Coffeehouse
Allocate 40% to AGG (US Aggregate Bond). Allocate 10% each to: SPY, IVE, IJR, IJS, EFA, VNQ. Backtest max drawdown: -38.1%.
Strategy & methodology
Allocate 40% to AGG (US Aggregate Bond); Allocate 10% each to: SPY, IVE, IJR, IJS, EFA, VNQ; Rebalance annually or when drift exceeds threshold.
- Strategy type:
- Fixed allocation
- Rebalance frequency:
- Annual
- Original publication:
- 1998-11-28; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Simulated history
Stand-in funds and until when (9)
- VNQ: VGSIX before Sep 29, 2004
- AGG: VBMFX before Sep 26, 2003
- EFA: VGTSX before Aug 17, 2001
- IJS: DFSVX before Jul 28, 2000
- IVE: SPY x0.95 before May 26, 2000
- IJR: NAESX before May 26, 2000
- VNQ: FRESX before Sep 29, 2004
- EFA: PRITX before Aug 17, 2001
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Allocate 40% to AGG (US Aggregate Bond). Allocate 10% each to: SPY, IVE, IJR, IJS, EFA, VNQ. Backtest max drawdown: -38.1%. This is a fixed-allocation portfolio. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The annual signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 802c3d7f, published 2026-10-01
Is Coffeehouse still working in 2026?
Coffeehouse returned 6.81% over the trailing 12 months and 39.69% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 8.50%. Its full-backtest maximum drawdown was -38.09%. The full sample contains 9801 daily NAV observations from 1987-12-31. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -4.68% below its high-water mark of 2026-08-14, 2 months ago, and its longest run below a previous high was 3.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 6.81% | Not annualized | -5.64% | 252 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 39.69% | Not annualized | -11.65% | 754 | 2023-10-02 to 2026-10-02 |
| Full backtest | 2258.03% | 8.50% | -38.09% | 9801 | 1987-12-31 to 2026-10-02 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-08-14, 2 months before 2026-10-02, and it is -4.68% below that level now. The longest run below a previous high in the full backtest was 3.0 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Coffeehouse at a glance
Coffeehouse is a fixed-allocation portfolio by Bill Schultheis across US Large-Cap Equity, US Large-Cap Value, US Small-Cap Equity, US Small-Cap Value, rebalanced annual. Backtested 1987-12-31 to 2026-10-02 (38.8 years): 8.5% CAGR, 0.92 Sharpe, -38.1% max drawdown, 10.2% volatility.
- Type
- Fixed Allocation
- Author
- Bill Schultheis
- Rebalancing
- Annual
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-10-02
- CAGR
- 8.5%
- Sharpe
- 0.92
- Max Drawdown
- -38.1%
- Volatility
- 10.2%
Coffeehouse — Fixed Allocation Portfolio
Bill Schultheis' Coffeehouse portfolio uses a 40/60 bond/equity split with the equity portion diversified across six 10% slices: large-cap blend (SPY), large-cap value (IVE), small-cap blend (IJR), small-cap value (IJS), international (EFA), and REITs (VNQ). The equal weighting creates automatic factor tilts toward small-cap and value.
Coffeehouse: frequently asked questions
- What is Coffeehouse?
- Conservative 7-fund portfolio: 40% bonds, 60% equities diversified across large, small, value, international, and REITs.
- Who created the Coffeehouse strategy?
- Coffeehouse was developed by Bill Schultheis. It is based on Schultheis, B. The Coffeehouse Investor (1998).
- What is the historical return and maximum drawdown of Coffeehouse?
- Backtested from 1987-12-31 to 2026-10-02, Coffeehouse returned 8.5% CAGR with a -38.1% maximum drawdown and a Sharpe ratio of 0.92. Past performance does not guarantee future results.
- How often is Coffeehouse rebalanced?
- Coffeehouse is rebalanced annual. BestFolio publishes the updated allocation signal each period.
- Is Coffeehouse a fixed or tactical strategy?
- Coffeehouse is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.
Backtest Performance (1987-12-31 to 2026-10-02)
| Metric | Coffeehouse |
|---|---|
| CAGR | 8.5% |
| Max Drawdown | -38.1% |
| Sharpe | 0.92 |
| Sortino | 1.41 |
| Volatility | 10.2% |
| Calmar | 0.22 |
| Total Return | 2249.5% |
| Backtest Period | 38.8 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- annual
- Risk Level
- moderate
- Variants
- 1
- Author
- Bill Schultheis
- Source
- Schultheis, B. The Coffeehouse Investor (1998)
Asset Classes
- US Large-Cap Equity
- US Large-Cap Value
- US Small-Cap Equity
- US Small-Cap Value
- International Developed Equity
- REITs
- US Bonds
Categories
Further reading
Holding Coffeehouse alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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