PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

MODERATO ETF

Last updated Sep 21, 2023

da 6 anni a 10 anni

Asset Allocation


BIV 15%CEMB 15%VIG 20%VTV 15%IEFA 15%VXUS 10%IJH 5%SCHB 4.2%BondBondEquityEquity
PositionCategory/SectorWeight
BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market15%
CEMB
iShares J.P. Morgan EM Corporate Bond ETF
Corporate Bonds15%
VIG
Vanguard Dividend Appreciation ETF
Large Cap Growth Equities, Dividend20%
VTV
Vanguard Value ETF
Large Cap Value Equities15%
IEFA
iShares Core MSCI EAFE ETF
Foreign Large Cap Equities15%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities10%
IJH
iShares Core S&P Mid-Cap ETF
Small Cap Growth Equities5%
SCHB
Schwab U.S. Broad Market ETF
Large Cap Growth Equities4.2%
SCHN
Schnitzer Steel Industries, Inc.
Basic Materials0.8%

Performance

The chart shows the growth of an initial investment of $10,000 in MODERATO ETF, 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
4.26%
10.86%
MODERATO ETF
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the MODERATO ETF returned 5.43% Year-To-Date and 6.58% 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%8.51%9.99%
MODERATO ETF0.57%4.53%5.43%11.87%5.41%6.57%
VIG
Vanguard Dividend Appreciation ETF
0.25%8.84%6.67%14.72%9.43%10.72%
BIV
Vanguard Intermediate-Term Bond ETF
0.11%-3.68%0.26%-0.04%0.98%1.72%
VTV
Vanguard Value ETF
1.08%8.83%3.07%12.39%7.59%10.02%
IEFA
iShares Core MSCI EAFE ETF
1.33%4.56%9.63%22.43%3.46%4.28%
VXUS
Vanguard Total International Stock ETF
1.42%4.35%8.29%17.37%3.19%3.81%
SCHB
Schwab U.S. Broad Market ETF
0.33%12.06%15.18%16.80%9.50%11.48%
SCHN
Schnitzer Steel Industries, Inc.
-11.63%-2.90%-6.92%-7.29%3.19%3.35%
IJH
iShares Core S&P Mid-Cap ETF
-0.78%7.61%6.01%10.73%6.17%9.10%
CEMB
iShares J.P. Morgan EM Corporate Bond ETF
0.72%0.49%2.73%5.08%1.77%2.61%

Asset Correlations Table

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

BIVCEMBSCHNIEFAVXUSVIGIJHVTVSCHB
BIV1.000.31-0.12-0.06-0.05-0.08-0.13-0.16-0.11
CEMB0.311.000.110.260.270.220.200.190.22
SCHN-0.120.111.000.450.470.460.550.520.49
IEFA-0.060.260.451.000.970.780.760.780.81
VXUS-0.050.270.470.971.000.770.770.780.82
VIG-0.080.220.460.780.771.000.860.920.93
IJH-0.130.200.550.760.770.861.000.880.91
VTV-0.160.190.520.780.780.920.881.000.90
SCHB-0.110.220.490.810.820.930.910.901.00

Sharpe Ratio

The current MODERATO ETF Sharpe ratio is 0.90. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.90

The Sharpe ratio of MODERATO ETF 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-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.90
0.82
MODERATO ETF
Benchmark (^GSPC)
Portfolio components

Dividend yield

MODERATO ETF granted a 2.76% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
MODERATO ETF2.76%2.71%2.73%2.57%3.03%3.43%3.00%3.31%3.64%3.78%3.56%3.43%
VIG
Vanguard Dividend Appreciation ETF
1.49%1.98%1.60%1.70%1.83%2.26%2.09%2.43%2.71%2.31%2.23%2.92%
BIV
Vanguard Intermediate-Term Bond ETF
2.93%2.46%3.57%3.19%3.06%3.29%3.17%2.88%3.74%5.05%5.59%6.93%
VTV
Vanguard Value ETF
3.18%2.55%2.23%2.72%2.74%3.07%2.65%2.89%3.16%2.76%2.82%3.57%
IEFA
iShares Core MSCI EAFE ETF
2.44%2.76%3.47%2.05%3.52%3.95%3.02%3.59%3.28%3.96%2.84%0.45%
VXUS
Vanguard Total International Stock ETF
3.02%3.15%3.25%2.32%3.40%3.64%3.23%3.56%3.54%4.37%3.58%4.04%
SCHB
Schwab U.S. Broad Market ETF
1.50%1.63%1.24%1.70%1.91%2.31%1.82%2.60%2.31%2.02%1.95%2.59%
SCHN
Schnitzer Steel Industries, Inc.
2.68%2.49%1.50%2.49%3.82%3.97%2.62%3.52%6.57%4.38%3.11%2.66%
IJH
iShares Core S&P Mid-Cap ETF
1.62%1.69%1.21%1.33%1.71%1.84%1.30%1.76%1.75%1.53%1.49%1.67%
CEMB
iShares J.P. Morgan EM Corporate Bond ETF
4.73%4.42%3.77%4.30%4.86%5.64%5.15%5.61%6.54%6.09%5.89%3.90%

Expense Ratio

The MODERATO ETF 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.


0.50%
0.00%2.15%
0.07%
0.00%2.15%
0.06%
0.00%2.15%
0.04%
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
VIG
Vanguard Dividend Appreciation ETF
0.77
BIV
Vanguard Intermediate-Term Bond ETF
-0.06
VTV
Vanguard Value ETF
0.73
IEFA
iShares Core MSCI EAFE ETF
1.08
VXUS
Vanguard Total International Stock ETF
0.85
SCHB
Schwab U.S. Broad Market ETF
0.75
SCHN
Schnitzer Steel Industries, Inc.
-0.23
IJH
iShares Core S&P Mid-Cap ETF
0.37
CEMB
iShares J.P. Morgan EM Corporate Bond ETF
0.60

Drawdowns Chart

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


-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-7.32%
-8.22%
MODERATO ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the MODERATO ETF. 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 MODERATO ETF is 27.09%, recorded on Mar 23, 2020. It took 111 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.09%Feb 13, 202027Mar 23, 2020111Aug 28, 2020138
-20.74%Jan 5, 2022194Oct 12, 2022
-13.5%Jan 29, 2018229Dec 24, 201879Apr 18, 2019308
-12.45%May 22, 2015167Jan 20, 2016119Jul 11, 2016286
-7.58%May 22, 201323Jun 24, 201360Sep 18, 201383

Volatility Chart

The current MODERATO ETF volatility is 2.13%, 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%AprilMayJuneJulyAugustSeptember
2.13%
3.27%
MODERATO ETF
Benchmark (^GSPC)
Portfolio components