Brokerage
Asset Allocation
Performance
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
Returns
As of May 27, 2023, the Brokerage returned 6.95% Year-To-Date and 8.90% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.86% | 9.53% | 4.45% | 1.14% | 9.36% | 9.79% |
| Brokerage | -0.23% | 6.95% | 3.29% | 0.86% | 7.80% | 8.94% |
| Portfolio components: | ||||||
IVV iShares Core S&P 500 ETF | 1.03% | 10.28% | 5.31% | 2.83% | 11.26% | 11.86% |
IJH iShares Core S&P Mid-Cap ETF | -1.76% | 1.20% | -3.74% | -2.18% | 6.35% | 9.05% |
IJR iShares Core S&P Small-Cap ETF | 0.10% | -0.23% | -6.16% | -6.65% | 4.19% | 8.99% |
VXUS Vanguard Total International Stock ETF | -1.65% | 7.21% | 6.66% | 0.77% | 2.96% | 4.22% |
BND Vanguard Total Bond Market ETF | -2.14% | 1.64% | 1.09% | -3.69% | 0.52% | 1.22% |
MUB iShares National AMT-Free Muni Bond ETF | -1.24% | 1.07% | 1.34% | -0.24% | 1.52% | 2.04% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| MUB | BND | VXUS | IVV | IJR | IJH | |
|---|---|---|---|---|---|---|
| MUB | 1.00 | 0.61 | -0.06 | -0.08 | -0.11 | -0.10 |
| BND | 0.61 | 1.00 | -0.13 | -0.16 | -0.19 | -0.18 |
| VXUS | -0.06 | -0.13 | 1.00 | 0.83 | 0.74 | 0.78 |
| IVV | -0.08 | -0.16 | 0.83 | 1.00 | 0.83 | 0.89 |
| IJR | -0.11 | -0.19 | 0.74 | 0.83 | 1.00 | 0.95 |
| IJH | -0.10 | -0.18 | 0.78 | 0.89 | 0.95 | 1.00 |
Dividend yield
Brokerage granted a 2.30% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Brokerage | 2.30% | 2.02% | 1.71% | 1.76% | 2.33% | 2.57% | 2.14% | 2.44% | 2.65% | 2.57% | 2.42% | 2.83% |
| Portfolio components: | ||||||||||||
IVV iShares Core S&P 500 ETF | 1.91% | 1.67% | 1.23% | 1.63% | 2.09% | 2.37% | 1.92% | 2.25% | 2.58% | 2.13% | 2.14% | 2.54% |
IJH iShares Core S&P Mid-Cap ETF | 2.06% | 1.69% | 1.21% | 1.32% | 1.71% | 1.84% | 1.29% | 1.75% | 1.75% | 1.52% | 1.49% | 1.67% |
IJR iShares Core S&P Small-Cap ETF | 1.77% | 1.42% | 1.56% | 1.15% | 1.51% | 1.68% | 1.30% | 1.33% | 1.65% | 1.38% | 1.14% | 1.91% |
VXUS Vanguard Total International Stock ETF | 3.11% | 3.10% | 3.20% | 2.28% | 3.34% | 3.58% | 3.17% | 3.50% | 3.48% | 4.30% | 3.52% | 3.98% |
BND Vanguard Total Bond Market ETF | 3.55% | 2.62% | 2.04% | 2.34% | 2.93% | 3.12% | 2.90% | 2.94% | 3.09% | 3.43% | 3.52% | 4.21% |
MUB iShares National AMT-Free Muni Bond ETF | 2.78% | 1.93% | 1.86% | 2.21% | 2.59% | 2.69% | 2.54% | 2.54% | 2.94% | 3.28% | 3.74% | 3.69% |
Expense Ratio
The Brokerage has an expense ratio of 0.05% 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.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
IVV iShares Core S&P 500 ETF | 0.35 | ||||
IJH iShares Core S&P Mid-Cap ETF | 0.10 | ||||
IJR iShares Core S&P Small-Cap ETF | -0.10 | ||||
VXUS Vanguard Total International Stock ETF | 0.18 | ||||
BND Vanguard Total Bond Market ETF | -0.43 | ||||
MUB iShares National AMT-Free Muni Bond ETF | 0.13 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Brokerage. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Brokerage is 32.31%, recorded on Mar 23, 2020. It took 107 trading sessions for the portfolio to recover.
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 | — | — | — |
| -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 Chart
The current Brokerage volatility is 3.31%, 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.