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PAC 01 (2022)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

PAC 01 (2022)

Last updated Jul 25, 2024

My real Portfolio

Asset Allocation

BND 6.97%VT 51.19%SPLG 15.2%JQUA 10.14%VEA 5.95%IQLT 4.98%SCHD 3.9%VYMI 1.67%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market

6.97%

IQLT
iShares MSCI Intl Quality Factor ETF		Foreign Large Cap Equities

4.98%

JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities

10.14%

SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend

3.90%

SPLG
SPDR Portfolio S&P 500 ETF		Large Cap Blend Equities

15.20%

VEA
Vanguard FTSE Developed Markets ETF		Foreign Large Cap Equities

5.95%

VT
Vanguard Total World Stock ETF		Large Cap Growth Equities

51.19%

VYMI
Vanguard International High Dividend Yield ETF		Foreign Large Cap Equities, Dividend

1.67%

S&P 500

Transactions

DateTypeSymbolQuantityPrice
Jul 19, 2024BuyiShares MSCI Intl Quality Factor ETF27$39.20
Mar 8, 2024BuyJPMorgan U.S. Quality Factor ETF20$52.19
Feb 14, 2024BuyJPMorgan U.S. Quality Factor ETF20$50.22
Dec 21, 2023BuySchwab US Dividend Equity ETF10$75.96
Oct 23, 2023BuyVanguard International High Dividend Yield ETF5$60.15
Oct 23, 2023BuyVanguard Total World Stock ETF8$91.00
Sep 21, 2023BuyVanguard Total World Stock ETF10$94.43
Aug 18, 2023BuyVanguard Total World Stock ETF11$94.44
Jul 20, 2023BuyVanguard Total World Stock ETF11$99.33
Jun 29, 2023BuyVanguard FTSE Developed Markets ETF20$45.73

1–10 of 26

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PAC 01 (2022), 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

20.00%25.00%30.00%35.00%40.00%45.00%FebruaryMarchAprilMayJuneJuly
27.10%
38.39%
PAC 01 (2022)
Benchmark (^GSPC)
Portfolio components

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
PAC 01 (2022)8.10%-0.10%7.30%11.99%N/AN/A
Portfolio components:
VT
Vanguard Total World Stock ETF		10.09%-0.31%9.27%15.40%10.32%8.42%
VEA
Vanguard FTSE Developed Markets ETF		5.14%0.71%6.18%8.74%6.76%4.63%
BND
Vanguard Total Bond Market ETF		0.56%0.85%1.73%4.40%-0.05%1.40%
SPLG
SPDR Portfolio S&P 500 ETF		14.05%-1.31%11.23%20.73%14.12%12.73%
VYMI
Vanguard International High Dividend Yield ETF		7.03%1.98%8.17%11.62%7.28%N/A
SCHD
Schwab US Dividend Equity ETF		8.60%4.84%7.35%12.13%11.96%11.22%
JQUA
JPMorgan U.S. Quality Factor ETF		10.97%-0.26%7.40%18.32%13.90%N/A
IQLT
iShares MSCI Intl Quality Factor ETF		3.96%-1.54%4.38%8.91%7.54%N/A

Monthly Returns

The table below presents the monthly returns of PAC 01 (2022), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.17%3.75%2.70%-3.76%4.15%1.14%8.10%
20237.67%-3.04%2.51%1.40%-0.82%4.26%3.06%-2.37%-4.44%-2.70%8.49%4.06%18.51%
2022-7.71%4.66%8.28%-5.14%-0.79%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

IQLT
iShares MSCI Intl Quality Factor ETF
Expense ratio chart for IQLT: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
VYMI
Vanguard International High Dividend Yield ETF
Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
JQUA
JPMorgan U.S. Quality Factor ETF
Expense ratio chart for JQUA: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VT
Vanguard Total World Stock ETF
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%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
VEA
Vanguard FTSE Developed Markets ETF
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
BND
Vanguard Total Bond Market ETF
Expense ratio chart for BND: 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%
SPLG
SPDR Portfolio S&P 500 ETF
Expense ratio chart for SPLG: 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 PAC 01 (2022) is 28, 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 PAC 01 (2022) is 2828
PAC 01 (2022)
The Sharpe Ratio Rank of PAC 01 (2022) is 2525Sharpe Ratio Rank
The Sortino Ratio Rank of PAC 01 (2022) is 2525Sortino Ratio Rank
The Omega Ratio Rank of PAC 01 (2022) is 2525Omega Ratio Rank
The Calmar Ratio Rank of PAC 01 (2022) is 3939Calmar Ratio Rank
The Martin Ratio Rank of PAC 01 (2022) is 2424Martin 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.

PAC 01 (2022)
Sharpe ratio
The chart of Sharpe ratio for PAC 01 (2022), currently valued at 1.11, compared to the broader market-1.000.001.002.003.004.001.11
Sortino ratio
The chart of Sortino ratio for PAC 01 (2022), currently valued at 1.63, compared to the broader market-2.000.002.004.006.001.63
Omega ratio
The chart of Omega ratio for PAC 01 (2022), currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for PAC 01 (2022), currently valued at 1.08, compared to the broader market0.002.004.006.008.001.08
Martin ratio
The chart of Martin ratio for PAC 01 (2022), currently valued at 3.42, compared to the broader market0.0010.0020.0030.0040.003.42
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF		1.321.921.231.334.23
VEA
Vanguard FTSE Developed Markets ETF		0.681.041.120.702.02
BND
Vanguard Total Bond Market ETF		0.600.901.100.541.74
SPLG
SPDR Portfolio S&P 500 ETF		1.732.431.302.016.89
VYMI
Vanguard International High Dividend Yield ETF		0.971.421.171.223.42
SCHD
Schwab US Dividend Equity ETF		1.061.601.190.973.31
JQUA
JPMorgan U.S. Quality Factor ETF		1.592.291.282.006.66
IQLT
iShares MSCI Intl Quality Factor ETF		0.701.091.120.782.18

Sharpe Ratio

The current PAC 01 (2022) Sharpe ratio is 1.16. 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 1.24 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of PAC 01 (2022) 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.11
1.58
PAC 01 (2022)
Benchmark (^GSPC)
Portfolio components

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%FebruaryMarchAprilMayJuneJuly
-3.74%
-4.73%
PAC 01 (2022)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PAC 01 (2022). 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 PAC 01 (2022) was 10.56%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.

The current PAC 01 (2022) drawdown is 3.47%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.56%Aug 1, 202363Oct 27, 202332Dec 13, 202395
-9.81%Sep 20, 202217Oct 12, 202221Nov 10, 202238
-7.56%Feb 3, 202328Mar 15, 202355Jun 2, 202383
-6.42%Dec 2, 202218Dec 28, 202211Jan 13, 202329
-4.91%Apr 1, 202415Apr 19, 202417May 14, 202432

Volatility

Volatility Chart

The current PAC 01 (2022) volatility is 3.02%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
3.02%
3.80%
PAC 01 (2022)
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.
BNDSCHDVYMISPLGJQUAIQLTVEAVT
BND1.000.220.300.260.260.350.350.30
SCHD0.221.000.730.780.820.710.730.81
VYMI0.300.731.000.700.710.910.950.85
SPLG0.260.780.701.000.970.790.790.96
JQUA0.260.820.710.971.000.810.800.95
IQLT0.350.710.910.790.811.000.970.91
VEA0.350.730.950.790.800.971.000.92
VT0.300.810.850.960.950.910.921.00
The correlation results are calculated based on daily price changes starting from Sep 16, 2022