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Larry Swedroe Simple Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Aug 5, 2005, corresponding to the inception date of EFV

Returns By Period

As of May 15, 2025, the Larry Swedroe Simple Portfolio returned 2.07% Year-To-Date and 5.72% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.19%9.00%-1.55%12.31%15.59%10.78%
Larry Swedroe Simple Portfolio2.07%5.03%-0.23%5.95%9.63%5.72%
IJS
iShares S&P SmallCap 600 Value ETF
-9.72%10.77%-13.72%-2.50%15.53%6.81%
EEM
iShares MSCI Emerging Markets ETF
10.74%9.92%9.03%10.14%7.50%2.97%
EFV
iShares MSCI EAFE Value ETF
17.46%7.73%17.13%15.16%15.98%4.80%
VB
Vanguard Small-Cap ETF
-3.19%11.29%-7.34%4.42%14.28%8.21%
VTV
Vanguard Value ETF
0.68%3.35%-3.69%7.11%15.37%9.80%
TIP
iShares TIPS Bond ETF
2.87%0.38%2.35%4.99%1.26%2.25%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.65%0.17%-1.34%-1.25%1.89%2.07%
2024-1.21%1.47%2.81%-3.31%3.10%-0.56%4.66%0.94%1.60%-2.01%3.94%-4.16%7.03%
20235.79%-2.18%-0.35%0.19%-2.69%4.07%2.89%-2.64%-3.18%-2.98%5.82%5.90%10.32%
2022-2.40%0.04%-0.05%-4.54%0.80%-6.43%5.40%-3.10%-8.29%6.62%5.06%-2.94%-10.53%
20211.24%3.23%2.53%2.14%2.00%-0.10%0.08%0.91%-1.96%2.65%-2.00%2.99%14.41%
2020-1.53%-4.79%-12.00%7.72%2.84%1.82%2.78%3.07%-2.19%-0.14%10.08%4.15%10.40%
20196.24%1.86%0.08%2.12%-3.85%4.27%0.14%-1.41%1.73%1.41%1.65%2.00%17.10%
20181.99%-3.17%0.23%0.52%1.13%0.17%1.65%0.94%-0.71%-5.43%1.29%-5.14%-6.70%
20171.09%1.32%0.31%0.71%-0.09%0.77%1.32%-0.16%2.37%0.89%1.61%0.92%11.60%
2016-3.00%0.45%5.47%1.29%-0.07%0.88%2.85%0.54%0.65%-1.49%2.87%1.69%12.57%
2015-0.42%2.81%-0.35%0.70%-0.06%-1.34%-0.15%-4.04%-2.51%4.08%0.31%-2.42%-3.59%
2014-1.49%3.00%0.46%0.34%1.54%1.88%-1.88%2.12%-3.65%2.23%0.49%-0.42%4.49%

Expense Ratio

Larry Swedroe Simple Portfolio has an expense ratio of 0.20%, 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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Larry Swedroe Simple Portfolio is 25, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Larry Swedroe Simple Portfolio is 2525
Overall Rank
The Sharpe Ratio Rank of Larry Swedroe Simple Portfolio is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of Larry Swedroe Simple Portfolio is 2222
Sortino Ratio Rank
The Omega Ratio Rank of Larry Swedroe Simple Portfolio is 2121
Omega Ratio Rank
The Calmar Ratio Rank of Larry Swedroe Simple Portfolio is 3131
Calmar Ratio Rank
The Martin Ratio Rank of Larry Swedroe Simple Portfolio is 3232
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJS
iShares S&P SmallCap 600 Value ETF
-0.100.121.01-0.04-0.10
EEM
iShares MSCI Emerging Markets ETF
0.530.981.130.431.89
EFV
iShares MSCI EAFE Value ETF
0.911.401.191.173.90
VB
Vanguard Small-Cap ETF
0.200.521.070.220.69
VTV
Vanguard Value ETF
0.460.771.110.511.86
TIP
iShares TIPS Bond ETF
1.061.521.190.523.30

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Larry Swedroe Simple Portfolio Sharpe ratios as of May 15, 2025 (values are recalculated daily):

  • 1-Year: 0.53
  • 5-Year: 0.82
  • 10-Year: 0.50
  • All Time: 0.50

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.57 to 1.07, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Larry Swedroe Simple Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Larry Swedroe Simple Portfolio provided a 2.61% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.61%2.50%2.55%4.23%3.03%1.52%2.22%2.65%2.10%1.84%1.52%2.12%
IJS
iShares S&P SmallCap 600 Value ETF
1.97%1.78%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%
EEM
iShares MSCI Emerging Markets ETF
2.20%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%
EFV
iShares MSCI EAFE Value ETF
3.97%4.67%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%
VB
Vanguard Small-Cap ETF
1.46%1.30%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%
VTV
Vanguard Value ETF
2.31%2.31%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%
TIP
iShares TIPS Bond ETF
2.93%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%

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 Larry Swedroe Simple 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 Simple Portfolio was 39.90%, occurring on Mar 9, 2009. Recovery took 404 trading sessions.

The current Larry Swedroe Simple Portfolio drawdown is 2.17%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.9%Oct 30, 2007341Mar 9, 2009404Oct 13, 2010745
-25.44%Jan 17, 202042Mar 18, 2020164Nov 9, 2020206
-19.04%Nov 10, 2021224Sep 30, 2022374Mar 28, 2024598
-13.65%May 2, 2011108Oct 3, 201180Jan 27, 2012188
-13.29%Apr 27, 2015202Feb 11, 2016123Aug 8, 2016325

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 4.16, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCTIPEEMEFVIJSVTVVBPortfolio
^GSPC1.00-0.110.750.790.820.920.890.89
TIP-0.111.00-0.07-0.06-0.12-0.13-0.100.08
EEM0.75-0.071.000.790.660.710.710.78
EFV0.79-0.060.791.000.720.800.750.86
IJS0.82-0.120.660.721.000.850.950.92
VTV0.92-0.130.710.800.851.000.870.90
VB0.89-0.100.710.750.950.871.000.93
Portfolio0.890.080.780.860.920.900.931.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2005

AI Insight on Diversification


The portfolio is moderately diversified but shows signs of concentration among certain equity positions. The correlation matrix reveals that the equity components—EEM (Emerging Markets), EFV (Developed Markets), IJS (Small-Cap Value), VTV (Large-Cap Value), and VB (Small-Cap)—are highly correlated with each other, with correlations mostly above 0.7 and as high as 0.95 between IJS and VB. This high degree of correlation among equity holdings suggests that these positions move largely in tandem, which reduces the diversification benefit within the equity portion of the portfolio.

In contrast, TIP (Treasury Inflation-Protected Securities) exhibits low to slightly negative correlations with the equity positions, ranging from about -0.13 to -0.06, and a very low positive correlation of 0.08 with the portfolio overall. This low correlation indicates that TIP provides meaningful diversification benefits by behaving differently from the equity assets, potentially reducing overall portfolio volatility and offering a hedge against inflation.

Looking at the portfolio’s correlation with individual positions, the portfolio correlates most strongly with VB (0.93), VTV (0.90), and IJS (0.92), indicating these positions have a dominant influence on the portfolio’s behavior. The relatively lower correlation with TIP suggests it plays a stabilizing role rather than driving portfolio returns.

Overall, while the portfolio benefits from the diversification provided by TIP, the high correlations among the equity positions point to a concentrated exposure within equities, particularly in value and small-cap segments. This concentration could lead to less risk reduction than a portfolio with more varied asset classes or less correlated equity holdings. Therefore, the portfolio is somewhat diversified but leans toward concentration within correlated equity segments.

Last updated May 15, 2025