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Global
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


EDV 10%BSV 10%GLD 10%VOO 20%RSP 20%QQQ 10%KXI 5%XBI 5%VDC 5%IXJ 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BSV
Vanguard Short-Term Bond ETF
Total Bond Market
10%
EDV
Vanguard Extended Duration Treasury ETF
Government Bonds
10%
GLD
SPDR Gold Trust
Precious Metals, Gold
10%
IXJ
iShares Global Healthcare ETF
Health & Biotech Equities
5%
KXI
iShares Global Consumer Staples ETF
Consumer Staples Equities
5%
QQQ
Invesco QQQ
Large Cap Blend Equities
10%
RSP
Invesco S&P 500® Equal Weight ETF
Large Cap Blend Equities
20%
VDC
Vanguard Consumer Staples ETF
Consumer Staples Equities
5%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
20%
XBI
SPDR S&P Biotech ETF
Health & Biotech Equities
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Global, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.92%
12.91%
Global
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Dec 10, 2024, the Global returned 16.90% Year-To-Date and 9.65% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.90%0.96%12.91%31.46%14.06%11.73%
Global16.90%0.29%9.92%22.27%10.13%9.65%
VOO
Vanguard S&P 500 ETF
28.53%1.08%13.65%33.30%15.87%13.75%
RSP
Invesco S&P 500® Equal Weight ETF
18.30%0.18%12.67%24.46%12.26%10.92%
EDV
Vanguard Extended Duration Treasury ETF
-4.44%1.98%5.89%1.93%-8.08%-1.44%
BSV
Vanguard Short-Term Bond ETF
4.02%0.62%3.64%5.52%1.36%1.63%
KXI
iShares Global Consumer Staples ETF
8.36%1.18%3.84%12.08%5.35%6.10%
XBI
SPDR S&P Biotech ETF
10.18%-5.70%6.94%24.05%0.91%5.06%
VDC
Vanguard Consumer Staples ETF
17.96%2.40%9.12%22.24%9.53%8.78%
IXJ
iShares Global Healthcare ETF
6.09%-3.11%-2.26%10.42%7.70%7.82%
QQQ
Invesco QQQ
28.11%1.60%12.72%34.12%21.44%18.68%
GLD
SPDR Gold Trust
28.35%-1.05%14.90%32.17%12.09%7.67%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.10%3.04%2.90%-3.79%3.49%1.72%2.80%2.59%1.83%-1.71%3.45%16.90%
20235.92%-3.33%3.36%1.41%-1.05%3.71%1.92%-2.35%-5.11%-2.35%7.86%5.82%15.94%
2022-4.94%-1.19%1.34%-6.96%-1.19%-4.95%5.87%-3.39%-7.55%4.22%6.04%-3.45%-16.08%
2021-1.12%-0.10%2.21%3.70%1.25%1.19%1.69%2.02%-3.91%4.19%-0.87%3.43%14.24%
20201.04%-4.21%-6.77%10.23%3.65%2.08%5.34%3.29%-2.51%-1.95%8.07%3.40%22.30%
20196.46%2.18%2.08%1.54%-3.19%5.87%0.74%1.14%0.24%1.76%2.60%1.97%25.65%
20183.65%-3.52%-0.92%-0.50%1.82%0.71%1.83%2.02%-0.40%-5.09%1.76%-4.77%-3.78%
20172.73%3.52%0.11%1.40%1.31%0.63%1.42%1.35%0.41%0.76%2.26%1.38%18.63%
2016-3.04%1.38%4.39%0.72%1.03%1.89%3.75%-0.76%0.56%-3.24%-0.11%0.70%7.20%
20151.52%2.15%-0.63%-0.54%1.29%-1.79%1.90%-4.44%-2.13%5.68%-0.26%-1.09%1.31%
20140.08%4.41%-0.79%0.36%1.94%2.78%-1.52%4.04%-2.00%2.41%2.81%0.33%15.62%
20133.40%0.42%3.08%1.81%-0.32%-2.60%4.85%-1.53%2.36%2.78%1.17%0.98%17.40%

Expense Ratio

Global has an expense ratio of 0.18%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for KXI: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for IXJ: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for XBI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for RSP: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VDC: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for EDV: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for BSV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Global is 54, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Global is 5454
Overall Rank
The Sharpe Ratio Rank of Global is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of Global is 5959
Sortino Ratio Rank
The Omega Ratio Rank of Global is 5555
Omega Ratio Rank
The Calmar Ratio Rank of Global is 4040
Calmar Ratio Rank
The Martin Ratio Rank of Global is 6464
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.


Sharpe ratio
The chart of Sharpe ratio for Global, currently valued at 2.47, compared to the broader market-6.00-4.00-2.000.002.004.006.002.472.62
The chart of Sortino ratio for Global, currently valued at 3.44, compared to the broader market-6.00-4.00-2.000.002.004.006.003.443.48
The chart of Omega ratio for Global, currently valued at 1.45, compared to the broader market0.501.001.501.451.48
The chart of Calmar ratio for Global, currently valued at 3.09, compared to the broader market0.005.0010.0015.003.093.77
The chart of Martin ratio for Global, currently valued at 16.18, compared to the broader market0.0010.0020.0030.0040.0050.0060.0016.1816.74
Global
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
2.783.691.524.0118.18
RSP
Invesco S&P 500® Equal Weight ETF
2.183.061.394.1412.44
EDV
Vanguard Extended Duration Treasury ETF
0.030.191.020.010.08
BSV
Vanguard Short-Term Bond ETF
2.083.171.401.517.99
KXI
iShares Global Consumer Staples ETF
1.201.741.201.375.04
XBI
SPDR S&P Biotech ETF
0.841.321.150.412.79
VDC
Vanguard Consumer Staples ETF
2.193.171.382.9614.02
IXJ
iShares Global Healthcare ETF
1.011.441.180.882.80
QQQ
Invesco QQQ
1.992.611.362.569.29
GLD
SPDR Gold Trust
2.032.701.353.7411.37

The current Global Sharpe ratio is 2.47. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.87 to 2.72, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Global with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.47
2.62
Global
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Global provided a 1.67% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.67%1.63%1.54%1.17%1.74%1.67%1.81%1.52%1.77%1.83%1.60%1.67%
VOO
Vanguard S&P 500 ETF
1.22%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
RSP
Invesco S&P 500® Equal Weight ETF
1.44%1.63%1.82%1.28%1.64%1.69%2.02%1.52%1.20%1.70%1.46%1.27%
EDV
Vanguard Extended Duration Treasury ETF
4.06%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%
BSV
Vanguard Short-Term Bond ETF
3.31%2.46%1.50%1.45%1.79%2.29%1.99%1.65%1.49%1.40%1.45%1.48%
KXI
iShares Global Consumer Staples ETF
2.86%2.99%1.98%2.26%2.34%2.17%2.98%2.17%2.34%2.20%2.35%2.03%
XBI
SPDR S&P Biotech ETF
0.15%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%
VDC
Vanguard Consumer Staples ETF
2.49%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%
IXJ
iShares Global Healthcare ETF
1.34%1.38%1.17%1.12%1.27%1.42%2.11%1.47%1.73%2.85%1.38%1.51%
QQQ
Invesco QQQ
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.47%
-0.61%
Global
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Global. 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 Global was 22.01%, occurring on Oct 14, 2022. Recovery took 345 trading sessions.

The current Global drawdown is 0.47%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.01%Dec 28, 2021202Oct 14, 2022345Mar 1, 2024547
-21.44%Feb 20, 202023Mar 23, 202052Jun 5, 202075
-12.41%Aug 30, 201880Dec 24, 201853Mar 13, 2019133
-9.13%Jul 25, 201111Aug 8, 201154Oct 24, 201165
-8.58%Apr 16, 2015193Jan 20, 201653Apr 6, 2016246

Volatility

Volatility Chart

The current Global volatility is 2.25%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.25%
2.24%
Global
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

GLDBSVEDVXBIVDCKXIQQQIXJRSPVOO
GLD1.000.360.230.030.060.110.030.060.050.04
BSV0.361.000.62-0.050.010.03-0.08-0.05-0.11-0.10
EDV0.230.621.00-0.13-0.13-0.12-0.21-0.19-0.28-0.27
XBI0.03-0.05-0.131.000.350.370.600.620.590.59
VDC0.060.01-0.130.351.000.890.540.660.700.69
KXI0.110.03-0.120.370.891.000.580.720.700.71
QQQ0.03-0.08-0.210.600.540.581.000.680.770.90
IXJ0.06-0.05-0.190.620.660.720.681.000.750.78
RSP0.05-0.11-0.280.590.700.700.770.751.000.94
VOO0.04-0.10-0.270.590.690.710.900.780.941.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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