20-80 portfolio
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | Total Bond Market | 60% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | Global Equities | 20% |
MMM 3M Company | Industrials | 10% |
VNQ Vanguard Real Estate ETF | REIT | 10% |
Performance
The chart shows the growth of an initial investment of $10,000 in 20-80 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
Returns
As of Sep 30, 2023, the 20-80 portfolio returned -1.11% Year-To-Date and 3.21% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -4.87% | 4.35% | 11.68% | 19.59% | 7.77% | 9.53% |
| 20-80 portfolio | -4.42% | -3.32% | -1.11% | 2.91% | 0.94% | 3.21% |
| Portfolio components: | ||||||
AGG iShares Core U.S. Aggregate Bond ETF | -2.59% | -4.13% | -1.03% | 0.54% | 0.13% | 1.09% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | -4.49% | 3.22% | 9.71% | 19.09% | 6.67% | 8.09% |
VNQ Vanguard Real Estate ETF | -7.26% | -6.96% | -5.39% | -1.29% | 2.57% | 5.23% |
MMM 3M Company | -12.23% | -8.23% | -18.49% | -10.51% | -11.52% | 0.73% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 1.83% | 0.85% | -2.36% | 2.21% | 2.03% | -1.50% |
Dividend yield
20-80 portfolio granted a 3.41% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 20-80 portfolio | 3.41% | 2.89% | 2.16% | 2.60% | 3.07% | 3.54% | 2.94% | 3.22% | 3.40% | 3.44% | 3.44% | 3.64% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.08% | 2.44% | 1.85% | 2.28% | 2.93% | 3.30% | 2.67% | 2.82% | 2.95% | 2.96% | 2.94% | 3.81% |
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 2.25% | 2.51% | 2.07% | 2.12% | 2.69% | 3.27% | 2.82% | 2.95% | 3.70% | 4.38% | 3.96% | 2.25% |
VNQ Vanguard Real Estate ETF | 4.74% | 4.03% | 2.73% | 4.32% | 3.89% | 5.63% | 5.26% | 6.25% | 5.33% | 5.10% | 6.36% | 5.46% |
MMM 3M Company | 6.40% | 5.19% | 3.63% | 3.78% | 3.80% | 3.44% | 2.47% | 3.14% | 3.53% | 2.77% | 2.47% | 3.55% |
Expense Ratio
The 20-80 portfolio has an expense ratio of 0.09% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | -0.03 | ||||
VWRL.L Vanguard FTSE All-World UCITS ETF Distributing | 0.53 | ||||
VNQ Vanguard Real Estate ETF | -0.14 | ||||
MMM 3M Company | -0.48 |
Asset Correlations Table
| AGG | VWRL.L | MMM | VNQ | |
|---|---|---|---|---|
| AGG | 1.00 | -0.02 | -0.08 | 0.17 |
| VWRL.L | -0.02 | 1.00 | 0.44 | 0.38 |
| MMM | -0.08 | 0.44 | 1.00 | 0.44 |
| VNQ | 0.17 | 0.38 | 0.44 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the 20-80 portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the 20-80 portfolio is 21.75%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -21.75% | Sep 7, 2021 | 292 | Oct 20, 2022 | — | — | — |
| -15.57% | Feb 18, 2020 | 22 | Mar 18, 2020 | 55 | Jun 5, 2020 | 77 |
| -6.88% | Jan 29, 2018 | 234 | Dec 24, 2018 | 43 | Feb 25, 2019 | 277 |
| -5.97% | Apr 16, 2015 | 197 | Jan 20, 2016 | 42 | Mar 18, 2016 | 239 |
| -5.86% | May 22, 2013 | 23 | Jun 24, 2013 | 83 | Oct 17, 2013 | 106 |
Volatility Chart
The current 20-80 portfolio volatility is 1.85%, 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.