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

Asset Allocation


BND 10%VT 30%VEA 10%SPLG 10%VSS 10%VWO 10%SCHD 10%VYMI 5%VYM 5%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

10%

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

10%

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

10%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

10%

VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
Foreign Small & Mid Cap Equities

10%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

30%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

10%

VYM
Vanguard High Dividend Yield ETF
Dividend, Large Cap Value Equities

5%

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

5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PAC 01 (2022) SIMULATOR, 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%2024FebruaryMarchAprilMayJune
8.66%
15.14%
PAC 01 (2022) SIMULATOR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 2, 2016, corresponding to the inception date of VYMI

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.92%3.57%15.13%24.27%13.51%10.88%
PAC 01 (2022) SIMULATOR6.66%-0.87%8.67%12.62%8.91%N/A
VT
Vanguard Total World Stock ETF
10.04%0.21%12.08%17.65%11.21%8.57%
VEA
Vanguard FTSE Developed Markets ETF
4.88%-2.46%8.06%9.30%7.31%4.61%
SPLG
SPDR Portfolio S&P 500 ETF
14.52%2.37%15.93%24.49%15.31%13.06%
BND
Vanguard Total Bond Market ETF
0.11%0.92%0.60%2.99%0.02%1.42%
VYMI
Vanguard International High Dividend Yield ETF
4.81%-3.30%8.07%11.56%7.36%N/A
VYM
Vanguard High Dividend Yield ETF
7.02%-2.03%8.41%14.49%9.92%9.42%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
2.66%-1.98%5.95%7.52%5.61%3.45%
VWO
Vanguard FTSE Emerging Markets ETF
6.28%-1.71%8.64%7.47%4.59%3.00%
SCHD
Schwab US Dividend Equity ETF
2.08%-3.79%3.00%8.98%11.70%10.70%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.64%2.93%3.18%-2.87%3.79%6.66%
20236.58%-3.48%2.00%1.18%-2.35%4.79%3.67%-2.93%-3.70%-3.06%7.88%5.02%15.61%
2022-3.21%-2.44%0.89%-6.61%1.29%-7.40%4.99%-3.59%-8.83%5.29%8.75%-3.25%-14.70%
2021-0.17%2.74%3.06%3.22%2.02%0.47%0.16%1.85%-3.53%3.85%-2.61%3.85%15.61%
2020-2.00%-6.49%-13.73%9.38%4.36%2.68%4.78%4.65%-2.33%-1.59%11.16%4.50%13.45%
20197.08%2.27%1.19%2.80%-5.29%5.68%-0.37%-1.71%2.20%2.52%1.94%3.51%23.43%
20184.78%-4.38%-0.94%-0.13%0.20%-1.05%2.76%0.03%0.00%-6.91%1.99%-5.76%-9.61%
20172.67%2.27%1.48%1.39%1.75%0.64%2.62%0.63%1.73%1.89%1.60%1.88%22.58%
20164.32%1.11%0.16%0.55%3.73%0.16%1.02%-1.69%0.25%1.56%11.60%

Expense Ratio

PAC 01 (2022) SIMULATOR 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 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%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
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 VSS: 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 VYM: 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%
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%
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%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of PAC 01 (2022) SIMULATOR is 27, 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) SIMULATOR is 2727
PAC 01 (2022) SIMULATOR
The Sharpe Ratio Rank of PAC 01 (2022) SIMULATOR is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of PAC 01 (2022) SIMULATOR is 2828Sortino Ratio Rank
The Omega Ratio Rank of PAC 01 (2022) SIMULATOR is 2727Omega Ratio Rank
The Calmar Ratio Rank of PAC 01 (2022) SIMULATOR is 2626Calmar Ratio Rank
The Martin Ratio Rank of PAC 01 (2022) SIMULATOR is 2525Martin 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) SIMULATOR
Sharpe ratio
The chart of Sharpe ratio for PAC 01 (2022) SIMULATOR, currently valued at 1.38, compared to the broader market0.002.004.006.001.38
Sortino ratio
The chart of Sortino ratio for PAC 01 (2022) SIMULATOR, currently valued at 2.00, compared to the broader market-2.000.002.004.006.002.01
Omega ratio
The chart of Omega ratio for PAC 01 (2022) SIMULATOR, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for PAC 01 (2022) SIMULATOR, currently valued at 0.95, compared to the broader market0.002.004.006.008.0010.000.95
Martin ratio
The chart of Martin ratio for PAC 01 (2022) SIMULATOR, currently valued at 4.08, compared to the broader market0.0010.0020.0030.0040.0050.004.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.006.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
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 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.07, compared to the broader market0.0010.0020.0030.0040.0050.008.07

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF
1.702.451.301.295.49
VEA
Vanguard FTSE Developed Markets ETF
0.841.251.150.642.55
SPLG
SPDR Portfolio S&P 500 ETF
2.323.271.412.259.13
BND
Vanguard Total Bond Market ETF
0.560.851.100.211.58
VYMI
Vanguard International High Dividend Yield ETF
1.131.621.201.454.18
VYM
Vanguard High Dividend Yield ETF
1.502.181.261.564.84
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
0.640.991.120.331.77
VWO
Vanguard FTSE Emerging Markets ETF
0.701.081.120.341.94
SCHD
Schwab US Dividend Equity ETF
0.921.371.160.772.90

Sharpe Ratio

The current PAC 01 (2022) SIMULATOR Sharpe ratio is 1.38. 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 1.41 to 2.33, 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) SIMULATOR 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.38
2.15
PAC 01 (2022) SIMULATOR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

PAC 01 (2022) SIMULATOR granted a 2.77% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
PAC 01 (2022) SIMULATOR2.77%2.79%2.75%2.35%2.09%2.76%2.86%2.42%2.57%2.53%2.51%2.26%
VT
Vanguard Total World Stock ETF
2.02%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VEA
Vanguard FTSE Developed Markets ETF
3.28%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
SPLG
SPDR Portfolio S&P 500 ETF
1.29%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%
BND
Vanguard Total Bond Market ETF
3.37%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VYMI
Vanguard International High Dividend Yield ETF
4.85%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%0.00%
VYM
Vanguard High Dividend Yield ETF
2.88%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
3.06%3.14%2.30%2.74%1.90%3.25%2.80%2.83%2.93%2.66%2.67%2.71%
VWO
Vanguard FTSE Emerging Markets ETF
3.34%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
SCHD
Schwab US Dividend Equity ETF
3.47%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

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%2024FebruaryMarchAprilMayJune
-0.95%
0
PAC 01 (2022) SIMULATOR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PAC 01 (2022) SIMULATOR. 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) SIMULATOR was 31.41%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current PAC 01 (2022) SIMULATOR drawdown is 0.95%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.41%Jan 21, 202044Mar 23, 2020111Aug 28, 2020155
-23.82%Jan 13, 2022188Oct 12, 2022341Feb 22, 2024529
-18.62%Jan 29, 2018229Dec 24, 2018216Nov 1, 2019445
-6.37%Jun 24, 20162Jun 27, 201610Jul 12, 201612
-6.14%Sep 3, 202014Sep 23, 202013Oct 12, 202027

Volatility

Volatility Chart

The current PAC 01 (2022) SIMULATOR volatility is 2.59%, 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%2024FebruaryMarchAprilMayJune
2.59%
2.49%
PAC 01 (2022) SIMULATOR
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.

BNDVWOSCHDVYMSPLGVYMIVSSVEAVT
BND1.000.03-0.03-0.050.01-0.010.070.040.03
VWO0.031.000.580.600.670.820.840.790.80
SCHD-0.030.581.000.960.830.740.710.750.82
VYM-0.050.600.961.000.840.770.720.760.84
SPLG0.010.670.830.841.000.750.770.800.94
VYMI-0.010.820.740.770.751.000.910.950.88
VSS0.070.840.710.720.770.911.000.950.90
VEA0.040.790.750.760.800.950.951.000.93
VT0.030.800.820.840.940.880.900.931.00
The correlation results are calculated based on daily price changes starting from Mar 3, 2016