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Conservative Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500

Performance

Performance Chart


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The earliest data available for this chart is Jan 29, 2009, corresponding to the inception date of IGOV

Returns By Period

As of May 31, 2025, the Conservative Portfolio returned 4.71% Year-To-Date and 4.97% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.51%6.15%-2.00%12.92%14.19%10.85%
Conservative Portfolio4.71%1.96%2.05%9.55%4.69%4.97%
VEA
Vanguard FTSE Developed Markets ETF
16.76%5.13%12.67%14.08%11.40%6.14%
IGOV
iShares International Treasury Bond ETF
8.69%-0.38%4.61%8.34%-3.44%-0.49%
BND
Vanguard Total Bond Market ETF
2.49%-0.67%0.77%5.82%-1.00%1.54%
VTI
Vanguard Total Stock Market ETF
0.38%6.25%-2.68%13.67%15.23%12.13%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.75%0.94%-1.31%1.31%1.96%4.71%
2024-0.34%1.00%1.84%-3.17%2.88%0.91%2.45%2.00%1.53%-2.57%2.35%-2.54%6.27%
20235.09%-3.04%2.91%0.99%-1.33%2.41%1.36%-1.63%-3.50%-2.03%6.61%4.56%12.47%
2022-3.42%-1.72%-0.90%-6.13%0.57%-4.72%4.61%-3.92%-6.60%2.49%5.87%-2.48%-15.95%
2021-0.79%0.10%0.48%2.36%0.82%0.70%1.30%0.73%-2.45%2.15%-1.01%1.30%5.75%
20200.63%-2.29%-6.38%5.83%2.71%1.58%3.14%2.20%-1.42%-1.25%5.90%2.40%13.09%
20193.97%1.14%1.46%1.32%-1.44%3.57%0.00%0.76%0.43%1.24%0.96%1.30%15.63%
20181.73%-2.31%-0.05%-0.41%0.61%-0.09%1.10%0.89%-0.20%-3.72%0.95%-1.88%-3.48%
20171.25%1.40%0.49%1.18%1.36%0.44%1.47%0.58%0.60%0.68%1.07%0.90%12.04%
2016-1.53%0.39%3.61%0.89%0.12%1.13%2.07%-0.18%0.43%-1.87%-0.89%0.96%5.13%
20150.21%1.56%-0.41%0.81%-0.34%-1.45%1.08%-2.66%-0.74%3.00%-0.42%-0.79%-0.27%
2014-0.75%2.53%0.03%0.79%1.30%1.02%-1.15%1.68%-1.90%0.93%0.98%-0.60%4.88%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Conservative Portfolio has an expense ratio of 0.07%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 79, Conservative Portfolio is among the top 21% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Conservative Portfolio is 7979
Overall Rank
The Sharpe Ratio Rank of Conservative Portfolio is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of Conservative Portfolio is 7777
Sortino Ratio Rank
The Omega Ratio Rank of Conservative Portfolio is 7575
Omega Ratio Rank
The Calmar Ratio Rank of Conservative Portfolio is 8383
Calmar Ratio Rank
The Martin Ratio Rank of Conservative Portfolio is 8282
Martin 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 components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VEA
Vanguard FTSE Developed Markets ETF
0.831.181.160.982.96
IGOV
iShares International Treasury Bond ETF
0.871.211.140.241.65
BND
Vanguard Total Bond Market ETF
1.101.601.190.472.79
VTI
Vanguard Total Stock Market ETF
0.680.981.140.632.36

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Conservative Portfolio Sharpe ratios as of May 31, 2025 (values are recalculated daily):

  • 1-Year: 1.16
  • 5-Year: 0.54
  • 10-Year: 0.61
  • All Time: 0.82

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.60 to 1.13, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Conservative Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Conservative Portfolio provided a 2.59% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.59%2.63%2.30%2.10%1.75%1.72%2.22%2.39%2.08%2.22%2.19%2.46%
VEA
Vanguard FTSE Developed Markets ETF
2.81%3.36%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%
IGOV
iShares International Treasury Bond ETF
0.54%0.59%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.22%1.28%
BND
Vanguard Total Bond Market ETF
3.74%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
VTI
Vanguard Total Stock Market ETF
1.29%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%

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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Conservative Portfolio. 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 Conservative Portfolio was 22.18%, occurring on Oct 14, 2022. Recovery took 462 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.18%Nov 10, 2021234Oct 14, 2022462Aug 19, 2024696
-15.68%Feb 20, 202020Mar 18, 202055Jun 5, 202075
-9.93%Feb 10, 200919Mar 9, 200923Apr 9, 200942
-8.07%Jan 29, 2018229Dec 24, 201858Mar 20, 2019287
-7.26%Jul 25, 201150Oct 3, 201183Feb 1, 2012133
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 3.01, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCBNDIGOVVTIVEAPortfolio
^GSPC1.00-0.120.120.990.830.86
BND-0.121.000.44-0.12-0.080.22
IGOV0.120.441.000.130.330.47
VTI0.99-0.120.131.000.830.87
VEA0.83-0.080.330.831.000.88
Portfolio0.860.220.470.870.881.00
The correlation results are calculated based on daily price changes starting from Jan 30, 2009
Go to the full Correlations tool for more customization options

AI Insight on Diversification


The portfolio is moderately diversified with a mix of fixed income and equity positions that exhibit varying degrees of correlation. The bond ETFs BND and IGOV show a moderate positive correlation (0.44), which is typical for fixed income assets but does not significantly reduce diversification on its own. The equity ETFs VTI and VEA are highly correlated (0.83), indicating that these two equity positions move very similarly, which somewhat limits diversification within the equity portion of the portfolio.

The correlations between bonds and equities are low to slightly negative (e.g., BND with VTI at -0.12 and with VEA at -0.08), which helps the portfolio’s overall risk reduction by providing some balance between asset classes. The portfolio’s correlation with individual positions reveals that it is most closely tied to the equity holdings—VTI (0.87) and VEA (0.88)—suggesting that equities dominate the portfolio’s behavior and returns. The bond positions have lower correlations with the portfolio (BND at 0.22 and IGOV at 0.47), indicating they contribute to diversification but have less influence on overall portfolio movements.

Given the high correlation between the two equity ETFs and their strong influence on the portfolio, the equity portion is somewhat concentrated, reducing the benefits of diversification within equities. However, the inclusion of bonds with low or negative correlations to equities enhances the portfolio’s overall diversification. In summary, the portfolio is balanced between fixed income and equities but leans heavily on equities for performance, with moderate diversification benefits primarily coming from the bond allocations.

Last updated May 31, 2025
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