PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
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
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities
5%
IJR
iShares Core S&P Small-Cap ETF
Small Cap Growth Equities
5%
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities
10%
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds
40%
VGK
Vanguard FTSE Europe ETF
Europe Equities
5%
VNQ
Vanguard Real Estate ETF
REIT
5%
VPL
Vanguard FTSE Pacific ETF
Asia Pacific Equities
5%
VTV
Vanguard Value ETF
Large Cap Value Equities
10%
VV
Vanguard Large-Cap ETF
Large Cap Growth Equities
15%

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


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.13%
10.58%
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 Nov 2, 2024, the Bill Bernstein Coward's Portfolio returned 8.63% Year-To-Date and 6.18% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.10%-0.39%11.72%31.44%13.30%10.96%
Bill Bernstein Coward's Portfolio8.63%-1.13%6.13%16.66%6.68%6.17%
VNQ
Vanguard Real Estate ETF
8.50%-2.10%16.83%25.09%4.08%5.86%
VV
Vanguard Large-Cap ETF
21.43%-0.27%11.25%33.52%15.06%12.90%
SHY
iShares 1-3 Year Treasury Bond ETF
3.32%-0.23%2.98%5.03%1.19%1.19%
VPL
Vanguard FTSE Pacific ETF
4.25%-5.18%-0.49%11.97%4.16%5.08%
IJR
iShares Core S&P Small-Cap ETF
6.75%-1.29%6.42%22.97%8.78%9.02%
VGK
Vanguard FTSE Europe ETF
6.94%-3.29%1.85%19.25%6.93%5.64%
IJS
iShares S&P SmallCap 600 Value ETF
4.36%-0.05%7.45%20.66%7.90%7.97%
VTV
Vanguard Value ETF
17.26%-1.39%9.69%27.38%11.18%10.34%
EEM
iShares MSCI Emerging Markets ETF
11.41%-5.28%5.38%18.68%2.64%2.99%

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
2024-0.84%1.97%2.20%-2.87%2.77%0.50%3.58%1.35%1.45%-1.69%8.63%
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%13.15%
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%0.96%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%-0.12%5.18%
20132.82%0.49%1.95%1.45%0.22%-0.96%2.98%-1.94%3.16%2.40%1.22%0.93%15.59%

Expense Ratio

Bill Bernstein Coward's Portfolio has an expense ratio of 0.15%, 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 EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for IJS: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VPL: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VGK: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for IJR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VV: 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 VTV: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Bill Bernstein Coward's Portfolio is 45, 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 Bill Bernstein Coward's Portfolio is 4545
Combined Rank
The Sharpe Ratio Rank of Bill Bernstein Coward's Portfolio is 3737Sharpe Ratio Rank
The Sortino Ratio Rank of Bill Bernstein Coward's Portfolio is 4949Sortino Ratio Rank
The Omega Ratio Rank of Bill Bernstein Coward's Portfolio is 4545Omega Ratio Rank
The Calmar Ratio Rank of Bill Bernstein Coward's Portfolio is 3535Calmar Ratio Rank
The Martin Ratio Rank of Bill Bernstein Coward's Portfolio is 5959Martin 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.


Bill Bernstein Coward's Portfolio
Sharpe ratio
The chart of Sharpe ratio for Bill Bernstein Coward's Portfolio, currently valued at 2.42, compared to the broader market0.002.004.002.42
Sortino ratio
The chart of Sortino ratio for Bill Bernstein Coward's Portfolio, currently valued at 3.57, compared to the broader market-2.000.002.004.006.003.57
Omega ratio
The chart of Omega ratio for Bill Bernstein Coward's Portfolio, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.802.001.46
Calmar ratio
The chart of Calmar ratio for Bill Bernstein Coward's Portfolio, currently valued at 2.29, compared to the broader market0.002.004.006.008.0010.0012.0014.002.29
Martin ratio
The chart of Martin ratio for Bill Bernstein Coward's Portfolio, currently valued at 17.37, compared to the broader market0.0010.0020.0030.0040.0050.0017.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.52, compared to the broader market0.002.004.006.008.0010.0012.0014.003.52
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0040.0050.0018.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VNQ
Vanguard Real Estate ETF
1.862.711.341.047.27
VV
Vanguard Large-Cap ETF
3.003.961.564.3419.76
SHY
iShares 1-3 Year Treasury Bond ETF
2.764.451.582.1016.18
VPL
Vanguard FTSE Pacific ETF
1.061.541.190.945.47
IJR
iShares Core S&P Small-Cap ETF
1.492.211.261.338.42
VGK
Vanguard FTSE Europe ETF
1.742.471.301.959.86
IJS
iShares S&P SmallCap 600 Value ETF
1.322.001.241.406.14
VTV
Vanguard Value ETF
3.054.251.554.4919.78
EEM
iShares MSCI Emerging Markets ETF
1.502.181.270.747.97

Sharpe Ratio

The current Bill Bernstein Coward's Portfolio Sharpe ratio is 2.42. 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 2.14 to 2.96, 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 Bill Bernstein Coward's Portfolio 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.42
2.88
Bill Bernstein Coward's Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bill Bernstein Coward's Portfolio provided a 2.81% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.81%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
3.92%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
1.29%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
3.86%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
3.10%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
1.32%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
3.01%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
1.52%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
2.30%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
2.33%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.95%
-2.32%
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 1.95%.


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 1.78%, 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%JuneJulyAugustSeptemberOctoberNovember
1.78%
3.23%
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
SHY1.00-0.05-0.15-0.11-0.13-0.19-0.19-0.22-0.20
VNQ-0.051.000.520.530.560.680.680.690.67
EEM-0.150.521.000.800.770.660.680.720.76
VPL-0.110.530.801.000.790.670.690.730.76
VGK-0.130.560.770.791.000.700.710.780.80
IJS-0.190.680.660.670.701.000.980.850.82
IJR-0.190.680.680.690.710.981.000.850.85
VTV-0.220.690.720.730.780.850.851.000.92
VV-0.200.670.760.760.800.820.850.921.00
The correlation results are calculated based on daily price changes starting from Mar 11, 2005