PortfoliosLab logo
Conservative Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


Loading data...

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

Returns By Period

As of May 11, 2025, the Conservative Portfolio returned 2.78% Year-To-Date and 4.75% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Conservative Portfolio2.78%4.27%0.88%7.51%4.89%4.75%
VEA
Vanguard FTSE Developed Markets ETF
12.77%11.62%8.93%10.01%11.74%5.66%
IGOV
iShares International Treasury Bond ETF
7.70%1.75%4.23%6.96%-3.19%-0.89%
BND
Vanguard Total Bond Market ETF
2.21%0.98%1.19%5.53%-0.78%1.51%
VTI
Vanguard Total Stock Market ETF
-3.75%7.98%-5.68%9.17%15.27%11.77%
*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%0.09%2.78%
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%

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 77, Conservative Portfolio is among the top 23% 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 7777
Overall Rank
The Sharpe Ratio Rank of Conservative Portfolio is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of Conservative Portfolio is 7676
Sortino Ratio Rank
The Omega Ratio Rank of Conservative Portfolio is 7373
Omega Ratio Rank
The Calmar Ratio Rank of Conservative Portfolio is 8181
Calmar Ratio Rank
The Martin Ratio Rank of Conservative Portfolio is 8181
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
0.591.001.130.802.42
IGOV
iShares International Treasury Bond ETF
0.721.111.130.201.41
BND
Vanguard Total Bond Market ETF
1.001.451.170.422.54
VTI
Vanguard Total Stock Market ETF
0.470.831.120.511.94

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 11, 2025 (values are recalculated daily):

  • 1-Year: 0.90
  • 5-Year: 0.56
  • 10-Year: 0.59
  • All Time: 0.81

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 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Loading data...

Dividends

Dividend yield

Conservative Portfolio provided a 2.63% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.63%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
2.91%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
0.55%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
3.75%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
1.35%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.


Loading data...

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.

The current Conservative Portfolio drawdown is 0.36%.


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

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


Loading data...

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
^GSPC1.00-0.130.130.990.830.86
BND-0.131.000.44-0.12-0.080.22
IGOV0.130.441.000.130.330.47
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

AI Insight on Diversification


The portfolio is moderately diversified with a blend of fixed income and equity positions showing varying degrees of correlation. The bond ETFs BND and IGOV have a moderate positive correlation of 0.44, indicating some overlap in fixed income exposure but not excessively so. The equity ETFs VTI and VEA are highly correlated at 0.83, suggesting that these two equity positions move closely together and may reduce diversification benefits within the equity sleeve.

Notably, the correlations between bonds and equities are low to slightly negative (e.g., BND with VTI at -0.12 and BND with VEA at -0.08), which supports diversification by reducing overall portfolio volatility. IGOV has a moderate positive correlation with equities (0.13 with VTI and 0.33 with VEA), which slightly reduces the diversification benefit compared to BND.

Looking at the portfolio’s correlation with individual positions, it is strongly correlated with the equity ETFs (0.87 with VTI and 0.88 with VEA), indicating that equities dominate the portfolio’s behavior. The portfolio’s correlation with bonds is lower (0.22 with BND and 0.47 with IGOV), reflecting that fixed income plays a smaller but still meaningful role in the portfolio’s overall risk and return profile.

In summary, the portfolio is not highly concentrated but leans toward equity dominance, with two equity positions that are strongly correlated and thus somewhat limit diversification within the equity portion. The inclusion of bonds with low or negative correlations to equities enhances diversification, but the moderate correlation between the two bond ETFs slightly reduces this benefit. Overall, the portfolio achieves a reasonable balance but could improve diversification by reducing the high correlation between the two equity ETFs or by adding assets with lower correlations to the existing positions.

Last updated May 11, 2025