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GLOBAL

Last updated Oct 2, 2023

VTI + VXUS + REET + VGLT

Asset Allocation


VGLT 10%VTI 50%VXUS 30%REET 10%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
VGLT
Vanguard Long-Term Treasury ETF
Government Bonds10%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities50%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities30%
REET
iShares Global REIT ETF
REIT10%

Performance

The chart shows the growth of an initial investment of $10,000 in GLOBAL, 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


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%12.00%MayJuneJulyAugustSeptember
-0.17%
4.57%
GLOBAL
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 2, 2023, the GLOBAL returned 6.45% Year-To-Date and 6.50% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%4.35%11.68%19.59%7.99%8.84%
GLOBAL-4.93%-0.09%6.45%15.42%5.58%6.50%
REET
iShares Global REIT ETF
-6.44%-5.99%-4.40%2.07%0.29%2.18%
VGLT
Vanguard Long-Term Treasury ETF
-5.92%-13.90%-8.02%-9.05%-2.79%-0.07%
VTI
Vanguard Total Stock Market ETF
-5.11%4.85%12.38%20.30%9.09%10.28%
VXUS
Vanguard Total International Stock ETF
-3.80%-1.46%5.43%20.59%2.90%2.83%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.42%1.31%-1.51%5.06%3.11%-2.91%

Sharpe Ratio

The current GLOBAL Sharpe ratio is 0.84. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.84

The Sharpe ratio of GLOBAL lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00MayJuneJulyAugustSeptember
0.84
0.89
GLOBAL
Benchmark (^GSPC)
Portfolio components

Dividend yield

GLOBAL granted a 2.33% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
GLOBAL2.33%2.33%2.12%1.95%2.82%3.18%2.68%3.16%3.07%2.98%2.52%2.90%
REET
iShares Global REIT ETF
2.60%2.49%3.33%2.87%5.90%6.78%4.80%6.97%4.87%3.00%0.00%0.00%
VGLT
Vanguard Long-Term Treasury ETF
3.50%2.90%1.90%2.29%2.68%3.03%2.93%3.17%3.87%3.43%4.10%3.99%
VTI
Vanguard Total Stock Market ETF
1.57%1.68%1.25%1.48%1.88%2.21%1.88%2.15%2.27%2.06%2.07%2.58%
VXUS
Vanguard Total International Stock ETF
3.11%3.15%3.25%2.32%3.40%3.64%3.23%3.56%3.54%4.37%3.58%4.04%

Expense Ratio

The GLOBAL has an expense ratio of 0.05% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.14%
0.00%2.15%
0.07%
0.00%2.15%
0.04%
0.00%2.15%
0.03%
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
REET
iShares Global REIT ETF
0.07
VGLT
Vanguard Long-Term Treasury ETF
-0.63
VTI
Vanguard Total Stock Market ETF
0.93
VXUS
Vanguard Total International Stock ETF
1.14

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

VGLTREETVXUSVTI
VGLT1.00-0.00-0.20-0.23
REET-0.001.000.610.65
VXUS-0.200.611.000.82
VTI-0.230.650.821.00

Drawdowns Chart

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


-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%MayJuneJulyAugustSeptember
-15.00%
-10.60%
GLOBAL
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the GLOBAL. 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 GLOBAL is 30.45%, recorded on Mar 23, 2020. It took 107 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.45%Feb 20, 202023Mar 23, 2020107Aug 24, 2020130
-27.06%Nov 9, 2021235Oct 14, 2022
-15.9%Jan 29, 2018229Dec 24, 201875Apr 12, 2019304
-14.83%Apr 27, 2015202Feb 11, 2016104Jul 12, 2016306
-7.09%Sep 4, 201431Oct 16, 201427Nov 24, 201458

Volatility Chart

The current GLOBAL volatility is 2.91%, 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%4.50%5.00%5.50%MayJuneJulyAugustSeptember
2.91%
3.17%
GLOBAL
Benchmark (^GSPC)
Portfolio components