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Bogleheads Four-fund Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


BND 15%BNDX 5%VTI 50%VEA 30%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

15%

BNDX
Vanguard Total International Bond ETF
Total Bond Market

5%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

50%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

30%

S&P 500

Expense Ratio

The Bogleheads Four-fund Portfolio has an expense ratio of 0.04% which is considered to be low. 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%0.07%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.03%
0.50%1.00%1.50%2.00%0.03%

Asset Correlations Table

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

BNDXBNDVEAVTI
BNDX1.000.72-0.02-0.03
BND0.721.00-0.02-0.05
VEA-0.02-0.021.000.82
VTI-0.03-0.050.821.00

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bogleheads Four-fund 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%120.00%140.00%160.00%180.00%200.00%220.00%OctoberNovemberDecember2024FebruaryMarch
143.76%
213.67%
Bogleheads Four-fund Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns By Period

As of Mar 16, 2024, the Bogleheads Four-fund Portfolio returned 4.36% Year-To-Date and 8.00% 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%
Bogleheads Four-fund Portfolio4.36%2.18%11.99%22.06%9.22%8.09%
VTI
Vanguard Total Stock Market ETF
6.95%2.11%15.69%32.05%13.74%12.01%
BND
Vanguard Total Bond Market ETF
-1.52%0.31%3.39%0.92%0.31%1.42%
VEA
Vanguard FTSE Developed Markets ETF
3.83%3.49%11.38%20.36%6.87%5.24%
BNDX
Vanguard Total International Bond ETF
-0.80%0.45%4.93%3.99%0.30%2.13%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.18%3.25%
2023-2.25%-4.01%-2.57%8.19%5.02%

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
Bogleheads Four-fund Portfolio
2.27
VTI
Vanguard Total Stock Market ETF
2.65
BND
Vanguard Total Bond Market ETF
0.17
VEA
Vanguard FTSE Developed Markets ETF
1.61
BNDX
Vanguard Total International Bond ETF
0.82

Sharpe Ratio

The current Bogleheads Four-fund Portfolio Sharpe ratio is 2.27. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.27

The Sharpe ratio of Bogleheads Four-fund Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.27
2.64
Bogleheads Four-fund Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bogleheads Four-fund Portfolio granted a 2.48% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bogleheads Four-fund Portfolio2.48%2.35%2.17%2.04%1.71%2.38%2.60%2.18%2.35%2.33%2.48%2.11%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
BND
Vanguard Total Bond Market ETF
3.25%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VEA
Vanguard FTSE Developed Markets ETF
3.64%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
BNDX
Vanguard Total International Bond ETF
4.57%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%

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
-0.91%
-1.12%
Bogleheads Four-fund Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bogleheads Four-fund 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 Bogleheads Four-fund Portfolio was 28.24%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current Bogleheads Four-fund Portfolio drawdown is 0.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.24%Feb 13, 202027Mar 23, 202099Aug 12, 2020126
-24.38%Nov 9, 2021233Oct 12, 2022327Feb 1, 2024560
-15.13%Jan 29, 2018229Dec 24, 201875Apr 12, 2019304
-13.8%May 22, 2015183Feb 11, 2016117Jul 29, 2016300
-6.87%Jul 7, 201473Oct 16, 201427Nov 24, 2014100

Volatility

Volatility Chart

The current Bogleheads Four-fund Portfolio volatility is 2.43%, 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
2.43%
3.36%
Bogleheads Four-fund Portfolio
Benchmark (^GSPC)
Portfolio components
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