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Bogleheads Three-fund Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BND 20%VTI 50%VEA 30%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

20%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

30%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bogleheads Three-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


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
9.00%
15.31%
Bogleheads Three-fund Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA

Returns By Period

As of Jun 20, 2024, the Bogleheads Three-fund Portfolio returned 8.40% Year-To-Date and 7.91% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.75%2.85%15.30%25.37%13.19%10.82%
Bogleheads Three-fund Portfolio8.36%0.75%9.00%16.59%9.27%7.92%
VTI
Vanguard Total Stock Market ETF
13.96%2.39%14.51%26.07%14.08%12.17%
BND
Vanguard Total Bond Market ETF
0.04%1.16%0.23%2.83%-0.08%1.42%
VEA
Vanguard FTSE Developed Markets ETF
4.74%-2.27%5.84%10.77%6.72%4.52%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.20%3.21%2.92%-3.68%4.11%8.36%
20236.83%-2.78%2.68%1.44%-1.14%4.68%2.75%-2.29%-4.04%-2.64%8.25%5.04%19.40%
2022-4.60%-2.26%1.23%-7.39%0.55%-7.16%6.73%-4.17%-8.41%5.63%7.12%-3.75%-16.74%
2021-0.55%1.99%2.43%3.61%1.32%1.14%1.26%1.79%-3.46%4.31%-2.09%3.11%15.60%
2020-0.54%-5.92%-11.50%9.21%4.56%2.34%3.96%4.98%-2.41%-2.15%10.39%4.10%15.91%
20196.74%2.50%1.26%2.81%-4.48%5.51%0.13%-1.06%1.69%2.08%2.30%2.48%23.76%
20183.79%-3.65%-0.97%0.44%1.07%-0.13%2.34%1.34%0.20%-6.45%1.28%-5.82%-6.91%
20172.07%2.28%0.95%1.35%1.68%0.67%1.89%0.25%1.88%1.61%1.76%1.19%19.05%
2016-4.27%-0.73%5.77%1.10%0.77%-0.07%3.36%0.17%0.61%-2.01%1.28%1.81%7.72%
2015-0.67%4.41%-0.84%1.40%0.53%-1.94%1.47%-5.27%-2.45%6.00%0.00%-1.75%0.38%
2014-2.84%4.27%0.12%0.66%1.79%1.64%-1.76%2.38%-2.39%1.41%1.42%-1.10%5.48%
20133.74%0.41%2.40%2.57%-0.08%-1.88%4.50%-2.18%4.57%3.26%1.51%1.83%22.37%

Expense Ratio

Bogleheads Three-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.


Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Bogleheads Three-fund Portfolio is 39, 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 Bogleheads Three-fund Portfolio is 3939
Bogleheads Three-fund Portfolio
The Sharpe Ratio Rank of Bogleheads Three-fund Portfolio is 4040Sharpe Ratio Rank
The Sortino Ratio Rank of Bogleheads Three-fund Portfolio is 4242Sortino Ratio Rank
The Omega Ratio Rank of Bogleheads Three-fund Portfolio is 4242Omega Ratio Rank
The Calmar Ratio Rank of Bogleheads Three-fund Portfolio is 3333Calmar Ratio Rank
The Martin Ratio Rank of Bogleheads Three-fund Portfolio is 3636Martin 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.


Bogleheads Three-fund Portfolio
Sharpe ratio
The chart of Sharpe ratio for Bogleheads Three-fund Portfolio, currently valued at 1.67, compared to the broader market0.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for Bogleheads Three-fund Portfolio, currently valued at 2.43, compared to the broader market-2.000.002.004.006.002.43
Omega ratio
The chart of Omega ratio for Bogleheads Three-fund Portfolio, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for Bogleheads Three-fund Portfolio, currently valued at 1.13, compared to the broader market0.002.004.006.008.0010.001.13
Martin ratio
The chart of Martin ratio for Bogleheads Three-fund Portfolio, currently valued at 5.20, compared to the broader market0.0010.0020.0030.0040.0050.005.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.19, compared to the broader market0.002.004.006.002.19
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.75, compared to the broader market0.002.004.006.008.0010.001.75
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.21, compared to the broader market0.0010.0020.0030.0040.0050.008.21

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.183.071.381.807.97
BND
Vanguard Total Bond Market ETF
0.460.701.080.171.27
VEA
Vanguard FTSE Developed Markets ETF
0.871.301.160.662.65

Sharpe Ratio

The current Bogleheads Three-fund Portfolio Sharpe ratio is 1.60. 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 1.41 to 2.39, 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 Bogleheads Three-fund 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.67
2.19
Bogleheads Three-fund Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bogleheads Three-fund Portfolio granted a 2.06% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bogleheads Three-fund Portfolio2.06%2.28%2.23%1.95%1.77%2.34%2.59%2.19%2.38%2.38%2.54%2.21%
VTI
Vanguard Total Stock Market ETF
1.31%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
3.37%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
2.42%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.04%
-0.25%
Bogleheads Three-fund Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bogleheads Three-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 Three-fund Portfolio was 47.74%, occurring on Mar 9, 2009. Recovery took 539 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.74%Nov 1, 2007339Mar 9, 2009539Apr 27, 2011878
-28.12%Feb 13, 202027Mar 23, 202095Aug 6, 2020122
-24.47%Nov 9, 2021235Oct 14, 2022329Feb 7, 2024564
-17.25%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-15.25%Jan 29, 2018229Dec 24, 201881Apr 23, 2019310

Volatility

Volatility Chart

The current Bogleheads Three-fund Portfolio volatility is 2.32%, 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.


2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.32%
2.37%
Bogleheads Three-fund 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.

BNDVEAVTI
BND1.00-0.12-0.17
VEA-0.121.000.84
VTI-0.170.841.00
The correlation results are calculated based on daily price changes starting from Jul 27, 2007