PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
2023 Mix
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2023 Mix

Last updated Oct 17, 2024

2023 Mix

Asset Allocation

VGSH 10%VGIT 5%IAUM 10%VOO 35%VTI 25%VXUS 10%VAW 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAUM
iShares Gold Trust Micro ETF of Benef Interest		Precious Metals, Gold
10%
VAW
Vanguard Materials ETF		Materials
5%
VGIT
Vanguard Intermediate-Term Treasury ETF		Government Bonds
5%
VGSH
Vanguard Short-Term Treasury ETF		Government Bonds
10%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
35%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
25%
VXUS
Vanguard Total International Stock ETF		Foreign Large Cap Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2023 Mix, 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%MayJuneJulyAugustSeptemberOctober
13.84%
16.59%
2023 Mix
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 30, 2021, corresponding to the inception date of IAUM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.49%3.72%16.33%33.60%14.41%11.99%
2023 Mix19.14%2.96%13.84%30.81%N/AN/A
Portfolio components:
VGSH
Vanguard Short-Term Treasury ETF		3.69%-0.34%3.89%6.43%1.33%1.28%
VOO
Vanguard S&P 500 ETF		23.75%3.73%17.40%37.33%16.24%14.04%
VAW
Vanguard Materials ETF		14.04%4.73%10.51%29.21%13.45%9.73%
VTI
Vanguard Total Stock Market ETF		22.57%3.83%17.22%37.03%15.53%13.46%
VXUS
Vanguard Total International Stock ETF		11.24%1.48%10.92%24.56%6.94%5.74%
VGIT
Vanguard Intermediate-Term Treasury ETF		3.15%-1.58%6.00%9.67%0.10%1.25%
IAUM
iShares Gold Trust Micro ETF of Benef Interest		29.56%4.14%12.33%37.01%N/AN/A

Monthly Returns

The table below presents the monthly returns of 2023 Mix, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.37%3.67%3.51%-2.79%3.82%1.82%2.20%2.03%2.35%19.14%
20236.05%-2.79%3.29%1.12%-0.62%4.64%2.91%-1.76%-4.04%-1.23%7.28%4.12%19.86%
2022-4.31%-1.33%2.17%-6.57%-0.02%-6.63%6.14%-3.51%-7.66%5.44%6.12%-3.75%-14.31%
20211.58%1.98%-3.84%4.85%-1.14%3.59%6.96%

Expense Ratio

2023 Mix has an expense ratio of 0.05%, 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.

IAUM
iShares Gold Trust Micro ETF of Benef Interest
Expense ratio chart for IAUM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
VAW
Vanguard Materials ETF
Expense ratio chart for VAW: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VXUS
Vanguard Total International Stock ETF
Expense ratio chart for VXUS: 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%
VGSH
Vanguard Short-Term Treasury ETF
Expense ratio chart for VGSH: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
VGIT
Vanguard Intermediate-Term Treasury ETF
Expense ratio chart for VGIT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: 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%
VTI
Vanguard Total Stock Market ETF
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of 2023 Mix is 80, placing it in the top 20% 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 2023 Mix is 8080
Combined Rank
The Sharpe Ratio Rank of 2023 Mix is 8282Sharpe Ratio Rank
The Sortino Ratio Rank of 2023 Mix is 8181Sortino Ratio Rank
The Omega Ratio Rank of 2023 Mix is 8484Omega Ratio Rank
The Calmar Ratio Rank of 2023 Mix is 7272Calmar Ratio Rank
The Martin Ratio Rank of 2023 Mix is 8484Martin 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.

2023 Mix
Sharpe ratio
The chart of Sharpe ratio for 2023 Mix, currently valued at 3.04, compared to the broader market0.002.004.003.04
Sortino ratio
The chart of Sortino ratio for 2023 Mix, currently valued at 4.18, compared to the broader market-2.000.002.004.006.004.18
Omega ratio
The chart of Omega ratio for 2023 Mix, currently valued at 1.57, compared to the broader market0.801.001.201.401.601.801.57
Calmar ratio
The chart of Calmar ratio for 2023 Mix, currently valued at 3.18, compared to the broader market0.002.004.006.008.0010.0012.003.18
Martin ratio
The chart of Martin ratio for 2023 Mix, currently valued at 20.62, compared to the broader market0.0010.0020.0030.0040.0050.0020.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.69, compared to the broader market0.002.004.002.69
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.43, compared to the broader market0.0010.0020.0030.0040.0050.0016.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VGSH
Vanguard Short-Term Treasury ETF		3.205.251.712.0722.00
VOO
Vanguard S&P 500 ETF		2.853.801.523.0517.77
VAW
Vanguard Materials ETF		1.822.491.321.708.94
VTI
Vanguard Total Stock Market ETF		2.753.661.502.5016.71
VXUS
Vanguard Total International Stock ETF		1.732.451.311.2211.27
VGIT
Vanguard Intermediate-Term Treasury ETF		1.642.441.300.606.20
IAUM
iShares Gold Trust Micro ETF of Benef Interest		2.813.781.496.1117.90

Sharpe Ratio

The current 2023 Mix Sharpe ratio is 3.04. 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 2.18 to 2.98, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of 2023 Mix 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.04
2.69
2023 Mix
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2023 Mix granted a 1.71% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
2023 Mix1.71%1.75%1.62%1.27%1.48%1.85%1.93%1.60%1.73%1.78%1.64%1.56%
Portfolio components:
VGSH
Vanguard Short-Term Treasury ETF		4.07%3.31%1.15%0.66%1.74%2.28%1.79%1.10%0.82%0.71%0.46%0.34%
VOO
Vanguard S&P 500 ETF		1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VAW
Vanguard Materials ETF		1.51%1.72%1.98%1.44%1.67%1.94%2.03%1.63%1.67%2.30%1.76%1.84%
VTI
Vanguard Total Stock Market ETF		1.30%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VXUS
Vanguard Total International Stock ETF		2.88%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
VGIT
Vanguard Intermediate-Term Treasury ETF		3.44%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
IAUM
iShares Gold Trust Micro ETF of Benef Interest		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.11%
-0.30%
2023 Mix
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2023 Mix. 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 2023 Mix was 20.80%, occurring on Oct 14, 2022. Recovery took 292 trading sessions.

The current 2023 Mix drawdown is 0.11%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.8%Jan 5, 2022196Oct 14, 2022292Dec 13, 2023488
-6.15%Jul 17, 202414Aug 5, 202414Aug 23, 202428
-4.31%Sep 7, 202118Sep 30, 202117Oct 25, 202135
-4.01%Nov 17, 202110Dec 1, 202117Dec 27, 202127
-3.4%Apr 10, 20248Apr 19, 202414May 9, 202422

Volatility

Volatility Chart

The current 2023 Mix volatility is 2.31%, 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%6.00%MayJuneJulyAugustSeptemberOctober
2.31%
3.03%
2023 Mix
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.
VGITVGSHIAUMVAWVOOVTIVXUS
VGIT1.000.890.420.070.080.080.13
VGSH0.891.000.440.080.080.080.13
IAUM0.420.441.000.250.120.130.33
VAW0.070.080.251.000.780.800.79
VOO0.080.080.120.781.000.990.79
VTI0.080.080.130.800.991.000.80
VXUS0.130.130.330.790.790.801.00
The correlation results are calculated based on daily price changes starting from Jul 1, 2021