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BB Portfolio
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Risk-Adjusted Performance
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BB Portfolio

Last updated Nov 13, 2024

Asset Allocation

BNDW 5%GLD 5%LYTR.DE 5%USDC-USD 15%BTC-USD 10%SOL-USD 3%EUR=X 27%DURA 15%URTH 15%BondBondCommodityCommodityCryptocurrencyCryptocurrencyCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
BNDW
Vanguard Total World Bond ETF		Total Bond Market
5%
BTC-USD
Bitcoin
10%
DURA
VanEck Vectors Morningstar Durable Dividend ETF		Large Cap Blend Equities, Dividend
15%
EUR=X
USD/EUR
27%
GLD
SPDR Gold Trust		Precious Metals, Gold
5%
LYTR.DE
Amundi Bloomberg Equal-Weight Commodity Ex-Agriculture UCITS ETF Acc		Commodities
5%
SOL-USD
Solana
3%
URTH
iShares MSCI World ETF		Large Cap Growth Equities
15%
USDC-USD
USDCoin
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BB 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
8.89%
14.06%
BB Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 26, 2020, corresponding to the inception date of SOL-USD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
BB Portfolio20.08%4.66%8.89%34.02%N/AN/A
Portfolio components:
USDC-USD
USDCoin		0.00%0.03%0.00%0.01%-0.16%N/A
DURA
VanEck Vectors Morningstar Durable Dividend ETF		13.43%-0.96%8.35%21.56%7.20%N/A
URTH
iShares MSCI World ETF		20.64%1.04%10.57%31.67%12.64%10.30%
BTC-USD
Bitcoin		108.10%39.94%42.89%140.96%58.81%72.54%
GLD
SPDR Gold Trust		25.57%-2.21%10.07%32.98%11.66%7.71%
EUR=X
USD/EUR		-0.01%0.00%0.04%-0.01%0.70%1.58%
BNDW
Vanguard Total World Bond ETF		2.22%-0.74%3.43%8.08%-0.13%N/A
LYTR.DE
Amundi Bloomberg Equal-Weight Commodity Ex-Agriculture UCITS ETF Acc		3.69%-5.43%-5.58%3.97%7.82%1.36%
SOL-USD
Solana		109.08%43.82%49.43%308.87%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.15%5.93%5.90%-3.18%2.81%-0.71%1.98%-0.43%2.00%1.02%20.08%
20239.69%-2.07%3.74%1.04%-2.08%2.45%1.74%-2.48%-1.02%4.76%6.01%8.56%33.74%
2022-3.46%0.97%2.40%-4.39%-1.78%-6.08%4.27%-4.02%-3.37%3.18%-0.23%-1.73%-13.88%
20216.25%20.50%14.29%5.03%-3.78%-0.20%2.94%8.43%0.05%7.00%-2.07%-1.04%70.90%
20201.42%-3.55%0.40%9.32%8.78%16.80%

Expense Ratio

BB Portfolio has an expense ratio of 0.12%, 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.

DURA
VanEck Vectors Morningstar Durable Dividend ETF
Expense ratio chart for DURA: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
URTH
iShares MSCI World ETF
Expense ratio chart for URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
GLD
SPDR Gold Trust
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%
LYTR.DE
Amundi Bloomberg Equal-Weight Commodity Ex-Agriculture UCITS ETF Acc
Expense ratio chart for LYTR.DE: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
BNDW
Vanguard Total World Bond ETF
Expense ratio chart for BNDW: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of BB Portfolio is 15, indicating that it is in the bottom 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of BB Portfolio is 1515
Combined Rank
The Sharpe Ratio Rank of BB Portfolio is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of BB Portfolio is 1818Sortino Ratio Rank
The Omega Ratio Rank of BB Portfolio is 1212Omega Ratio Rank
The Calmar Ratio Rank of BB Portfolio is 99Calmar Ratio Rank
The Martin Ratio Rank of BB Portfolio is 2222Martin 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.

BB Portfolio
Sharpe ratio
The chart of Sharpe ratio for BB Portfolio, currently valued at 1.75, compared to the broader market0.002.004.006.001.75
Sortino ratio
The chart of Sortino ratio for BB Portfolio, currently valued at 2.62, compared to the broader market-2.000.002.004.006.002.62
Omega ratio
The chart of Omega ratio for BB Portfolio, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.802.001.28
Calmar ratio
The chart of Calmar ratio for BB Portfolio, currently valued at 0.96, compared to the broader market0.005.0010.0015.000.96
Martin ratio
The chart of Martin ratio for BB Portfolio, currently valued at 10.50, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.50
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
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 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
USDC-USD
USDCoin		0.150.221.020.000.85
DURA
VanEck Vectors Morningstar Durable Dividend ETF		2.012.941.361.1711.94
URTH
iShares MSCI World ETF		1.632.251.290.679.46
BTC-USD
Bitcoin		0.951.651.160.773.89
GLD
SPDR Gold Trust		1.992.621.341.5113.32
EUR=X
USD/EUR		0.020.031.000.000.10
BNDW
Vanguard Total World Bond ETF		0.921.321.160.054.16
LYTR.DE
Amundi Bloomberg Equal-Weight Commodity Ex-Agriculture UCITS ETF Acc		0.230.441.050.020.49
SOL-USD
Solana		1.211.941.190.974.18

Sharpe Ratio

The current BB Portfolio Sharpe ratio is 1.75. 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 2.07 to 2.98, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of BB 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.75
2.90
BB Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BB Portfolio provided a 0.86% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.86%0.98%0.81%0.79%0.83%0.94%0.53%0.28%0.32%0.35%0.35%0.16%
Portfolio components:
USDC-USD
USDCoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DURA
VanEck Vectors Morningstar Durable Dividend ETF		2.92%3.58%3.01%2.89%3.49%3.08%0.66%0.00%0.00%0.00%0.00%0.00%
URTH
iShares MSCI World ETF		1.43%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%1.04%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
EUR=X
USD/EUR		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BNDW
Vanguard Total World Bond ETF		4.17%3.73%2.02%2.58%1.56%3.05%1.66%0.00%0.00%0.00%0.00%0.00%
LYTR.DE
Amundi Bloomberg Equal-Weight Commodity Ex-Agriculture UCITS ETF Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOL-USD
Solana		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%JuneJulyAugustSeptemberOctoberNovember
-0.58%
-0.29%
BB Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BB 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 BB Portfolio was 20.36%, occurring on Nov 9, 2022. Recovery took 371 trading sessions.

The current BB Portfolio drawdown is 0.58%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.36%Nov 9, 2021366Nov 9, 2022371Nov 15, 2023737
-8.16%Feb 25, 20214Feb 28, 202127Mar 27, 202131
-7.58%May 9, 202173Jul 20, 202124Aug 13, 202197
-7.13%Sep 7, 202115Sep 21, 202128Oct 19, 202143
-4.92%Sep 1, 202023Sep 23, 202043Nov 5, 202066

Volatility

Volatility Chart

The current BB Portfolio volatility is 2.73%, 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
2.73%
3.86%
BB 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.
EUR=XUSDC-USDBNDWLYTR.DEGLDSOL-USDBTC-USDDURAURTH
EUR=X1.000.03-0.01-0.000.010.020.030.050.02
USDC-USD0.031.000.000.040.01-0.04-0.060.01-0.02
BNDW-0.010.001.00-0.020.310.030.040.140.15
LYTR.DE-0.000.04-0.021.000.290.080.090.190.24
GLD0.010.010.310.291.000.090.090.150.20
SOL-USD0.02-0.040.030.080.091.000.590.150.24
BTC-USD0.03-0.060.040.090.090.591.000.170.29
DURA0.050.010.140.190.150.150.171.000.63
URTH0.02-0.020.150.240.200.240.290.631.00
The correlation results are calculated based on daily price changes starting from Aug 27, 2020