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Portfolio #1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SCHD 30%VGT 30%XIU.TO 30%VGTSX 10%EquityEquity
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend
30%
VGT
Vanguard Information Technology ETF
Technology Equities
30%
VGTSX
Vanguard Total International Stock Index Fund Investor Shares
Foreign Large Cap Equities, Large Cap Blend Equities
10%
XIU.TO
iShares S&P/TSX 60 Index ETF
Large Cap Growth Equities
30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio #1, 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%JuneJulyAugustSeptemberOctoberNovember
14.00%
14.56%
Portfolio #1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Nov 8, 2024, the Portfolio #1 returned 19.80% Year-To-Date and 12.37% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.23%3.86%14.56%36.29%14.10%11.37%
Portfolio #119.80%3.00%14.00%33.27%14.53%12.37%
SCHD
Schwab US Dividend Equity ETF
17.07%3.05%11.72%29.42%12.42%11.44%
VGT
Vanguard Information Technology ETF
29.93%5.77%21.84%44.20%22.74%20.75%
VGTSX
Vanguard Total International Stock Index Fund Investor Shares
10.43%-1.46%4.75%21.52%5.89%5.14%
XIU.TO
iShares S&P/TSX 60 Index ETF
15.06%1.60%10.97%29.55%10.19%6.65%

Monthly Returns

The table below presents the monthly returns of Portfolio #1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.21%2.57%3.34%-4.43%4.54%1.72%3.20%2.47%2.07%-1.28%19.80%
20237.19%-2.77%3.16%0.82%-0.70%5.75%3.26%-2.67%-4.67%-3.58%9.87%5.81%22.25%
2022-3.68%-2.07%3.48%-7.71%1.42%-8.98%6.88%-4.21%-9.40%8.08%7.14%-5.48%-15.57%
2021-0.65%3.90%5.00%3.86%2.60%1.79%1.15%1.91%-3.93%6.43%-1.30%4.60%27.90%
20200.32%-7.63%-13.84%11.88%5.19%3.55%5.39%6.87%-3.64%-2.45%13.00%4.11%21.17%
20198.79%4.26%1.69%4.21%-6.72%7.03%1.23%-1.42%2.57%1.75%3.48%2.95%33.12%
20184.37%-4.18%-2.03%0.30%3.19%-0.02%3.12%2.81%0.38%-7.44%1.09%-7.80%-6.92%
20172.82%2.05%1.32%0.43%2.13%0.05%3.27%1.06%2.36%3.44%1.84%1.89%25.11%
2016-3.75%0.83%8.33%0.89%0.79%0.48%4.45%0.72%1.27%-1.05%1.58%1.80%17.11%
2015-4.33%6.33%-2.60%3.29%-0.47%-3.42%-0.29%-5.55%-2.27%7.37%-0.34%-3.17%-6.20%
2014-3.75%4.52%0.97%1.31%1.95%3.13%-0.46%2.97%-2.80%0.57%2.36%-1.66%9.13%
20133.18%0.20%2.60%0.88%1.17%-2.99%5.04%-1.52%3.74%4.04%1.59%2.53%22.15%

Expense Ratio

Portfolio #1 has an expense ratio of 0.12%, 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.


Expense ratio chart for XIU.TO: 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%
Expense ratio chart for VGTSX: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
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%
Expense ratio chart for SCHD: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Portfolio #1 is 50, 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 Portfolio #1 is 5050
Combined Rank
The Sharpe Ratio Rank of Portfolio #1 is 4343Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio #1 is 4444Sortino Ratio Rank
The Omega Ratio Rank of Portfolio #1 is 4343Omega Ratio Rank
The Calmar Ratio Rank of Portfolio #1 is 6969Calmar Ratio Rank
The Martin Ratio Rank of Portfolio #1 is 5353Martin 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.


Portfolio #1
Sharpe ratio
The chart of Sharpe ratio for Portfolio #1, currently valued at 2.48, compared to the broader market0.002.004.002.48
Sortino ratio
The chart of Sortino ratio for Portfolio #1, currently valued at 3.39, compared to the broader market-2.000.002.004.006.003.39
Omega ratio
The chart of Omega ratio for Portfolio #1, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.802.001.45
Calmar ratio
The chart of Calmar ratio for Portfolio #1, currently valued at 3.97, compared to the broader market0.002.004.006.008.0010.0012.0014.003.97
Martin ratio
The chart of Martin ratio for Portfolio #1, currently valued at 16.16, compared to the broader market0.0010.0020.0030.0040.0050.0016.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.94, compared to the broader market0.002.004.002.94
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.93, compared to the broader market-2.000.002.004.006.003.93
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.89, compared to the broader market0.002.004.006.008.0010.0012.0014.003.89
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.19, compared to the broader market0.0010.0020.0030.0040.0050.0019.19

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHD
Schwab US Dividend Equity ETF
2.473.551.443.3113.13
VGT
Vanguard Information Technology ETF
1.862.401.332.549.16
VGTSX
Vanguard Total International Stock Index Fund Investor Shares
1.552.171.271.478.68
XIU.TO
iShares S&P/TSX 60 Index ETF
1.962.731.351.8813.77

Sharpe Ratio

The current Portfolio #1 Sharpe ratio is 2.48. 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 2.17 to 3.02, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Portfolio #1 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.48
2.94
Portfolio #1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio #1 provided a 2.29% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.29%2.50%2.50%2.06%2.31%2.39%2.57%2.13%2.34%2.51%2.25%2.12%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
VGT
Vanguard Information Technology ETF
0.60%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
VGTSX
Vanguard Total International Stock Index Fund Investor Shares
2.80%3.15%2.98%2.99%2.06%2.98%3.09%2.69%2.86%2.77%3.32%2.63%
XIU.TO
iShares S&P/TSX 60 Index ETF
2.74%3.16%3.02%2.43%3.03%2.87%3.18%2.58%2.65%3.19%2.65%2.68%

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%JuneJulyAugustSeptemberOctoberNovember00
Portfolio #1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio #1. 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 Portfolio #1 was 35.01%, occurring on Mar 23, 2020. Recovery took 96 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.01%Feb 20, 202023Mar 23, 202096Aug 5, 2020119
-23.68%Jan 4, 2022199Oct 12, 2022300Dec 13, 2023499
-19.18%Apr 29, 2015188Jan 20, 2016124Jul 14, 2016312
-18.66%Sep 24, 201866Dec 24, 201867Apr 1, 2019133
-11.53%Apr 3, 201243Jun 1, 201268Sep 6, 2012111

Volatility

Volatility Chart

The current Portfolio #1 volatility is 3.32%, 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%JuneJulyAugustSeptemberOctoberNovember
3.32%
3.93%
Portfolio #1
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.

VGTXIU.TOSCHDVGTSX
VGT1.000.600.670.71
XIU.TO0.601.000.690.80
SCHD0.670.691.000.74
VGTSX0.710.800.741.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011