Coffeehouse Portfolio: backtest, returns and drawdowns
Forty percent bonds and six ten-percent slices of stocks tilted towards value, small caps and real estate.
Data updated October 2026
Created by: Bill Schultheis
Allocation
| Asset class | ETF used in the backtest | Weight |
|---|---|---|
| US aggregate bonds | BND | 40% |
| S&P 500 | VOO | 10% |
| US large-cap value | VTV | 10% |
| US small caps | VB | 10% |
| US small-cap value | VBR | 10% |
| International developed stocks | VEA | 10% |
| US real estate (REITs) | VNQ | 10% |
From June 2020 to October 2026 the Coffeehouse Portfolio returned 8.1% a year on average, with annual volatility of 10.6%. Its deepest fall was 20.1%, from January 2022 to October 2022, recovered in about 31 months.
Its best year was 2021 (+14.5%) and its worst 2022 (−14.1%).
Over the same period 100% US stocks returned 16.8% a year with a maximum fall of 25.4%.
Key figures
- Annual return (CAGR)
- +8.1%
- Annual volatility
- 10.6%
- Maximum drawdown
- −20.1%
- Recovery time
- 31 months
- Sharpe
- 0.52
- Sortino
- 0.75
- Worst year
- 2022: −14.1%
- Positive years
- 4/5
Growth of $10,000
Drawdowns
Returns by calendar year
| Year | Coffeehouse Portfolio | 60/40 Portfolio | 100% Stocks |
|---|---|---|---|
| 2026(partial) | +6.9% | +8.0% | +14.7% |
| 2025 | +11.8% | +13.1% | +17.1% |
| 2024 | +8.1% | +14.8% | +23.8% |
| 2023 | +12.2% | +17.9% | +26.1% |
| 2022 | −14.1% | −17.0% | −19.5% |
| 2021 | +14.5% | +14.6% | +25.7% |
| 2020(partial) | +15.1% | +16.5% | +26.4% |
How it works
Simple equal slices that spread the equity part across styles and sizes instead of concentrating in large caps.
Backtest with total-return ETF prices (dividends reinvested), rebalanced to target weights on the first trading day of each year. No fees, taxes or currency effects; first and last years are partial. Past results do not predict future returns.
Questions
What is the Coffeehouse Portfolio?
Forty percent bonds and six ten-percent slices of stocks tilted towards value, small caps and real estate. Allocation: 40% us aggregate bonds, 10% s&p 500, 10% us large-cap value, 10% us small caps, 10% us small-cap value, 10% international developed stocks, 10% us real estate (reits). Created by: Bill Schultheis.
What is the Coffeehouse Portfolio return?
In the backtest from June 2020 to October 2026 it returned 8.1% a year on average, with a maximum drawdown of 20.1%. US dollars, before fees and taxes.
How often should it be rebalanced?
The backtest rebalances once a year back to the target weights. Rebalancing more often changes little and adds costs; some investors rebalance only when a weight drifts beyond a threshold.
What was the worst drawdown of the Coffeehouse Portfolio?
20.1%, from January 2022 to October 2022; it took about 31 months to get back to the previous high.
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- Versione italiana
Source: MarketStack end-of-day prices. Historical and educational content: not a forecast and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.