Which stock market index has the best risk-adjusted return?

[ochotona]

Out of NASDAQ 100, DOW 30, S&P500, US TOTAL MARKET, the answer is...

DOW 30. Highest Sharpe Ratio, highest Sortino Ratio, Highest Ulcer Performance Index, lowest maximum drawdown, shortest maximum drawdown of the four. From 1/1/1970 to the Present.

CAGR 11.7%, 11.0%, 10.9%, 11.0% respectively.

The really interesting things that I didn't appreciate was that the Naz underperformed the Dow from January 1, 1970 until about March 1999. Then it popped above the Dow. Then it went to sleep. If you had bought both the Dow and the Naz at the peak of the Naz, March 2000... it STILL hasn't caught up! It's a real story of the Tortoise and the Hare!

I have new respect for the Dow. Plus, you can put it together yourself, tax-loss harvest the individual components, all of that.

Source: AllocateSmartly.com (behind a paywall, sorry). Hey, but now you know.

[Jack Jones]

https://elmwealth.com/capital-market-assumptions/

Edit: whoops, you were looking backwards. This link was about looking forward.

[ochotona]

https://elmwealth.com/capital-market-assumptions/

Edit: whoops, you were looking backwards. This link was about looking forward.

Thanks for the cheery note ! {barf}

Yeah, it's not going to be nice for the next decade. Too many other shoes to drop.