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Sharpe’s market portfolio

Last updated May 27, 2023

As described in Andrew Lo and Stephen Foerster, p. 311.

Asset Allocation


Performance

The chart shows the growth of an initial investment of $10,000 in Sharpe’s market portfolio, 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


-4.00%-2.00%0.00%2.00%4.00%6.00%December2023FebruaryMarchAprilMay
5.84%
6.09%
Sharpe’s market portfolio
Benchmark (^GSPC)
Portfolio components

Returns

As of May 27, 2023, the Sharpe’s market portfolio returned 7.69% Year-To-Date and 7.74% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark1.70%9.53%4.45%1.14%9.10%9.96%
Sharpe’s market portfolio0.11%7.69%4.48%1.31%6.47%7.74%
VTI
Vanguard Total Stock Market ETF
1.88%9.42%4.30%1.86%10.04%11.51%
BND
Vanguard Total Bond Market ETF
-1.59%1.64%1.09%-3.69%0.66%1.25%
VEA
Vanguard FTSE Developed Markets ETF
-1.92%8.72%7.11%2.61%3.35%5.03%
BNDX
Vanguard Total International Bond ETF
-0.23%2.56%-0.08%-3.19%0.19%1.76%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

BNDXBNDVEAVTI
BNDX1.000.69-0.05-0.05
BND0.691.00-0.05-0.09
VEA-0.05-0.051.000.82
VTI-0.05-0.090.821.00

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Sharpe’s market portfolio Sharpe ratio is 0.26. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.50December2023FebruaryMarchAprilMay
0.26
0.27
Sharpe’s market portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Sharpe’s market portfolio granted a 2.50% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Sharpe’s market portfolio2.50%2.18%2.10%1.80%2.55%2.86%2.46%2.72%2.77%3.03%2.63%3.12%
VTI
Vanguard Total Stock Market ETF
1.91%1.67%1.24%1.47%1.87%2.19%1.87%2.14%2.25%2.04%2.06%2.57%
BND
Vanguard Total Bond Market ETF
3.55%2.62%2.04%2.34%2.93%3.12%2.90%2.94%3.09%3.43%3.52%4.21%
VEA
Vanguard FTSE Developed Markets ETF
3.04%2.92%3.27%2.18%3.32%3.78%3.22%3.65%3.60%4.67%3.41%4.02%
BNDX
Vanguard Total International Bond ETF
2.03%1.52%3.81%1.17%3.64%3.33%2.54%2.21%1.93%1.86%1.06%0.00%

Expense Ratio

The Sharpe’s market portfolio has an expense ratio of 0.04% 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.


Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VTI
Vanguard Total Stock Market ETF
0.30
BND
Vanguard Total Bond Market ETF
-0.43
VEA
Vanguard FTSE Developed Markets ETF
0.25
BNDX
Vanguard Total International Bond ETF
-0.45

Drawdowns Chart

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


-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%-10.00%December2023FebruaryMarchAprilMay
-11.07%
-12.32%
Sharpe’s market portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Sharpe’s market portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Sharpe’s market portfolio is 28.24%, recorded on Mar 23, 2020. It took 99 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.24%Feb 13, 202027Mar 23, 202099Aug 12, 2020126
-24.38%Nov 9, 2021233Oct 12, 2022
-15.13%Jan 29, 2018229Dec 24, 201875Apr 12, 2019304
-13.8%May 22, 2015183Feb 11, 2016117Jul 29, 2016300
-6.87%Jul 7, 201473Oct 16, 201427Nov 24, 2014100

Volatility Chart

The current Sharpe’s market portfolio volatility is 2.77%, 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%7.00%8.00%December2023FebruaryMarchAprilMay
2.77%
3.82%
Sharpe’s market portfolio
Benchmark (^GSPC)
Portfolio components