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marlun2

Last updated Sep 21, 2023

Asset Allocation


TLT 40%IEF 10%GLD 10%BTC-USD 5%ETH-USD 5%^GSPC 30%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds40%
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds10%
GLD
SPDR Gold Trust
Precious Metals, Gold10%
BTC-USD
Bitcoin
5%
ETH-USD
Ethereum
5%
^GSPC
S&P 500
30%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in marlun2, 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
-2.71%
10.86%
10.86%
marlun2
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the marlun2 returned 8.07% Year-To-Date and 16.45% 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%5.79%6.59%
marlun20.50%-2.96%8.07%5.61%7.72%16.45%
^GSPC
S&P 500
0.33%11.48%14.66%16.16%5.79%6.59%
TLT
iShares 20+ Year Treasury Bond ETF
0.15%-11.08%-4.50%-11.13%-1.68%-0.89%
IEF
iShares 7-10 Year Treasury Bond ETF
-0.06%-5.77%-1.34%-2.98%0.01%0.05%
GLD
SPDR Gold Trust
1.85%-3.44%5.72%15.12%6.53%4.68%
BTC-USD
Bitcoin
4.23%-4.24%63.96%46.28%21.29%47.51%
ETH-USD
Ethereum
-0.67%-10.65%35.61%29.56%30.16%71.84%

Asset Correlations Table

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

^GSPCBTC-USDETH-USDGLDTLTIEF
^GSPC1.000.140.15-0.01-0.19-0.19
BTC-USD0.141.000.620.09-0.000.00
ETH-USD0.150.621.000.080.010.01
GLD-0.010.090.081.000.340.40
TLT-0.19-0.000.010.341.000.89
IEF-0.190.000.010.400.891.00

Sharpe Ratio

The current marlun2 Sharpe ratio is 0.29. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.29

The Sharpe ratio of marlun2 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 Ratio0.000.501.001.502.00AprilMayJuneJulyAugustSeptember
0.29
1.00
1.00
marlun2
Benchmark (^GSPC)
Portfolio components

Dividend yield

marlun2 granted a 1.64% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
marlun21.64%1.29%0.71%0.75%1.20%1.40%1.30%1.41%1.46%1.54%1.85%1.60%
^GSPC
S&P 500
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
3.40%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
2.76%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%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The marlun2 features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.40%
0.00%2.15%
0.15%
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
^GSPC
S&P 500
0.74
TLT
iShares 20+ Year Treasury Bond ETF
-0.56
IEF
iShares 7-10 Year Treasury Bond ETF
-0.32
GLD
SPDR Gold Trust
1.05
BTC-USD
Bitcoin
1.37
ETH-USD
Ethereum
0.44

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
-23.68%
-8.22%
-8.22%
marlun2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the marlun2. 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 marlun2 is 32.42%, recorded on Nov 9, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.42%Nov 10, 2021365Nov 9, 2022
-20.24%Dec 19, 2017341Nov 24, 2018207Jun 19, 2019548
-18.49%Mar 7, 202012Mar 18, 202042Apr 29, 202054
-12.17%Mar 14, 20167Mar 20, 201684Jun 12, 201691
-10.57%Jun 14, 201733Jul 16, 201746Aug 31, 201779

Volatility Chart

The current marlun2 volatility is 1.44%, 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.


1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
1.44%
2.22%
2.22%
marlun2
Benchmark (^GSPC)
Portfolio components