ETFS
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 10% |
IAU iShares Gold Trust | Precious Metals, Gold | 10% |
VGIT Vanguard Intermediate-Term Treasury ETF | Government Bonds | 10% |
VGLT Vanguard Long-Term Treasury ETF | Government Bonds | 33% |
VT Vanguard Total World Stock ETF | Large Cap Growth Equities | 37% |
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
The earliest data available for this chart is Nov 24, 2009, corresponding to the inception date of VGLT
Returns By Period
As of Jul 25, 2024, the ETFS returned 4.26% Year-To-Date and 4.66% 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% |
| ETFS | 4.21% | 0.20% | 5.76% | 8.09% | 4.39% | 4.67% |
| Portfolio components: | ||||||
VT Vanguard Total World Stock ETF | 10.09% | -0.31% | 9.27% | 15.40% | 10.32% | 8.47% |
VGLT Vanguard Long-Term Treasury ETF | -3.81% | -0.33% | 0.74% | -1.97% | -3.95% | 0.47% |
VGIT Vanguard Intermediate-Term Treasury ETF | 0.82% | 1.15% | 1.55% | 4.21% | 0.01% | 1.20% |
IAU iShares Gold Trust | 14.32% | 2.67% | 16.87% | 21.12% | 10.61% | 5.94% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 2.97% | 0.42% | 2.57% | 5.30% | 2.06% | 1.39% |
Monthly Returns
The table below presents the monthly returns of ETFS, 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 | -0.66% | 0.85% | 2.49% | -3.11% | 2.96% | 1.24% | 4.21% | ||||||
| 2023 | 6.02% | -3.51% | 3.73% | 0.90% | -1.57% | 1.89% | 0.89% | -2.06% | -4.55% | -2.01% | 6.86% | 5.06% | 11.41% |
| 2022 | -3.24% | -0.98% | -1.03% | -6.48% | -0.75% | -3.63% | 3.38% | -3.55% | -6.78% | 0.41% | 6.44% | -2.22% | -17.61% |
| 2021 | -1.61% | -1.57% | -0.64% | 2.72% | 1.36% | 1.05% | 1.81% | 0.69% | -2.87% | 2.60% | -0.16% | 1.05% | 4.35% |
| 2020 | 2.51% | -0.16% | -2.25% | 4.82% | 1.77% | 1.61% | 4.50% | 0.59% | -1.35% | -1.96% | 4.58% | 2.26% | 17.89% |
| 2019 | 3.47% | 0.63% | 2.14% | 0.59% | 0.28% | 3.53% | 0.12% | 3.77% | -0.49% | 0.97% | 0.48% | 0.71% | 17.31% |
| 2018 | 1.17% | -2.91% | 0.57% | -0.68% | 0.79% | -0.36% | 0.37% | 0.64% | -0.98% | -3.60% | 1.38% | 0.08% | -3.59% |
| 2017 | 1.87% | 1.92% | 0.33% | 1.38% | 1.36% | 0.21% | 1.08% | 1.73% | -0.37% | 0.67% | 0.94% | 1.39% | 13.22% |
| 2016 | 0.34% | 1.85% | 2.57% | 0.76% | -0.20% | 3.05% | 2.45% | -0.60% | 0.00% | -2.51% | -3.14% | 0.41% | 4.89% |
| 2015 | 3.38% | -0.59% | -0.13% | -0.04% | -0.55% | -2.21% | 0.94% | -2.32% | -0.66% | 2.76% | -1.00% | -0.96% | -1.53% |
| 2014 | 0.88% | 2.71% | 0.02% | 1.00% | 1.46% | 1.35% | -0.89% | 2.56% | -2.54% | 1.05% | 1.31% | 0.41% | 9.60% |
| 2013 | 0.48% | -0.18% | 0.97% | 1.61% | -2.99% | -3.18% | 2.06% | -0.67% | 1.77% | 1.73% | -0.77% | -0.30% | 0.35% |
Expense Ratio
ETFS 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 ETFS is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
VT Vanguard Total World Stock ETF | 1.32 | 1.92 | 1.23 | 0.99 | 4.23 |
VGLT Vanguard Long-Term Treasury ETF | -0.23 | -0.22 | 0.97 | -0.08 | -0.49 |
VGIT Vanguard Intermediate-Term Treasury ETF | 0.70 | 1.06 | 1.12 | 0.24 | 2.21 |
IAU iShares Gold Trust | 1.45 | 2.08 | 1.26 | 1.61 | 7.03 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.95 | 338.77 | 240.55 | 488.80 | 5,520.12 |
Dividends
Dividend yield
ETFS granted a 2.84% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ETFS | 2.84% | 2.63% | 2.06% | 1.44% | 1.58% | 2.10% | 2.20% | 1.86% | 1.95% | 2.14% | 1.96% | 1.98% |
| Portfolio components: | ||||||||||||
VT Vanguard Total World Stock ETF | 1.96% | 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 | 3.84% | 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 | 3.23% | 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 | 5.22% | 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.
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 5.09%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.24% | Nov 10, 2021 | 238 | Oct 20, 2022 | — | — | — |
| -12.79% | Mar 9, 2020 | 8 | Mar 18, 2020 | 29 | Apr 29, 2020 | 37 |
| -7.43% | May 9, 2013 | 32 | Jun 24, 2013 | 168 | Feb 24, 2014 | 200 |
| -7.29% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
| -7.04% | Apr 16, 2015 | 194 | Jan 21, 2016 | 60 | Apr 18, 2016 | 254 |
Volatility
Volatility Chart
The current ETFS volatility is 2.53%, 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
| BIL | VT | IAU | VGLT | VGIT | |
|---|---|---|---|---|---|
| BIL | 1.00 | -0.00 | -0.00 | 0.02 | 0.02 |
| VT | -0.00 | 1.00 | 0.12 | -0.27 | -0.23 |
| IAU | -0.00 | 0.12 | 1.00 | 0.24 | 0.31 |
| VGLT | 0.02 | -0.27 | 0.24 | 1.00 | 0.84 |
| VGIT | 0.02 | -0.23 | 0.31 | 0.84 | 1.00 |