Intelligent Asset Allocator
Madonna portfolio from pg. 81
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Intelligent Asset Allocator, 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
The earliest data available for this chart is Jan 28, 2011, corresponding to the inception date of VXUS
Returns By Period
As of Jul 25, 2024, the Intelligent Asset Allocator returned 6.34% Year-To-Date and 5.26% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| Intelligent Asset Allocator | 6.15% | 2.22% | 7.47% | 10.54% | 6.20% | 5.26% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | 14.04% | -1.30% | 11.13% | 20.75% | 14.14% | 12.67% |
VTWO Vanguard Russell 2000 ETF | 10.56% | 10.29% | 13.27% | 15.49% | 8.63% | 8.43% |
VNQ Vanguard Real Estate ETF | 1.73% | 6.97% | 5.82% | 8.37% | 3.80% | 5.64% |
VXUS Vanguard Total International Stock ETF | 5.35% | 0.35% | 6.79% | 8.27% | 5.88% | 4.04% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 3.66% | 1.27% | 6.38% | 7.01% | 5.25% | 3.53% |
VWO Vanguard FTSE Emerging Markets ETF | 5.71% | -0.98% | 8.19% | 6.53% | 3.41% | 2.52% |
IAU iShares Gold Trust | 14.32% | 2.67% | 16.87% | 21.12% | 10.61% | 5.94% |
BSV Vanguard Short-Term Bond ETF | 1.89% | 1.02% | 2.00% | 5.47% | 1.20% | 1.49% |
Monthly Returns
The table below presents the monthly returns of Intelligent Asset Allocator, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.62% | 1.89% | 2.72% | -2.12% | 2.93% | 0.61% | 6.15% | ||||||
| 2023 | 6.16% | -3.35% | 1.64% | 0.52% | -1.71% | 2.97% | 2.95% | -2.53% | -3.41% | -1.67% | 6.19% | 4.71% | 12.44% |
| 2022 | -3.64% | -0.93% | 0.27% | -4.74% | -0.26% | -4.93% | 3.75% | -2.93% | -7.11% | 2.45% | 6.48% | -2.17% | -13.68% |
| 2021 | 0.32% | 1.31% | 1.32% | 2.83% | 1.75% | -0.03% | 0.09% | 1.23% | -2.84% | 2.57% | -1.98% | 2.85% | 9.62% |
| 2020 | -0.75% | -3.86% | -10.10% | 7.17% | 3.29% | 2.70% | 4.26% | 2.57% | -1.94% | -0.79% | 6.87% | 4.30% | 13.08% |
| 2019 | 6.08% | 1.27% | 0.87% | 1.45% | -2.72% | 4.13% | -0.18% | 0.04% | 0.75% | 2.09% | 0.62% | 2.81% | 18.30% |
| 2018 | 2.46% | -3.34% | 0.29% | -0.13% | 0.80% | -0.66% | 1.11% | 0.08% | -0.84% | -4.46% | 1.69% | -3.30% | -6.35% |
| 2017 | 2.27% | 1.84% | 0.65% | 1.17% | 0.54% | 0.65% | 1.99% | 0.85% | 0.72% | 0.71% | 0.94% | 1.16% | 14.33% |
| 2016 | -2.68% | 1.00% | 5.13% | 1.10% | -0.53% | 2.08% | 3.12% | -0.53% | 0.72% | -2.04% | -0.66% | 1.06% | 7.80% |
| 2015 | 1.15% | 1.62% | -0.39% | 1.03% | -0.05% | -1.50% | -0.94% | -3.85% | -1.22% | 3.83% | -0.78% | -1.27% | -2.56% |
| 2014 | -1.36% | 3.72% | 0.07% | 0.45% | 1.04% | 2.16% | -1.50% | 1.96% | -3.85% | 1.77% | 0.19% | -0.46% | 4.04% |
| 2013 | 2.03% | -0.41% | 1.30% | 0.99% | -1.84% | -2.76% | 3.20% | -1.46% | 3.13% | 2.34% | -0.44% | 0.36% | 6.42% |
Expense Ratio
Intelligent Asset Allocator has an expense ratio of 0.08%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Intelligent Asset Allocator is 25, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 1.73 | 2.43 | 1.30 | 1.72 | 6.83 |
VTWO Vanguard Russell 2000 ETF | 0.75 | 1.24 | 1.14 | 0.48 | 2.15 |
VNQ Vanguard Real Estate ETF | 0.35 | 0.64 | 1.08 | 0.19 | 0.90 |
VXUS Vanguard Total International Stock ETF | 0.66 | 1.01 | 1.12 | 0.43 | 1.89 |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 0.46 | 0.75 | 1.09 | 0.23 | 1.26 |
VWO Vanguard FTSE Emerging Markets ETF | 0.45 | 0.74 | 1.09 | 0.22 | 1.22 |
IAU iShares Gold Trust | 1.45 | 2.08 | 1.26 | 1.61 | 7.03 |
BSV Vanguard Short-Term Bond ETF | 2.01 | 3.17 | 1.38 | 0.93 | 10.53 |
Dividends
Dividend yield
Intelligent Asset Allocator granted a 2.49% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Intelligent Asset Allocator | 2.49% | 2.41% | 2.11% | 1.78% | 1.77% | 2.30% | 2.30% | 2.00% | 2.09% | 2.02% | 1.98% | 1.98% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.34% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
VTWO Vanguard Russell 2000 ETF | 1.34% | 1.45% | 1.48% | 1.13% | 0.92% | 1.36% | 1.41% | 1.18% | 1.27% | 1.23% | 1.12% | 1.04% |
VNQ Vanguard Real Estate ETF | 4.04% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
VXUS Vanguard Total International Stock ETF | 3.06% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 2.92% | 3.14% | 2.30% | 2.74% | 1.90% | 3.25% | 2.80% | 2.83% | 2.93% | 2.66% | 2.67% | 2.71% |
VWO Vanguard FTSE Emerging Markets ETF | 3.24% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
BSV Vanguard Short-Term Bond ETF | 2.99% | 2.46% | 1.50% | 1.45% | 1.79% | 2.29% | 1.99% | 1.65% | 1.48% | 1.40% | 1.45% | 1.48% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Intelligent Asset Allocator. 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 Intelligent Asset Allocator was 22.25%, occurring on Mar 23, 2020. Recovery took 89 trading sessions.
The current Intelligent Asset Allocator drawdown is 2.24%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.25% | Feb 20, 2020 | 23 | Mar 23, 2020 | 89 | Jul 29, 2020 | 112 |
| -20.76% | Nov 15, 2021 | 231 | Oct 14, 2022 | 396 | May 14, 2024 | 627 |
| -14.99% | May 2, 2011 | 108 | Oct 3, 2011 | 235 | Sep 7, 2012 | 343 |
| -12.62% | May 18, 2015 | 171 | Jan 20, 2016 | 121 | Jul 13, 2016 | 292 |
| -11.87% | Jan 29, 2018 | 229 | Dec 24, 2018 | 121 | Jun 19, 2019 | 350 |
Volatility
Volatility Chart
The current Intelligent Asset Allocator volatility is 2.45%, 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.
Diversification
Asset Correlations Table
| BSV | IAU | VNQ | VTWO | VWO | VOO | VSS | VXUS | |
|---|---|---|---|---|---|---|---|---|
| BSV | 1.00 | 0.36 | 0.12 | -0.11 | -0.05 | -0.11 | -0.02 | -0.05 |
| IAU | 0.36 | 1.00 | 0.11 | 0.03 | 0.17 | 0.03 | 0.22 | 0.17 |
| VNQ | 0.12 | 0.11 | 1.00 | 0.62 | 0.47 | 0.64 | 0.55 | 0.56 |
| VTWO | -0.11 | 0.03 | 0.62 | 1.00 | 0.64 | 0.84 | 0.74 | 0.75 |
| VWO | -0.05 | 0.17 | 0.47 | 0.64 | 1.00 | 0.72 | 0.85 | 0.88 |
| VOO | -0.11 | 0.03 | 0.64 | 0.84 | 0.72 | 1.00 | 0.80 | 0.83 |
| VSS | -0.02 | 0.22 | 0.55 | 0.74 | 0.85 | 0.80 | 1.00 | 0.95 |
| VXUS | -0.05 | 0.17 | 0.56 | 0.75 | 0.88 | 0.83 | 0.95 | 1.00 |