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CTP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VEU 100%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

0%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

100%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

0%

S&P 500

Performance

Performance Chart

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


100.00%150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
76.71%
280.08%
CTP
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND

Returns By Period

As of Jul 22, 2024, the CTP returned 7.21% Year-To-Date and 4.24% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
CTP7.21%1.87%9.97%10.61%6.15%4.24%
VTI
Vanguard Total Stock Market ETF
15.07%1.38%13.96%22.01%13.94%12.18%
VEU
Vanguard FTSE All-World ex-US ETF
7.21%1.87%9.97%10.61%6.15%4.24%
BND
Vanguard Total Bond Market ETF
0.65%0.58%1.87%3.67%-0.03%1.43%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.66%3.17%3.35%-2.51%3.95%-0.58%7.21%
20238.70%-4.39%2.84%1.89%-3.41%4.56%3.77%-4.39%-3.37%-3.20%8.23%4.91%15.88%
2022-2.40%-3.06%-0.49%-6.48%1.63%-7.67%3.38%-4.40%-9.68%3.40%13.15%-2.19%-15.58%
20210.38%2.08%1.74%2.57%3.17%-0.48%-1.42%1.52%-3.35%2.74%-4.30%3.68%8.27%
2020-3.40%-6.61%-15.13%6.80%4.68%4.37%3.93%4.41%-1.69%-2.06%12.61%5.71%11.10%
20197.57%1.63%1.00%2.85%-5.54%5.89%-1.80%-2.44%2.82%3.45%1.05%4.17%21.83%
20185.70%-5.31%-0.44%0.57%-1.99%-2.12%2.89%-2.34%0.44%-8.30%1.47%-4.94%-14.18%
20174.14%1.26%2.99%2.09%3.05%0.51%3.38%0.64%1.84%1.95%0.63%2.05%27.40%
2016-5.60%-2.44%8.30%2.11%-0.79%-0.73%4.25%0.69%1.57%-1.69%-2.13%1.94%4.88%
2015-0.02%5.85%-1.41%4.74%-1.04%-2.81%-0.29%-7.75%-4.03%6.69%-1.32%-2.52%-4.78%
2014-5.80%5.63%0.47%1.47%1.92%1.67%-1.47%1.01%-4.87%0.20%-0.32%-3.95%-4.53%
20132.43%-1.39%0.62%3.75%-3.31%-3.61%4.70%-1.99%7.58%3.33%0.34%1.47%14.15%

Expense Ratio

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


Expense ratio chart for VEU: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of CTP is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of CTP is 1414
CTP
The Sharpe Ratio Rank of CTP is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of CTP is 1414Sortino Ratio Rank
The Omega Ratio Rank of CTP is 1313Omega Ratio Rank
The Calmar Ratio Rank of CTP is 1515Calmar Ratio Rank
The Martin Ratio Rank of CTP is 1414Martin 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.


CTP
Sharpe ratio
The chart of Sharpe ratio for CTP, currently valued at 0.86, compared to the broader market-1.000.001.002.003.004.000.86
Sortino ratio
The chart of Sortino ratio for CTP, currently valued at 1.28, compared to the broader market-2.000.002.004.006.001.28
Omega ratio
The chart of Omega ratio for CTP, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.801.15
Calmar ratio
The chart of Calmar ratio for CTP, currently valued at 0.56, compared to the broader market0.002.004.006.008.0010.000.56
Martin ratio
The chart of Martin ratio for CTP, currently valued at 2.44, compared to the broader market0.0010.0020.0030.0040.002.44
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
1.822.581.321.506.62
VEU
Vanguard FTSE All-World ex-US ETF
0.861.281.150.562.44
BND
Vanguard Total Bond Market ETF
0.500.761.090.181.47

Sharpe Ratio

The current CTP Sharpe ratio is 0.86. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.06, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of CTP with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.86
1.82
CTP
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

CTP granted a 3.05% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
CTP3.05%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VEU
Vanguard FTSE All-World ex-US ETF
3.05%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
BND
Vanguard Total Bond Market ETF
3.41%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.71%
-2.86%
CTP
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the CTP. 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 CTP was 61.52%, occurring on Mar 9, 2009. Recovery took 1338 trading sessions.

The current CTP drawdown is 2.71%.


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, 2022395May 9, 2024731
-25.03%Jul 7, 2014405Feb 11, 2016307May 2, 2017712
-13.08%Jul 24, 200718Aug 16, 200729Sep 27, 200747

Volatility

Volatility Chart

The current CTP volatility is 2.98%, 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%FebruaryMarchAprilMayJuneJuly
2.98%
2.76%
CTP
Benchmark (^GSPC)
Portfolio components

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.

BNDVEUVTI
BND1.00-0.13-0.17
VEU-0.131.000.84
VTI-0.170.841.00
The correlation results are calculated based on daily price changes starting from Apr 11, 2007