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Aronson Family Taxable Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Apr 11, 2007, corresponding to the inception date of HYG

Returns By Period

As of May 11, 2025, the Aronson Family Taxable Portfolio returned 0.90% Year-To-Date and 6.26% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Aronson Family Taxable Portfolio0.90%7.47%-2.74%5.41%7.94%6.26%
VPL
Vanguard FTSE Pacific ETF
8.40%12.24%4.24%6.61%8.35%4.78%
VV
Vanguard Large-Cap ETF
-3.28%7.72%-4.84%10.20%15.71%12.36%
IJT
iShares S&P SmallCap 600 Growth ETF
-6.88%10.23%-13.96%-2.09%11.29%8.07%
VTI
Vanguard Total Stock Market ETF
-3.75%7.98%-5.68%9.17%15.27%11.77%
VGK
Vanguard FTSE Europe ETF
17.21%11.40%13.20%11.08%13.55%5.92%
IJS
iShares S&P SmallCap 600 Value ETF
-12.66%9.73%-17.33%-4.23%13.26%6.55%
TLT
iShares 20+ Year Treasury Bond ETF
1.08%1.10%-3.86%0.64%-9.36%-0.54%
IJR
iShares Core S&P Small-Cap ETF
-9.79%9.98%-15.57%-2.96%12.52%7.56%
EEM
iShares MSCI Emerging Markets ETF
7.39%10.94%2.28%8.20%6.49%2.83%
TIP
iShares TIPS Bond ETF
3.53%1.56%1.94%5.91%1.49%2.41%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.81%3.19%1.32%8.32%5.19%3.96%
*Annualized

Monthly Returns

The table below presents the monthly returns of Aronson Family Taxable Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.35%-0.11%-2.27%-0.28%1.27%0.90%
2024-1.29%2.42%2.45%-3.76%3.51%0.71%3.91%1.03%1.89%-2.96%3.78%-4.06%7.40%
20237.11%-3.21%1.51%-0.01%-1.42%4.30%2.90%-3.11%-4.29%-3.25%7.49%6.36%14.19%
2022-4.40%-1.09%-0.49%-6.86%0.39%-6.55%6.09%-3.85%-8.99%4.42%7.16%-3.74%-17.79%
20210.96%1.82%1.40%2.34%1.28%1.16%0.05%1.30%-2.64%2.81%-1.68%2.52%11.75%
2020-1.02%-4.54%-10.60%8.02%3.53%2.60%4.16%3.36%-1.94%-0.66%10.00%4.82%17.20%
20196.74%1.62%0.72%2.07%-4.03%4.89%0.01%-0.65%1.51%1.82%1.61%2.40%19.96%
20182.99%-3.55%0.31%-0.05%1.51%-0.34%1.85%1.24%-0.71%-6.89%1.73%-5.00%-7.17%
20172.08%1.92%0.81%1.14%0.94%0.99%1.80%0.32%1.95%1.68%1.67%1.16%17.73%
2016-3.26%0.05%6.01%0.70%0.42%1.57%3.71%0.42%0.90%-2.24%1.38%1.33%11.22%
20150.35%3.17%-0.12%0.89%-0.33%-1.66%0.15%-4.90%-2.26%5.12%0.08%-2.24%-2.10%
2014-2.56%3.31%0.56%0.14%1.98%2.11%-1.43%2.57%-3.75%2.85%0.14%-0.25%5.52%

Expense Ratio

Aronson Family Taxable Portfolio has an expense ratio of 0.19%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Aronson Family Taxable Portfolio is 25, meaning it’s performing worse than 75% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Aronson Family Taxable Portfolio is 2525
Overall Rank
The Sharpe Ratio Rank of Aronson Family Taxable Portfolio is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of Aronson Family Taxable Portfolio is 2222
Sortino Ratio Rank
The Omega Ratio Rank of Aronson Family Taxable Portfolio is 2121
Omega Ratio Rank
The Calmar Ratio Rank of Aronson Family Taxable Portfolio is 2727
Calmar Ratio Rank
The Martin Ratio Rank of Aronson Family Taxable Portfolio is 3030
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VPL
Vanguard FTSE Pacific ETF
0.330.561.070.351.04
VV
Vanguard Large-Cap ETF
0.530.901.130.582.22
IJT
iShares S&P SmallCap 600 Growth ETF
-0.110.051.01-0.07-0.22
VTI
Vanguard Total Stock Market ETF
0.470.831.120.511.94
VGK
Vanguard FTSE Europe ETF
0.661.131.150.912.56
IJS
iShares S&P SmallCap 600 Value ETF
-0.20-0.041.00-0.12-0.35
TLT
iShares 20+ Year Treasury Bond ETF
0.010.091.01-0.00-0.01
IJR
iShares Core S&P Small-Cap ETF
-0.150.011.00-0.09-0.27
EEM
iShares MSCI Emerging Markets ETF
0.440.791.100.321.44
TIP
iShares TIPS Bond ETF
1.241.781.230.593.82
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.452.081.301.749.20

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Aronson Family Taxable Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.39
  • 5-Year: 0.60
  • 10-Year: 0.49
  • All Time: 0.43

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Aronson Family Taxable Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Aronson Family Taxable Portfolio provided a 2.66% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.66%2.60%2.46%3.00%2.32%1.58%2.24%2.53%2.10%2.13%2.06%2.24%
VPL
Vanguard FTSE Pacific ETF
3.09%3.15%3.12%2.75%3.19%1.81%2.85%3.06%2.57%2.65%2.43%2.69%
VV
Vanguard Large-Cap ETF
1.31%1.24%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%
IJT
iShares S&P SmallCap 600 Growth ETF
1.17%1.06%1.02%1.08%0.63%0.68%0.92%0.92%0.86%1.03%1.14%0.78%
VTI
Vanguard Total Stock Market ETF
1.35%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
VGK
Vanguard FTSE Europe ETF
2.99%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%
IJS
iShares S&P SmallCap 600 Value ETF
2.04%1.78%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%
TLT
iShares 20+ Year Treasury Bond ETF
4.35%4.30%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%
IJR
iShares Core S&P Small-Cap ETF
2.28%2.05%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%
EEM
iShares MSCI Emerging Markets ETF
2.26%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%
TIP
iShares TIPS Bond ETF
2.91%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.89%6.01%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Aronson Family Taxable Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Aronson Family Taxable Portfolio was 42.95%, occurring on Mar 9, 2009. Recovery took 420 trading sessions.

The current Aronson Family Taxable Portfolio drawdown is 3.66%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.95%Nov 1, 2007339Mar 9, 2009420Nov 4, 2010759
-25.12%Jan 17, 202042Mar 18, 202096Aug 4, 2020138
-24.93%Nov 10, 2021234Oct 14, 2022438Jul 16, 2024672
-14.48%Apr 27, 2015202Feb 11, 2016115Jul 27, 2016317
-14.09%Jan 29, 2018229Dec 24, 2018129Jul 1, 2019358

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 11 assets, with an effective number of assets of 9.09, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCTIPTLTHYGEEMVPLVGKIJSIJTIJRVVVTIPortfolio
^GSPC1.00-0.12-0.280.650.750.780.800.820.850.841.000.990.91
TIP-0.121.000.730.08-0.07-0.05-0.07-0.13-0.12-0.12-0.12-0.120.05
TLT-0.280.731.00-0.08-0.24-0.22-0.25-0.28-0.27-0.28-0.28-0.28-0.13
HYG0.650.08-0.081.000.580.590.610.580.600.600.660.660.70
EEM0.75-0.07-0.240.581.000.810.780.650.670.670.750.750.84
VPL0.78-0.05-0.220.590.811.000.800.680.700.700.780.780.87
VGK0.80-0.07-0.250.610.780.801.000.700.710.710.800.800.85
IJS0.82-0.13-0.280.580.650.680.701.000.950.980.820.850.87
IJT0.85-0.12-0.270.600.670.700.710.951.000.980.860.890.89
IJR0.84-0.12-0.280.600.670.700.710.980.981.000.850.880.89
VV1.00-0.12-0.280.660.750.780.800.820.860.851.000.990.92
VTI0.99-0.12-0.280.660.750.780.800.850.890.880.991.000.93
Portfolio0.910.05-0.130.700.840.870.850.870.890.890.920.931.00
The correlation results are calculated based on daily price changes starting from Apr 12, 2007

AI Insight on Diversification


The portfolio is moderately diversified with a notable tilt toward equity exposure, as evidenced by the high correlations among most equity positions and the portfolio itself. The portfolio's correlation with broad equity indices like VTI (0.93) and VV (0.92) is very strong, indicating that equities dominate the portfolio's overall behavior.

Several equity positions—such as IJR, IJT, IJS, VGK, VPL, and EEM—exhibit very high inter-correlations, mostly above 0.65 and often exceeding 0.85. This clustering suggests these holdings move closely together, which limits diversification benefits within the equity sleeve. In particular, IJR, IJT, and IJS show correlations above 0.95 with each other, indicating near redundancy in exposure to small- and mid-cap U.S. equities.

On the fixed income side, TIP and TLT are highly correlated (0.73), but their correlations with the equity positions are generally low to negative, which provides some diversification. The portfolio's correlation with TIP is very low (0.05), and slightly negative with TLT (-0.13), reflecting that fixed income holdings contribute to reducing overall portfolio volatility and provide a buffer against equity market swings.

HYG, a high-yield bond ETF, has moderate positive correlations with both equities (around 0.58 to 0.66) and the portfolio (0.70), positioning it somewhat between fixed income and equity in risk profile. This hybrid correlation characteristic can add nuanced diversification but also introduces some equity-like risk.

No single position completely dominates the portfolio, but the very high correlations between the portfolio and broad equity ETFs like VV and VTI (above 0.90) imply that the portfolio's risk and return profile is largely driven by broad U.S. equity market movements. The fixed income allocations, while smaller in correlation magnitude, play a critical role in diversification by providing low or negative correlations with the equity components.

In summary, the portfolio is not highly concentrated but leans heavily on equity exposures that are closely correlated, limiting diversification within that asset class. The inclusion of Treasury Inflation-Protected Securities (TIP), long-term Treasuries (TLT), and high-yield bonds (HYG) introduces some diversification benefits by offering lower or negative correlations with equities. To enhance diversification further, the portfolio might consider reducing overlap among highly correlated equity positions or increasing allocations to assets with lower correlations to the core equity holdings.

Last updated May 11, 2025