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

Asset Allocation


SHY 40%VV 15%IJS 10%VTV 10%VPL 5%IJR 5%VGK 5%EEM 5%VNQ 5%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

40%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

15%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

10%

VTV
Vanguard Value ETF
Large Cap Value Equities

10%

VPL
Vanguard FTSE Pacific ETF
Asia Pacific Equities

5%

IJR
iShares Core S&P Small-Cap ETF
Small Cap Growth Equities

5%

VGK
Vanguard FTSE Europe ETF
Europe Equities

5%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

5%

VNQ
Vanguard Real Estate ETF
REIT

5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bill Bernstein Coward's Portfolio, 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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.11%
17.14%
Bill Bernstein Coward's Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Apr 13, 2024, the Bill Bernstein Coward's Portfolio returned 0.79% Year-To-Date and 5.79% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
Bill Bernstein Coward's Portfolio0.79%-0.67%9.10%8.98%5.91%5.72%
VNQ
Vanguard Real Estate ETF
-6.74%-3.26%9.21%4.92%3.03%5.46%
VV
Vanguard Large-Cap ETF
7.86%0.23%18.20%26.46%13.89%12.63%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.09%-0.01%2.26%2.39%0.96%0.89%
VPL
Vanguard FTSE Pacific ETF
2.60%-1.22%13.37%11.36%4.81%5.01%
IJR
iShares Core S&P Small-Cap ETF
-3.16%-1.17%13.19%11.24%7.28%8.38%
VGK
Vanguard FTSE Europe ETF
1.47%-2.43%13.40%6.92%6.51%4.24%
IJS
iShares S&P SmallCap 600 Value ETF
-6.35%-2.13%10.81%6.08%6.26%7.24%
VTV
Vanguard Value ETF
5.19%-0.74%14.20%14.24%10.21%10.02%
EEM
iShares MSCI Emerging Markets ETF
0.80%-0.59%8.28%4.78%0.37%1.85%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.84%1.97%2.20%
2023-2.90%-2.03%5.58%4.85%

Expense Ratio

The Bill Bernstein Coward's Portfolio features an expense ratio of 0.15%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.68%
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

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.


Bill Bernstein Coward's Portfolio
Sharpe ratio
The chart of Sharpe ratio for Bill Bernstein Coward's Portfolio, currently valued at 1.14, compared to the broader market0.002.004.001.14
Sortino ratio
The chart of Sortino ratio for Bill Bernstein Coward's Portfolio, currently valued at 1.74, compared to the broader market-2.000.002.004.006.001.74
Omega ratio
The chart of Omega ratio for Bill Bernstein Coward's Portfolio, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for Bill Bernstein Coward's Portfolio, currently valued at 0.84, compared to the broader market0.002.004.006.008.0010.0012.000.84
Martin ratio
The chart of Martin ratio for Bill Bernstein Coward's Portfolio, currently valued at 3.70, compared to the broader market0.0010.0020.0030.0040.0050.003.70
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
0.160.371.040.090.46
VV
Vanguard Large-Cap ETF
2.353.381.411.8410.16
SHY
iShares 1-3 Year Treasury Bond ETF
1.031.601.180.573.18
VPL
Vanguard FTSE Pacific ETF
0.891.321.150.583.00
IJR
iShares Core S&P Small-Cap ETF
0.581.011.110.461.85
VGK
Vanguard FTSE Europe ETF
0.620.971.110.521.84
IJS
iShares S&P SmallCap 600 Value ETF
0.270.571.060.250.83
VTV
Vanguard Value ETF
1.422.081.251.504.78
EEM
iShares MSCI Emerging Markets ETF
0.380.651.070.171.01

Sharpe Ratio

The current Bill Bernstein Coward's Portfolio Sharpe ratio is 1.14. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.14

The Sharpe ratio of Bill Bernstein Coward's Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.14
2.15
Bill Bernstein Coward's Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bill Bernstein Coward's Portfolio granted a 2.68% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bill Bernstein Coward's Portfolio2.68%2.50%1.86%1.27%1.47%2.22%2.23%1.65%1.65%1.61%1.49%1.34%
VNQ
Vanguard Real Estate ETF
4.23%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VV
Vanguard Large-Cap ETF
1.36%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
SHY
iShares 1-3 Year Treasury Bond ETF
3.34%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
VPL
Vanguard FTSE Pacific ETF
3.24%3.12%2.75%3.19%1.81%2.84%3.06%2.57%2.65%2.43%2.69%2.49%
IJR
iShares Core S&P Small-Cap ETF
1.36%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%
VGK
Vanguard FTSE Europe ETF
3.36%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
IJS
iShares S&P SmallCap 600 Value ETF
1.56%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
VTV
Vanguard Value ETF
2.47%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%
EEM
iShares MSCI Emerging Markets ETF
2.61%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.47%
-2.49%
Bill Bernstein Coward's Portfolio
Benchmark (^GSPC)
Portfolio components

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 2.47%.


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
-16.64%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

Volatility

Volatility Chart

The current Bill Bernstein Coward's Portfolio volatility is 2.48%, 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%NovemberDecember2024FebruaryMarchApril
2.48%
3.24%
Bill Bernstein Coward's Portfolio
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.

SHYVNQEEMVPLVGKIJSIJRVTVVV
SHY1.00-0.07-0.17-0.13-0.14-0.21-0.20-0.23-0.21
VNQ-0.071.000.530.530.560.680.680.690.68
EEM-0.170.531.000.800.770.670.680.720.76
VPL-0.130.530.801.000.790.670.690.730.76
VGK-0.140.560.770.791.000.700.710.790.80
IJS-0.210.680.670.670.701.000.980.850.83
IJR-0.200.680.680.690.710.981.000.850.85
VTV-0.230.690.720.730.790.850.851.000.93
VV-0.210.680.760.760.800.830.850.931.00