Asset Allocation
Find the right asset allocation for John Bogle Index Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in John Bogle Index Portfolio, 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 Every 3 months.
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Returns By Period
As of Jun 9, 2026, the John Bogle Index Portfolio returned 9.24% Year-To-Date and 13.61% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio John Bogle Index Portfolio | 0.15% | 0.07% | 9.24% | 10.16% | 26.19% | 20.67% | 12.60% | 13.61% |
| Portfolio components: | ||||||||
DFIVX DFA International Value Portfolio | -2.30% | -0.98% | 10.28% | 13.96% | 33.30% | 23.24% | 13.59% | 11.32% |
DFLVX DFA U.S. Large Cap Value Portfolio | -1.82% | 3.21% | 14.62% | 16.49% | 31.31% | 18.75% | 10.67% | 11.67% |
DFSVX DFA U.S. Small Cap Value Portfolio I | -1.27% | 0.05% | 14.98% | 15.29% | 32.71% | 17.20% | 9.93% | 11.15% |
DISVX DFA International Small Cap Value Portfolio | -2.29% | -2.66% | 7.70% | 11.65% | 32.02% | 24.98% | 12.91% | 10.21% |
SPY State Street SPDR S&P 500 ETF | 0.23% | 0.22% | 8.70% | 8.75% | 24.79% | 21.35% | 13.42% | 15.27% |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.05% | -0.87% | -0.78% | -0.42% | 3.55% | 3.40% | -0.07% | 1.16% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 23, 2009, John Bogle Index Portfolio's average daily return is +0.05%, while the average monthly return is +1.06%. At this rate, an investment would double in approximately 5.5 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +12.3%, while the worst month was Mar 2020 at -14.4%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, John Bogle Index Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +8.6%, while the worst single day was Mar 16, 2020 at -10.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.80% | 1.21% | -5.17% | 8.53% | 4.13% | -2.02% | 9.24% | ||||||
| 2025 | 3.04% | -0.25% | -3.39% | -0.55% | 5.49% | 4.64% | 1.59% | 3.24% | 2.91% | 1.51% | 1.18% | 1.00% | 22.04% |
| 2024 | 0.73% | 4.10% | 3.88% | -3.57% | 4.79% | 1.40% | 2.60% | 1.83% | 1.67% | -1.62% | 4.98% | -3.02% | 18.76% |
| 2023 | 6.57% | -2.39% | 2.00% | 1.60% | -1.31% | 6.10% | 3.68% | -1.96% | -3.87% | -2.68% | 8.22% | 4.96% | 21.92% |
| 2022 | -3.54% | -2.08% | 2.39% | -7.41% | 1.35% | -8.68% | 7.61% | -3.82% | -8.99% | 8.09% | 6.61% | -4.39% | -13.98% |
| 2021 | -0.61% | 4.08% | 4.50% | 4.31% | 1.75% | 0.65% | 1.56% | 2.43% | -3.67% | 5.51% | -1.94% | 4.94% | 25.65% |
Benchmark Metrics
John Bogle Index Portfolio has an annualized alpha of 1.27%, beta of 0.91, and R2 of 0.97 versus S&P 500 Index. Calculated based on daily prices since November 23, 2009.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (96.98%) than losses (94.89%) - typical of diversified or defensive assets.
- With beta of 0.91 and R2 of 0.97, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.27%
- Beta
- 0.91
- R²
- 0.97
- Upside Capture
- 96.98%
- Downside Capture
- 94.89%
Expense Ratio
John Bogle Index Portfolio has an expense ratio of 0.16%, 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.
Return for Risk
Risk / Return Rank
John Bogle Index Portfolio ranks 69 for risk / return — better than 69% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for John Bogle Index Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.38 | 1.94 | +0.45 |
| Sortino ratioReturn per unit of downside risk | 3.26 | 2.63 | +0.64 |
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.22 | 2.59 | +0.64 |
| Martin ratioReturn relative to average drawdown | 14.51 | 11.84 | +2.66 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
DFIVX DFA International Value Portfolio | 72 | 2.42 | 3.24 | 1.43 | 3.54 | 13.92 |
DFLVX DFA U.S. Large Cap Value Portfolio | 90 | 2.99 | 4.18 | 1.52 | 5.70 | 20.87 |
DFSVX DFA U.S. Small Cap Value Portfolio I | 58 | 1.99 | 2.90 | 1.35 | 3.64 | 11.63 |
DISVX DFA International Small Cap Value Portfolio | 53 | 2.24 | 3.09 | 1.41 | 2.45 | 8.67 |
SPY State Street SPDR S&P 500 ETF | 69 | 2.06 | 2.78 | 1.38 | 2.80 | 12.93 |
VGIT Vanguard Intermediate-Term Treasury ETF | 31 | 1.08 | 1.64 | 1.19 | 1.26 | 3.66 |
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Dividends
Dividend yield
John Bogle Index Portfolio provided a 1.97% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.97% | 2.12% | 1.95% | 2.25% | 2.38% | 2.51% | 1.73% | 2.40% | 3.54% | 2.58% | 2.72% | 2.83% |
| Portfolio components: | ||||||||||||
DFIVX DFA International Value Portfolio | 3.82% | 4.21% | 3.94% | 4.40% | 3.78% | 4.37% | 2.42% | 3.70% | 6.60% | 2.85% | 3.36% | 3.45% |
DFLVX DFA U.S. Large Cap Value Portfolio | 1.47% | 1.71% | 1.87% | 3.65% | 4.56% | 5.90% | 1.97% | 4.04% | 7.83% | 6.06% | 3.77% | 6.52% |
DFSVX DFA U.S. Small Cap Value Portfolio I | 1.51% | 1.69% | 1.47% | 3.67% | 6.77% | 10.40% | 1.96% | 2.83% | 7.54% | 5.18% | 4.18% | 5.29% |
DISVX DFA International Small Cap Value Portfolio | 6.70% | 7.17% | 4.56% | 3.87% | 2.40% | 3.51% | 1.84% | 3.97% | 5.91% | 3.77% | 5.85% | 3.51% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
VGIT Vanguard Intermediate-Term Treasury ETF | 3.88% | 3.79% | 3.67% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% |
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 John Bogle Index 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 John Bogle Index Portfolio was 33.81%, occurring on Mar 23, 2020. Recovery took 113 trading sessions.
The current John Bogle Index Portfolio drawdown is 2.39%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -33.81%Mar 2020 | 1mo 9d | 5mo 12d | 6mo 21dFeb 2020 - Sep 2020 |
Bear market2022 | -22.66%Sep 2022 | 8mo 28d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 |
2011 bear market2011 | -20.56%Oct 2011 | 5mo 4d | 5mo 12d | 10mo 16dMay 2011 - Mar 2012 |
Rate-hike selloffLate 2018 | -18.86%Dec 2018 | 3mo 4d | 6mo 11d | 9mo 15dSep 2018 - Jul 2019 |
2025 selloff2025 | -15.57%Apr 2025 | 1mo 18d | 1mo 26d | 3mo 14dFeb 2025 - Jun 2025 |
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 6 assets, with an effective number of assets of 2.28, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.10 | 1.09 | 1.08 | 1.08 | 1.07 |
The portfolio has a diversification ratio of 1.07, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
John Bogle Index Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.97 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Nov 23, 2009 | 0.98 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SPY has the highest benchmark correlation at 1.00, while VGIT has the lowest at -0.21.
Asset Correlations Table
Find what John Bogle Index Portfolio is missing
See which holdings overlap, where John Bogle Index Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification