PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

ALL

Last updated Feb 24, 2024

Asset Allocation


FRDPX 23.7%DUK 14.4%AWSHX 5.2%WMT 4.3%ENB 4%EFA 2.6%MO 1.6%VWINX 41.5%VWELX 2.7%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
FRDPX
Franklin Rising Dividends Fund
Large Cap Blend Equities

23.70%

DUK
Duke Energy Corporation
Utilities

14.40%

AWSHX
American Funds Washington Mutual Investors Fund Class A
Large Cap Blend Equities

5.20%

WMT
Walmart Inc.
Consumer Defensive

4.30%

ENB
Enbridge Inc.
Energy

4%

EFA
iShares MSCI EAFE ETF
Foreign Large Cap Equities

2.60%

MO
Altria Group, Inc.
Consumer Defensive

1.60%

VWINX
Vanguard Wellesley Income Fund Investor Shares
Diversified Portfolio

41.50%

VWELX
Vanguard Wellington Fund Investor Shares
Diversified Portfolio

2.70%

S&P 500

Performance

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


250.00%300.00%350.00%400.00%450.00%SeptemberOctoberNovemberDecember2024February
447.20%
337.95%
ALL
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 17, 2001, corresponding to the inception date of EFA

Returns

As of Feb 24, 2024, the ALL returned 1.19% Year-To-Date and 7.73% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
ALL1.19%1.24%7.76%10.02%7.90%7.71%
WMT
Walmart Inc.
11.36%6.87%11.65%25.11%14.13%11.31%
ENB
Enbridge Inc.
-3.39%-3.09%3.14%-2.85%5.15%3.36%
EFA
iShares MSCI EAFE ETF
2.72%3.13%11.59%15.60%6.76%4.42%
AWSHX
American Funds Washington Mutual Investors Fund Class A
5.42%3.98%14.81%24.25%11.71%10.87%
DUK
Duke Energy Corporation
-3.36%-2.18%4.73%0.00%5.12%7.24%
MO
Altria Group, Inc.
1.96%2.31%-1.43%-4.85%3.17%7.71%
FRDPX
Franklin Rising Dividends Fund
4.62%3.56%10.47%16.63%12.25%10.63%
VWELX
Vanguard Wellington Fund Investor Shares
3.19%2.30%10.79%17.27%8.71%8.15%
VWINX
Vanguard Wellesley Income Fund Investor Shares
-0.52%0.36%6.22%7.49%4.99%5.30%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.01%
20231.88%-2.02%-3.05%-1.40%5.84%4.48%

Sharpe Ratio

The current ALL Sharpe ratio is 1.16. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.16

The Sharpe ratio of ALL 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 Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.16
2.23
ALL
Benchmark (^GSPC)
Portfolio components

Dividend yield

ALL granted a 4.47% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ALL4.47%4.49%6.00%5.03%3.50%3.90%6.14%4.02%4.03%5.20%3.75%4.05%
WMT
Walmart Inc.
1.30%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%
ENB
Enbridge Inc.
7.60%7.29%6.78%6.86%7.54%5.57%5.22%4.73%3.78%4.51%2.47%2.83%
EFA
iShares MSCI EAFE ETF
2.90%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%2.54%
AWSHX
American Funds Washington Mutual Investors Fund Class A
3.48%3.67%6.31%3.23%3.06%6.76%8.09%7.40%6.36%6.22%7.00%4.96%
DUK
Duke Energy Corporation
4.40%4.18%3.86%3.72%4.17%4.11%4.21%4.15%4.33%4.54%3.77%4.48%
MO
Altria Group, Inc.
9.34%9.52%8.05%7.43%8.29%6.57%6.07%3.56%3.48%3.73%4.06%4.79%
FRDPX
Franklin Rising Dividends Fund
4.39%4.60%4.96%4.42%0.82%3.01%5.20%3.39%3.73%5.30%1.15%0.88%
VWELX
Vanguard Wellington Fund Investor Shares
2.19%2.26%8.19%8.64%7.77%4.67%9.49%6.47%4.44%7.03%6.39%6.55%
VWINX
Vanguard Wellesley Income Fund Investor Shares
4.76%4.73%7.67%6.03%4.30%3.94%7.56%4.00%4.00%5.60%4.92%5.79%

Expense Ratio

The ALL has a high expense ratio of 0.34%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.85%
0.00%2.15%
0.58%
0.00%2.15%
0.32%
0.00%2.15%
0.24%
0.00%2.15%
0.23%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
ALL
1.16
WMT
Walmart Inc.
1.56
ENB
Enbridge Inc.
-0.15
EFA
iShares MSCI EAFE ETF
1.07
AWSHX
American Funds Washington Mutual Investors Fund Class A
2.01
DUK
Duke Energy Corporation
-0.03
MO
Altria Group, Inc.
-0.29
FRDPX
Franklin Rising Dividends Fund
1.59
VWELX
Vanguard Wellington Fund Investor Shares
1.50
VWINX
Vanguard Wellesley Income Fund Investor Shares
0.98

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

ENBMODUKWMTEFAVWINXFRDPXAWSHXVWELX
ENB1.000.230.260.190.470.430.420.460.46
MO0.231.000.320.300.370.430.420.440.42
DUK0.260.321.000.310.340.500.400.430.43
WMT0.190.300.311.000.380.400.520.500.47
EFA0.470.370.340.381.000.700.780.810.84
VWINX0.430.430.500.400.701.000.750.780.85
FRDPX0.420.420.400.520.780.751.000.930.90
AWSHX0.460.440.430.500.810.780.931.000.94
VWELX0.460.420.430.470.840.850.900.941.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February00
ALL
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ALL. 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 ALL was 33.48%, occurring on Mar 9, 2009. Recovery took 262 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.48%Dec 11, 2007312Mar 9, 2009262Mar 23, 2010574
-26.64%Feb 18, 202025Mar 23, 2020139Oct 8, 2020164
-21.54%Apr 11, 2002129Oct 9, 2002297Dec 11, 2003426
-15.76%Jan 3, 2022196Oct 12, 2022295Dec 14, 2023491
-9.76%Jan 23, 2015250Jan 20, 201648Mar 30, 2016298

Volatility Chart

The current ALL volatility is 2.58%, 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%SeptemberOctoberNovemberDecember2024February
2.58%
3.90%
ALL
Benchmark (^GSPC)
Portfolio components
0 comments