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All season + REIT & Only long term bonds

Last updated Sep 23, 2023

Asset Allocation


TLT 55%GLD 7.5%VTI 30%VNQ 7.5%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds55%
GLD
SPDR Gold Trust
Precious Metals, Gold7.5%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities30%
VNQ
Vanguard Real Estate ETF
REIT7.5%

Performance

The chart shows the growth of an initial investment of $10,000 in All season + REIT & Only long term bonds, 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


-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
-5.44%
7.69%
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the All season + REIT & Only long term bonds returned 0.44% Year-To-Date and 5.06% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.55%9.05%12.97%17.44%8.37%9.90%
All season + REIT & Only long term bonds-4.11%-4.93%-0.84%-1.45%2.68%4.93%
VTI
Vanguard Total Stock Market ETF
-1.51%9.46%13.49%18.32%9.36%11.30%
DBC
Invesco DB Commodity Index Tracking Fund
3.03%7.52%2.03%5.38%8.04%0.07%
TLT
iShares 20+ Year Treasury Bond ETF
-6.06%-13.14%-8.51%-12.99%-3.33%0.62%
IEF
iShares 7-10 Year Treasury Bond ETF
-1.81%-5.66%-2.42%-2.69%-0.23%0.77%
GLD
SPDR Gold Trust
0.05%-2.34%4.75%16.14%9.50%3.26%
VNQ
Vanguard Real Estate ETF
-4.41%-0.58%-4.19%-3.95%3.08%5.54%

Asset Correlations Table

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

GLDVNQDBCTLTVTIIEF
GLD1.000.080.350.190.060.23
VNQ0.081.000.20-0.120.69-0.12
DBC0.350.201.00-0.200.36-0.17
TLT0.19-0.12-0.201.00-0.310.92
VTI0.060.690.36-0.311.00-0.32
IEF0.23-0.12-0.170.92-0.321.00

Sharpe Ratio

The current All season + REIT & Only long term bonds Sharpe ratio is -0.18. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.18

The Sharpe ratio of All season + REIT & Only long term bonds 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
-0.14
0.89
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

Dividend yield

All season + REIT & Only long term bonds granted a 2.69% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
All season + REIT & Only long term bonds2.69%2.30%1.44%1.64%2.20%2.67%2.47%2.77%2.78%2.79%3.34%3.09%
VTI
Vanguard Total Stock Market ETF
1.56%1.68%1.25%1.48%1.88%2.21%1.88%2.15%2.27%2.06%2.07%2.58%
DBC
Invesco DB Commodity Index Tracking Fund
0.58%0.59%0.00%0.00%1.60%1.33%0.00%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.55%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
IEF
iShares 7-10 Year Treasury Bond ETF
2.80%2.00%0.87%1.13%2.20%2.42%2.01%2.04%2.18%2.39%2.11%2.17%
GLD
SPDR 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%
VNQ
Vanguard Real Estate ETF
3.70%4.00%2.71%4.28%3.85%5.57%5.21%6.19%5.28%5.05%6.30%5.41%

Expense Ratio

The All season + REIT & Only long term bonds features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.85%
0.00%2.15%
0.40%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.03%
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
VTI
Vanguard Total Stock Market ETF
0.92
DBC
Invesco DB Commodity Index Tracking Fund
0.10
TLT
iShares 20+ Year Treasury Bond ETF
-0.67
IEF
iShares 7-10 Year Treasury Bond ETF
-0.26
GLD
SPDR Gold Trust
0.99
VNQ
Vanguard Real Estate ETF
-0.24

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-26.18%
-9.57%
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the All season + REIT & Only long term bonds. 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 All season + REIT & Only long term bonds is 29.90%, recorded on Oct 24, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.9%Nov 10, 2021240Oct 24, 2022
-17.47%Dec 31, 200846Mar 9, 2009134Sep 17, 2009180
-16.33%May 21, 2008126Nov 17, 200821Dec 17, 2008147
-16.22%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-9.86%Aug 1, 201687Dec 1, 2016188Aug 31, 2017275

Volatility Chart

The current All season + REIT & Only long term bonds volatility is 3.36%, 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
3.36%
3.36%
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components