PF4
Asset Allocation
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
The earliest data available for this chart is Sep 14, 2010, corresponding to the inception date of GNR
Returns By Period
As of Jul 25, 2024, the PF4 returned 6.75% Year-To-Date and 6.90% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| PF4 | 6.52% | 0.28% | 6.54% | 10.91% | 7.62% | 6.90% |
| Portfolio components: | ||||||
VEU Vanguard FTSE All-World ex-US ETF | 5.62% | 0.21% | 6.96% | 8.49% | 5.95% | 4.14% |
VWO Vanguard FTSE Emerging Markets ETF | 5.71% | -0.98% | 8.19% | 6.53% | 3.41% | 2.52% |
VNQ Vanguard Real Estate ETF | 1.73% | 6.97% | 5.82% | 8.37% | 3.80% | 5.64% |
VTI Vanguard Total Stock Market ETF | 13.14% | -0.48% | 10.85% | 20.07% | 13.36% | 12.09% |
CMF iShares California Muni Bond ETF | 0.11% | 0.69% | 0.94% | 3.07% | 0.69% | 1.99% |
GNR SPDR S&P Global Natural Resources ETF | 0.07% | 0.14% | 5.37% | 1.06% | 8.18% | 3.81% |
DBC Invesco DB Commodity Index Tracking Fund | 1.95% | -3.19% | -0.62% | -3.50% | 9.25% | -0.46% |
Monthly Returns
The table below presents the monthly returns of PF4, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.37% | 2.85% | 2.28% | -2.79% | 2.80% | 1.50% | 6.52% | ||||||
| 2023 | 6.02% | -3.21% | 2.24% | 0.64% | -1.36% | 4.41% | 2.84% | -2.34% | -3.54% | -2.40% | 7.65% | 4.26% | 15.41% |
| 2022 | -3.80% | -1.62% | 0.83% | -6.02% | 0.82% | -6.02% | 5.47% | -3.22% | -7.81% | 4.14% | 6.91% | -3.48% | -14.07% |
| 2021 | 0.29% | 1.76% | 2.17% | 3.42% | 1.06% | 1.20% | 0.60% | 1.41% | -2.91% | 3.77% | -1.60% | 3.05% | 14.93% |
| 2020 | -0.64% | -4.85% | -11.27% | 7.13% | 4.77% | 2.14% | 4.12% | 3.80% | -2.21% | -1.51% | 8.72% | 3.65% | 12.79% |
| 2019 | 6.16% | 1.90% | 1.58% | 2.27% | -3.71% | 4.49% | 0.41% | -0.97% | 1.13% | 1.76% | 1.72% | 2.54% | 20.69% |
| 2018 | 3.19% | -3.45% | -0.54% | 0.17% | 1.44% | -0.13% | 1.99% | 0.96% | -0.13% | -5.46% | 1.54% | -4.62% | -5.31% |
| 2017 | 1.76% | 2.08% | 0.62% | 0.91% | 1.32% | 0.48% | 2.10% | 0.61% | 1.21% | 1.44% | 1.31% | 1.43% | 16.34% |
| 2016 | -3.57% | -0.20% | 5.60% | 1.30% | 0.41% | 1.29% | 2.63% | 0.10% | 0.28% | -1.70% | 0.06% | 1.93% | 8.15% |
| 2015 | -0.42% | 3.07% | -0.92% | 1.12% | -0.01% | -1.77% | 0.53% | -4.66% | -1.67% | 5.13% | -0.23% | -1.35% | -1.49% |
| 2014 | -1.72% | 3.96% | 0.51% | 1.02% | 1.76% | 1.76% | -1.00% | 2.53% | -2.62% | 1.83% | 0.77% | -0.69% | 8.18% |
| 2013 | 3.26% | 0.11% | 1.37% | 1.84% | -0.70% | -3.01% | 3.25% | -2.32% | 4.11% | 3.45% | 0.71% | 1.09% | 13.65% |
Expense Ratio
PF4 has an expense ratio of 0.14%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of PF4 is 25, 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VEU Vanguard FTSE All-World ex-US ETF | 0.70 | 1.06 | 1.12 | 0.46 | 2.01 |
VWO Vanguard FTSE Emerging Markets ETF | 0.45 | 0.74 | 1.09 | 0.22 | 1.22 |
VNQ Vanguard Real Estate ETF | 0.35 | 0.64 | 1.08 | 0.19 | 0.90 |
VTI Vanguard Total Stock Market ETF | 1.62 | 2.29 | 1.28 | 1.37 | 5.98 |
CMF iShares California Muni Bond ETF | 0.69 | 1.03 | 1.12 | 0.27 | 1.53 |
GNR SPDR S&P Global Natural Resources ETF | -0.04 | 0.06 | 1.01 | -0.04 | -0.11 |
DBC Invesco DB Commodity Index Tracking Fund | -0.33 | -0.36 | 0.96 | -0.16 | -0.69 |
Dividends
Dividend yield
PF4 granted a 2.35% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PF4 | 2.35% | 2.33% | 2.20% | 1.78% | 1.78% | 2.26% | 2.47% | 2.11% | 2.30% | 2.50% | 2.48% | 2.46% |
| Portfolio components: | ||||||||||||
VEU Vanguard FTSE All-World ex-US ETF | 3.10% | 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 | 3.24% | 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 | 4.04% | 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 | 1.37% | 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 | 2.57% | 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 | 3.53% | 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 | 4.85% | 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.
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 2.71%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.41% | Feb 20, 2020 | 23 | Mar 23, 2020 | 99 | Aug 12, 2020 | 122 |
| -20.31% | Jan 4, 2022 | 187 | Sep 30, 2022 | 341 | Feb 9, 2024 | 528 |
| -14.59% | May 2, 2011 | 108 | Oct 3, 2011 | 84 | Feb 2, 2012 | 192 |
| -14.13% | Dec 29, 2014 | 283 | Feb 11, 2016 | 126 | Aug 11, 2016 | 409 |
| -12.28% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
Volatility
Volatility Chart
The current PF4 volatility is 2.34%, 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.
Diversification
Asset Correlations Table
| CMF | DBC | VNQ | VWO | VTI | GNR | VEU | |
|---|---|---|---|---|---|---|---|
| CMF | 1.00 | -0.04 | 0.09 | -0.02 | -0.07 | -0.08 | -0.03 |
| DBC | -0.04 | 1.00 | 0.19 | 0.41 | 0.35 | 0.59 | 0.43 |
| VNQ | 0.09 | 0.19 | 1.00 | 0.48 | 0.65 | 0.48 | 0.56 |
| VWO | -0.02 | 0.41 | 0.48 | 1.00 | 0.72 | 0.75 | 0.88 |
| VTI | -0.07 | 0.35 | 0.65 | 0.72 | 1.00 | 0.73 | 0.83 |
| GNR | -0.08 | 0.59 | 0.48 | 0.75 | 0.73 | 1.00 | 0.83 |
| VEU | -0.03 | 0.43 | 0.56 | 0.88 | 0.83 | 0.83 | 1.00 |