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PF4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


CMF 30%DBC 2%VTI 40%VEU 15%VWO 5%GNR 3%VNQ 5%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
CMF
iShares California Muni Bond ETF
Municipal Bonds

30%

DBC
Invesco DB Commodity Index Tracking Fund
Commodities

2%

GNR
SPDR S&P Global Natural Resources ETF
Commodity Producers Equities

3%

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

15%

VNQ
Vanguard Real Estate ETF
REIT

5%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

40%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PF4, 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%20.00%NovemberDecember2024FebruaryMarchApril
14.06%
19.37%
PF4
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 14, 2010, corresponding to the inception date of GNR

Returns By Period

As of Apr 24, 2024, the PF4 returned 2.36% Year-To-Date and 6.97% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
PF42.36%-1.92%14.06%12.26%7.30%6.97%
VEU
Vanguard FTSE All-World ex-US ETF
2.57%-1.81%15.88%9.10%5.49%4.35%
VWO
Vanguard FTSE Emerging Markets ETF
1.26%-0.07%11.03%8.02%2.36%3.21%
VNQ
Vanguard Real Estate ETF
-8.20%-4.90%13.10%2.19%2.39%5.24%
VTI
Vanguard Total Stock Market ETF
6.01%-3.06%20.57%24.07%12.72%11.99%
CMF
iShares California Muni Bond ETF
-1.11%-1.13%6.38%2.15%1.04%2.09%
GNR
SPDR S&P Global Natural Resources ETF
2.37%2.51%9.89%4.29%8.44%4.68%
DBC
Invesco DB Commodity Index Tracking Fund
6.81%3.65%-0.01%2.86%9.27%-0.38%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.37%2.85%2.28%
2023-3.54%-2.40%7.65%4.26%

Expense Ratio

The PF4 features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GNR: 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%
Expense ratio chart for CMF: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VEU: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
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%

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.


PF4
Sharpe ratio
The chart of Sharpe ratio for PF4, currently valued at 1.44, compared to the broader market-1.000.001.002.003.004.005.001.44
Sortino ratio
The chart of Sortino ratio for PF4, currently valued at 2.14, compared to the broader market0.002.004.006.002.14
Omega ratio
The chart of Omega ratio for PF4, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.801.25
Calmar ratio
The chart of Calmar ratio for PF4, currently valued at 0.97, compared to the broader market0.002.004.006.008.000.97
Martin ratio
The chart of Martin ratio for PF4, currently valued at 4.37, compared to the broader market0.0010.0020.0030.0040.0050.004.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VEU
Vanguard FTSE All-World ex-US ETF
0.741.131.130.522.23
VWO
Vanguard FTSE Emerging Markets ETF
0.570.901.100.291.62
VNQ
Vanguard Real Estate ETF
0.090.281.030.050.27
VTI
Vanguard Total Stock Market ETF
1.982.851.341.547.69
CMF
iShares California Muni Bond ETF
0.580.861.100.231.35
GNR
SPDR S&P Global Natural Resources ETF
0.290.531.060.270.96
DBC
Invesco DB Commodity Index Tracking Fund
0.260.451.050.130.61

Sharpe Ratio

The current PF4 Sharpe ratio is 1.44. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.44

The Sharpe ratio of PF4 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.44
1.92
PF4
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

PF4 granted a 2.39% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
PF42.39%2.33%2.20%1.78%1.78%2.26%2.47%2.11%2.30%2.50%2.48%2.46%
VEU
Vanguard FTSE All-World ex-US ETF
3.42%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VWO
Vanguard FTSE Emerging Markets ETF
3.51%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
VNQ
Vanguard Real Estate ETF
4.30%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VTI
Vanguard Total Stock Market ETF
1.41%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
CMF
iShares California Muni Bond ETF
2.45%2.29%1.74%1.58%1.80%2.03%2.17%2.09%2.21%2.55%2.80%3.12%
GNR
SPDR S&P Global Natural Resources ETF
3.29%3.37%4.37%3.44%2.78%3.84%3.51%2.40%2.06%4.59%2.59%2.46%
DBC
Invesco DB Commodity Index Tracking Fund
4.63%4.94%0.59%0.00%0.00%1.59%1.30%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.34%
-3.50%
PF4
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PF4. 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 PF4 was 28.41%, occurring on Mar 23, 2020. Recovery took 99 trading sessions.

The current PF4 drawdown is 2.34%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.41%Feb 20, 202023Mar 23, 202099Aug 12, 2020122
-20.31%Jan 4, 2022187Sep 30, 2022341Feb 9, 2024528
-14.59%May 2, 2011108Oct 3, 201184Feb 2, 2012192
-14.13%Dec 29, 2014283Feb 11, 2016126Aug 11, 2016409
-12.28%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288

Volatility

Volatility Chart

The current PF4 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.32%
3.58%
PF4
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.

CMFDBCVNQVWOVTIGNRVEU
CMF1.00-0.050.08-0.03-0.07-0.08-0.04
DBC-0.051.000.190.410.350.590.43
VNQ0.080.191.000.480.650.480.56
VWO-0.030.410.481.000.720.760.89
VTI-0.070.350.650.721.000.730.83
GNR-0.080.590.480.760.731.000.83
VEU-0.040.430.560.890.830.831.00