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June 2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 20%TLT 15%BIV 10%GLD 5%VOO 28%AAPL 5%VHT 5%XLE 5%LMT 5%VDC 2%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc.
Technology

5%

BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market

10%

GLD
SPDR Gold Trust
Precious Metals, Gold

5%

LMT
Lockheed Martin Corporation
Industrials

5%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

20%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

15%

VDC
Vanguard Consumer Staples ETF
Consumer Staples Equities

2%

VHT
Vanguard Health Care ETF
Health & Biotech Equities

5%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

28%

XLE
Energy Select Sector SPDR Fund
Energy Equities

5%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in June 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
6.30%
14.20%
June 2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Jun 12, 2024, the June 2023 returned 5.02% Year-To-Date and 8.13% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
June 20235.02%1.79%6.30%10.38%8.97%8.13%
AAPL
Apple Inc.
7.88%11.20%4.92%13.61%34.95%26.28%
BIV
Vanguard Intermediate-Term Bond ETF
-0.86%0.97%0.35%3.04%0.19%1.77%
GLD
SPDR Gold Trust
12.02%-0.98%14.13%18.62%11.13%5.72%
TLT
iShares 20+ Year Treasury Bond ETF
-5.57%1.99%-3.27%-5.75%-4.74%0.45%
TIP
iShares TIPS Bond ETF
0.19%0.78%0.99%2.41%1.99%1.83%
VHT
Vanguard Health Care ETF
6.83%1.85%8.14%11.12%10.96%10.96%
VDC
Vanguard Consumer Staples ETF
8.02%-0.62%8.46%9.44%9.06%8.69%
XLE
Energy Select Sector SPDR Fund
8.80%-3.30%11.86%15.68%13.65%3.06%
LMT
Lockheed Martin Corporation
3.55%-0.99%3.96%5.19%8.64%14.02%
VOO
Vanguard S&P 500 ETF
13.35%3.08%14.96%24.85%15.13%12.82%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.25%1.14%2.49%-2.80%3.32%5.02%
20234.36%-2.64%3.89%1.05%-1.51%2.92%1.05%-1.40%-4.34%-1.33%5.99%3.99%12.08%
2022-1.85%0.13%0.84%-5.72%0.11%-4.99%5.44%-3.11%-7.60%5.20%3.93%-3.16%-11.19%
2021-1.29%-0.08%1.40%3.23%0.97%1.93%2.08%0.87%-2.74%3.49%0.46%2.66%13.60%
20202.11%-3.27%-5.06%8.85%2.37%1.31%4.63%2.91%-2.85%-2.58%6.10%2.46%17.29%
20194.65%1.55%2.38%1.61%-1.48%4.65%0.78%2.15%0.25%1.12%1.91%1.63%23.21%
20181.93%-2.51%-0.60%-0.27%1.89%0.13%1.68%2.26%0.09%-4.42%0.45%-3.24%-2.84%
20171.37%2.98%0.14%0.81%1.23%-0.17%1.35%1.71%0.10%1.00%1.64%1.18%14.15%
2016-0.90%1.38%3.63%0.45%0.65%2.63%2.37%-0.52%0.42%-1.87%-0.50%0.52%8.44%
20152.10%1.14%-0.52%-0.30%0.09%-2.02%1.42%-3.04%-0.98%4.26%-0.38%-1.88%-0.33%
2014-0.02%3.13%0.20%1.67%2.19%1.40%-0.44%3.23%-1.82%2.00%1.81%-0.11%13.92%
20130.64%0.62%2.16%1.49%-1.05%-2.94%3.72%-0.94%1.69%2.86%0.95%0.42%9.85%

Expense Ratio

June 2023 features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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 TIP: 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 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 XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for VHT: 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 VDC: 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 BIV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
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 June 2023 is 28, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of June 2023 is 2828
June 2023
The Sharpe Ratio Rank of June 2023 is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of June 2023 is 3030Sortino Ratio Rank
The Omega Ratio Rank of June 2023 is 2929Omega Ratio Rank
The Calmar Ratio Rank of June 2023 is 3030Calmar Ratio Rank
The Martin Ratio Rank of June 2023 is 2525Martin 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.


June 2023
Sharpe ratio
The chart of Sharpe ratio for June 2023, currently valued at 1.38, compared to the broader market0.002.004.001.38
Sortino ratio
The chart of Sortino ratio for June 2023, currently valued at 2.07, compared to the broader market-2.000.002.004.006.002.07
Omega ratio
The chart of Omega ratio for June 2023, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.801.25
Calmar ratio
The chart of Calmar ratio for June 2023, currently valued at 1.03, compared to the broader market0.002.004.006.008.0010.001.03
Martin ratio
The chart of Martin ratio for June 2023, currently valued at 3.98, compared to the broader market0.0010.0020.0030.0040.0050.003.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
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 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc.
0.701.161.140.911.81
BIV
Vanguard Intermediate-Term Bond ETF
0.390.611.070.151.08
GLD
SPDR Gold Trust
1.351.951.251.366.57
TLT
iShares 20+ Year Treasury Bond ETF
-0.38-0.430.95-0.13-0.70
TIP
iShares TIPS Bond ETF
0.330.541.060.141.10
VHT
Vanguard Health Care ETF
1.151.691.200.853.33
VDC
Vanguard Consumer Staples ETF
0.941.391.160.782.19
XLE
Energy Select Sector SPDR Fund
0.831.261.150.992.52
LMT
Lockheed Martin Corporation
0.170.391.050.140.55
VOO
Vanguard S&P 500 ETF
2.363.331.412.319.24

Sharpe Ratio

The current June 2023 Sharpe ratio is 1.38. 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 1.43 to 2.37, 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 June 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.38
2.21
June 2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

June 2023 granted a 2.37% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
June 20232.37%2.23%2.96%2.26%1.75%2.09%2.35%2.00%1.95%1.87%2.08%2.11%
AAPL
Apple Inc.
0.47%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
BIV
Vanguard Intermediate-Term Bond ETF
3.48%3.09%2.41%3.42%2.95%2.75%2.88%2.69%2.38%3.02%3.96%4.22%
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%
TLT
iShares 20+ Year Treasury Bond ETF
3.86%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
TIP
iShares TIPS Bond ETF
3.21%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
VHT
Vanguard Health Care ETF
1.30%1.36%1.33%1.14%1.21%1.89%1.38%1.31%1.45%1.22%1.02%1.12%
VDC
Vanguard Consumer Staples ETF
2.47%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%
XLE
Energy Select Sector SPDR Fund
3.22%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%
LMT
Lockheed Martin Corporation
2.69%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%3.22%
VOO
Vanguard S&P 500 ETF
1.30%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.18%
0
June 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the June 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 June 2023 was 17.01%, occurring on Mar 18, 2020. Recovery took 48 trading sessions.

The current June 2023 drawdown is 0.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.01%Feb 20, 202020Mar 18, 202048May 27, 202068
-16.25%Dec 28, 2021192Sep 30, 2022335Feb 1, 2024527
-10.23%Oct 3, 201857Dec 24, 201858Mar 20, 2019115
-7.22%Apr 27, 201585Aug 25, 2015151Apr 1, 2016236
-6.53%Sep 3, 202041Oct 30, 202024Dec 4, 202065

Volatility

Volatility Chart

The current June 2023 volatility is 2.16%, 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%2024FebruaryMarchAprilMayJune
2.16%
2.41%
June 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.

GLDTIPAAPLLMTBIVXLEVDCTLTVHTVOO
GLD1.000.360.030.000.330.100.050.250.030.03
TIP0.361.00-0.03-0.070.77-0.07-0.020.74-0.07-0.08
AAPL0.03-0.031.000.26-0.060.310.37-0.150.450.63
LMT0.00-0.070.261.00-0.100.350.46-0.180.420.47
BIV0.330.77-0.06-0.101.00-0.21-0.030.84-0.09-0.14
XLE0.10-0.070.310.35-0.211.000.41-0.310.450.61
VDC0.05-0.020.370.46-0.030.411.00-0.140.630.70
TLT0.250.74-0.15-0.180.84-0.31-0.141.00-0.20-0.27
VHT0.03-0.070.450.42-0.090.450.63-0.201.000.79
VOO0.03-0.080.630.47-0.140.610.70-0.270.791.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010