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Cascade

Last updated Mar 2, 2024

Golden waterfall

Asset Allocation


BSBIX 10%FBLTX 10%GLD 10%ARSVX 50%VTI 10%AEDAX 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BSBIX
Baird Short-Term Bond Fund Institutional Class
Short-Term Bond

10%

FBLTX
Fidelity SAI Long-Term Treasury Bond Index Fund
Government Bonds

10%

GLD
SPDR Gold Trust
Precious Metals, Gold

10%

ARSVX
AMG River Road Small Cap Value Fund
Small Cap Value Equities

50%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

10%

AEDAX
Invesco EQV European Equity Fund
Europe Equities

10%

S&P 500

Performance

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


80.00%100.00%120.00%140.00%160.00%OctoberNovemberDecember2024FebruaryMarch
96.33%
157.60%
Cascade
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 14, 2015, corresponding to the inception date of FBLTX

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Cascade2.20%3.12%7.92%9.82%8.32%N/A
VTI
Vanguard Total Stock Market ETF
7.45%3.96%14.35%27.20%14.20%11.99%
AEDAX
Invesco EQV European Equity Fund
4.10%3.86%14.31%13.41%4.48%2.66%
ARSVX
AMG River Road Small Cap Value Fund
2.59%4.51%7.64%8.83%9.29%8.50%
BSBIX
Baird Short-Term Bond Fund Institutional Class
0.41%0.14%3.40%5.61%1.94%1.76%
FBLTX
Fidelity SAI Long-Term Treasury Bond Index Fund
-3.81%-1.63%1.24%-4.13%-2.62%N/A
GLD
SPDR Gold Trust
0.90%2.27%7.10%11.83%9.67%4.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.20%3.02%
2023-1.10%-3.61%-1.07%5.01%5.65%

Sharpe Ratio

The current Cascade Sharpe ratio is 1.03. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.03

The Sharpe ratio of Cascade 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 Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.03
2.44
Cascade
Benchmark (^GSPC)
Portfolio components

Dividend yield

Cascade granted a 3.39% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Cascade3.39%3.46%3.33%5.29%1.21%3.94%7.36%8.28%3.34%3.83%9.33%13.62%
VTI
Vanguard Total Stock Market ETF
1.34%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
AEDAX
Invesco EQV European Equity Fund
2.48%2.58%7.48%9.40%1.30%2.53%1.43%1.86%1.59%1.46%6.48%3.02%
ARSVX
AMG River Road Small Cap Value Fund
4.66%4.78%3.88%7.75%0.00%6.05%13.01%14.96%4.96%6.51%16.68%25.93%
BSBIX
Baird Short-Term Bond Fund Institutional Class
3.60%3.41%1.79%1.42%2.61%2.49%2.21%1.73%1.60%1.62%1.70%1.78%
FBLTX
Fidelity SAI Long-Term Treasury Bond Index Fund
3.19%3.29%3.00%2.11%6.72%2.39%2.87%2.69%3.47%0.64%0.00%0.00%
GLD
SPDR 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%

Expense Ratio

The Cascade has a high expense ratio of 0.89%, 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.


0.50%1.00%1.50%2.00%1.37%
0.50%1.00%1.50%2.00%1.35%
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.03%

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
2.44
Cascade
1.03
VTI
Vanguard Total Stock Market ETF
2.16
AEDAX
Invesco EQV European Equity Fund
0.92
ARSVX
AMG River Road Small Cap Value Fund
0.64
BSBIX
Baird Short-Term Bond Fund Institutional Class
2.18
FBLTX
Fidelity SAI Long-Term Treasury Bond Index Fund
-0.19
GLD
SPDR Gold Trust
0.97

Asset Correlations Table

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

GLDBSBIXFBLTXAEDAXARSVXVTI
GLD1.000.360.360.16-0.010.01
BSBIX0.361.000.510.04-0.07-0.04
FBLTX0.360.511.00-0.12-0.22-0.18
AEDAX0.160.04-0.121.000.620.71
ARSVX-0.01-0.07-0.220.621.000.81
VTI0.01-0.04-0.180.710.811.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Cascade
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Cascade. 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 Cascade was 26.32%, occurring on Mar 18, 2020. Recovery took 164 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.32%Jan 17, 202042Mar 18, 2020164Nov 9, 2020206
-19.54%Nov 10, 2021221Sep 27, 2022308Dec 13, 2023529
-12.9%Sep 21, 201865Dec 24, 201866Apr 1, 2019131
-9.29%Nov 3, 201552Jan 19, 201642Mar 18, 201694
-6.37%Jan 29, 20189Feb 8, 2018136Aug 21, 2018145

Volatility Chart

The current Cascade volatility is 3.13%, 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.


2.00%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
3.13%
3.47%
Cascade
Benchmark (^GSPC)
Portfolio components
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