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Classic 2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IEI 9%SHY 8%TLT 8%VOO 25%EEM 25%VERX.AS 17%IWM 8%BondBondEquityEquity
PositionCategory/SectorWeight
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

25%

IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds

9%

IWM
iShares Russell 2000 ETF
Small Cap Growth Equities

8%

SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

8%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

8%

VERX.AS
Vanguard FTSE Developed Europe ex-UK UCITS ETF
Europe Equities

17%

VOO
Vanguard S&P 500 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 Classic 2023, 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%2024FebruaryMarchAprilMayJune
8.83%
15.17%
Classic 2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2014, corresponding to the inception date of VERX.AS

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.65%3.82%15.17%24.08%13.46%10.86%
Classic 20236.37%1.41%8.83%12.02%6.88%N/A
VOO
Vanguard S&P 500 ETF
14.29%3.94%15.91%25.89%14.87%12.90%
IWM
iShares Russell 2000 ETF
2.04%-0.22%6.33%9.89%7.35%7.30%
EEM
iShares MSCI Emerging Markets ETF
5.87%-0.58%9.43%7.53%2.96%1.97%
VERX.AS
Vanguard FTSE Developed Europe ex-UK UCITS ETF
9.10%1.43%12.08%16.83%9.16%N/A
SHY
iShares 1-3 Year Treasury Bond ETF
0.87%0.53%1.34%3.91%0.88%0.98%
TLT
iShares 20+ Year Treasury Bond ETF
-4.86%2.75%-2.55%-5.04%-4.48%0.53%
IEI
iShares 3-7 Year Treasury Bond ETF
-0.29%1.05%0.52%2.63%-0.05%1.08%

Monthly Returns

The table below presents the monthly returns of Classic 2023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.23%2.84%2.57%-2.87%3.54%6.37%
20237.09%-3.56%2.64%0.85%-1.79%4.08%3.11%-3.40%-4.01%-2.94%7.89%4.93%14.80%
2022-3.61%-2.69%-0.75%-6.50%0.30%-5.99%4.34%-3.39%-8.44%3.14%8.39%-2.96%-17.82%
20210.32%1.13%1.18%2.84%1.42%1.09%-0.48%1.54%-3.65%3.26%-2.07%2.45%9.19%
2020-1.25%-4.20%-9.63%7.17%3.41%3.35%4.88%3.32%-1.94%-1.42%9.39%4.35%17.07%
20196.50%1.28%1.28%2.45%-4.22%5.19%-0.64%-0.86%1.14%2.35%1.38%3.25%20.35%
20184.36%-3.98%-0.35%-0.46%0.00%-0.84%2.52%-0.07%-0.47%-6.38%1.96%-3.89%-7.80%
20172.68%1.81%1.81%1.79%1.88%0.69%2.61%0.95%1.22%1.53%0.93%1.42%21.10%
2016-3.59%-0.30%6.56%0.63%-0.37%1.16%3.72%0.36%0.77%-1.73%-0.91%1.64%7.85%
2015-0.20%3.23%-0.57%2.03%-0.95%-2.07%-0.12%-5.36%-2.16%5.17%-0.53%-2.21%-4.08%
20143.51%1.50%-1.26%3.73%

Expense Ratio

Classic 2023 has a high expense ratio of 0.25%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for IWM: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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 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 IEI: 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 VERX.AS: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VOO: 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 Classic 2023 is 21, indicating that it is in the bottom 21% 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 Classic 2023 is 2121
Classic 2023
The Sharpe Ratio Rank of Classic 2023 is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of Classic 2023 is 2323Sortino Ratio Rank
The Omega Ratio Rank of Classic 2023 is 2424Omega Ratio Rank
The Calmar Ratio Rank of Classic 2023 is 1616Calmar Ratio Rank
The Martin Ratio Rank of Classic 2023 is 1818Martin 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.


Classic 2023
Sharpe ratio
The chart of Sharpe ratio for Classic 2023, currently valued at 1.27, compared to the broader market0.002.004.006.001.27
Sortino ratio
The chart of Sortino ratio for Classic 2023, currently valued at 1.89, compared to the broader market-2.000.002.004.006.001.89
Omega ratio
The chart of Omega ratio for Classic 2023, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for Classic 2023, currently valued at 0.66, compared to the broader market0.002.004.006.008.0010.000.66
Martin ratio
The chart of Martin ratio for Classic 2023, currently valued at 3.27, compared to the broader market0.0010.0020.0030.0040.0050.003.27
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.20, compared to the broader market0.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.76, compared to the broader market0.002.004.006.008.0010.001.76
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.26, compared to the broader market0.0010.0020.0030.0040.0050.008.26

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
2.313.251.412.238.95
IWM
iShares Russell 2000 ETF
0.621.031.120.381.71
EEM
iShares MSCI Emerging Markets ETF
0.610.971.110.261.56
VERX.AS
Vanguard FTSE Developed Europe ex-UK UCITS ETF
1.271.951.220.993.62
SHY
iShares 1-3 Year Treasury Bond ETF
2.013.181.390.9912.91
TLT
iShares 20+ Year Treasury Bond ETF
-0.43-0.500.94-0.15-0.78
IEI
iShares 3-7 Year Treasury Bond ETF
0.470.731.080.171.42

Sharpe Ratio

The current Classic 2023 Sharpe ratio is 1.27. 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 1.46 to 2.38, 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 Classic 2023 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
1.27
2.20
Classic 2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Classic 2023 granted a 2.30% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Classic 20232.30%2.32%2.12%1.48%1.46%2.27%2.25%1.88%1.95%2.09%1.49%1.42%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
IWM
iShares Russell 2000 ETF
1.30%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%
EEM
iShares MSCI Emerging Markets ETF
2.45%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
VERX.AS
Vanguard FTSE Developed Europe ex-UK UCITS ETF
2.49%2.75%3.05%2.29%1.96%2.83%3.20%2.71%2.81%2.61%0.11%0.00%
SHY
iShares 1-3 Year Treasury Bond ETF
3.49%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
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%
IEI
iShares 3-7 Year Treasury Bond ETF
2.80%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%

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%2024FebruaryMarchAprilMayJune
-1.13%
0
Classic 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Classic 2023. 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 Classic 2023 was 25.93%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current Classic 2023 drawdown is 1.13%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.93%Nov 9, 2021243Oct 14, 2022
-23.5%Jan 21, 202042Mar 18, 202084Jul 15, 2020126
-16.34%Apr 29, 2015188Jan 20, 2016262Jan 24, 2017450
-15.53%Jan 29, 2018235Dec 24, 2018217Oct 28, 2019452
-5.36%Sep 3, 202016Sep 24, 202012Oct 12, 202028

Volatility

Volatility Chart

The current Classic 2023 volatility is 2.56%, 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%2024FebruaryMarchAprilMayJune
2.56%
2.51%
Classic 2023
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.

VERX.ASSHYTLTIEIEEMIWMVOO
VERX.AS1.00-0.02-0.09-0.040.560.480.51
SHY-0.021.000.610.87-0.05-0.10-0.10
TLT-0.090.611.000.83-0.14-0.19-0.19
IEI-0.040.870.831.00-0.10-0.16-0.16
EEM0.56-0.05-0.14-0.101.000.630.69
IWM0.48-0.10-0.19-0.160.631.000.83
VOO0.51-0.10-0.19-0.160.690.831.00
The correlation results are calculated based on daily price changes starting from Oct 20, 2014