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Portfolio 2

Last updated Sep 21, 2023

Asset Allocation


TLT 40%IGLB 10%VT 50%BondBondEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds40%
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
Corporate Bonds10%
VT
Vanguard Total World Stock ETF
Large Cap Growth Equities50%

Performance

The chart shows the growth of an initial investment of $10,000 in Portfolio 2 , 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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
-1.00%
10.86%
Portfolio 2
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the Portfolio 2 returned 4.41% Year-To-Date and 5.27% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.99%
Portfolio 2 0.61%-0.66%4.41%3.58%3.32%5.25%
VT
Vanguard Total World Stock ETF
0.83%8.99%12.51%17.17%6.87%7.89%
TLT
iShares 20+ Year Treasury Bond ETF
0.15%-11.08%-4.50%-11.13%-2.43%1.13%
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
1.43%-3.83%1.26%0.39%0.48%2.90%

Asset Correlations Table

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

VTIGLBTLT
VT1.00-0.03-0.31
IGLB-0.031.000.80
TLT-0.310.801.00

Sharpe Ratio

The current Portfolio 2 Sharpe ratio is 0.17. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.17

The Sharpe ratio of Portfolio 2 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.17
0.74
Portfolio 2
Benchmark (^GSPC)
Portfolio components

Dividend yield

Portfolio 2 granted a 2.87% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Portfolio 2 2.87%2.68%1.91%1.87%2.65%3.10%2.79%3.14%3.32%3.36%3.66%3.53%
VT
Vanguard Total World Stock ETF
2.07%2.23%1.89%1.75%2.50%2.80%2.38%2.76%2.91%2.95%2.56%2.93%
TLT
iShares 20+ Year Treasury Bond ETF
3.40%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
4.78%4.70%3.40%3.58%4.28%5.45%4.92%5.48%6.20%5.82%7.49%6.78%

Expense Ratio

The Portfolio 2 features an expense ratio of 0.10%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.15%
0.00%2.15%
0.07%
0.00%2.15%
0.06%
0.00%2.15%

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
VT
Vanguard Total World Stock ETF
0.83
TLT
iShares 20+ Year Treasury Bond ETF
-0.56
IGLB
iShares 10+ Year Investment Grade Corporate Bond ETF
-0.02

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-21.72%
-8.22%
Portfolio 2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Portfolio 2 . 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 Portfolio 2 is 30.18%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.18%Nov 10, 2021238Oct 20, 2022
-18.46%Mar 9, 20208Mar 18, 202050May 29, 202058
-10.34%Jan 29, 2018229Dec 24, 201870Apr 5, 2019299
-9.51%Apr 16, 2015194Jan 21, 201693Jun 3, 2016287
-9.01%May 3, 201336Jun 24, 2013147Jan 23, 2014183

Volatility Chart

The current Portfolio 2 volatility is 2.96%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
2.96%
3.47%
Portfolio 2
Benchmark (^GSPC)
Portfolio components