PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Bob Clyatt Sandwich Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


IEI 41%BIL 4%VV 20%SCZ 10%IJR 8%EEM 6%VEU 6%VNQ 5%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds

41%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

4%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

20%

SCZ
iShares MSCI EAFE Small-Cap ETF
Foreign Small & Mid Cap Equities

10%

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

8%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

6%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

6%

VNQ
Vanguard Real Estate ETF
REIT

5%

S&P 500

Expense Ratio

The Bob Clyatt Sandwich Portfolio features an expense ratio of 0.17%, 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%0.40%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%

Asset Correlations Table

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

BILIEIVNQEEMSCZIJRVVVEU
BIL1.000.02-0.02-0.01-0.02-0.02-0.02-0.02
IEI0.021.00-0.09-0.23-0.19-0.29-0.29-0.23
VNQ-0.02-0.091.000.530.570.680.690.59
EEM-0.01-0.230.531.000.780.670.760.89
SCZ-0.02-0.190.570.781.000.710.780.91
IJR-0.02-0.290.680.670.711.000.850.75
VV-0.02-0.290.690.760.780.851.000.84
VEU-0.02-0.230.590.890.910.750.841.00

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bob Clyatt Sandwich 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


100.00%150.00%200.00%250.00%OctoberNovemberDecember2024FebruaryMarch
131.39%
246.39%
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 12, 2007, corresponding to the inception date of SCZ

Returns By Period

As of Mar 16, 2024, the Bob Clyatt Sandwich Portfolio returned 1.06% Year-To-Date and 5.25% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.96%2.87%15.63%31.48%12.80%10.71%
Bob Clyatt Sandwich Portfolio1.16%1.14%7.63%11.62%5.37%5.35%
VV
Vanguard Large-Cap ETF
8.27%2.87%16.68%34.16%14.59%12.65%
EEM
iShares MSCI Emerging Markets ETF
1.57%1.90%6.48%11.51%0.96%2.69%
VNQ
Vanguard Real Estate ETF
-3.54%1.02%7.45%10.47%3.75%6.11%
IEI
iShares 3-7 Year Treasury Bond ETF
-1.37%-0.01%2.57%0.18%0.28%1.06%
SCZ
iShares MSCI EAFE Small-Cap ETF
0.87%3.12%9.22%13.42%4.21%4.74%
VEU
Vanguard FTSE All-World ex-US ETF
3.70%3.18%10.39%18.88%5.90%4.86%
IJR
iShares Core S&P Small-Cap ETF
-2.33%-1.54%9.82%15.36%8.05%8.15%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.11%0.40%2.65%5.14%1.86%1.20%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.69%1.44%
2023-1.87%-3.15%-2.14%6.08%4.62%

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.54
Bob Clyatt Sandwich Portfolio
1.47
VV
Vanguard Large-Cap ETF
2.74
EEM
iShares MSCI Emerging Markets ETF
0.74
VNQ
Vanguard Real Estate ETF
0.42
IEI
iShares 3-7 Year Treasury Bond ETF
0.19
SCZ
iShares MSCI EAFE Small-Cap ETF
0.88
VEU
Vanguard FTSE All-World ex-US ETF
1.42
IJR
iShares Core S&P Small-Cap ETF
0.62
BIL
SPDR Barclays 1-3 Month T-Bill ETF
18.69

Sharpe Ratio

The current Bob Clyatt Sandwich Portfolio Sharpe ratio is 1.52. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.52

The Sharpe ratio of Bob Clyatt Sandwich 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 Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
1.47
2.54
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bob Clyatt Sandwich Portfolio granted a 2.49% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bob Clyatt Sandwich Portfolio2.49%2.40%1.79%1.39%1.41%2.26%2.25%1.81%1.85%1.81%1.74%1.49%
VV
Vanguard Large-Cap ETF
1.31%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
EEM
iShares MSCI Emerging Markets ETF
2.59%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
VNQ
Vanguard Real Estate ETF
4.10%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
IEI
iShares 3-7 Year Treasury Bond ETF
2.57%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%
SCZ
iShares MSCI EAFE Small-Cap ETF
2.93%2.96%1.99%2.96%1.52%3.51%2.79%2.38%2.82%2.06%2.61%2.39%
VEU
Vanguard FTSE All-World ex-US ETF
3.58%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
IJR
iShares Core S&P Small-Cap ETF
1.35%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.10%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-3.82%
-0.50%
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bob Clyatt Sandwich 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 Bob Clyatt Sandwich Portfolio was 32.62%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.

The current Bob Clyatt Sandwich Portfolio drawdown is 3.92%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.62%May 20, 2008202Mar 9, 2009274Apr 9, 2010476
-20.47%Nov 8, 2021236Oct 14, 2022
-18.13%Feb 13, 202027Mar 23, 202053Jun 8, 202080
-11.3%Jul 8, 201161Oct 3, 201183Feb 1, 2012144
-9.81%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288

Volatility

Volatility Chart

The current Bob Clyatt Sandwich Portfolio volatility is 1.56%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
1.56%
3.37%
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components
0 comments