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ETFS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGLT 33%VGIT 10%BIL 10%IAU 10%VT 37%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
VGLT
Vanguard Long-Term Treasury ETF
Government Bonds

33%

VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds

10%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

10%

IAU
iShares Gold Trust
Precious Metals, Gold

10%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

37%

S&P 500

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
10.20%
15.73%
ETFS
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 24, 2009, corresponding to the inception date of VGLT

Returns By Period

As of Apr 16, 2024, the ETFS returned 0.13% Year-To-Date and 4.66% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
ETFS0.13%-0.73%10.20%4.73%4.57%4.66%
VT
Vanguard Total World Stock ETF
4.02%-1.42%14.66%17.13%9.59%8.39%
VGLT
Vanguard Long-Term Treasury ETF
-8.34%-3.67%5.33%-10.78%-3.39%0.55%
VGIT
Vanguard Intermediate-Term Treasury ETF
-2.57%-1.11%2.61%-1.40%0.01%0.99%
IAU
iShares Gold Trust
15.63%10.61%24.19%18.73%13.21%6.09%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.52%0.41%2.64%5.24%1.90%1.24%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.66%0.85%2.49%
2023-4.55%-2.01%6.86%5.06%

Expense Ratio

The ETFS 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%0.14%
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%0.04%

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.


ETFS
Sharpe ratio
The chart of Sharpe ratio for ETFS, currently valued at 0.48, compared to the broader market-1.000.001.002.003.004.005.000.48
Sortino ratio
The chart of Sortino ratio for ETFS, currently valued at 0.75, compared to the broader market-2.000.002.004.006.000.75
Omega ratio
The chart of Omega ratio for ETFS, currently valued at 1.09, compared to the broader market0.801.001.201.401.601.801.09
Calmar ratio
The chart of Calmar ratio for ETFS, currently valued at 0.21, compared to the broader market0.002.004.006.008.0010.000.21
Martin ratio
The chart of Martin ratio for ETFS, currently valued at 1.15, compared to the broader market0.0010.0020.0030.0040.0050.001.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VT
Vanguard Total World Stock ETF
1.452.121.251.124.92
VGLT
Vanguard Long-Term Treasury ETF
-0.73-0.960.90-0.25-1.23
VGIT
Vanguard Intermediate-Term Treasury ETF
-0.30-0.390.96-0.12-0.58
IAU
iShares Gold Trust
1.362.101.251.353.68
BIL
SPDR Barclays 1-3 Month T-Bill ETF
19.29164.9378.77239.062,533.34

Sharpe Ratio

The current ETFS Sharpe ratio is 0.48. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.48

The Sharpe ratio of ETFS 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
0.48
1.89
ETFS
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETFS granted a 2.87% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ETFS2.87%2.63%2.06%1.44%1.58%2.10%2.20%1.86%1.95%2.14%1.96%1.98%
VT
Vanguard Total World Stock ETF
2.14%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VGLT
Vanguard Long-Term Treasury ETF
3.82%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%
VGIT
Vanguard Intermediate-Term Treasury ETF
3.05%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.14%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-8.85%
-3.66%
ETFS
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETFS. 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 ETFS was 23.24%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current ETFS drawdown is 8.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.24%Nov 10, 2021238Oct 20, 2022
-12.79%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-7.43%May 9, 201332Jun 24, 2013168Feb 24, 2014200
-7.29%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-7.04%Apr 16, 2015194Jan 21, 201660Apr 18, 2016254

Volatility

Volatility Chart

The current ETFS volatility is 2.08%, 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.


1.00%2.00%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
2.08%
3.44%
ETFS
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.

BILVTIAUVGLTVGIT
BIL1.00-0.000.010.020.02
VT-0.001.000.11-0.28-0.24
IAU0.010.111.000.240.31
VGLT0.02-0.280.241.000.84
VGIT0.02-0.240.310.841.00