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Золото и акции
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GLD 50%VTI 50%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
GLD
SPDR Gold Trust
Precious Metals, Gold
50%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Золото и акции, 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%20.00%MayJuneJulyAugustSeptemberOctober
18.53%
15.83%
Золото и акции
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 Золото и акции returned 28.10% Year-To-Date and 11.17% 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%
Золото и акции28.10%3.15%18.53%40.01%14.37%11.17%
GLD
SPDR Gold Trust
33.96%4.52%20.87%38.35%12.49%8.58%
VTI
Vanguard Total Stock Market ETF
22.25%1.78%16.24%41.75%15.07%12.66%

Monthly Returns

The table below presents the monthly returns of Золото и акции, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.15%2.91%5.88%-0.65%3.12%1.43%3.63%2.11%3.61%28.10%
20236.34%-3.88%5.29%0.97%-0.45%2.33%2.98%-1.61%-4.78%2.34%5.82%3.26%19.43%
2022-3.86%1.94%2.15%-5.57%-1.82%-4.81%3.37%-3.36%-6.21%3.13%6.76%-1.58%-10.29%
2021-1.78%-1.49%1.44%4.30%4.06%-2.48%2.13%1.38%-3.83%4.05%-1.08%3.56%10.26%
20202.22%-4.24%-6.52%10.22%4.04%2.49%8.25%3.32%-3.86%-1.24%3.19%5.74%24.63%
20195.72%1.54%-0.03%1.64%-2.45%7.55%0.71%2.87%-0.89%2.33%0.32%3.21%24.50%
20184.23%-2.92%-0.64%-0.25%0.79%-1.38%0.53%0.72%-0.19%-2.63%1.13%-1.76%-2.55%
20173.64%3.44%-0.19%1.40%0.44%-0.61%2.10%2.17%-0.53%0.72%1.72%1.64%17.02%
2016-0.13%5.79%2.67%2.89%-2.30%4.57%2.98%-1.50%0.42%-2.57%-1.87%0.17%11.24%
20152.97%-0.39%-1.65%0.22%0.93%-1.60%-2.44%-1.42%-2.33%5.14%-2.92%-1.32%-5.01%
20140.13%5.59%-1.36%0.28%-0.46%4.42%-2.82%2.27%-4.10%-0.15%1.04%0.60%5.15%
20132.47%-1.80%2.52%-2.96%-1.65%-5.54%6.60%1.19%-0.72%1.96%-1.31%-0.31%-0.10%

Expense Ratio

Золото и акции has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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 VTI: 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 risk-adjusted rank of Золото и акции is 91, placing it in the top 9% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Золото и акции is 9191
Combined Rank
The Sharpe Ratio Rank of Золото и акции is 9191Sharpe Ratio Rank
The Sortino Ratio Rank of Золото и акции is 8989Sortino Ratio Rank
The Omega Ratio Rank of Золото и акции is 9191Omega Ratio Rank
The Calmar Ratio Rank of Золото и акции is 9595Calmar Ratio Rank
The Martin Ratio Rank of Золото и акции is 9292Martin 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.


Золото и акции
Sharpe ratio
The chart of Sharpe ratio for Золото и акции, currently valued at 3.77, compared to the broader market0.002.004.006.003.77
Sortino ratio
The chart of Sortino ratio for Золото и акции, currently valued at 4.99, compared to the broader market-2.000.002.004.006.004.99
Omega ratio
The chart of Omega ratio for Золото и акции, currently valued at 1.70, compared to the broader market0.801.001.201.401.601.802.001.70
Calmar ratio
The chart of Calmar ratio for Золото и акции, currently valued at 6.90, compared to the broader market0.005.0010.006.90
Martin ratio
The chart of Martin ratio for Золото и акции, currently valued at 28.01, compared to the broader market0.0010.0020.0030.0040.0050.0060.0028.01
^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
GLD
SPDR Gold Trust
2.663.581.465.0717.22
VTI
Vanguard Total Stock Market ETF
3.504.601.653.3222.61

Sharpe Ratio

The current Золото и акции Sharpe ratio is 3.77. 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 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Золото и акции 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.77
3.43
Золото и акции
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Золото и акции provided a 0.65% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Золото и акции0.65%0.72%0.83%0.61%0.71%0.89%1.02%0.85%0.96%0.99%0.88%0.87%
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%
VTI
Vanguard Total Stock Market ETF
1.30%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

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%MayJuneJulyAugustSeptemberOctober0
-0.54%
Золото и акции
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Золото и акции. 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 Золото и акции was 34.34%, occurring on Nov 20, 2008. Recovery took 248 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.34%Feb 29, 2008186Nov 20, 2008248Nov 16, 2009434
-20.58%Feb 24, 202020Mar 20, 202053Jun 5, 202073
-18.43%Nov 18, 2021228Oct 14, 2022185Jul 13, 2023413
-14.93%May 11, 200623Jun 13, 2006159Jan 31, 2007182
-12.45%Jan 23, 2015249Jan 19, 201670Apr 28, 2016319

Volatility

Volatility Chart

The current Золото и акции volatility is 2.06%, 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
2.06%
2.71%
Золото и акции
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.

GLDVTI
GLD1.000.07
VTI0.071.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004