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Bill Bernstein Coward's Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500

Performance

Performance Chart


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The earliest data available for this chart is Mar 10, 2005, corresponding to the inception date of VPL

Returns By Period

As of May 31, 2025, the Bill Bernstein Coward's Portfolio returned 1.75% Year-To-Date and 6.04% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.51%6.15%-2.00%12.92%14.19%10.85%
Bill Bernstein Coward's Portfolio1.75%2.58%-1.22%8.11%8.03%6.04%
VNQ
Vanguard Real Estate ETF
1.30%1.12%-7.18%13.84%6.90%5.35%
VV
Vanguard Large-Cap ETF
1.11%6.46%-1.36%14.82%15.76%12.75%
SHY
iShares 1-3 Year Treasury Bond ETF
2.13%-0.25%2.38%5.69%1.09%1.41%
VPL
Vanguard FTSE Pacific ETF
11.80%4.57%7.20%10.84%8.01%5.21%
IJR
iShares Core S&P Small-Cap ETF
-8.27%5.23%-15.69%-0.80%11.49%7.58%
VGK
Vanguard FTSE Europe ETF
21.43%5.28%18.10%14.62%12.96%6.41%
IJS
iShares S&P SmallCap 600 Value ETF
-11.53%4.27%-17.60%-1.56%12.12%6.55%
VTV
Vanguard Value ETF
1.83%2.95%-4.66%10.52%13.90%9.97%
EEM
iShares MSCI Emerging Markets ETF
8.85%4.02%7.00%10.45%6.11%3.28%
*Annualized

Monthly Returns

The table below presents the monthly returns of Bill Bernstein Coward's Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.97%-0.19%-1.89%-0.65%2.58%1.75%
2024-0.84%1.97%2.20%-2.87%2.77%0.50%3.58%1.35%1.45%-1.69%3.34%-2.92%8.90%
20235.09%-2.31%0.52%0.32%-1.54%3.56%2.59%-1.98%-2.90%-2.03%5.58%4.85%11.79%
2022-2.93%-1.08%0.48%-4.25%0.74%-5.01%4.32%-2.80%-6.43%4.96%4.72%-2.84%-10.43%
20210.83%2.83%2.53%2.15%1.31%0.25%-0.10%1.24%-2.23%2.56%-1.66%2.86%13.14%
2020-1.39%-4.58%-9.13%6.58%2.42%1.60%2.59%3.01%-1.93%-0.49%8.16%3.43%9.39%
20195.58%1.66%0.31%2.01%-3.70%3.97%0.23%-1.21%1.81%1.56%1.36%2.00%16.41%
20182.19%-2.86%-0.12%0.25%1.37%0.10%1.83%1.13%-0.44%-4.47%1.45%-4.72%-4.52%
20170.95%1.59%0.27%0.67%0.38%0.89%1.30%-0.19%1.96%0.95%1.50%0.63%11.43%
2016-2.90%-0.09%4.88%0.57%0.40%0.88%2.54%0.09%0.36%-1.55%2.41%1.57%9.30%
2015-0.92%2.74%-0.13%0.39%0.23%-1.08%0.20%-3.73%-1.39%4.22%0.18%-1.49%-1.00%
2014-2.12%2.75%0.66%0.17%1.11%1.43%-1.24%1.96%-2.37%2.31%0.68%-0.11%5.18%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Bill Bernstein Coward's Portfolio has an expense ratio of 0.15%, 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 Bill Bernstein Coward's Portfolio is 48, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Bill Bernstein Coward's Portfolio is 4848
Overall Rank
The Sharpe Ratio Rank of Bill Bernstein Coward's Portfolio is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of Bill Bernstein Coward's Portfolio is 4343
Sortino Ratio Rank
The Omega Ratio Rank of Bill Bernstein Coward's Portfolio is 4343
Omega Ratio Rank
The Calmar Ratio Rank of Bill Bernstein Coward's Portfolio is 5050
Calmar Ratio Rank
The Martin Ratio Rank of Bill Bernstein Coward's Portfolio is 5757
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
VNQ
Vanguard Real Estate ETF
0.771.171.150.602.46
VV
Vanguard Large-Cap ETF
0.741.041.150.692.62
SHY
iShares 1-3 Year Treasury Bond ETF
3.455.851.775.9615.95
VPL
Vanguard FTSE Pacific ETF
0.570.831.110.581.72
IJR
iShares Core S&P Small-Cap ETF
-0.030.131.02-0.03-0.08
VGK
Vanguard FTSE Europe ETF
0.831.211.160.982.76
IJS
iShares S&P SmallCap 600 Value ETF
-0.060.081.01-0.06-0.16
VTV
Vanguard Value ETF
0.670.971.130.682.41
EEM
iShares MSCI Emerging Markets ETF
0.550.771.100.311.40

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.

Bill Bernstein Coward's Portfolio Sharpe ratios as of May 31, 2025 (values are recalculated daily):

  • 1-Year: 0.78
  • 5-Year: 0.78
  • 10-Year: 0.58
  • All Time: 0.51

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 0.60 to 1.13, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Bill Bernstein Coward's Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Bill Bernstein Coward's Portfolio provided a 2.92% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.92%2.92%2.50%1.86%1.26%1.47%2.22%2.23%1.65%1.65%1.61%1.49%
VNQ
Vanguard Real Estate ETF
4.07%3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%
VV
Vanguard Large-Cap ETF
1.25%1.24%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%
SHY
iShares 1-3 Year Treasury Bond ETF
3.95%3.92%2.99%1.30%0.24%0.94%2.12%1.72%0.98%0.71%0.54%0.36%
VPL
Vanguard FTSE Pacific ETF
3.00%3.15%3.12%2.75%3.19%1.81%2.85%3.06%2.57%2.65%2.43%2.69%
IJR
iShares Core S&P Small-Cap ETF
2.24%2.05%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%
VGK
Vanguard FTSE Europe ETF
2.89%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
2.01%1.78%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%
VTV
Vanguard Value ETF
2.29%2.31%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%
EEM
iShares MSCI Emerging Markets ETF
2.23%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%

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 Bill Bernstein Coward's 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 Bill Bernstein Coward's Portfolio was 37.25%, occurring on Mar 9, 2009. Recovery took 450 trading sessions.

The current Bill Bernstein Coward's Portfolio drawdown is 1.25%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.25%Oct 10, 2007355Mar 9, 2009450Dec 17, 2010805
-21.52%Jan 21, 202044Mar 23, 2020114Sep 2, 2020158
-16.65%Nov 9, 2021225Sep 30, 2022342Feb 12, 2024567
-14.01%May 2, 2011108Oct 3, 201195Feb 17, 2012203
-11.06%Aug 30, 201880Dec 24, 201870Apr 5, 2019150
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 9 assets, with an effective number of assets of 4.65, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCSHYVNQEEMVPLVGKIJSIJRVTVVVPortfolio
^GSPC1.00-0.200.670.750.760.790.820.840.920.990.94
SHY-0.201.00-0.04-0.15-0.11-0.12-0.19-0.18-0.21-0.19-0.13
VNQ0.67-0.041.000.520.530.560.680.680.690.670.75
EEM0.75-0.150.521.000.800.770.660.670.710.750.81
VPL0.76-0.110.530.801.000.790.670.680.730.760.82
VGK0.79-0.120.560.770.791.000.690.700.780.790.84
IJS0.82-0.190.680.660.670.691.000.980.850.820.92
IJR0.84-0.180.680.670.680.700.981.000.850.850.93
VTV0.92-0.210.690.710.730.780.850.851.000.910.93
VV0.99-0.190.670.750.760.790.820.850.911.000.94
Portfolio0.94-0.130.750.810.820.840.920.930.930.941.00
The correlation results are calculated based on daily price changes starting from Mar 11, 2005
Go to the full Correlations tool for more customization options

AI Insight on Diversification


The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that many equity positions within the portfolio are highly correlated with each other, particularly among U.S. equity ETFs such as IJS (small-cap value), IJR (small-cap), VTV (value), and VV (total market), with correlations often exceeding 0.85. This high correlation among domestic equity positions suggests some concentration risk, as these holdings tend to move in tandem, potentially limiting diversification benefits within the U.S. equity segment.

International equity positions—EEM (emerging markets), VPL (Pacific ex-Japan), and VGK (Europe)—also show strong positive correlations with each other (around 0.77 to 0.82) and with the U.S. equity ETFs (mostly above 0.65), indicating that global equity markets in this portfolio are somewhat synchronized. This reduces the diversification advantage typically sought by including international equities, although their correlations are slightly lower than those among U.S. equities.

The fixed income position, SHY (short-term Treasury), stands out as the least correlated asset in the portfolio, with negative or near-zero correlations to all equity positions (ranging from -0.04 to -0.21). This low and negative correlation helps reduce overall portfolio volatility and provides a diversification benefit by behaving differently than the equity holdings.

Looking at the correlation of the portfolio as a whole with individual positions, it is highest with VV (0.94), VTV (0.93), and IJR (0.93), indicating these positions have the greatest influence on the portfolio’s overall behavior. This suggests that the portfolio is somewhat dominated by broad and value-oriented U.S. equity exposures. The relatively lower correlation with SHY (-0.13) confirms its role as a diversifier rather than a driver of portfolio returns.

In summary, while the portfolio includes a variety of asset classes, the heavy correlations among U.S. and international equity positions imply that diversification benefits are somewhat limited within the equity sleeve. The inclusion of SHY provides meaningful diversification through its low and negative correlations with equities. Overall, the portfolio leans toward a concentrated equity exposure dominated by U.S. equities, with fixed income serving as the primary source of diversification.

Last updated May 31, 2025
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