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90 VWCE - 10 VUAA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VT 90%VOO 10%EquityEquity
PositionCategory/SectorWeight
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

10%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

90%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 90 VWCE - 10 VUAA, 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


250.00%300.00%350.00%400.00%December2024FebruaryMarchAprilMay
279.51%
380.54%
90 VWCE - 10 VUAA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of May 29, 2024, the 90 VWCE - 10 VUAA returned 9.46% Year-To-Date and 9.03% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.24%4.04%16.49%26.17%13.76%10.70%
90 VWCE - 10 VUAA9.46%3.92%15.40%23.25%12.05%9.03%
VT
Vanguard Total World Stock ETF
9.19%3.88%15.18%22.71%11.65%8.61%
VOO
Vanguard S&P 500 ETF
11.88%4.26%17.38%28.15%15.64%12.76%

Monthly Returns

The table below presents the monthly returns of 90 VWCE - 10 VUAA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.16%4.56%3.20%-3.63%9.46%
20237.51%-3.11%2.94%1.44%-1.04%5.89%3.68%-2.72%-4.30%-2.84%9.03%5.10%22.46%
2022-4.65%-2.79%2.07%-8.16%0.47%-8.14%7.21%-4.06%-9.49%6.55%8.00%-4.56%-18.02%
2021-0.31%2.68%3.02%4.25%1.49%1.29%0.80%2.33%-4.16%5.33%-2.42%3.88%19.29%
2020-1.40%-7.31%-14.53%10.61%5.16%2.95%5.35%6.10%-3.02%-2.10%12.23%4.82%16.77%
20197.98%2.86%1.15%3.53%-6.01%6.43%0.15%-2.06%2.24%2.73%2.67%3.40%27.26%
20185.49%-4.37%-1.40%0.41%0.75%-0.46%2.94%1.10%0.13%-7.72%1.75%-7.40%-9.24%
20172.88%2.81%1.34%1.57%1.89%0.63%2.59%0.41%2.10%2.13%2.01%1.56%24.22%
2016-5.77%-1.02%7.86%0.94%0.76%-0.13%4.10%0.32%0.70%-1.95%1.44%1.84%8.87%
2015-1.75%5.92%-1.25%2.39%0.42%-2.19%0.67%-6.58%-3.58%7.40%-0.03%-2.14%-1.54%
2014-4.35%5.15%0.53%0.74%2.07%2.19%-1.71%2.78%-3.14%1.09%1.41%-1.81%4.65%
20134.12%-0.15%2.48%2.62%-0.27%-2.55%5.18%-2.52%5.37%3.78%1.69%2.24%23.88%

Expense Ratio

90 VWCE - 10 VUAA has an expense ratio of 0.07% 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.


Expense ratio chart for VT: 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 VOO: 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 Rank

The current rank of 90 VWCE - 10 VUAA 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.


The Risk-Adjusted Performance Rank of 90 VWCE - 10 VUAA is 5151
90 VWCE - 10 VUAA
The Sharpe Ratio Rank of 90 VWCE - 10 VUAA is 5353Sharpe Ratio Rank
The Sortino Ratio Rank of 90 VWCE - 10 VUAA is 5555Sortino Ratio Rank
The Omega Ratio Rank of 90 VWCE - 10 VUAA is 5353Omega Ratio Rank
The Calmar Ratio Rank of 90 VWCE - 10 VUAA is 4646Calmar Ratio Rank
The Martin Ratio Rank of 90 VWCE - 10 VUAA is 4646Martin 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.


90 VWCE - 10 VUAA
Sharpe ratio
The chart of Sharpe ratio for 90 VWCE - 10 VUAA, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for 90 VWCE - 10 VUAA, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for 90 VWCE - 10 VUAA, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for 90 VWCE - 10 VUAA, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for 90 VWCE - 10 VUAA, currently valued at 7.22, compared to the broader market0.0010.0020.0030.0040.0050.007.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.43, compared to the broader market0.002.004.006.002.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.44, compared to the broader market-2.000.002.004.006.003.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.801.43
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.96, compared to the broader market0.002.004.006.008.0010.001.96
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.23, compared to the broader market0.0010.0020.0030.0040.0050.009.23

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF
2.113.031.371.626.93
VOO
Vanguard S&P 500 ETF
2.613.671.462.5710.28

Sharpe Ratio

The current 90 VWCE - 10 VUAA Sharpe ratio is 2.17. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.72 to 2.55, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 90 VWCE - 10 VUAA with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.17
2.43
90 VWCE - 10 VUAA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

90 VWCE - 10 VUAA granted a 1.96% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
90 VWCE - 10 VUAA1.96%2.02%2.15%1.76%1.65%2.27%2.49%2.07%2.35%2.42%2.38%2.04%
VT
Vanguard Total World Stock ETF
2.04%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VOO
Vanguard S&P 500 ETF
1.32%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-0.54%
-0.29%
90 VWCE - 10 VUAA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 90 VWCE - 10 VUAA. 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 90 VWCE - 10 VUAA was 34.19%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.

The current 90 VWCE - 10 VUAA drawdown is 0.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.19%Feb 13, 202027Mar 23, 2020107Aug 24, 2020134
-26.03%Nov 9, 2021233Oct 12, 2022321Jan 24, 2024554
-23.33%May 2, 2011108Oct 3, 2011304Dec 18, 2012412
-19.65%Jan 29, 2018229Dec 24, 2018131Jul 3, 2019360
-19.12%May 22, 2015183Feb 11, 2016208Dec 7, 2016391

Volatility

Volatility Chart

The current 90 VWCE - 10 VUAA volatility is 3.05%, 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.


2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
3.05%
3.00%
90 VWCE - 10 VUAA
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.

VOOVT
VOO1.000.95
VT0.951.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010