PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
PAC 01 (2022)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

PAC 01 (2022)

Last updated May 8, 2024

My real Portfolio

Asset Allocation

BND 12.17%VT 51.34%SPLG 25.86%VEA 10.63%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market

12.17%

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

25.86%

VEA
Vanguard FTSE Developed Markets ETF		Foreign Large Cap Equities

10.63%

VT
Vanguard Total World Stock ETF		Large Cap Growth Equities

51.34%

S&P 500

Transactions

DateTypeSymbolQuantityPrice
Jun 29, 2023BuyVanguard FTSE Developed Markets ETF20$45.73
Jun 29, 2023BuyVanguard Total World Stock ETF10$95.64
Jun 21, 2023BuySPDR Portfolio S&P 500 ETF20$51.30
May 23, 2023BuySPDR Portfolio S&P 500 ETF10$49.21
May 22, 2023BuyVanguard Total Bond Market ETF10$72.72
Apr 25, 2023BuySPDR Portfolio S&P 500 ETF20$47.79
Apr 6, 2023BuyVanguard Total Bond Market ETF10$74.48
Apr 6, 2023BuyVanguard FTSE Developed Markets ETF5$45.33
Mar 13, 2023BuyVanguard Total World Stock ETF5$87.88
Mar 13, 2023BuyVanguard Total World Stock ETF5$87.54

1–10 of 17

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

10.00%15.00%20.00%25.00%30.00%35.00%December2024FebruaryMarchAprilMay
24.15%
32.97%
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		8.76%-0.32%18.48%25.36%12.60%10.71%
PAC 01 (2022)5.76%0.07%14.83%15.70%N/AN/A
Portfolio components:
VT
Vanguard Total World Stock ETF		7.13%0.16%17.83%20.50%10.70%8.62%
BND
Vanguard Total Bond Market ETF		-1.56%0.14%4.25%0.76%0.08%1.28%
VEA
Vanguard FTSE Developed Markets ETF		5.03%0.62%16.58%11.14%7.41%4.88%
SPLG
SPDR Portfolio S&P 500 ETF		9.20%-0.23%19.33%27.25%14.44%12.96%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20240.28%3.67%2.59%-3.57%
2023-2.62%8.35%4.09%

Expense Ratio

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

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%
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 33, 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 3333
PAC 01 (2022)
The Sharpe Ratio Rank of PAC 01 (2022) is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of PAC 01 (2022) is 3131Sortino Ratio Rank
The Omega Ratio Rank of PAC 01 (2022) is 3030Omega Ratio Rank
The Calmar Ratio Rank of PAC 01 (2022) is 4545Calmar Ratio Rank
The Martin Ratio Rank of PAC 01 (2022) is 2929Martin 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 1.53, compared to the broader market0.002.004.001.53
Sortino ratio
The chart of Sortino ratio for PAC 01 (2022), currently valued at 2.23, compared to the broader market-2.000.002.004.006.002.23
Omega ratio
The chart of Omega ratio for PAC 01 (2022), currently valued at 1.27, compared to the broader market0.801.001.201.401.601.801.27
Calmar ratio
The chart of Calmar ratio for PAC 01 (2022), currently valued at 1.49, compared to the broader market0.002.004.006.008.0010.001.49
Martin ratio
The chart of Martin ratio for PAC 01 (2022), currently valued at 4.70, compared to the broader market0.0010.0020.0030.0040.004.70
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.20, compared to the broader market0.002.004.002.20
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Omega ratio
The chart of Omega ratio for ^GSPC, 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 ^GSPC, currently valued at 1.78, compared to the broader market0.002.004.006.008.0010.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.43, compared to the broader market0.0010.0020.0030.0040.008.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF		1.782.571.311.845.88
BND
Vanguard Total Bond Market ETF		0.040.111.010.040.10
VEA
Vanguard FTSE Developed Markets ETF		0.881.321.160.922.68
SPLG
SPDR Portfolio S&P 500 ETF		2.373.361.412.769.54

Sharpe Ratio

The current PAC 01 (2022) Sharpe ratio is 1.53. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.52 to 2.48, 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 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 Ratio0.501.001.502.002.503.00December2024FebruaryMarchAprilMay
1.53
2.20
PAC 01 (2022)
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

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

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-0.85%
-1.27%
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 10.50%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.

The current PAC 01 (2022) drawdown is 0.85%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.5%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
-4.78%Mar 28, 202416Apr 19, 2024———

Volatility

Volatility Chart

The current PAC 01 (2022) volatility is 3.61%, 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%4.50%5.00%December2024FebruaryMarchAprilMay
3.61%
4.08%
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.
BNDSPLGVEAVT
BND1.000.250.340.29
SPLG0.251.000.810.96
VEA0.340.811.000.92
VT0.290.960.921.00