The Jelly Bean Chart

Rank

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

1

SPTL 21.76%

SPTI 00.40%

SPSM 18.11%

SPEM 33.21%

SPTI 00.24%

SPLG 29.48%

SPTL 15.90%

SPLG 27.67%

BIL 00.04%

SPLG 24.28%

2

SPLG 11.62%

SPTS 00.07%

SPMD 15.59%

SPDW 23.35%

BIL 00.07%

SPSM 23.79%

SPLG 15.63%

SPSM 25.04%

SPTS -05.06%

SPMD 14.64%

3

SPBO 04.78%

BIL -00.13%

SPEM 09.98%

SPLG 19.05%

SPTS -00.97%

SPMD 23.15%

SPEM 12.29%

SPMD 23.33%

SPTI -11.89%

SPDW 14.55%

4

EW 03.71%

SPLG -00.83%

SPLG 09.54%

SPSM 13.60%

SPTL -04.24%

SPDW 18.53%

SPMD 11.32%

SPDW 07.33%

SPMD -14.56%

SPSM 14.09%

5

SPHY 03.26%

SPTL -04.09%

SPHY 07.48%

SPMD 12.78%

SPBO -05.21%

SPEM 16.16%

SPSM 09.53%

EW 06.72%

SPHY -15.92%

EW 08.41%

6

SPSM 03.03%

SPDW -04.28%

EW 05.93%

EW 11.10%

SPLG -06.71%

EW 14.32%

EW 08.89%

SPHY 00.34%

EW -17.12%

SPEM 07.43%

7

SPMD 02.22%

SPBO -04.41%

SPBO 01.84%

SPTL 06.21%

SPHY -07.11%

SPTL 10.93%

SPDW 08.42%

BIL -00.09%

SPSM -17.27%

SPHY 04.66%

8

SPTI 01.42%

EW -05.17%

BIL 00.04%

SPHY 02.70%

EW -07.93%

SPBO 10.66%

SPBO 07.01%

SPTS -00.85%

SPBO -18.47%

SPBO 03.63%

9

SPTS 00.50%

SPSM -05.51%

SPTS -00.17%

SPBO 02.19%

SPMD -11.81%

SPHY 06.76%

SPTI 06.85%

SPEM -01.71%

SPDW -18.61%

SPTI 01.13%

10

BIL -00.07%

SPHY -07.38%

SPDW -00.19%

BIL 00.00%

SPSM -12.57%

SPTI 03.86%

SPTS 02.44%

SPTI -03.03%

SPLG -19.43%

SPTS 00.55%

11

SPEM -02.81%

SPMD -09.03%

SPTI -00.90%

SPTI -00.40%

SPEM -15.18%

SPTS 01.28%

SPHY 00.46%

SPBO -03.84%

SPEM -20.56%

SPTL -00.03%

12

SPDW -08.32%

SPEM -17.12%

SPTL -01.40%

SPTS -00.60%

SPDW -16.56%

BIL -00.03%

BIL 00.09%

SPTL -06.44%

SPTL -31.13%

BIL -00.09%

Source: JQR Capital

The Jelly Bean Chart

It is WAY too early to start thinking about jelly beans and the Easter Bunny. But, it is just the right time to reflect upon what happened in 2023 and start planning for 2024. ‘Tis the season for Monday morning quarterbacking and stock market forecasts. The chart shown above ranks each of the following asset classes over the past 10 years by their absolute investment return each year. The first thing you may notice is that there is no persistent pattern of past “winners” running the table for multi-year dominance. Happy New Year!

 

 

Ticker

Name

Return

Risk

Sharpe

RRank

SRank

SPEM

SPDR Portfolio Emerging Markets ETF

2.08%

16.93%

0.12

6

8

SPDW

SPDR Portfolio Developed World ex-US ETF

2.73%

14.43%

0.18

5

6

SPSM

SPDR Portfolio S&P 600 Small Cap ETF

8.06%

14.81%

0.54

3

3

SPMD

SPDR Portfolio S&P 400 Mid Cap ETF

7.68%

14.18%

0.53

4

4

SPLG

SPDR Portfolio S&P 500 ETF

12.26%

15.86%

0.77

1

2

SPHY

SPDR Portfolio High Yield Bond ETF

0.23%

7.44%

0.02

11

11

SPBO

SPDR Portfolio Corporate Bond ETF

0.49%

8.23%

0.05

10

9

SPTL

SPDR Portfolio Long Term Treasury ETF

0.71%

14.63%

0.04

8

10

SPTI

SPDR Portfolio Intermediate Term Treasury ETF

0.67%

4.90%

0.12

9

7

SPTS

SPDR Portfolio Short Term Treasury ETF

0.72%

1.97%

0.32

7

5

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

0.09%

0.08%

0.00

12

12

EW

Equal Weight

10.93%

9.84%

1.10

2

1

Source: JQR Capital

Reward / Risk Framework

One way of expressing the same data is to look at the annualized returns over the 2013 to 2023 period. The table above shows that the riskiest asset class (emerging markets stocks) did not post the highest annualized over the last 10 years. Large capitalization US stocks (as measured by the S&P 500 ETF) took home that honor. Another way of looking at this data is to calculate the Sharpe ratio. It is the difference between the asset class return and the cash return (as measured by the 1-3 Month T-Bill ETF) divided by the asset class risk. Using this metric, we see a new star emerge - an equal weight portfolio consisting of 1.00% BIL and 9.90% of the other 10 asset classes. The Sharpe ratio can be thought of how much return (gain) we get for our risk (pain) exposure.

 

 

Rank

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

1

SPTL 21.76%

SPTI 00.40%

SPSM 18.11%

SPEM 33.21%

SPTI 00.24%

SPLG 29.48%

SPTL 15.90%

SPLG 27.67%

BIL 00.04%

SPLG 24.28%

2

SPLG 11.62%

SPTS 00.07%

SPMD 15.59%

SPDW 23.35%

BIL 00.07%

SPSM 23.79%

SPLG 15.63%

SPSM 25.04%

SPTS -05.06%

SPMD 14.64%

3

SPBO 04.78%

BIL -00.13%

SPEM 09.98%

SPLG 19.05%

SPTS -00.97%

SPMD 23.15%

SPEM 12.29%

SPMD 23.33%

SPTI -11.89%

SPDW 14.55%

4

EW 03.71%

SPLG -00.83%

SPLG 09.54%

SPSM 13.60%

SPTL -04.24%

SPDW 18.53%

SPMD 11.32%

SPDW 07.33%

SPMD -14.56%

SPSM 14.09%

5

SPHY 03.26%

SPTL -04.09%

SPHY 07.48%

SPMD 12.78%

SPBO -05.21%

SPEM 16.16%

SPSM 09.53%

EW 06.72%

SPHY -15.92%

EW 08.41%

6

SPSM 03.03%

SPDW -04.28%

EW 05.93%

EW 11.10%

SPLG -06.71%

EW 14.32%

EW 08.89%

SPHY 00.34%

EW -17.12%

SPEM 07.43%

7

SPMD 02.22%

SPBO -04.41%

SPBO 01.84%

SPTL 06.21%

SPHY -07.11%

SPTL 10.93%

SPDW 08.42%

BIL -00.09%

SPSM -17.27%

SPHY 04.66%

8

SPTI 01.42%

EW -05.17%

BIL 00.04%

SPHY 02.70%

EW -07.93%

SPBO 10.66%

SPBO 07.01%

SPTS -00.85%

SPBO -18.47%

SPBO 03.63%

9

SPTS 00.50%

SPSM -05.51%

SPTS -00.17%

SPBO 02.19%

SPMD -11.81%

SPHY 06.76%

SPTI 06.85%

SPEM -01.71%

SPDW -18.61%

SPTI 01.13%

10

BIL -00.07%

SPHY -07.38%

SPDW -00.19%

BIL 00.00%

SPSM -12.57%

SPTI 03.86%

SPTS 02.44%

SPTI -03.03%

SPLG -19.43%

SPTS 00.55%

11

SPEM -02.81%

SPMD -09.03%

SPTI -00.90%

SPTI -00.40%

SPEM -15.18%

SPTS 01.28%

SPHY 00.46%

SPBO -03.84%

SPEM -20.56%

SPTL -00.03%

12

SPDW -08.32%

SPEM -17.12%

SPTL -01.40%

SPTS -00.60%

SPDW -16.56%

BIL -00.03%

BIL 00.09%

SPTL -06.44%

SPTL -31.13%

BIL -00.09%

Source: JQR Capital

Short vs. Long Term

Looking back at our now beloved jelly bean chart, we see how the equal weight (EW) portfolio never lands at the top of the rankings. On the other hand, it never falls into the basement. An equal weight portfolio is just one strategy that demonstrates the benefits of portfolio diversification. At JQR Capital, we employ a strategic asset allocation approach as the foundation of our investment process. We do not believe that a market timing approach of turning risk on and risk off - like a light switch - is good for anyone, except for the old-fashioned commissioned broker. If you meet with anyone who says they know exactly what will happen and when, grab your wallet and RUN! This is our first post of 2024 investigating the idea of asset allocation. We will dive deeper into the methodology in the next series of blog posts. Please stay tuned.

Disclaimer

Past performance is no guarantee of future results. Any investment involves some amount of risk and may not be suitable for all — or any — individuals. You should consult with your investment advisor before acting on this — or any — financial information.

References

https://www.investopedia.com/terms/s/sharperatio.asp
Location: 23 Foxridge Rd, West Hartford, CT 06107, USA

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