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GB_BR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 25%SHY 25%IAU 25%VT 25%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold

25%

SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

25%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

25%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

25%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in GB_BR, 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


100.00%150.00%200.00%250.00%300.00%December2024FebruaryMarchAprilMay
124.60%
313.68%
GB_BR
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 26, 2008, corresponding to the inception date of VT

Returns By Period

As of May 16, 2024, the GB_BR returned 5.02% Year-To-Date and 4.56% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.29%4.87%17.88%29.16%13.20%10.97%
GB_BR5.02%2.50%11.88%9.78%5.91%4.56%
IAU
iShares Gold Trust
15.63%0.00%21.71%19.64%13.18%6.10%
VT
Vanguard Total World Stock ETF
9.80%5.56%17.27%24.63%11.39%8.85%
TLT
iShares 20+ Year Treasury Bond ETF
-5.62%3.97%6.10%-7.08%-3.89%0.35%
SHY
iShares 1-3 Year Treasury Bond ETF
0.62%0.76%2.30%2.79%1.00%0.94%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.82%0.59%3.26%-1.82%5.02%
20235.45%-3.59%4.32%0.73%-1.49%0.86%0.93%-1.70%-4.22%-0.17%5.49%4.05%10.53%
2022-2.72%0.36%-0.85%-5.03%-1.11%-2.84%1.83%-3.12%-5.51%-0.36%6.15%-1.06%-13.84%
2021-1.76%-2.30%-0.75%2.58%2.36%-0.53%1.76%0.44%-2.60%2.20%-0.17%1.22%2.27%
20202.82%0.03%-1.21%4.67%1.58%1.65%5.21%0.13%-1.70%-1.51%2.19%2.73%17.59%
20192.87%0.31%1.37%0.24%0.74%3.88%0.09%4.35%-1.02%1.13%-0.29%1.05%15.60%
20181.30%-2.42%0.56%-0.69%0.41%-0.84%-0.24%0.13%-0.86%-2.11%1.04%1.25%-2.52%
20172.31%1.89%0.16%1.26%0.96%-0.19%1.13%2.03%-0.93%0.29%0.70%1.38%11.52%
20161.45%3.50%1.49%1.34%-1.25%4.04%2.07%-1.03%0.02%-2.32%-3.89%-0.05%5.20%
20154.37%-1.79%-0.52%-0.24%-0.33%-1.92%-0.40%-0.99%-0.70%2.26%-1.95%-0.80%-3.15%
20141.34%3.04%-0.55%0.86%0.57%1.96%-1.19%1.98%-2.88%0.26%0.98%0.57%7.01%
20130.11%-1.06%0.75%-0.02%-3.37%-3.86%2.60%0.43%0.27%1.21%-1.63%-0.80%-5.41%

Expense Ratio

GB_BR features an expense ratio of 0.16%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for TLT: 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 SHY: 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 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of GB_BR is 13, indicating that it is in the bottom 13% 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 GB_BR is 1313
GB_BR
The Sharpe Ratio Rank of GB_BR is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of GB_BR is 1414Sortino Ratio Rank
The Omega Ratio Rank of GB_BR is 1414Omega Ratio Rank
The Calmar Ratio Rank of GB_BR is 1111Calmar Ratio Rank
The Martin Ratio Rank of GB_BR is 1313Martin 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.


GB_BR
Sharpe ratio
The chart of Sharpe ratio for GB_BR, currently valued at 1.17, compared to the broader market0.002.004.006.001.17
Sortino ratio
The chart of Sortino ratio for GB_BR, currently valued at 1.76, compared to the broader market-2.000.002.004.006.001.76
Omega ratio
The chart of Omega ratio for GB_BR, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for GB_BR, currently valued at 0.60, compared to the broader market0.002.004.006.008.0010.000.60
Martin ratio
The chart of Martin ratio for GB_BR, currently valued at 3.07, compared to the broader market0.0010.0020.0030.0040.0050.003.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.44, compared to the broader market0.002.004.006.002.44
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.45, compared to the broader market-2.000.002.004.006.003.45
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.98, compared to the broader market0.002.004.006.008.0010.001.98
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.39, compared to the broader market0.0010.0020.0030.0040.0050.009.39

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IAU
iShares Gold Trust
1.472.211.261.476.31
VT
Vanguard Total World Stock ETF
2.032.901.351.586.73
TLT
iShares 20+ Year Treasury Bond ETF
-0.44-0.520.94-0.15-0.83
SHY
iShares 1-3 Year Treasury Bond ETF
1.332.061.240.685.59

Sharpe Ratio

The current GB_BR Sharpe ratio is 1.17. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.77 to 2.67, 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 GB_BR 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 Ratio0.501.001.502.002.503.00December2024FebruaryMarchAprilMay
1.17
2.44
GB_BR
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

GB_BR granted a 2.31% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
GB_BR2.31%2.11%1.54%0.89%1.02%1.68%1.72%1.38%1.43%1.40%1.37%1.39%
IAU
iShares 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%
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%
TLT
iShares 20+ Year Treasury Bond ETF
3.81%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
SHY
iShares 1-3 Year Treasury Bond ETF
3.41%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%

Drawdowns

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.69%
0
GB_BR
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the GB_BR. 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 GB_BR was 19.85%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current GB_BR drawdown is 0.69%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.85%Nov 10, 2021238Oct 20, 2022
-14.64%Jul 15, 200886Nov 12, 2008180Aug 3, 2009266
-11.49%Mar 9, 20208Mar 18, 202026Apr 24, 202034
-9.29%Oct 5, 2012180Jun 26, 2013254Jun 30, 2014434
-8.11%Sep 7, 201671Dec 15, 2016156Aug 1, 2017227

Volatility

Volatility Chart

The current GB_BR volatility is 2.11%, 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.


1.00%2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
2.11%
3.47%
GB_BR
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.

VTIAUSHYTLT
VT1.000.12-0.17-0.29
IAU0.121.000.290.21
SHY-0.170.291.000.59
TLT-0.290.210.591.00