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More conservative inspired by verdad v2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 25%GLD 12.5%IJJ 50%IXC 12.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
GLD
SPDR Gold Trust
Precious Metals, Gold
12.50%
IJJ
iShares S&P MidCap 400 Value ETF
Small Cap Value Equities
50%
IXC
iShares Global Energy ETF
Energy Equities
12.50%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in More conservative inspired by verdad v2, 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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
10.00%
15.83%
More conservative inspired by verdad v2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD

Returns By Period

As of Oct 30, 2024, the More conservative inspired by verdad v2 returned 11.11% Year-To-Date and 7.53% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
More conservative inspired by verdad v211.11%0.80%10.00%24.82%10.42%7.53%
IJJ
iShares S&P MidCap 400 Value ETF
11.20%1.46%13.82%35.49%11.27%9.19%
GLD
SPDR Gold Trust
33.96%4.52%20.87%38.35%12.49%8.58%
IXC
iShares Global Energy ETF
5.37%0.00%-4.45%5.66%11.13%3.72%
TIP
iShares TIPS Bond ETF
2.83%-1.99%4.67%7.98%2.00%2.09%

Monthly Returns

The table below presents the monthly returns of More conservative inspired by verdad v2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.79%0.92%5.11%-3.05%3.09%-1.15%5.19%0.63%1.23%11.11%
20237.31%-3.06%-1.25%0.13%-3.55%5.29%3.31%-2.07%-3.51%-2.77%5.76%5.93%11.06%
2022-0.69%2.33%1.96%-4.40%2.11%-7.54%6.20%-2.24%-8.07%8.37%5.15%-3.00%-1.35%
20210.58%5.59%3.85%3.19%2.92%-1.82%0.05%1.06%-1.47%3.67%-1.91%3.91%21.05%
2020-2.16%-6.50%-15.06%10.94%3.48%0.92%2.84%2.22%-4.47%0.85%11.57%5.10%6.90%
20197.87%2.28%-0.55%2.33%-5.28%5.93%0.36%-2.01%2.23%0.86%1.22%2.77%18.82%
20181.26%-4.21%0.97%1.29%2.21%0.09%0.81%0.74%-0.43%-5.73%1.26%-5.93%-7.87%
20171.26%1.18%-0.38%-0.01%-0.97%0.42%1.31%-0.62%2.68%0.46%2.14%1.34%9.10%
2016-2.05%2.76%6.22%2.68%-0.63%2.54%2.14%-0.17%0.61%-1.75%4.16%1.20%18.86%
2015-0.16%2.25%-0.84%1.13%-0.41%-1.82%-2.58%-2.76%-3.02%4.77%-0.25%-4.09%-7.82%
2014-0.66%3.82%0.32%1.02%1.02%3.68%-3.23%3.13%-5.12%1.34%-0.43%0.49%5.11%
20134.26%-0.05%3.07%-0.73%-0.62%-3.18%5.04%-1.83%2.41%2.69%-0.49%0.97%11.76%

Expense Ratio

More conservative inspired by verdad v2 features an expense ratio of 0.28%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IXC: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for IJJ: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of More conservative inspired by verdad v2 is 31, 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 More conservative inspired by verdad v2 is 3131
Combined Rank
The Sharpe Ratio Rank of More conservative inspired by verdad v2 is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of More conservative inspired by verdad v2 is 2929Sortino Ratio Rank
The Omega Ratio Rank of More conservative inspired by verdad v2 is 2727Omega Ratio Rank
The Calmar Ratio Rank of More conservative inspired by verdad v2 is 4646Calmar Ratio Rank
The Martin Ratio Rank of More conservative inspired by verdad v2 is 3131Martin 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.


More conservative inspired by verdad v2
Sharpe ratio
The chart of Sharpe ratio for More conservative inspired by verdad v2, currently valued at 2.37, compared to the broader market0.002.004.006.002.37
Sortino ratio
The chart of Sortino ratio for More conservative inspired by verdad v2, 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 More conservative inspired by verdad v2, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.802.001.44
Calmar ratio
The chart of Calmar ratio for More conservative inspired by verdad v2, currently valued at 2.79, compared to the broader market0.005.0010.002.79
Martin ratio
The chart of Martin ratio for More conservative inspired by verdad v2, currently valued at 14.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0014.05
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJJ
iShares S&P MidCap 400 Value ETF
2.223.121.392.0712.64
GLD
SPDR Gold Trust
2.663.581.465.0717.22
IXC
iShares Global Energy ETF
0.360.601.070.541.26
TIP
iShares TIPS Bond ETF
1.522.271.280.567.88

Sharpe Ratio

The current More conservative inspired by verdad v2 Sharpe ratio is 2.37. 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 2.49 to 3.44, 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 More conservative inspired by verdad v2 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.37
3.43
More conservative inspired by verdad v2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

More conservative inspired by verdad v2 provided a 2.02% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
More conservative inspired by verdad v22.02%1.96%3.32%2.38%1.79%2.16%2.12%1.66%1.56%1.47%1.62%1.34%
IJJ
iShares S&P MidCap 400 Value ETF
1.72%1.68%1.97%1.62%1.78%1.70%2.01%1.52%1.67%1.83%1.65%1.48%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IXC
iShares Global Energy ETF
3.80%3.45%4.76%3.98%4.86%7.00%3.51%3.05%2.86%3.77%3.02%2.48%
TIP
iShares TIPS Bond ETF
2.73%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.14%
-0.54%
More conservative inspired by verdad v2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the More conservative inspired by verdad v2. 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 More conservative inspired by verdad v2 was 38.76%, occurring on Nov 20, 2008. Recovery took 349 trading sessions.

The current More conservative inspired by verdad v2 drawdown is 1.14%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.76%May 21, 2008129Nov 20, 2008349Apr 14, 2010478
-31.27%Jan 17, 202042Mar 18, 2020169Nov 16, 2020211
-17.65%Jul 2, 2014391Jan 20, 2016118Jul 8, 2016509
-15.77%May 2, 2011108Oct 3, 201178Jan 25, 2012186
-14.92%Mar 30, 2022125Sep 27, 202283Jan 26, 2023208

Volatility

Volatility Chart

The current More conservative inspired by verdad v2 volatility is 2.08%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.08%
2.71%
More conservative inspired by verdad v2
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.

TIPGLDIJJIXC
TIP1.000.29-0.12-0.05
GLD0.291.000.070.21
IJJ-0.120.071.000.67
IXC-0.050.210.671.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004