PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Dividends
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 30%SCHD 35%VIG 25%VYMI 10%BondBondEquityEquity
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

35%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

30%

VIG
Vanguard Dividend Appreciation ETF
Large Cap Growth Equities, Dividend

25%

VYMI
Vanguard International High Dividend Yield ETF
Foreign Large Cap Equities, Dividend

10%

S&P 500

Performance

Performance Chart

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


80.00%100.00%120.00%140.00%160.00%180.00%FebruaryMarchAprilMayJuneJuly
100.18%
177.13%
Dividends
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 2, 2016, corresponding to the inception date of VYMI

Returns By Period


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%
Dividends5.24%2.25%6.30%7.61%7.22%N/A
SCHD
Schwab US Dividend Equity ETF
8.51%4.93%7.37%11.67%12.07%11.15%
VIG
Vanguard Dividend Appreciation ETF
10.97%1.91%9.39%14.74%11.71%11.36%
VYMI
Vanguard International High Dividend Yield ETF
7.91%2.97%10.45%12.54%7.49%N/A
TLT
iShares 20+ Year Treasury Bond ETF
-4.15%-0.79%0.94%-4.73%-4.46%0.30%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.43%1.06%2.96%-4.70%2.90%0.69%5.24%
20234.53%-3.65%1.59%0.75%-3.50%4.10%1.72%-2.34%-4.97%-3.64%7.73%6.34%7.92%
2022-3.23%-2.06%0.29%-6.12%1.02%-5.73%3.95%-3.54%-7.96%5.17%7.36%-3.09%-14.20%
2021-2.09%1.23%3.79%2.76%2.00%0.76%2.07%1.16%-3.65%4.30%-0.73%4.06%16.45%
20201.39%-3.89%-5.65%7.84%2.13%0.22%4.70%2.22%-1.32%-1.71%9.21%1.98%17.31%
20194.52%2.37%2.41%1.75%-2.46%4.94%0.95%2.64%1.16%0.48%1.57%0.85%23.11%
20182.45%-4.47%-0.39%-1.23%1.33%0.34%2.71%1.59%0.19%-5.19%2.83%-3.65%-3.86%
20170.90%2.82%0.12%1.14%1.82%0.35%0.91%0.93%1.10%1.81%2.88%1.79%17.82%
20163.34%-0.09%0.83%3.53%2.60%-0.30%-0.50%-2.44%-0.57%1.32%7.82%

Expense Ratio

Dividends has an expense ratio of 0.10%, 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 VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VIG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Dividends is 12, indicating that it is in the bottom 12% 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 Dividends is 1212
Dividends
The Sharpe Ratio Rank of Dividends is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of Dividends is 1212Sortino Ratio Rank
The Omega Ratio Rank of Dividends is 1313Omega Ratio Rank
The Calmar Ratio Rank of Dividends is 1111Calmar Ratio Rank
The Martin Ratio Rank of Dividends is 1111Martin 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.


Dividends
Sharpe ratio
The chart of Sharpe ratio for Dividends, currently valued at 0.80, compared to the broader market-1.000.001.002.003.004.000.80
Sortino ratio
The chart of Sortino ratio for Dividends, currently valued at 1.19, compared to the broader market-2.000.002.004.006.001.19
Omega ratio
The chart of Omega ratio for Dividends, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.801.15
Calmar ratio
The chart of Calmar ratio for Dividends, currently valued at 0.40, compared to the broader market0.002.004.006.008.000.40
Martin ratio
The chart of Martin ratio for Dividends, currently valued at 1.93, compared to the broader market0.0010.0020.0030.0040.001.93
^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 market0.002.004.006.008.001.59
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
SCHD
Schwab US Dividend Equity ETF
1.171.741.200.993.63
VIG
Vanguard Dividend Appreciation ETF
1.712.451.301.665.25
VYMI
Vanguard International High Dividend Yield ETF
1.141.641.201.404.00
TLT
iShares 20+ Year Treasury Bond ETF
-0.37-0.400.95-0.13-0.74

Sharpe Ratio

The current Dividends Sharpe ratio is 0.80. 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 Dividends 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.80
1.82
Dividends
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Dividends granted a 3.27% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Dividends3.27%3.17%2.95%2.24%2.29%2.57%2.81%2.44%2.57%2.41%2.21%2.30%
SCHD
Schwab US Dividend Equity ETF
3.49%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
VIG
Vanguard Dividend Appreciation ETF
1.79%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
VYMI
Vanguard International High Dividend Yield ETF
4.53%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.83%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

Drawdowns Chart

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.55%
-2.86%
Dividends
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Dividends. 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 Dividends was 21.76%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Dividends drawdown is 2.55%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.76%Jan 3, 2022202Oct 20, 2022
-18.38%Feb 21, 202019Mar 18, 202055Jun 5, 202074
-10.99%Jan 29, 2018229Dec 24, 201856Mar 18, 2019285
-5.36%Jun 9, 202014Jun 26, 202017Jul 22, 202031
-5.09%Sep 3, 202014Sep 23, 202033Nov 9, 202047

Volatility

Volatility Chart

The current Dividends volatility is 2.74%, 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
2.74%
2.76%
Dividends
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.

TLTVYMIVIGSCHD
TLT1.00-0.15-0.11-0.16
VYMI-0.151.000.710.74
VIG-0.110.711.000.89
SCHD-0.160.740.891.00
The correlation results are calculated based on daily price changes starting from Mar 3, 2016