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Bogleheads Four-fund Portfolio
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Benchmark: S&P 500 Index · Rebalance: Every 3 months

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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 Every 3 months.


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Benchmark

Compare your portfolio against anything

Returns By Period

As of Aug 3, 2026, the Bogleheads Four-fund Portfolio returned 9.45% Year-To-Date and 10.82% of annualized return in the last 10 years.


Position1D1M6MYTD1Y3Y*5Y*10Y*ALL TIME*
Benchmark
S&P 500 Index
0.70%0.09%7.94%9.41%20.07%17.84%11.25%13.26%8.09%
Portfolio
Bogleheads Four-fund Portfolio
0.02%-0.38%6.63%9.45%20.02%15.81%8.90%10.82%9.91%
BND
Vanguard Total Bond Market ETF
-0.26%-1.20%-0.75%-0.54%1.75%3.92%-0.42%1.36%2.99%
BNDX
Vanguard Total International Bond ETF
-0.23%-0.97%-0.29%0.22%0.83%4.00%-0.07%1.51%2.25%
VEA
Vanguard FTSE Developed Markets ETF
-0.66%-0.27%7.42%13.84%29.71%18.08%9.76%10.05%5.13%
VTI
Vanguard Total Stock Market ETF
0.53%-0.15%8.77%10.49%21.84%18.92%11.74%14.63%9.58%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 4, 2013, Bogleheads Four-fund Portfolio's average daily return is +0.04%, while the average monthly return is +0.85%. At this rate, an investment would double in approximately 6.8 years.

Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +10.4%, while the worst month was Mar 2020 at -11.6%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Bogleheads Four-fund Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +7.2%, while the worst single day was Mar 12, 2020 at -8.9%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20262.64%1.94%-5.54%7.48%4.05%-0.23%-0.76%9.45%
20252.95%0.11%-2.90%0.97%4.56%3.87%0.69%2.67%2.68%1.78%0.50%0.88%20.19%
20240.18%3.25%2.93%-3.63%4.03%1.21%2.31%2.18%1.60%-2.31%3.77%-2.85%13.00%
20236.78%-2.72%2.68%1.43%-1.08%4.68%2.75%-2.25%-4.01%-2.57%8.19%5.02%19.56%
2022-4.56%-2.26%1.26%-7.34%0.47%-7.16%6.77%-4.21%-8.35%5.72%7.05%-3.84%-16.72%
2021-0.54%1.99%2.49%3.56%1.32%1.12%1.27%1.78%-3.47%4.29%-2.05%3.12%15.61%

Benchmark Metrics

Bogleheads Four-fund Portfolio has an annualized alpha of 0.51%, beta of 0.76, and R2 of 0.94 versus S&P 500 Index. Calculated based on daily prices since June 04, 2013.

  • This portfolio participated in 82.61% of S&P 500 Index downside but only 77.26% of its upside - more exposed to losses than it benefited from rallies.

Alpha
0.51%
Beta
0.76
0.94
Upside Capture
77.26%
Downside Capture
82.61%

Expense Ratio

Bogleheads Four-fund Portfolio has an expense ratio of 0.03%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Return for Risk

Risk / Return Rank

Bogleheads Four-fund Portfolio ranks 54 for risk / return — above 54% of Portfolios peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.


Bogleheads Four-fund Portfolio Risk / Return Rank: 5454
Overall Rank
Bogleheads Four-fund Portfolio Sharpe Ratio Rank: 5353
Sharpe Ratio Rank
Bogleheads Four-fund Portfolio Sortino Ratio Rank: 5555
Sortino Ratio Rank
Bogleheads Four-fund Portfolio Omega Ratio Rank: 5555
Omega Ratio Rank
Bogleheads Four-fund Portfolio Calmar Ratio Rank: 4949
Calmar Ratio Rank
Bogleheads Four-fund Portfolio Martin Ratio Rank: 5959
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

Risk / Return Metrics

The table below presents risk-adjusted performance metrics for Bogleheads Four-fund Portfolio and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

1.65

1.42

+0.24

Sortino ratioReturn per unit of downside risk

2.34

1.98

+0.36

Omega ratioGain probability vs. loss probability

1.30

1.25

+0.05

Calmar ratioReturn relative to maximum drawdown

2.33

2.00

+0.33

Martin ratioReturn relative to average drawdown

9.85

8.49

+1.35


How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
29
0.721.061.120.992.48
BNDX
Vanguard Total International Bond ETF
18
0.340.501.060.411.04
VEA
Vanguard FTSE Developed Markets ETF
73
1.712.371.312.539.44
VTI
Vanguard Total Stock Market ETF
65
1.522.121.272.239.62

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Bogleheads Four-fund Portfolio Sharpe ratio is 1.65 as of Aug 3, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.19 to 2.01, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Bogleheads Four-fund Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Dividends

Dividend yield

Bogleheads Four-fund Portfolio provided a 2.07% dividend yield over the last twelve months.


PositionTTM20252024202320222021202020192018201720162015
Portfolio2.07%2.32%2.40%2.35%2.17%2.06%1.74%2.38%2.60%2.18%2.35%2.33%
BND
Vanguard Total Bond Market ETF
3.69%3.86%3.67%3.09%2.60%2.12%2.38%2.72%2.81%2.54%2.51%2.57%
BNDX
Vanguard Total International Bond ETF
4.31%4.39%4.18%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%
VEA
Vanguard FTSE Developed Markets ETF
2.57%3.22%3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%
VTI
Vanguard Total Stock Market ETF
1.06%1.12%1.27%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%

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.


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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 1.46%.


Drawdown

Fall

Recovery

Underwater

Related event

-28.24%Mar 2020
1mo 9d4mo 22d
6mo 1dFeb 2020 - Aug 2020
COVID crash2020
-24.36%Oct 2022
11mo 7d1y 3mo
2y 2moNov 2021 - Feb 2024
Bear market2022
-15.13%Dec 2018
10mo 29d3mo 19d
1y 2moJan 2018 - Apr 2019
Rate-hike selloffLate 2018
-13.80%Feb 2016
8mo 25d5mo 19d
1y 2moMay 2015 - Jul 2016
-13.02%Apr 2025
1mo 18d1mo 7d
2mo 25dFeb 2025 - May 2025
2025 selloff2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

AI Analysis


The gist

The portfolio is a conventional global 60/20/20-ish mix: U.S. and foreign equities, with bonds supplying the ballast. The ballast exists, but the equity and bond sleeves each behave like one position.

The numbers

  • Diversification ratio is 1.08–1.11, only the 12th–26th percentile across platform portfolios: modest benefit, not much correlation magic.
  • Effective asset count is 2.74 of 4, reflecting two dominant clusters rather than four independent risks.
  • Vanguard Total Stock Market ETF (VTI) and Vanguard FTSE Developed Markets ETF (VEA) correlate at 0.81; Vanguard Total Bond Market ETF (BND) and Vanguard Total International Bond ETF (BNDX) at 0.73.

The good

  • The portfolio has genuine cross-asset structure: equities and bonds have near-zero measured correlation, especially VTI with BNDX at 0.02.
  • The 20% bond allocation is meaningful enough to affect portfolio behavior rather than decorate it.

The bad

  • VTI and VEA account for 80% of the portfolio and largely express one global equity risk.
  • BND and BNDX diversify geography more than behavior; both remain bond-market exposure.

The ugly

  • A global equity selloff can pull VTI and VEA together, while rising rates can pressure both bond sleeves. The four tickers then become two trades.

Next steps

  • Portfolios with this profile are typically complemented by exposures whose drivers sit outside both equity and duration risk.
AI-generated analysis. Not investment advice. Verify key facts independently.
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Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 2.74, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest.


Diversification Ratio
1Y
3Y
5Y
10Y
All Time
Diversification Ratio

1.08

1.11

1.11

1.09

1.09

The portfolio has a diversification ratio of 1.09, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.

Bogleheads Four-fund Portfolio correlation to the S&P 500 Index

Bogleheads Four-fund Portfolio has a 0.95 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.95

Correlation (3Y)
Balances recent behavior with more history.

0.94

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.95

Correlation (10Y)
Provides a long-term view across more market conditions.

0.96

Correlation (All Time)
Calculated using the full available price history since Jun 4, 2013

0.96


Benchmark Correlations

Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BND has the lowest at -0.00.

BND
-0.00
BNDX
0.02
VEA
0.80
VTI
0.99

Portfolio Correlations

Correlation vs. Bogleheads Four-fund Portfolio. VTI has the highest portfolio correlation at 0.97, while BND has the lowest at 0.09.

BND
0.09
BNDX
0.09
VEA
0.92
VTI
0.97

Asset Correlations Table

See how each holding historically moved in relation to the other holdings, the portfolio, and the selected benchmark.

BNDBNDXVEAVTI
BND1.000.730.060.00
BNDX0.731.000.050.02
VEA0.060.051.000.81
VTI0.000.020.811.00
Based on daily historical returns since Jun 4, 2013
Diversification Analysis

Find what Bogleheads Four-fund Portfolio is missing

See which holdings overlap, where Bogleheads Four-fund Portfolio is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification