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CTP

Last updated Sep 21, 2023

Asset Allocation


VEU 100%EquityEquity
PositionCategory/SectorWeight
VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities100%

Performance

The chart shows the growth of an initial investment of $10,000 in CTP, 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
4.76%
10.86%
CTP
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the CTP returned 8.34% Year-To-Date and 3.84% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.99%
CTP1.43%4.45%8.34%17.62%3.30%3.84%
VTI
Vanguard Total Stock Market ETF
0.40%12.10%15.20%16.72%9.51%11.42%
VEU
Vanguard FTSE All-World ex-US ETF
1.43%4.45%8.34%17.62%3.30%3.84%
BND
Vanguard Total Bond Market ETF
0.27%-3.11%0.29%-0.33%0.34%1.24%

Asset Correlations Table

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

BNDVEUVTI
BND1.00-0.16-0.20
VEU-0.161.000.85
VTI-0.200.851.00

Sharpe Ratio

The current CTP Sharpe ratio is 0.96. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.96

The Sharpe ratio of CTP 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
0.96
0.82
CTP
Benchmark (^GSPC)
Portfolio components

Dividend yield

CTP granted a 3.08% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
CTP3.08%3.18%3.23%2.16%3.44%3.74%3.14%3.60%3.70%4.53%3.54%4.02%
VTI
Vanguard Total Stock Market ETF
1.90%1.68%1.25%1.48%1.88%2.21%1.88%2.15%2.27%2.06%2.07%2.58%
VEU
Vanguard FTSE All-World ex-US ETF
3.08%3.18%3.23%2.16%3.44%3.74%3.14%3.60%3.70%4.53%3.54%4.02%
BND
Vanguard Total Bond Market ETF
3.00%2.65%2.06%2.36%2.97%3.15%2.93%2.97%3.12%3.46%3.56%4.26%

Expense Ratio

The CTP has an expense ratio of 0.07% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.07%
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
VTI
Vanguard Total Stock Market ETF
0.83
VEU
Vanguard FTSE All-World ex-US ETF
0.87
BND
Vanguard Total Bond Market ETF
-0.07

Drawdowns Chart

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


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-11.71%
-8.22%
CTP
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the CTP. 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 CTP is 61.52%, recorded on Mar 9, 2009. It took 1338 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-61.52%Nov 1, 2007339Mar 9, 20091338Jul 1, 20141677
-34.98%Jan 29, 2018541Mar 23, 2020163Nov 11, 2020704
-29.32%Jun 15, 2021336Oct 12, 2022
-25.03%Jul 7, 2014405Feb 11, 2016307May 2, 2017712
-13.08%Jul 24, 200718Aug 16, 200729Sep 27, 200747

Volatility Chart

The current CTP volatility is 3.11%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.11%
3.27%
CTP
Benchmark (^GSPC)
Portfolio components