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dummyv2

Last updated Sep 24, 2023

Asset Allocation


ICSH 20%STIP 15%CCRV 15%SPLG 50%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
ICSH
iShares Ultra Short-Term Bond ETF
Money Market, Actively Managed20%
STIP
iShares 0-5 Year TIPS Bond ETF
Inflation-Protected Bonds15%
CCRV
iShares Commodity Curve Carry Strategy ETF
Commodities15%
SPLG
SPDR Portfolio S&P 500 ETF
Large Cap Blend Equities50%

Performance

The chart shows the growth of an initial investment of $10,000 in dummyv2, 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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
7.68%
8.62%
dummyv2
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 24, 2023, the dummyv2 returned 8.40% Year-To-Date and 6.74% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.29%8.79%12.52%16.97%6.88%N/A
dummyv20.61%8.12%9.85%14.24%8.70%N/A
ICSH
iShares Ultra Short-Term Bond ETF
0.45%2.08%3.27%4.39%1.47%N/A
STIP
iShares 0-5 Year TIPS Bond ETF
0.29%0.07%2.20%2.60%1.91%N/A
SPLG
SPDR Portfolio S&P 500 ETF
-1.16%9.62%13.82%18.97%8.55%N/A
CCRV
iShares Commodity Curve Carry Strategy ETF
6.90%18.70%11.91%23.16%23.29%N/A

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ICSHSPLGCCRVSTIP
ICSH1.000.06-0.020.25
SPLG0.061.000.250.22
CCRV-0.020.251.000.31
STIP0.250.220.311.00

Sharpe Ratio

The current dummyv2 Sharpe ratio is 0.93. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.93

The Sharpe ratio of dummyv2 lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.18
0.81
dummyv2
Benchmark (^GSPC)
Portfolio components

Dividend yield

dummyv2 granted a 6.43% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
dummyv26.43%7.11%6.69%1.29%1.86%2.11%1.56%1.47%1.26%1.29%1.08%1.46%
ICSH
iShares Ultra Short-Term Bond ETF
4.05%1.70%0.44%1.27%2.77%2.39%1.52%1.00%0.61%0.52%0.00%0.00%
STIP
iShares 0-5 Year TIPS Bond ETF
2.51%6.17%4.49%1.58%2.35%2.84%1.90%1.08%0.00%0.91%0.38%1.30%
SPLG
SPDR Portfolio S&P 500 ETF
1.56%1.71%1.29%1.61%1.91%2.41%1.94%2.22%2.28%2.10%2.05%2.53%
CCRV
iShares Commodity Curve Carry Strategy ETF
29.72%33.27%35.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The dummyv2 features an expense ratio of 0.17%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.40%
0.00%2.15%
0.08%
0.00%2.15%
0.06%
0.00%2.15%
0.03%
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
ICSH
iShares Ultra Short-Term Bond ETF
6.35
STIP
iShares 0-5 Year TIPS Bond ETF
0.49
SPLG
SPDR Portfolio S&P 500 ETF
0.92
CCRV
iShares Commodity Curve Carry Strategy ETF
1.08

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-2.32%
-9.93%
dummyv2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the dummyv2. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the dummyv2 is 13.23%, recorded on Sep 30, 2022. It took 194 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.23%Mar 30, 2022128Sep 30, 2022194Jul 12, 2023322
-5.28%Sep 3, 202014Sep 23, 202035Nov 11, 202049
-4.31%Jan 5, 202234Feb 23, 202218Mar 21, 202252
-3.33%Nov 26, 20214Dec 1, 202117Dec 27, 202121
-2.75%Aug 1, 202313Aug 17, 202319Sep 14, 202332

Volatility Chart

The current dummyv2 volatility is 2.04%, 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%AprilMayJuneJulyAugustSeptember
2.04%
3.41%
dummyv2
Benchmark (^GSPC)
Portfolio components