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Larry Swedroe Minimize FatTails Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


TIP 35%SHY 35%IJS 15%VWO 15%BondBondEquityEquity
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

35%

SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

35%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

15%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

15%

S&P 500

Expense Ratio

The Larry Swedroe Minimize FatTails Portfolio features an expense ratio of 0.17%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.19%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.08%

Asset Correlations Table

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

TIPVWOSHYIJS
TIP1.00-0.070.61-0.14
VWO-0.071.00-0.160.66
SHY0.61-0.161.00-0.21
IJS-0.140.66-0.211.00

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Larry Swedroe Minimize FatTails 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 Quarterly


100.00%150.00%200.00%250.00%300.00%OctoberNovemberDecember2024FebruaryMarch
124.32%
323.16%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 10, 2005, corresponding to the inception date of VWO

Returns By Period

As of Mar 16, 2024, the Larry Swedroe Minimize FatTails Portfolio returned -0.86% Year-To-Date and 3.08% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Larry Swedroe Minimize FatTails Portfolio-0.86%0.05%3.73%4.48%3.32%3.14%
IJS
iShares S&P SmallCap 600 Value ETF
-4.32%-1.56%8.14%11.38%7.58%7.24%
TIP
iShares TIPS Bond ETF
-1.09%0.15%1.80%0.61%2.15%1.97%
VWO
Vanguard FTSE Emerging Markets ETF
1.31%1.33%5.94%11.38%2.51%3.72%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.08%0.09%2.52%2.29%1.00%0.91%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.11%0.34%
2023-1.84%-2.02%-1.57%3.69%3.76%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Larry Swedroe Minimize FatTails Portfolio
0.68
IJS
iShares S&P SmallCap 600 Value ETF
0.44
TIP
iShares TIPS Bond ETF
-0.05
VWO
Vanguard FTSE Emerging Markets ETF
0.88
SHY
iShares 1-3 Year Treasury Bond ETF
1.01

Sharpe Ratio

The current Larry Swedroe Minimize FatTails Portfolio Sharpe ratio is 0.68. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.68

The Sharpe ratio of Larry Swedroe Minimize FatTails Portfolio 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 Ratio-0.500.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
0.68
2.64
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Larry Swedroe Minimize FatTails Portfolio granted a 2.85% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Larry Swedroe Minimize FatTails Portfolio2.85%2.74%3.73%2.21%1.17%2.09%2.24%1.63%1.33%1.03%1.35%1.08%
IJS
iShares S&P SmallCap 600 Value ETF
1.49%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
TIP
iShares TIPS Bond ETF
2.76%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
VWO
Vanguard FTSE Emerging Markets ETF
3.57%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
SHY
iShares 1-3 Year Treasury Bond ETF
3.22%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-6.37%
-1.12%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Larry Swedroe Minimize FatTails 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 Larry Swedroe Minimize FatTails Portfolio was 21.61%, occurring on Mar 9, 2009. Recovery took 153 trading sessions.

The current Larry Swedroe Minimize FatTails Portfolio drawdown is 6.37%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.61%May 20, 2008202Mar 9, 2009153Oct 14, 2009355
-14.59%Nov 10, 2021224Sep 30, 2022
-13.45%Jan 21, 202041Mar 18, 202056Jun 8, 202097
-9.76%Apr 27, 2015187Jan 21, 2016138Aug 8, 2016325
-6.99%Jul 25, 201150Oct 3, 201172Jan 17, 2012122

Volatility

Volatility Chart

The current Larry Swedroe Minimize FatTails Portfolio volatility is 1.17%, 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%OctoberNovemberDecember2024FebruaryMarch
1.17%
3.36%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components
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