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Bob Clyatt Sandwich Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IEI 41%BIL 4%VV 20%SCZ 10%IJR 8%EEM 6%VEU 6%VNQ 5%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

4%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

6%

IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds

41%

IJR
iShares Core S&P Small-Cap ETF
Small Cap Growth Equities

8%

SCZ
iShares MSCI EAFE Small-Cap ETF
Foreign Small & Mid Cap Equities

10%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

6%

VNQ
Vanguard Real Estate ETF
REIT

5%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bob Clyatt Sandwich 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


150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
141.56%
273.72%
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 12, 2007, corresponding to the inception date of SCZ

Returns By Period

As of Jul 22, 2024, the Bob Clyatt Sandwich Portfolio returned 5.61% Year-To-Date and 5.38% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
Bob Clyatt Sandwich Portfolio5.61%1.99%6.56%9.54%5.64%5.40%
VV
Vanguard Large-Cap ETF
16.17%0.85%13.67%22.85%14.62%12.74%
EEM
iShares MSCI Emerging Markets ETF
6.98%0.12%12.08%7.24%2.35%1.73%
VNQ
Vanguard Real Estate ETF
2.61%7.05%6.26%6.66%4.08%5.76%
IEI
iShares 3-7 Year Treasury Bond ETF
0.90%0.81%1.49%3.99%0.15%1.18%
SCZ
iShares MSCI EAFE Small-Cap ETF
4.51%3.72%8.20%8.04%4.82%4.68%
VEU
Vanguard FTSE All-World ex-US ETF
7.21%1.87%10.01%10.26%6.32%4.27%
IJR
iShares Core S&P Small-Cap ETF
5.74%7.84%8.10%11.29%9.39%9.26%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
2.94%0.42%2.61%5.35%2.06%1.39%

Monthly Returns

The table below presents the monthly returns of Bob Clyatt Sandwich Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.69%1.44%1.87%-2.84%3.05%0.86%5.61%
20235.33%-2.83%1.78%0.64%-1.34%2.62%2.26%-1.87%-3.15%-2.14%6.08%4.62%12.02%
2022-3.54%-1.57%-0.59%-4.94%0.35%-4.68%4.60%-3.47%-6.86%3.05%5.57%-2.64%-14.52%
20210.39%1.37%1.34%2.42%0.94%0.51%0.61%1.21%-2.61%2.18%-1.48%2.22%9.35%
2020-0.41%-3.41%-7.30%5.90%2.98%1.80%2.89%2.99%-1.49%-1.01%6.81%3.32%12.89%
20195.16%1.22%1.11%1.74%-2.63%3.53%0.01%-0.21%1.06%1.65%1.08%1.97%16.63%
20181.99%-2.68%0.07%-0.19%1.13%-0.16%1.41%0.97%-0.62%-4.32%1.45%-3.37%-4.46%
20171.48%1.60%0.61%1.23%0.94%0.48%1.61%0.42%1.09%0.90%0.98%0.83%12.86%
2016-2.10%-0.07%4.56%0.28%0.40%0.94%2.50%-0.21%0.67%-1.70%0.09%1.24%6.63%
20150.40%2.13%-0.04%0.75%0.18%-1.24%0.60%-3.41%-0.79%3.54%-0.07%-1.17%0.71%
2014-1.37%2.73%0.08%0.35%1.37%1.22%-1.25%1.90%-2.54%2.01%0.68%-0.42%4.73%
20132.12%0.62%1.50%1.61%-0.98%-1.70%2.83%-1.77%3.67%2.35%0.71%0.53%11.94%

Expense Ratio

Bob Clyatt Sandwich Portfolio has an expense ratio of 0.17%, 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 EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for SCZ: 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 IEI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VEU: 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 IJR: 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 VV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Bob Clyatt Sandwich Portfolio is 23, indicating that it is in the bottom 23% 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 Bob Clyatt Sandwich Portfolio is 2323
Bob Clyatt Sandwich Portfolio
The Sharpe Ratio Rank of Bob Clyatt Sandwich Portfolio is 2525Sharpe Ratio Rank
The Sortino Ratio Rank of Bob Clyatt Sandwich Portfolio is 2626Sortino Ratio Rank
The Omega Ratio Rank of Bob Clyatt Sandwich Portfolio is 2525Omega Ratio Rank
The Calmar Ratio Rank of Bob Clyatt Sandwich Portfolio is 1616Calmar Ratio Rank
The Martin Ratio Rank of Bob Clyatt Sandwich Portfolio is 2222Martin 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.


Bob Clyatt Sandwich Portfolio
Sharpe ratio
The chart of Sharpe ratio for Bob Clyatt Sandwich Portfolio, currently valued at 1.27, compared to the broader market-1.000.001.002.003.004.001.27
Sortino ratio
The chart of Sortino ratio for Bob Clyatt Sandwich Portfolio, currently valued at 1.93, compared to the broader market-2.000.002.004.006.001.93
Omega ratio
The chart of Omega ratio for Bob Clyatt Sandwich Portfolio, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for Bob Clyatt Sandwich Portfolio, currently valued at 0.65, compared to the broader market0.002.004.006.008.0010.000.65
Martin ratio
The chart of Martin ratio for Bob Clyatt Sandwich Portfolio, currently valued at 3.72, compared to the broader market0.0010.0020.0030.0040.003.72
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VV
Vanguard Large-Cap ETF
2.042.871.361.818.05
EEM
iShares MSCI Emerging Markets ETF
0.620.971.110.261.55
VNQ
Vanguard Real Estate ETF
0.410.721.090.221.03
IEI
iShares 3-7 Year Treasury Bond ETF
0.801.221.140.282.71
SCZ
iShares MSCI EAFE Small-Cap ETF
0.570.921.110.261.56
VEU
Vanguard FTSE All-World ex-US ETF
0.901.341.160.592.58
IJR
iShares Core S&P Small-Cap ETF
0.641.091.120.481.90
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.97338.07240.05487.765,508.33

Sharpe Ratio

The current Bob Clyatt Sandwich Portfolio Sharpe ratio is 1.18. 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 1.31 to 2.07, 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 Bob Clyatt Sandwich Portfolio 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 Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.27
1.99
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bob Clyatt Sandwich Portfolio granted a 2.54% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bob Clyatt Sandwich Portfolio2.54%2.40%1.79%1.39%1.41%2.26%2.25%1.81%1.85%1.81%1.74%1.49%
VV
Vanguard Large-Cap ETF
1.32%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
EEM
iShares MSCI Emerging Markets ETF
2.43%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
VNQ
Vanguard Real Estate ETF
4.01%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
IEI
iShares 3-7 Year Treasury Bond ETF
2.84%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%
SCZ
iShares MSCI EAFE Small-Cap ETF
2.71%2.96%1.99%2.96%1.52%3.51%2.79%2.38%2.82%2.06%2.61%2.39%
VEU
Vanguard FTSE All-World ex-US ETF
3.05%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
IJR
iShares Core S&P Small-Cap ETF
1.28%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.23%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.43%
-1.97%
Bob Clyatt Sandwich Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bob Clyatt Sandwich Portfolio. 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 Bob Clyatt Sandwich Portfolio was 32.62%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.

The current Bob Clyatt Sandwich Portfolio drawdown is 1.43%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.62%May 20, 2008202Mar 9, 2009274Apr 9, 2010476
-20.47%Nov 8, 2021236Oct 14, 2022434Jul 10, 2024670
-18.13%Feb 13, 202027Mar 23, 202053Jun 8, 202080
-11.3%Jul 8, 201161Oct 3, 201183Feb 1, 2012144
-9.81%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288

Volatility

Volatility Chart

The current Bob Clyatt Sandwich Portfolio volatility is 1.66%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.66%
2.94%
Bob Clyatt Sandwich Portfolio
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.

BILIEIVNQEEMSCZIJRVVVEU
BIL1.000.02-0.02-0.01-0.01-0.02-0.02-0.02
IEI0.021.00-0.07-0.22-0.17-0.27-0.27-0.22
VNQ-0.02-0.071.000.530.570.680.680.59
EEM-0.01-0.220.531.000.780.670.750.89
SCZ-0.01-0.170.570.781.000.710.780.91
IJR-0.02-0.270.680.670.711.000.840.75
VV-0.02-0.270.680.750.780.841.000.84
VEU-0.02-0.220.590.890.910.750.841.00
The correlation results are calculated based on daily price changes starting from Dec 13, 2007