-70-00 | 2.99% | 6.18% | 0.49 | -14.53% | 0.21 |
*Os dados em 2018 só contabilizam desde 2018-07-03
Análise de longo prazo com os benchmarks
*Os dados nos primeiros 2 anos parecem invulgares porque são mensais para o MSCI World e o LEGATREH (benchmark do EUNA)
Correlação entre os retornos diários dos Índices
Performance from 1999-01-04 to 2024-05-28 (≈ 25.4 years)
--------------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 7.04% | 11.45% | 0.61 | -41.83% | 0.17 |
| 80-20-00 | 6.15% | 12.65% | 0.49 | -45.28% | 0.14 |
| 40-45-15 | 5.76% | 6.61% | 0.87 | -18.31% | 0.31 |
| 50-50-00 | 5.26% | 7.66% | 0.69 | -25.71% | 0.20 |
| 25-65-10 | 4.82% | 4.34% | 1.11 | -12.71% | 0.38 |
| 30-70-00 | 4.45% | 4.67% | 0.95 | -14.49% | 0.31 |
Performance from 2021-05-28 to 2024-05-28 (3 years)
---------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 8.07% | 9.90% | 0.83 | -11.11% | 0.73 |
| 80-20-00 | 7.23% | 11.38% | 0.65 | -15.60% | 0.46 |
| 40-45-15 | 3.59% | 6.46% | 0.57 | -11.36% | 0.32 |
| 50-50-00 | 3.35% | 7.70% | 0.44 | -14.32% | 0.23 |
| 25-65-10 | 1.05% | 5.05% | 0.21 | -12.71% | 0.08 |
| 30-70-00 | 0.69% | 5.59% | 0.13 | -14.49% | 0.05 |
Performance from 2019-05-28 to 2024-05-28 (5 years)
---------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 10.83% | 12.59% | 0.88 | -24.85% | 0.44 |
| 80-20-00 | 9.72% | 13.89% | 0.71 | -27.64% | 0.35 |
| 40-45-15 | 6.14% | 7.59% | 0.82 | -15.35% | 0.40 |
| 50-50-00 | 5.69% | 8.77% | 0.66 | -18.20% | 0.31 |
| 25-65-10 | 3.45% | 5.39% | 0.65 | -12.71% | 0.27 |
| 30-70-00 | 2.94% | 5.80% | 0.52 | -14.49% | 0.20 |
Performance from 2014-05-28 to 2024-05-28 (10 years)
----------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 9.58% | 11.28% | 0.87 | -24.85% | 0.39 |
| 80-20-00 | 9.21% | 12.44% | 0.76 | -27.64% | 0.33 |
| 40-45-15 | 5.91% | 6.75% | 0.89 | -15.35% | 0.38 |
| 50-50-00 | 5.92% | 7.81% | 0.77 | -18.20% | 0.33 |
| 25-65-10 | 3.86% | 4.67% | 0.84 | -12.71% | 0.30 |
| 30-70-00 | 3.69% | 5.03% | 0.75 | -14.49% | 0.25 |
Performance from 2004-05-28 to 2024-05-28 (20 years)
----------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| 70-10-20 | 8.60% | 11.08% | 0.79 | -33.05% | 0.26 |
| 80-20-00 | 7.66% | 12.25% | 0.64 | -43.11% | 0.18 |
| 40-45-15 | 6.36% | 6.47% | 1.00 | -16.18% | 0.39 |
| 50-50-00 | 5.87% | 7.44% | 0.80 | -25.71% | 0.23 |
| 25-65-10 | 4.95% | 4.31% | 1.17 | -12.71% | 0.39 |
| 30-70-00 | 4.53% | 4.59% | 1.01 | -14.49% | 0.31 |
Yearly Returns
| 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 70-10-20 | 5.71% | 16.30% | -8.88% | 22.28% | 7.57% | 25.74% | -2.31% | 5.09% | 10.32% | 6.97% | 17.09% | 8.75% | 11.55% | 1.36% | 21.91% | 23.43% | -24.08% | 2.83% | 7.51% | 25.70% | 4.35% | 7.91% | -20.25% | -6.60% | -3.87% | 36.07% |
| 80-20-00 | 6.43% | 16.63% | -12.88% | 24.41% | 5.91% | 25.04% | -3.50% | 6.22% | 9.07% | 8.47% | 17.11% | 16.90% | 12.35% | -0.70% | 16.56% | 21.78% | -28.90% | -0.55% | 6.21% | 21.57% | 6.27% | 9.39% | -23.62% | -8.33% | -4.27% | 36.75% |
| 40-45-15 | 2.85% | 11.55% | -10.04% | 11.99% | 6.47% | 17.46% | -1.61% | 3.27% | 7.32% | 4.18% | 13.21% | 3.79% | 8.98% | 3.57% | 15.76% | 16.26% | -11.09% | 3.79% | 5.26% | 17.18% | 4.53% | 6.09% | -7.44% | -0.57% | 0.95% | 20.63% |
| 50-50-00 | 3.62% | 12.16% | -13.02% | 14.42% | 5.28% | 17.56% | -2.57% | 4.29% | 6.58% | 5.55% | 13.53% | 10.44% | 9.79% | 1.83% | 12.11% | 15.54% | -15.80% | 1.12% | 4.44% | 14.65% | 5.99% | 7.38% | -11.02% | -2.38% | 0.29% | 22.34% |
| 25-65-10 | 1.39% | 9.03% | -11.12% | 6.70% | 5.69% | 12.93% | -1.37% | 2.43% | 5.56% | 2.85% | 11.13% | 2.06% | 7.69% | 4.53% | 11.82% | 12.21% | -4.65% | 3.91% | 3.90% | 12.12% | 4.85% | 5.29% | -0.93% | 2.46% | 3.51% | 12.39% |
| 30-70-00 | 1.75% | 9.19% | -13.12% | 7.76% | 4.86% | 12.58% | -1.96% | 2.99% | 4.93% | 3.60% | 11.15% | 6.13% | 8.09% | 3.51% | 9.15% | 11.38% | -7.06% | 2.23% | 3.25% | 10.04% | 5.81% | 6.05% | -2.62% | 1.59% | 3.32% | 12.73% |
Porque não 100% MSCI World?
Fizeram-me esta pergunta recentemente e quis aqui testar.
Performance from 1999-01-04 to 2024-05-28 (≈ 25.4 years)
--------------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| MSCI World | 6.51% | 16.26% | 0.40 | -59.39% | 0.11 |
| 70-10-20 | 7.04% | 11.45% | 0.61 | -41.83% | 0.17 |
| 80-20-00 | 6.15% | 12.65% | 0.49 | -45.28% | 0.14 |
Reconheço que 25 anos é muito tempo. Vamos testar os últimos 10, “longo prazo” mas o mínimo para ter este tipo de carteiras agressivas na minha opinião.
Performance from 2014-05-28 to 2024-05-28 (10 years)
----------------------------------------------------| CAGR | StdDev | Sharpe | Max DD | MAR | |
|---|---|---|---|---|---|
| MSCI World | 11.36% | 15.68% | 0.74 | -33.76% | 0.34 |
| 70-10-20 | 9.58% | 11.28% | 0.87 | -24.85% | 0.39 |
| 80-20-00 | 9.21% | 12.44% | 0.76 | -27.64% | 0.33 |
Mesmo que tenha uma maior rentabilidade teve também um maior drawdown máximo com uma queda de 33.76% (Março de 2020 com a crise do Covid) face a uns bastante mais “calmos” - 24.85% da carteira 70-10-20. A carteira 100% equity apresenta também um menor rácio de sharpe.