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vanguard4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


URTH 100%EquityEquity
PositionCategory/SectorTarget Weight
URTH
iShares MSCI World ETF
Large Cap Growth Equities
100%

Performance

Performance Chart


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The earliest data available for this chart is Jan 12, 2012, corresponding to the inception date of URTH

Returns By Period

As of May 11, 2025, the vanguard4 returned 0.82% Year-To-Date and 9.64% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
vanguard40.82%8.80%-1.27%10.22%14.38%9.64%
URTH
iShares MSCI World ETF
0.82%8.80%-1.27%10.22%14.38%9.64%
*Annualized

Monthly Returns

The table below presents the monthly returns of vanguard4, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.32%-0.41%-4.26%0.72%1.62%0.82%
20240.89%4.53%3.30%-3.96%4.70%2.04%1.68%2.81%1.77%-2.03%4.82%-2.84%18.66%
20237.10%-2.59%3.24%1.80%-0.99%6.01%3.23%-2.21%-4.40%-2.55%9.11%4.96%23.95%
2022-5.17%-2.91%2.87%-8.38%0.44%-8.59%8.13%-4.58%-9.37%7.47%7.47%-4.67%-17.97%
2021-0.82%2.49%3.69%4.32%1.61%1.57%1.79%2.48%-4.21%5.84%-2.05%4.02%22.27%
2020-1.06%-8.25%-13.09%10.82%5.03%2.62%4.89%6.53%-3.34%-3.00%12.86%3.93%15.78%
20197.72%2.98%1.49%3.72%-5.79%6.34%0.93%-2.20%2.16%2.55%2.81%3.05%28.15%
20185.19%-4.36%-1.70%0.74%0.67%0.15%3.01%1.14%0.75%-7.13%1.13%-7.64%-8.56%
20172.78%2.62%1.03%1.68%2.08%0.40%2.43%0.09%2.11%2.13%1.96%1.57%22.95%
2016-6.11%-0.58%6.77%1.07%0.81%-0.75%4.15%0.33%0.29%-2.12%1.67%2.08%7.31%
2015-2.50%6.68%-1.44%1.78%0.43%-2.71%2.63%-6.57%-3.55%6.96%0.28%-1.76%-0.64%
2014-4.11%5.28%0.36%-0.62%3.18%1.30%-1.64%2.77%-3.21%0.85%1.79%-1.25%4.37%

Expense Ratio

vanguard4 has an expense ratio of 0.24%, 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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of vanguard4 is 52, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of vanguard4 is 5252
Overall Rank
The Sharpe Ratio Rank of vanguard4 is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of vanguard4 is 4949
Sortino Ratio Rank
The Omega Ratio Rank of vanguard4 is 5353
Omega Ratio Rank
The Calmar Ratio Rank of vanguard4 is 5353
Calmar Ratio Rank
The Martin Ratio Rank of vanguard4 is 5858
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
URTH
iShares MSCI World ETF
0.580.981.140.652.80

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.

vanguard4 Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.58
  • 5-Year: 0.85
  • 10-Year: 0.55
  • All Time: 0.66

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, 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 vanguard4 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

vanguard4 provided a 1.46% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.46%1.47%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%
URTH
iShares MSCI World ETF
1.46%1.47%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%

Monthly Dividends

The table below shows the monthly dividends paid by this portfolio.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025$0.00$0.00$0.00$0.00$0.00$0.00
2024$0.00$0.00$0.00$0.00$0.00$1.19$0.00$0.00$0.00$0.00$0.00$1.10$2.29
2023$0.00$0.00$0.00$0.00$0.00$1.17$0.00$0.00$0.00$0.00$0.00$1.09$2.26
2022$0.00$0.00$0.00$0.00$0.00$1.01$0.00$0.00$0.00$0.00$0.00$0.83$1.84
2021$0.00$0.00$0.00$0.00$0.00$1.00$0.00$0.00$0.00$0.00$0.00$1.03$2.03
2020$0.00$0.00$0.00$0.00$0.00$0.92$0.00$0.00$0.00$0.00$0.00$0.79$1.71
2019$0.00$0.00$0.00$0.00$0.00$1.21$0.00$0.00$0.00$0.00$0.00$0.92$2.13
2018$0.00$0.00$0.00$0.00$0.00$1.05$0.00$0.00$0.00$0.00$0.00$0.76$1.81
2017$0.00$0.00$0.00$0.00$0.00$0.83$0.00$0.00$0.00$0.00$0.00$0.83$1.66
2016$0.00$0.00$0.00$0.00$0.00$0.83$0.00$0.00$0.00$0.00$0.00$0.74$1.57
2015$0.00$0.00$0.00$0.00$0.00$0.89$0.00$0.00$0.00$0.00$0.00$0.75$1.64
2014$0.98$0.00$0.00$0.00$0.00$0.00$0.68$1.66

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 vanguard4. 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 vanguard4 was 34.01%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.

The current vanguard4 drawdown is 4.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.01%Feb 13, 202027Mar 23, 2020107Aug 24, 2020134
-26.05%Jan 5, 2022194Oct 12, 2022298Dec 19, 2023492
-18.89%May 20, 2015184Feb 11, 2016212Dec 13, 2016396
-18.58%Jan 29, 2018229Dec 24, 201889May 3, 2019318
-16.94%Feb 19, 202535Apr 8, 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 1 assets, with an effective number of assets of 1.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCURTHPortfolio
^GSPC1.000.880.88
URTH0.881.001.00
Portfolio0.881.001.00
The correlation results are calculated based on daily price changes starting from Jan 19, 2012