Sharpe’s market portfolio
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
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 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 1.70% | 9.53% | 4.45% | 1.14% | 9.10% | 9.96% |
| Sharpe’s market portfolio | 0.11% | 7.69% | 4.48% | 1.31% | 6.47% | 7.74% |
| Portfolio components: | ||||||
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% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| BNDX | BND | VEA | VTI | |
|---|---|---|---|---|
| BNDX | 1.00 | 0.69 | -0.05 | -0.05 |
| BND | 0.69 | 1.00 | -0.05 | -0.09 |
| VEA | -0.05 | -0.05 | 1.00 | 0.82 |
| VTI | -0.05 | -0.09 | 0.82 | 1.00 |
Dividend yield
Sharpe’s market portfolio granted a 2.50% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sharpe’s market portfolio | 2.50% | 2.18% | 2.10% | 1.80% | 2.55% | 2.86% | 2.46% | 2.72% | 2.77% | 3.03% | 2.63% | 3.12% |
| Portfolio components: | ||||||||||||
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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.
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, 2020 | 27 | Mar 23, 2020 | 99 | Aug 12, 2020 | 126 |
| -24.38% | Nov 9, 2021 | 233 | Oct 12, 2022 | — | — | — |
| -15.13% | Jan 29, 2018 | 229 | Dec 24, 2018 | 75 | Apr 12, 2019 | 304 |
| -13.8% | May 22, 2015 | 183 | Feb 11, 2016 | 117 | Jul 29, 2016 | 300 |
| -6.87% | Jul 7, 2014 | 73 | Oct 16, 2014 | 27 | Nov 24, 2014 | 100 |
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.