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scrr
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Risk-Adjusted Performance
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scrr

Last updated Oct 30, 2024

Asset Allocation

BLV 15%VTIP 10%BIV 5%GLDM 10%BTC-USD 4.5%ETH-USD 2.5%VGT 18%MGK 13%VYM 10%VEA 5%VNQ 7%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BIV
Vanguard Intermediate-Term Bond ETF		Total Bond Market
5%
BLV
Vanguard Long-Term Bond ETF		Total Bond Market
15%
BTC-USD
Bitcoin
4.50%
ETH-USD
Ethereum
2.50%
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
10%
MGK
Vanguard Mega Cap Growth ETF		Large Cap Blend Equities
13%
VEA
Vanguard FTSE Developed Markets ETF		Foreign Large Cap Equities
5%
VGT
Vanguard Information Technology ETF		Technology Equities
18%
VNQ
Vanguard Real Estate ETF		REIT
7%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		Inflation-Protected Bonds
10%
VYM
Vanguard High Dividend Yield ETF		Dividend, Large Cap Value Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in scrr, 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
14.59%
15.83%
scrr
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 26, 2018, corresponding to the inception date of GLDM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
scrr19.24%0.94%14.58%36.88%16.11%N/A
Portfolio components:
VGT
Vanguard Information Technology ETF		26.76%4.34%23.72%51.83%23.26%21.01%
MGK
Vanguard Mega Cap Growth ETF		28.29%3.60%21.58%49.33%20.31%16.42%
VYM
Vanguard High Dividend Yield ETF		17.60%0.63%12.08%32.84%10.91%10.00%
VEA
Vanguard FTSE Developed Markets ETF		7.77%-4.28%5.91%24.08%6.71%5.55%
BIV
Vanguard Intermediate-Term Bond ETF		2.51%-2.76%5.91%11.18%0.13%1.92%
BLV
Vanguard Long-Term Bond ETF		-1.20%-5.22%6.88%16.44%-2.86%1.60%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		4.37%-0.55%3.64%7.05%3.52%2.39%
GLDM
SPDR Gold MiniShares Trust		34.29%4.53%21.01%38.81%12.73%N/A
VNQ
Vanguard Real Estate ETF		11.11%-1.36%22.28%38.62%4.09%6.10%
BTC-USD
Bitcoin		72.06%10.79%19.93%110.77%51.21%71.74%
ETH-USD
Ethereum		15.63%-0.80%-12.43%45.74%70.34%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.10%5.06%3.60%-4.48%5.01%2.17%1.89%1.03%2.60%19.24%
20239.07%-2.44%6.45%0.90%0.31%3.70%1.46%-2.40%-4.39%0.37%8.56%5.42%29.32%
2022-5.70%-0.99%1.63%-7.90%-1.96%-7.55%8.43%-5.02%-8.31%3.63%4.31%-3.91%-22.31%
20211.47%1.99%4.70%4.65%-0.56%1.21%3.48%3.16%-4.29%7.15%0.05%0.47%25.58%
20204.52%-2.99%-9.57%10.93%4.37%2.64%7.12%4.60%-3.72%-0.74%10.20%7.31%38.00%
20194.34%3.17%2.71%3.80%2.74%8.12%0.29%1.21%-0.09%2.19%0.18%1.46%34.27%
20180.41%2.08%1.02%-0.86%-4.67%-2.00%-3.01%-6.99%

Expense Ratio

scrr has an expense ratio of 0.07%, 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.

GLDM
SPDR Gold MiniShares Trust
Expense ratio chart for GLDM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
VNQ
Vanguard Real Estate ETF
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%
VGT
Vanguard Information Technology ETF
Expense ratio chart for VGT: 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%
MGK
Vanguard Mega Cap Growth ETF
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
VEA
Vanguard FTSE Developed Markets ETF
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
BIV
Vanguard Intermediate-Term Bond ETF
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%
BLV
Vanguard Long-Term Bond ETF
Expense ratio chart for BLV: 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%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Expense ratio chart for VTIP: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of scrr is 19, indicating that it is in the bottom 19% 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 scrr is 1919
Combined Rank
The Sharpe Ratio Rank of scrr is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of scrr is 2121Sortino Ratio Rank
The Omega Ratio Rank of scrr is 1717Omega Ratio Rank
The Calmar Ratio Rank of scrr is 1111Calmar Ratio Rank
The Martin Ratio Rank of scrr is 2727Martin 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.

scrr
Sharpe ratio
The chart of Sharpe ratio for scrr, currently valued at 2.27, compared to the broader market0.002.004.006.002.27
Sortino ratio
The chart of Sortino ratio for scrr, 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 scrr, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.802.001.37
Calmar ratio
The chart of Calmar ratio for scrr, currently valued at 1.11, compared to the broader market0.005.0010.001.11
Martin ratio
The chart of Martin ratio for scrr, currently valued at 13.23, compared to the broader market0.0010.0020.0030.0040.0050.0060.0013.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VGT
Vanguard Information Technology ETF		1.501.991.270.736.84
MGK
Vanguard Mega Cap Growth ETF		1.712.281.310.747.48
VYM
Vanguard High Dividend Yield ETF		2.183.011.381.2612.43
VEA
Vanguard FTSE Developed Markets ETF		0.791.161.140.284.26
BIV
Vanguard Intermediate-Term Bond ETF		1.151.661.200.084.86
BLV
Vanguard Long-Term Bond ETF		0.440.671.080.021.66
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		3.615.751.781.4332.64
GLDM
SPDR Gold MiniShares Trust		3.864.911.664.1226.74
VNQ
Vanguard Real Estate ETF		1.642.241.290.287.08
BTC-USD
Bitcoin		1.121.811.180.984.65
ETH-USD
Ethereum		-0.270.031.000.00-0.67

Sharpe Ratio

The current scrr Sharpe ratio is 2.27. 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 2.49 to 3.44, 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 scrr 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 Ratio1.002.003.004.005.00MayJuneJulyAugustSeptemberOctober
2.27
3.43
scrr
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

scrr provided a 2.05% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
scrr2.05%2.03%2.40%1.93%2.07%1.87%2.22%1.88%2.03%1.97%1.94%2.01%
Portfolio components:
VGT
Vanguard Information Technology ETF		0.61%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
MGK
Vanguard Mega Cap Growth ETF		0.43%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%
VYM
Vanguard High Dividend Yield ETF		2.82%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
VEA
Vanguard FTSE Developed Markets ETF		2.96%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
BIV
Vanguard Intermediate-Term Bond ETF		3.60%3.09%2.41%3.42%2.95%2.75%2.88%2.69%2.38%3.02%3.96%4.22%
BLV
Vanguard Long-Term Bond ETF		4.45%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		3.39%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%
GLDM
SPDR Gold MiniShares 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		3.82%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
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%

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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.11%
-0.54%
scrr
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the scrr. 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 scrr was 28.00%, occurring on Oct 15, 2022. Recovery took 482 trading sessions.

The current scrr drawdown is 0.11%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28%Nov 9, 2021341Oct 15, 2022482Feb 9, 2024823
-24.31%Feb 15, 202037Mar 22, 202080Jun 10, 2020117
-13.35%Jul 26, 2018153Dec 25, 201898Apr 2, 2019251
-7.77%Sep 2, 202022Sep 23, 202049Nov 11, 202071
-6.56%Jul 17, 202422Aug 7, 202416Aug 23, 202438

Volatility

Volatility Chart

The current scrr volatility is 2.29%, 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
2.29%
2.71%
scrr
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.
GLDMETH-USDBTC-USDBLVVTIPBIVVYMVNQVGTMGKVEA
GLDM1.000.110.110.320.390.380.070.130.060.060.21
ETH-USD0.111.000.820.040.060.040.170.150.210.200.23
BTC-USD0.110.821.000.030.050.030.160.160.210.210.23
BLV0.320.040.031.000.420.86-0.030.200.060.080.04
VTIP0.390.060.050.421.000.540.120.220.110.130.18
BIV0.380.040.030.860.541.00-0.020.210.060.080.06
VYM0.070.170.16-0.030.12-0.021.000.600.560.540.72
VNQ0.130.150.160.200.220.210.601.000.460.480.52
VGT0.060.210.210.060.110.060.560.461.000.940.66
MGK0.060.200.210.080.130.080.540.480.941.000.66
VEA0.210.230.230.040.180.060.720.520.660.661.00
The correlation results are calculated based on daily price changes starting from Jun 27, 2018