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Intelligent Asset Allocator
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BSV 30%IAU 10%VOO 10%VTWO 10%VXUS 10%VSS 10%VWO 10%VNQ 10%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BSV
Vanguard Short-Term Bond ETF

30%

IAU
iShares Gold Trust
Precious Metals, Gold

10%

VNQ
Vanguard Real Estate ETF
REIT

10%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

10%

VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
Foreign Small & Mid Cap Equities

10%

VTWO
Vanguard Russell 2000 ETF
Small Cap Blend Equities

10%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

10%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

10%

S&P 500

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


100.00%150.00%200.00%250.00%300.00%NovemberDecember2024FebruaryMarchApril
96.07%
289.18%
Intelligent Asset Allocator
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 28, 2011, corresponding to the inception date of VXUS

Returns By Period

As of Apr 20, 2024, the Intelligent Asset Allocator returned 0.23% Year-To-Date and 4.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
Intelligent Asset Allocator0.23%-1.75%11.44%7.91%5.41%4.98%
VOO
Vanguard S&P 500 ETF
4.52%-5.03%18.47%22.03%12.98%12.28%
VTWO
Vanguard Russell 2000 ETF
-3.52%-5.87%16.78%10.48%5.70%6.98%
VNQ
Vanguard Real Estate ETF
-9.83%-6.59%11.41%-0.01%2.13%5.01%
VXUS
Vanguard Total International Stock ETF
0.25%-3.58%14.24%6.76%4.72%3.98%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
-1.96%-2.61%13.51%5.45%3.84%3.22%
VWO
Vanguard FTSE Emerging Markets ETF
-0.42%-1.73%10.31%6.09%1.74%2.92%
IAU
iShares Gold Trust
15.65%10.29%20.47%20.09%13.26%6.11%
BSV
Vanguard Short-Term Bond ETF
-0.72%-0.80%2.87%2.22%1.05%1.26%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.62%1.89%2.72%
2023-3.41%-1.67%6.19%4.71%

Expense Ratio

The Intelligent Asset Allocator has an expense ratio of 0.08% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.10%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


Intelligent Asset Allocator
Sharpe ratio
The chart of Sharpe ratio for Intelligent Asset Allocator, currently valued at 0.87, compared to the broader market-1.000.001.002.003.004.000.87
Sortino ratio
The chart of Sortino ratio for Intelligent Asset Allocator, currently valued at 1.33, compared to the broader market-2.000.002.004.006.001.33
Omega ratio
The chart of Omega ratio for Intelligent Asset Allocator, currently valued at 1.16, compared to the broader market0.801.001.201.401.601.801.16
Calmar ratio
The chart of Calmar ratio for Intelligent Asset Allocator, currently valued at 0.53, compared to the broader market0.002.004.006.008.000.53
Martin ratio
The chart of Martin ratio for Intelligent Asset Allocator, currently valued at 2.57, compared to the broader market0.0010.0020.0030.0040.002.57
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
1.822.651.321.577.57
VTWO
Vanguard Russell 2000 ETF
0.500.891.100.321.49
VNQ
Vanguard Real Estate ETF
-0.050.061.01-0.03-0.15
VXUS
Vanguard Total International Stock ETF
0.540.851.100.371.61
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
0.380.641.080.201.05
VWO
Vanguard FTSE Emerging Markets ETF
0.360.611.070.181.02
IAU
iShares Gold Trust
1.612.471.291.574.31
BSV
Vanguard Short-Term Bond ETF
0.801.241.140.412.23

Sharpe Ratio

The current Intelligent Asset Allocator Sharpe ratio is 0.87. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.87

The Sharpe ratio of Intelligent Asset Allocator is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.87
1.66
Intelligent Asset Allocator
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Intelligent Asset Allocator granted a 2.57% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Intelligent Asset Allocator2.57%2.41%2.11%1.78%1.77%2.30%2.30%2.00%2.09%2.02%1.98%1.98%
VOO
Vanguard S&P 500 ETF
1.41%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
1.45%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
4.37%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
3.43%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
3.20%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
3.56%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
2.77%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.60%
-5.46%
Intelligent Asset Allocator
Benchmark (^GSPC)
Portfolio components

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 3.60%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.25%Feb 20, 202023Mar 23, 202089Jul 29, 2020112
-20.76%Nov 15, 2021231Oct 14, 2022
-14.99%May 2, 2011108Oct 3, 2011235Sep 7, 2012343
-12.62%May 18, 2015171Jan 20, 2016121Jul 13, 2016292
-11.87%Jan 29, 2018229Dec 24, 2018121Jun 19, 2019350

Volatility

Volatility Chart

The current Intelligent Asset Allocator volatility is 2.48%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.48%
3.15%
Intelligent Asset Allocator
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.

BSVIAUVNQVTWOVWOVOOVSSVXUS
BSV1.000.360.11-0.12-0.06-0.12-0.03-0.07
IAU0.361.000.110.030.160.020.220.17
VNQ0.110.111.000.620.480.640.550.56
VTWO-0.120.030.621.000.650.840.740.75
VWO-0.060.160.480.651.000.720.850.89
VOO-0.120.020.640.840.721.000.800.83
VSS-0.030.220.550.740.850.801.000.95
VXUS-0.070.170.560.750.890.830.951.00