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All season + REIT & Only long term bonds
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 55%GLD 7.5%VTI 30%VNQ 7.5%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
DBC
Invesco DB Commodity Index Tracking Fund
Commodities
0%
GLD
SPDR Gold Trust
Precious Metals, Gold
7.50%
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds
0%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
55%
VNQ
Vanguard Real Estate ETF
REIT
7.50%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
30%

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
12.46%
17.05%
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC

Returns By Period

As of Oct 18, 2024, the All season + REIT & Only long term bonds returned 8.35% Year-To-Date and 5.50% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.95%4.39%18.07%37.09%14.48%11.71%
All season + REIT & Only long term bonds8.68%-1.42%12.46%27.37%3.42%5.53%
VTI
Vanguard Total Stock Market ETF
23.02%2.96%17.43%40.59%15.50%13.06%
DBC
Invesco DB Commodity Index Tracking Fund
1.32%0.50%-4.74%-6.77%9.21%0.91%
TLT
iShares 20+ Year Treasury Bond ETF
-2.22%-4.76%7.59%17.30%-5.35%0.05%
IEF
iShares 7-10 Year Treasury Bond ETF
2.15%-2.23%6.45%10.98%-1.12%1.01%
GLD
SPDR Gold Trust
31.44%3.74%16.56%36.86%12.38%7.85%
VNQ
Vanguard Real Estate ETF
13.63%0.55%24.91%40.39%4.38%6.61%

Monthly Returns

The table below presents the monthly returns of All season + REIT & Only long term bonds, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.38%0.59%2.25%-5.21%3.47%2.04%3.57%2.36%2.35%8.68%
20237.49%-4.23%3.89%0.60%-1.92%2.45%0.02%-2.64%-6.66%-3.53%9.32%7.15%11.04%
2022-4.73%-1.41%-1.50%-8.39%-1.93%-3.86%4.57%-4.30%-8.51%-0.71%6.53%-3.45%-25.28%
2021-2.33%-2.34%-1.25%3.74%0.79%2.76%3.09%0.81%-3.61%3.99%0.85%0.98%7.35%
20204.62%0.86%-1.26%5.81%1.12%1.26%5.25%-0.56%-1.32%-2.71%4.82%1.56%20.76%
20193.88%0.40%3.58%0.03%1.80%3.29%0.70%6.27%-1.14%0.29%0.60%-0.54%20.62%
2018-0.30%-3.53%1.23%-1.02%2.11%0.63%0.09%1.81%-1.73%-3.89%1.96%0.37%-2.47%
20171.39%2.49%-0.55%1.33%1.28%0.73%0.47%2.20%-0.82%0.49%1.56%1.49%12.68%
20161.53%2.60%2.50%0.00%0.64%5.07%2.82%-1.02%-0.86%-3.71%-3.83%0.66%6.19%
20155.77%-2.68%0.22%-2.16%-0.88%-3.18%2.94%-2.43%0.43%2.79%-0.81%-0.70%-1.07%
20143.07%2.53%0.36%1.45%2.21%1.17%-0.50%4.11%-2.68%2.89%2.50%2.02%20.69%
20130.18%0.77%1.32%2.99%-3.92%-3.03%1.10%-1.75%1.38%2.38%-1.45%-0.41%-0.70%

Expense Ratio

All season + REIT & Only long term bonds has an expense ratio of 0.13%, 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 DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GLD: 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 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 IEF: 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 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All season + REIT & Only long term bonds is 25, indicating that it is in the bottom 25% 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 All season + REIT & Only long term bonds is 2525
Combined Rank
The Sharpe Ratio Rank of All season + REIT & Only long term bonds is 2727Sharpe Ratio Rank
The Sortino Ratio Rank of All season + REIT & Only long term bonds is 3232Sortino Ratio Rank
The Omega Ratio Rank of All season + REIT & Only long term bonds is 2828Omega Ratio Rank
The Calmar Ratio Rank of All season + REIT & Only long term bonds is 88Calmar Ratio Rank
The Martin Ratio Rank of All season + REIT & Only long term bonds is 2929Martin 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.


All season + REIT & Only long term bonds
Sharpe ratio
The chart of Sharpe ratio for All season + REIT & Only long term bonds, currently valued at 2.30, compared to the broader market0.002.004.002.30
Sortino ratio
The chart of Sortino ratio for All season + REIT & Only long term bonds, currently valued at 3.27, compared to the broader market-2.000.002.004.006.003.27
Omega ratio
The chart of Omega ratio for All season + REIT & Only long term bonds, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.802.001.40
Calmar ratio
The chart of Calmar ratio for All season + REIT & Only long term bonds, currently valued at 0.85, compared to the broader market0.002.004.006.008.0010.0012.000.85
Martin ratio
The chart of Martin ratio for All season + REIT & Only long term bonds, currently valued at 12.53, compared to the broader market0.0010.0020.0030.0040.0050.0012.53
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.84, compared to the broader market-2.000.002.004.006.003.84
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.54, compared to the broader market0.002.004.006.008.0010.0012.002.54
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.73, compared to the broader market0.0010.0020.0030.0040.0050.0018.73

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.963.931.542.6719.15
DBC
Invesco DB Commodity Index Tracking Fund
-0.45-0.540.94-0.13-0.99
TLT
iShares 20+ Year Treasury Bond ETF
1.001.501.170.322.77
IEF
iShares 7-10 Year Treasury Bond ETF
1.502.201.260.465.09
GLD
SPDR Gold Trust
2.773.721.485.2517.65
VNQ
Vanguard Real Estate ETF
2.042.921.371.058.19

Sharpe Ratio

The current All season + REIT & Only long term bonds Sharpe ratio is 2.14. 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 2.19 to 3.02, 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 All season + REIT & Only long term bonds 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 Ratio-0.500.000.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.30
2.89
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All season + REIT & Only long term bonds granted a 2.81% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All season + REIT & Only long term bonds2.81%2.59%2.26%1.38%1.55%2.03%2.41%2.17%2.37%2.32%2.27%2.64%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
DBC
Invesco DB Commodity Index Tracking Fund
4.88%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.89%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
IEF
iShares 7-10 Year Treasury Bond ETF
3.37%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
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
3.74%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.16%
0
All season + REIT & Only long term bonds
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All season + REIT & Only long term bonds. 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 All season + REIT & Only long term bonds was 29.90%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current All season + REIT & Only long term bonds drawdown is 10.43%.


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

Volatility Chart

The current All season + REIT & Only long term bonds volatility is 1.97%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.97%
2.56%
All season + REIT & Only long term bonds
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.

GLDVNQDBCTLTVTIIEF
GLD1.000.090.350.190.070.23
VNQ0.091.000.19-0.080.69-0.08
DBC0.350.191.00-0.190.34-0.17
TLT0.19-0.08-0.191.00-0.290.92
VTI0.070.690.34-0.291.00-0.29
IEF0.23-0.08-0.170.92-0.291.00
The correlation results are calculated based on daily price changes starting from Feb 6, 2006