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Boglehead++
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AGG 20%TIP 10%VTI 40%VXUS 20%VNQ 10%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market

20%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

10%

VNQ
Vanguard Real Estate ETF
REIT

10%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

40%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Boglehead++, 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


150.00%200.00%250.00%300.00%350.00%FebruaryMarchAprilMayJuneJuly
175.50%
325.21%
Boglehead++
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 Jul 25, 2024, the Boglehead++ returned 6.98% Year-To-Date and 6.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
Boglehead++6.98%0.77%7.66%11.24%7.48%6.96%
VTI
Vanguard Total Stock Market ETF
13.57%0.23%11.80%19.69%13.46%12.08%
VXUS
Vanguard Total International Stock ETF
5.87%0.25%7.94%8.47%5.99%4.07%
AGG
iShares Core U.S. Aggregate Bond ETF
0.25%0.17%1.80%3.57%-0.09%1.42%
TIP
iShares TIPS Bond ETF
1.18%0.13%2.15%2.58%1.96%1.74%
VNQ
Vanguard Real Estate ETF
2.06%5.67%7.23%6.85%3.87%5.70%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.39%2.51%2.43%-3.66%3.66%1.51%6.98%
20236.42%-3.09%2.25%0.96%-1.27%4.06%2.45%-2.21%-4.04%-2.48%7.80%5.10%16.17%
2022-4.44%-2.04%1.03%-6.33%-0.22%-6.19%6.26%-3.88%-8.46%4.15%6.25%-3.63%-17.31%
2021-0.20%1.59%2.14%3.65%1.02%1.44%1.40%1.60%-3.33%4.06%-1.52%3.19%15.84%
20200.04%-4.77%-10.73%8.29%3.61%2.26%4.00%3.76%-2.19%-1.72%8.55%3.53%13.75%
20196.47%1.82%1.75%2.10%-3.17%4.39%0.41%-0.10%1.19%1.68%1.62%2.13%21.93%
20182.50%-3.64%-0.30%0.15%1.30%0.39%1.84%1.33%-0.36%-5.24%1.81%-4.91%-5.39%
20171.67%2.27%0.38%1.09%1.06%0.64%1.66%0.43%1.16%1.21%1.59%1.07%15.17%
2016-3.30%-0.20%5.75%0.53%0.65%1.23%3.10%-0.28%0.32%-2.05%0.51%1.73%7.98%
20150.38%2.67%-0.57%0.62%0.11%-1.99%1.37%-4.72%-1.42%5.06%-0.17%-1.25%-0.22%
2014-1.41%3.65%0.27%0.90%1.90%1.57%-1.20%2.48%-2.82%2.38%1.25%-0.60%8.48%
20132.87%0.55%2.15%2.29%-1.13%-2.16%3.45%-2.65%3.84%3.09%0.44%1.18%14.55%

Expense Ratio

Boglehead++ has an expense ratio of 0.07%, 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.


Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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 VXUS: 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 AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Boglehead++ is 27, 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 Boglehead++ is 2727
Boglehead++
The Sharpe Ratio Rank of Boglehead++ is 2929Sharpe Ratio Rank
The Sortino Ratio Rank of Boglehead++ is 2929Sortino Ratio Rank
The Omega Ratio Rank of Boglehead++ is 3030Omega Ratio Rank
The Calmar Ratio Rank of Boglehead++ is 2020Calmar Ratio Rank
The Martin Ratio Rank of Boglehead++ is 2525Martin 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.


Boglehead++
Sharpe ratio
The chart of Sharpe ratio for Boglehead++, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.001.22
Sortino ratio
The chart of Sortino ratio for Boglehead++, currently valued at 1.80, compared to the broader market-2.000.002.004.006.001.80
Omega ratio
The chart of Omega ratio for Boglehead++, currently valued at 1.22, compared to the broader market0.801.001.201.401.601.22
Calmar ratio
The chart of Calmar ratio for Boglehead++, currently valued at 0.70, compared to the broader market0.002.004.006.008.000.70
Martin ratio
The chart of Martin ratio for Boglehead++, currently valued at 3.65, compared to the broader market0.0010.0020.0030.0040.003.65
^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 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
1.692.371.301.426.24
VXUS
Vanguard Total International Stock ETF
0.741.121.130.492.12
AGG
iShares Core U.S. Aggregate Bond ETF
0.520.791.090.201.54
TIP
iShares TIPS Bond ETF
0.420.661.080.171.42
VNQ
Vanguard Real Estate ETF
0.330.611.070.180.85

Sharpe Ratio

The current Boglehead++ Sharpe ratio is 1.22. 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 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Boglehead++ 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.22
1.66
Boglehead++
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Boglehead++ granted a 2.57% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Boglehead++2.57%2.52%2.85%2.14%1.93%2.38%2.79%2.32%2.46%2.27%2.39%2.25%
VTI
Vanguard Total Stock Market ETF
1.37%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VXUS
Vanguard Total International Stock ETF
3.05%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
AGG
iShares Core U.S. Aggregate Bond ETF
3.46%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
TIP
iShares TIPS Bond ETF
3.13%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
VNQ
Vanguard Real Estate ETF
4.03%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

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%FebruaryMarchAprilMayJuneJuly
-2.66%
-4.24%
Boglehead++
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Boglehead++. 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 Boglehead++ was 25.36%, occurring on Mar 23, 2020. Recovery took 95 trading sessions.

The current Boglehead++ drawdown is 2.66%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.36%Feb 18, 202025Mar 23, 202095Aug 6, 2020120
-23.27%Dec 31, 2021199Oct 14, 2022363Mar 27, 2024562
-14.35%May 2, 2011108Oct 3, 201185Feb 3, 2012193
-12.23%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-11.59%Apr 27, 2015202Feb 11, 201681Jun 8, 2016283

Volatility

Volatility Chart

The current Boglehead++ volatility is 2.50%, 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%FebruaryMarchAprilMayJuneJuly
2.50%
3.80%
Boglehead++
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.

TIPAGGVXUSVNQVTI
TIP1.000.77-0.020.12-0.08
AGG0.771.00-0.050.14-0.08
VXUS-0.02-0.051.000.560.83
VNQ0.120.140.561.000.65
VTI-0.08-0.080.830.651.00
The correlation results are calculated based on daily price changes starting from Jan 31, 2011