Brokerage
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Brokerage, 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 Jan 28, 2011, corresponding to the inception date of VXUS
Returns By Period
As of Oct 18, 2024, the Brokerage returned 17.36% Year-To-Date and 10.59% 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 | 22.95% | 4.39% | 18.07% | 37.09% | 14.48% | 11.71% |
| Brokerage | 17.77% | 2.15% | 14.18% | 34.02% | 12.10% | 10.37% |
| Portfolio components: | ||||||
IVV iShares Core S&P 500 ETF | 24.24% | 2.92% | 17.80% | 40.81% | 16.20% | 13.62% |
IJH iShares Core S&P Mid-Cap ETF | 16.37% | 3.14% | 12.55% | 35.79% | 12.17% | 10.51% |
IJR iShares Core S&P Small-Cap ETF | 10.36% | 1.47% | 14.40% | 33.61% | 10.00% | 9.95% |
VXUS Vanguard Total International Stock ETF | 11.96% | 1.24% | 10.53% | 27.57% | 6.90% | 5.57% |
BND Vanguard Total Bond Market ETF | 3.13% | -1.65% | 6.18% | 12.05% | 0.02% | 1.54% |
MUB iShares National AMT-Free Muni Bond ETF | 1.79% | -0.16% | 2.79% | 9.63% | 1.27% | 2.19% |
Monthly Returns
The table below presents the monthly returns of Brokerage, 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 | 0.02% | 4.12% | 3.36% | -3.84% | 4.36% | 1.42% | 2.68% | 1.70% | 1.95% | 17.77% | |||
| 2023 | 7.01% | -2.72% | 1.99% | 0.98% | -1.11% | 5.95% | 3.29% | -2.41% | -4.37% | -2.98% | 8.41% | 5.52% | 20.16% |
| 2022 | -4.86% | -1.91% | 1.75% | -7.54% | 0.78% | -7.74% | 7.70% | -3.93% | -8.85% | 6.81% | 6.85% | -4.53% | -16.13% |
| 2021 | -0.01% | 3.08% | 3.49% | 4.05% | 1.11% | 1.03% | 1.05% | 2.20% | -3.87% | 5.15% | -1.72% | 3.97% | 20.91% |
| 2020 | -1.06% | -7.27% | -13.37% | 10.75% | 4.89% | 2.23% | 4.82% | 5.11% | -3.04% | -1.35% | 11.15% | 4.52% | 15.56% |
| 2019 | 7.64% | 2.84% | 1.04% | 3.36% | -5.71% | 6.22% | 0.61% | -1.85% | 2.07% | 2.07% | 2.62% | 2.93% | 25.82% |
| 2018 | 4.44% | -3.90% | -1.06% | 0.20% | 1.90% | 0.02% | 2.82% | 1.91% | -0.05% | -7.13% | 1.91% | -7.48% | -7.01% |
| 2017 | 1.94% | 2.79% | 0.62% | 1.13% | 1.23% | 0.82% | 1.96% | 0.00% | 2.29% | 1.95% | 2.40% | 1.11% | 19.80% |
| 2016 | -4.62% | -0.22% | 6.77% | 0.90% | 1.08% | 0.25% | 3.69% | 0.28% | 0.28% | -1.98% | 2.89% | 2.06% | 11.50% |
| 2015 | -1.54% | 4.89% | -0.80% | 1.09% | 0.72% | -1.78% | 1.06% | -5.68% | -2.53% | 6.68% | 0.25% | -2.13% | -0.36% |
| 2014 | -3.17% | 4.40% | 0.62% | 0.36% | 1.91% | 2.27% | -1.96% | 3.28% | -2.62% | 2.11% | 1.63% | -0.59% | 8.22% |
| 2013 | 4.38% | 0.72% | 2.97% | 1.90% | 0.85% | -1.99% | 4.93% | -2.73% | 4.41% | 3.86% | 1.95% | 2.05% | 25.54% |
Expense Ratio
Brokerage has an expense ratio of 0.05%, 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 Brokerage is 51, 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 | |
|---|---|---|---|---|---|
IVV iShares Core S&P 500 ETF | 3.06 | 4.07 | 1.56 | 3.26 | 20.16 |
IJH iShares Core S&P Mid-Cap ETF | 1.98 | 2.77 | 1.34 | 1.84 | 11.77 |
IJR iShares Core S&P Small-Cap ETF | 1.50 | 2.22 | 1.26 | 1.21 | 8.54 |
VXUS Vanguard Total International Stock ETF | 1.98 | 2.78 | 1.35 | 1.39 | 13.41 |
BND Vanguard Total Bond Market ETF | 2.01 | 2.97 | 1.36 | 0.66 | 8.27 |
MUB iShares National AMT-Free Muni Bond ETF | 2.42 | 3.85 | 1.47 | 0.94 | 11.18 |
Dividends
Dividend yield
Brokerage granted a 1.79% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Brokerage | 1.79% | 1.95% | 2.02% | 1.67% | 1.68% | 2.19% | 2.35% | 1.91% | 2.14% | 2.27% | 2.14% | 1.97% |
| Portfolio components: | ||||||||||||
IVV iShares Core S&P 500 ETF | 1.27% | 1.44% | 1.66% | 1.20% | 1.57% | 1.99% | 2.20% | 1.75% | 2.01% | 2.26% | 1.82% | 1.80% |
IJH iShares Core S&P Mid-Cap ETF | 1.25% | 1.46% | 1.68% | 1.18% | 1.28% | 1.62% | 1.72% | 1.19% | 1.60% | 1.56% | 1.34% | 1.29% |
IJR iShares Core S&P Small-Cap ETF | 1.28% | 1.31% | 1.41% | 1.53% | 1.11% | 1.44% | 1.58% | 1.20% | 1.21% | 1.48% | 1.23% | 1.00% |
VXUS Vanguard Total International Stock ETF | 2.86% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
BND Vanguard Total Bond Market ETF | 3.48% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
MUB iShares National AMT-Free Muni Bond ETF | 2.92% | 2.65% | 2.11% | 1.81% | 2.11% | 2.42% | 2.46% | 2.26% | 2.21% | 2.51% | 2.73% | 3.02% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Brokerage. 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 Brokerage was 32.31%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.
The current Brokerage drawdown is 0.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.31% | Feb 20, 2020 | 23 | Mar 23, 2020 | 107 | Aug 24, 2020 | 130 |
| -23.48% | Jan 5, 2022 | 186 | Sep 30, 2022 | 310 | Dec 26, 2023 | 496 |
| -19.56% | May 2, 2011 | 108 | Oct 3, 2011 | 111 | Mar 13, 2012 | 219 |
| -17.32% | Sep 21, 2018 | 65 | Dec 24, 2018 | 81 | Apr 23, 2019 | 146 |
| -14.81% | May 22, 2015 | 183 | Feb 11, 2016 | 104 | Jul 12, 2016 | 287 |
Volatility
Volatility Chart
The current Brokerage 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.
Diversification
Asset Correlations Table
| MUB | BND | VXUS | IVV | IJR | IJH | |
|---|---|---|---|---|---|---|
| MUB | 1.00 | 0.64 | -0.02 | -0.05 | -0.07 | -0.07 |
| BND | 0.64 | 1.00 | -0.07 | -0.11 | -0.13 | -0.12 |
| VXUS | -0.02 | -0.07 | 1.00 | 0.83 | 0.73 | 0.78 |
| IVV | -0.05 | -0.11 | 0.83 | 1.00 | 0.82 | 0.88 |
| IJR | -0.07 | -0.13 | 0.73 | 0.82 | 1.00 | 0.95 |
| IJH | -0.07 | -0.12 | 0.78 | 0.88 | 0.95 | 1.00 |