PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ETF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGLT 6.67%VGIT 6.67%VTIP 6.67%VCSH 6.67%LQD 6.67%VT 6.67%VIGI 6.67%PAVE 6.67%SMH 6.67%SOXX 6.67%VGK 6.67%VPL 6.67%XLU 6.67%VNQ 6.67%VNQI 6.67%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds

6.67%

PAVE
Global X US Infrastructure Development ETF
Utilities Equities

6.67%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

6.67%

SOXX
iShares PHLX Semiconductor ETF
Technology Equities

6.67%

VCSH
Vanguard Short-Term Corporate Bond ETF
Corporate Bonds

6.67%

VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds

6.67%

VGK
Vanguard FTSE Europe ETF
Europe Equities

6.67%

VGLT
Vanguard Long-Term Treasury ETF
Government Bonds

6.67%

VIGI
Vanguard International Dividend Appreciation ETF
Foreign Large Cap Equities, Dividend

6.67%

VNQ
Vanguard Real Estate ETF
REIT

6.67%

VNQI
Vanguard Global ex-U.S. Real Estate ETF
REIT

6.67%

VPL
Vanguard FTSE Pacific ETF
Asia Pacific Equities

6.67%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

6.67%

VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Inflation-Protected Bonds

6.67%

XLU
Utilities Select Sector SPDR Fund
Utilities Equities

6.67%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 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%2024FebruaryMarchAprilMayJune
8.95%
14.20%
ETF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2017, corresponding to the inception date of PAVE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
ETF6.53%1.43%8.95%13.92%9.39%N/A
VT
Vanguard Total World Stock ETF
9.36%1.37%11.74%18.46%11.09%8.50%
VIGI
Vanguard International Dividend Appreciation ETF
3.03%1.03%6.39%9.32%7.19%N/A
PAVE
Global X US Infrastructure Development ETF
7.98%-4.96%12.75%24.38%19.95%N/A
SMH
VanEck Vectors Semiconductor ETF
46.10%14.43%51.08%67.69%41.19%29.91%
SOXX
iShares PHLX Semiconductor ETF
27.02%10.41%33.38%46.10%35.96%28.42%
VGK
Vanguard FTSE Europe ETF
7.14%-0.39%9.65%14.30%8.25%4.49%
VPL
Vanguard FTSE Pacific ETF
2.85%-0.38%6.10%5.98%5.66%4.65%
VNQ
Vanguard Real Estate ETF
-5.33%-0.26%-2.70%3.89%2.19%5.23%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
-3.87%-2.85%0.04%4.03%-3.22%0.52%
VGLT
Vanguard Long-Term Treasury ETF
-4.79%1.86%-2.38%-4.45%-4.10%0.69%
VGIT
Vanguard Intermediate-Term Treasury ETF
-0.86%0.78%0.01%1.85%-0.28%1.07%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
1.74%0.50%2.20%5.37%3.16%2.03%
VCSH
Vanguard Short-Term Corporate Bond ETF
1.15%0.57%1.93%5.75%1.71%2.02%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
-1.29%1.18%-0.11%5.06%0.68%2.33%
XLU
Utilities Select Sector SPDR Fund
12.10%-1.21%8.64%9.92%6.34%8.72%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.56%2.95%3.07%-3.50%4.45%6.53%
20237.10%-2.73%3.05%0.13%-0.39%3.60%2.36%-2.63%-4.37%-2.75%8.21%6.29%18.26%
2022-4.95%-1.59%0.82%-6.56%0.87%-7.01%6.68%-4.64%-8.81%2.38%9.26%-3.15%-16.94%
2021-0.40%1.49%2.21%2.23%1.49%0.90%1.52%1.54%-3.50%3.41%0.10%3.26%14.99%
2020-0.13%-3.80%-9.49%6.45%3.55%2.66%3.64%2.52%-0.75%-0.85%9.01%3.17%15.74%
20196.17%2.03%2.35%2.41%-3.79%4.96%0.36%0.66%1.87%2.26%1.08%3.15%25.79%
20182.13%-3.41%0.42%-0.84%1.91%-0.68%1.71%0.44%-0.87%-5.51%2.03%-3.30%-6.13%
20172.12%1.03%2.58%-0.38%1.93%1.10%1.30%2.00%1.01%0.62%14.11%

Expense Ratio

ETF features an expense ratio of 0.16%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for PAVE: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
Expense ratio chart for SOXX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VIGI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for LQD: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for XLU: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
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%
Expense ratio chart for VNQI: 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%
Expense ratio chart for VGK: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VPL: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VT: 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%
Expense ratio chart for VGLT: 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%
Expense ratio chart for VGIT: 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%
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%
Expense ratio chart for VCSH: 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 ETF is 31, 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 ETF is 3131
ETF
The Sharpe Ratio Rank of ETF is 3232Sharpe Ratio Rank
The Sortino Ratio Rank of ETF is 3535Sortino Ratio Rank
The Omega Ratio Rank of ETF is 3232Omega Ratio Rank
The Calmar Ratio Rank of ETF is 2828Calmar Ratio Rank
The Martin Ratio Rank of ETF is 2828Martin 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.


ETF
Sharpe ratio
The chart of Sharpe ratio for ETF, currently valued at 1.48, compared to the broader market0.002.004.001.48
Sortino ratio
The chart of Sortino ratio for ETF, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ETF, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
The chart of Calmar ratio for ETF, currently valued at 0.99, compared to the broader market0.002.004.006.008.0010.000.99
Martin ratio
The chart of Martin ratio for ETF, currently valued at 4.33, compared to the broader market0.0010.0020.0030.0040.0050.004.33
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, 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 ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF
1.792.571.311.355.77
VIGI
Vanguard International Dividend Appreciation ETF
0.961.431.170.573.00
PAVE
Global X US Infrastructure Development ETF
1.712.361.282.056.37
SMH
VanEck Vectors Semiconductor ETF
2.773.541.435.0313.41
SOXX
iShares PHLX Semiconductor ETF
1.932.611.313.067.72
VGK
Vanguard FTSE Europe ETF
1.201.771.211.003.58
VPL
Vanguard FTSE Pacific ETF
0.590.911.110.381.87
VNQ
Vanguard Real Estate ETF
0.250.491.060.130.64
VNQI
Vanguard Global ex-U.S. Real Estate ETF
0.280.511.060.120.80
VGLT
Vanguard Long-Term Treasury ETF
-0.34-0.370.96-0.11-0.64
VGIT
Vanguard Intermediate-Term Treasury ETF
0.270.421.050.100.76
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
2.123.701.441.6818.85
VCSH
Vanguard Short-Term Corporate Bond ETF
2.023.241.381.0712.70
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
0.560.861.100.221.52
XLU
Utilities Select Sector SPDR Fund
0.560.891.110.381.35

Sharpe Ratio

The current ETF Sharpe ratio is 1.48. 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 1.43 to 2.37, 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 ETF 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.48
2.21
ETF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF granted a 2.81% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ETF2.81%2.77%2.76%2.84%1.97%3.16%3.09%2.50%2.56%2.48%2.54%2.41%
VT
Vanguard Total World Stock ETF
2.03%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VIGI
Vanguard International Dividend Appreciation ETF
2.02%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%0.00%0.00%0.00%
PAVE
Global X US Infrastructure Development ETF
0.63%0.68%0.84%0.48%0.44%0.67%0.78%0.30%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
SOXX
iShares PHLX Semiconductor ETF
1.37%2.35%3.76%1.91%2.43%3.70%4.11%2.70%3.23%3.86%4.69%3.55%
VGK
Vanguard FTSE Europe ETF
3.18%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
VPL
Vanguard FTSE Pacific ETF
3.23%3.12%2.75%3.19%1.81%2.84%3.06%2.57%2.65%2.43%2.69%2.49%
VNQ
Vanguard Real Estate ETF
4.17%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
3.89%3.74%0.57%6.48%0.93%7.58%4.62%3.86%5.18%2.86%4.11%3.27%
VGLT
Vanguard Long-Term Treasury ETF
3.81%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%
VGIT
Vanguard Intermediate-Term Treasury ETF
3.19%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.30%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%
VCSH
Vanguard Short-Term Corporate Bond ETF
3.51%3.09%2.01%1.81%2.27%2.87%2.65%2.26%2.10%2.08%2.01%2.05%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.34%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
XLU
Utilities Select Sector SPDR Fund
3.09%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.96%
0
ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF. 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 ETF was 25.06%, occurring on Oct 14, 2022. Recovery took 340 trading sessions.

The current ETF drawdown is 0.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.06%Dec 28, 2021202Oct 14, 2022340Feb 23, 2024542
-23.99%Feb 18, 202024Mar 20, 202094Aug 4, 2020118
-11.73%Jan 29, 2018229Dec 24, 201856Mar 18, 2019285
-5.02%Apr 1, 202415Apr 19, 202417May 14, 202432
-4.63%Oct 13, 202012Oct 28, 20206Nov 5, 202018

Volatility

Volatility Chart

The current ETF volatility is 2.66%, 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%2024FebruaryMarchAprilMayJune
2.66%
2.41%
ETF
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.

VTIPVGLTVGITXLUVCSHLQDVNQSMHSOXXPAVEVNQIVPLVGKVIGIVT
VTIP1.000.410.570.190.590.490.220.060.070.110.190.160.160.180.15
VGLT0.411.000.860.140.620.780.09-0.12-0.12-0.20-0.02-0.11-0.12-0.05-0.13
VGIT0.570.861.000.160.790.750.12-0.11-0.11-0.170.03-0.06-0.07-0.00-0.10
XLU0.190.140.161.000.260.300.630.140.160.310.350.300.330.350.37
VCSH0.590.620.790.261.000.800.290.110.120.090.240.200.190.250.19
LQD0.490.780.750.300.801.000.340.170.170.130.290.220.230.280.24
VNQ0.220.090.120.630.290.341.000.390.410.570.600.510.540.550.63
SMH0.06-0.12-0.110.140.110.170.391.000.990.610.520.650.630.650.77
SOXX0.07-0.12-0.110.160.120.170.410.991.000.630.520.650.630.650.78
PAVE0.11-0.20-0.170.310.090.130.570.610.631.000.570.690.700.670.80
VNQI0.19-0.020.030.350.240.290.600.520.520.571.000.770.770.780.76
VPL0.16-0.11-0.060.300.200.220.510.650.650.690.771.000.810.860.88
VGK0.16-0.12-0.070.330.190.230.540.630.630.700.770.811.000.910.88
VIGI0.18-0.05-0.000.350.250.280.550.650.650.670.780.860.911.000.89
VT0.15-0.13-0.100.370.190.240.630.770.780.800.760.880.880.891.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2017