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Growth Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Jan 29, 2009, corresponding to the inception date of IGOV

Returns By Period

As of May 18, 2025, the Growth Portfolio returned 5.39% Year-To-Date and 8.37% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
1.30%12.79%1.49%12.35%15.12%10.89%
Growth Portfolio5.39%8.66%5.12%10.93%11.58%8.37%
BND
Vanguard Total Bond Market ETF
2.08%0.09%1.92%4.77%-0.92%1.50%
VEA
Vanguard FTSE Developed Markets ETF
14.50%7.39%13.34%10.07%11.86%5.73%
VTI
Vanguard Total Stock Market ETF
1.31%13.07%1.46%13.04%16.29%12.19%
IGOV
iShares International Treasury Bond ETF
6.48%-2.06%4.78%4.73%-3.57%-0.84%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.93%0.03%-2.90%1.05%4.33%5.39%
20240.12%3.28%2.89%-3.74%4.11%1.25%2.34%2.27%1.64%-2.38%3.83%-2.97%12.96%
20236.80%-2.86%2.76%1.41%-1.13%4.78%2.78%-2.30%-4.14%-2.61%8.33%5.12%19.56%
2022-4.66%-2.27%1.24%-7.58%0.47%-7.27%6.81%-4.27%-8.50%5.76%7.13%-3.86%-17.21%
2021-0.58%1.96%2.40%3.69%1.30%1.10%1.31%1.79%-3.55%4.36%-2.05%3.09%15.54%
2020-0.52%-6.00%-11.54%9.26%4.57%2.33%4.16%5.05%-2.47%-2.09%10.39%4.17%16.21%
20196.77%2.49%1.24%2.81%-4.52%5.61%0.14%-1.09%1.63%2.08%2.28%2.49%23.69%
20183.95%-3.60%-0.96%0.36%1.05%-0.09%2.34%1.38%0.18%-6.45%1.30%-5.89%-6.80%
20172.08%2.31%0.90%1.37%1.69%0.70%1.98%0.26%1.85%1.58%1.87%1.19%19.29%
2016-4.27%-0.58%5.90%1.12%0.72%0.02%3.38%0.13%0.61%-2.13%1.30%1.76%7.89%
2015-0.94%4.43%-0.92%1.43%0.43%-1.89%1.44%-5.22%-2.43%6.01%-0.05%-1.69%0.09%
2014-2.84%4.32%0.15%0.66%1.75%1.72%-1.80%2.42%-2.50%1.42%1.41%-1.06%5.53%

Expense Ratio

Growth Portfolio has an expense ratio of 0.05%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Growth Portfolio is 55, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Growth Portfolio is 5555
Overall Rank
The Sharpe Ratio Rank of Growth Portfolio is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of Growth Portfolio is 5050
Sortino Ratio Rank
The Omega Ratio Rank of Growth Portfolio is 5151
Omega Ratio Rank
The Calmar Ratio Rank of Growth Portfolio is 5858
Calmar Ratio Rank
The Martin Ratio Rank of Growth Portfolio is 6666
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BND
Vanguard Total Bond Market ETF
0.861.371.160.402.40
VEA
Vanguard FTSE Developed Markets ETF
0.611.011.140.812.46
VTI
Vanguard Total Stock Market ETF
0.661.121.170.742.80
IGOV
iShares International Treasury Bond ETF
0.460.901.110.171.20

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Growth Portfolio Sharpe ratios as of May 18, 2025 (values are recalculated daily):

  • 1-Year: 0.76
  • 5-Year: 0.86
  • 10-Year: 0.59
  • All Time: 0.73

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Growth Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Growth Portfolio provided a 2.09% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.09%2.21%2.13%2.10%1.85%1.67%2.22%2.46%2.08%2.28%2.27%2.44%
BND
Vanguard Total Bond Market ETF
3.76%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%
VEA
Vanguard FTSE Developed Markets ETF
2.86%3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%
VTI
Vanguard Total Stock Market ETF
1.28%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
IGOV
iShares International Treasury Bond ETF
0.55%0.59%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.22%1.28%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Growth Portfolio. 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 Growth Portfolio was 28.25%, occurring on Mar 23, 2020. Recovery took 95 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.25%Feb 13, 202027Mar 23, 202095Aug 6, 2020122
-24.95%Nov 9, 2021235Oct 14, 2022331Feb 9, 2024566
-18.08%Feb 10, 200919Mar 9, 200924Apr 13, 200943
-17.44%May 2, 2011108Oct 3, 2011114Mar 16, 2012222
-15.33%Jan 29, 2018229Dec 24, 201881Apr 23, 2019310

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 2.66, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCBNDIGOVVEAVTIPortfolio
^GSPC1.00-0.130.120.830.990.96
BND-0.131.000.44-0.08-0.12-0.05
IGOV0.120.441.000.330.130.26
VEA0.83-0.080.331.000.830.93
VTI0.99-0.120.130.831.000.97
Portfolio0.96-0.050.260.930.971.00
The correlation results are calculated based on daily price changes starting from Jan 30, 2009

AI Insight on Diversification


The portfolio is moderately diversified but leans toward concentration in equity positions. The high correlation between VTI (U.S. equities) and VEA (developed international equities) at 0.83 indicates these two holdings move closely together, which reduces diversification benefits within the equity portion. Additionally, the portfolio's overall correlation with VTI (0.97) and VEA (0.93) is very strong, suggesting these two positions dominate the portfolio's behavior and returns.

On the other hand, the bond positions BND (U.S. bonds) and IGOV (international government bonds) show lower correlations with the equity holdings and each other, with BND having a slightly negative correlation with VTI (-0.12) and VEA (-0.08). This low or negative correlation helps provide some diversification benefits by offsetting equity volatility. However, the moderate correlation between BND and IGOV (0.44) suggests some overlap in fixed income exposure.

Overall, the portfolio is not highly concentrated in a single asset but is heavily weighted toward equities, particularly U.S. and developed international stocks, which move in tandem. The bond allocations add some diversification but are less influential on the portfolio's overall movement. This structure implies the portfolio is growth-oriented with moderate diversification, but the strong equity correlations limit the risk reduction potential typically sought through diversification.

Last updated May 18, 2025