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SCHD/VYM/VONG/BND/KMLM

Last updated Dec 8, 2023

Asset Allocation


KMLM 10%BND 20%SCHD 30%VYM 30%VONG 10%AlternativesAlternativesBondBondEquityEquity
PositionCategory/SectorWeight
KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed10%
BND
Vanguard Total Bond Market ETF
Total Bond Market20%
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend30%
VYM
Vanguard High Dividend Yield ETF
Dividend, Large Cap Value Equities30%
VONG
Vanguard Russell 1000 Growth ETF
Large Cap Blend Equities10%

Performance

The chart shows the growth of an initial investment of $10,000 in SCHD/VYM/VONG/BND/KMLM, 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


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.25%
7.10%
SCHD/VYM/VONG/BND/KMLM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
SCHD/VYM/VONG/BND/KMLM4.19%3.67%3.26%2.41%N/AN/A
SCHD
Schwab US Dividend Equity ETF
-0.41%5.31%4.01%-1.65%12.01%10.76%
VYM
Vanguard High Dividend Yield ETF
1.73%4.98%3.97%0.56%8.86%9.13%
VONG
Vanguard Russell 1000 Growth ETF
38.14%5.45%11.75%31.45%17.72%14.76%
BND
Vanguard Total Bond Market ETF
2.87%2.79%0.64%0.66%0.71%1.42%
KMLM
KFA Mount Lucas Index Strategy ETF
-3.60%-5.18%-4.97%-4.54%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-2.38%3.57%2.86%-1.26%-2.87%-2.49%5.16%

Sharpe Ratio

The current SCHD/VYM/VONG/BND/KMLM Sharpe ratio is 0.31. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.000.31

The Sharpe ratio of SCHD/VYM/VONG/BND/KMLM 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 Ratio0.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.33
1.25
SCHD/VYM/VONG/BND/KMLM
Benchmark (^GSPC)
Portfolio components

Dividend yield

SCHD/VYM/VONG/BND/KMLM granted a 3.57% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
SCHD/VYM/VONG/BND/KMLM3.57%3.35%2.81%2.42%2.45%2.62%2.26%2.39%2.52%2.32%2.27%2.64%
SCHD
Schwab US Dividend Equity ETF
3.67%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%2.86%
VYM
Vanguard High Dividend Yield ETF
3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%3.23%
VONG
Vanguard Russell 1000 Growth ETF
0.70%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%1.28%1.69%
BND
Vanguard Total Bond Market ETF
3.11%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%3.24%
KMLM
KFA Mount Lucas Index Strategy ETF
8.42%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The SCHD/VYM/VONG/BND/KMLM features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.90%
0.00%2.15%
0.08%
0.00%2.15%
0.06%
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
SCHD
Schwab US Dividend Equity ETF
-0.08
VYM
Vanguard High Dividend Yield ETF
0.09
VONG
Vanguard Russell 1000 Growth ETF
1.99
BND
Vanguard Total Bond Market ETF
0.05
KMLM
KFA Mount Lucas Index Strategy ETF
-0.33

Asset Correlations Table

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

BNDKMLMVONGVYMSCHD
BND1.00-0.480.200.060.08
KMLM-0.481.00-0.21-0.11-0.13
VONG0.20-0.211.000.630.65
VYM0.06-0.110.631.000.97
SCHD0.08-0.130.650.971.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.08%
-4.01%
SCHD/VYM/VONG/BND/KMLM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the SCHD/VYM/VONG/BND/KMLM. 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 SCHD/VYM/VONG/BND/KMLM was 11.92%, occurring on Sep 30, 2022. Recovery took 204 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-11.92%Jan 5, 2022186Sep 30, 2022204Jul 26, 2023390
-7.53%Aug 1, 202363Oct 27, 2023
-3.78%Nov 17, 202110Dec 1, 202116Dec 23, 202126
-3.28%Aug 17, 202125Sep 21, 202120Oct 19, 202145
-3.06%Jun 7, 202110Jun 18, 202125Jul 26, 202135

Volatility Chart

The current SCHD/VYM/VONG/BND/KMLM volatility is 1.90%, 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%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
1.90%
2.77%
SCHD/VYM/VONG/BND/KMLM
Benchmark (^GSPC)
Portfolio components
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