Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 40% |
BND Vanguard Total Bond Market ETF | Total Bond Market | 20% |
VXUS Vanguard Total International Stock ETF | Global Equities | 20% |
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | Government Bonds, Ultrashort Bond | 10% |
SCHP Schwab U.S. TIPS ETF | Inflation-Protected Bonds | 10% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Moderate 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 Every 3 months.
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Returns By Period
As of Jul 5, 2026, the Moderate Portfolio returned 7.54% Year-To-Date and 8.97% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -1.33% | 9.11% | 9.32% | 19.17% | 18.87% | 11.45% | 13.53% |
Portfolio Moderate Portfolio | 0.05% | -0.63% | 7.10% | 7.54% | 15.17% | 13.49% | 7.11% | 8.97% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.04% | 0.33% | 1.77% | 1.82% | 3.82% | 4.60% | 3.48% | 2.21% |
BND Vanguard Total Bond Market ETF | 0.07% | 0.27% | 0.71% | 0.67% | 4.06% | 4.18% | 0.02% | 1.47% |
SCHP Schwab U.S. TIPS ETF | 0.19% | -0.30% | 1.35% | 1.31% | 3.64% | 3.99% | 0.89% | 2.43% |
VTI Vanguard Total Stock Market ETF | -0.14% | -0.95% | 10.31% | 10.65% | 21.11% | 20.19% | 11.92% | 14.97% |
VXUS Vanguard Total International Stock ETF | 0.37% | -1.19% | 11.46% | 13.08% | 25.63% | 18.21% | 8.55% | 9.84% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 28, 2011, Moderate Portfolio's average daily return is +0.03%, while the average monthly return is +0.67%. At this rate, an investment would double in approximately 8.7 years.
Historically, 67% of months were positive and 33% were negative. The best month was Apr 2020 with a return of +7.6%, while the worst month was Mar 2020 at -8.9%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Moderate Portfolio closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +5.4%, while the worst single day was Mar 12, 2020 at -6.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.88% | 1.33% | -4.06% | 5.93% | 3.03% | -0.22% | -0.29% | 7.54% | |||||
| 2025 | 2.17% | 0.28% | -2.10% | 0.40% | 3.29% | 3.35% | 0.73% | 2.21% | 2.37% | 1.39% | 0.35% | 0.42% | 15.75% |
| 2024 | 0.14% | 2.37% | 2.26% | -2.80% | 3.25% | 1.36% | 1.98% | 1.75% | 1.80% | -1.83% | 2.97% | -2.25% | 11.31% |
| 2023 | 5.39% | -2.47% | 2.51% | 0.97% | -0.85% | 3.58% | 2.27% | -1.84% | -3.26% | -2.06% | 6.61% | 4.17% | 15.41% |
| 2022 | -3.60% | -1.69% | 0.44% | -5.95% | 0.28% | -5.42% | 5.37% | -3.22% | -7.19% | 3.83% | 5.66% | -3.09% | -14.55% |
| 2021 | -0.23% | 1.25% | 1.59% | 2.89% | 0.93% | 1.18% | 0.98% | 1.39% | -2.77% | 3.36% | -1.33% | 2.23% | 11.91% |
Benchmark Metrics
Moderate Portfolio has an annualized alpha of 0.83%, beta of 0.57, and R2 of 0.93 versus S&P 500 Index. Calculated based on daily prices since January 28, 2011.
- This portfolio participated in 64.96% of S&P 500 Index downside but only 58.85% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.57 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.83%
- Beta
- 0.57
- R²
- 0.93
- Upside Capture
- 58.85%
- Downside Capture
- 64.96%
Expense Ratio
Moderate Portfolio has an expense ratio of 0.05%, 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.
Return for Risk
Risk / Return Rank
Moderate Portfolio ranks 56 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Moderate Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.81 | 1.62 | +0.20 |
| Sortino ratioReturn per unit of downside risk | 2.57 | 2.23 | +0.33 |
| Omega ratioGain probability vs. loss probability | 1.34 | 1.29 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | 2.23 | +0.30 |
| Martin ratioReturn relative to average drawdown | 10.80 | 9.69 | +1.11 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.37 | 174.24 | 87.94 | 355.51 | 2,818.99 |
BND Vanguard Total Bond Market ETF | 32 | 1.02 | 1.52 | 1.18 | 1.43 | 4.06 |
SCHP Schwab U.S. TIPS ETF | 36 | 1.04 | 1.52 | 1.18 | 1.81 | 5.34 |
VTI Vanguard Total Stock Market ETF | 65 | 1.74 | 2.39 | 1.31 | 2.49 | 10.92 |
VXUS Vanguard Total International Stock ETF | 57 | 1.59 | 2.20 | 1.30 | 2.31 | 8.78 |
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Dividends
Dividend yield
Moderate Portfolio provided a 2.56% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.56% | 2.67% | 2.72% | 2.64% | 2.66% | 1.97% | 1.61% | 2.27% | 2.41% | 2.00% | 2.00% | 1.90% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.82% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
BND Vanguard Total Bond Market ETF | 3.98% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
SCHP Schwab U.S. TIPS ETF | 4.47% | 4.06% | 2.99% | 3.02% | 7.19% | 4.39% | 1.11% | 2.02% | 2.26% | 1.90% | 1.38% | 0.28% |
VTI Vanguard Total Stock Market ETF | 1.06% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VXUS Vanguard Total International Stock ETF | 2.58% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 Moderate 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 Moderate Portfolio was 21.20%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current Moderate Portfolio drawdown is 0.93%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -21.20%Mar 2020 | 1mo 2d | 3mo 29d | 5mo 1dFeb 2020 - Jul 2020 |
Bear market2022 | -20.44%Oct 2022 | 11mo 9d | 1y 4mo | 2y 3moNov 2021 - Feb 2024 |
2011 correction2011 | -12.34%Oct 2011 | 5mo 4d | 4mo 3d | 9mo 7dMay 2011 - Feb 2012 |
Rate-hike selloffLate 2018 | -11.31%Dec 2018 | 10mo 29d | 3mo 8d | 1y 2moJan 2018 - Apr 2019 |
2016 correction2016 | -10.65%Feb 2016 | 9mo 20d | 5mo 2d | 1y 2moApr 2015 - Jul 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a two-sleeve equity bet, with VTI (Large Cap Blend Equities) and VXUS (Global Equities) doing the heavy lifting and the bond side mostly dampening, not transforming, the risk. In some sense, it is a familiar three-fund structure with a little inflation and cash seasoning.
The numbers
- Diversification ratio is 1.17 incept, only 33.6th percentile on the platform; that is modest diversification, not much more.
- The 1Y diversification ratio fell to 1.12 and sits at the 19.0th percentile, which says the sleeves have been moving more together lately.
- Effective asset count is 3.85 of 5, so the weights are spread, but the correlation structure still groups them into two equity-heavy clusters and one low-volatility cluster.
The good
- BND, BIL, and SCHP create a genuine stabilizing block, and BIL (Government Bonds, Ultrashort Bond) is almost orthogonal to the risk assets.
- The portfolio has low pairwise correlation on the bond side, so the defensive sleeve is not merely decorative.
- The weights are not excessively concentrated in a single line item; the structure is clean.
The bad
- VTI and VXUS correlate at 0.82, so the two equity sleeves behave like close cousins when markets get noisy.
- BND and SCHP also move together at 0.78, which makes the “bond” sleeve less plural than it looks.
- Position-to-portfolio correlations are 0.96 for VTI and 0.91 for VXUS, meaning the portfolio still listens mainly to global equity risk.
The ugly
- If inflation or growth shocks hit at the same time as equity weakness, the VTI/VXUS pair and the BND/SCHP pair can all lean the same way, leaving BIL as the only cleanly separate ballast.
Next steps
- Portfolios with this correlation profile are typically complemented by exposures whose return drivers sit outside equities and duration.
- The data fits a portfolio that is diversified by labels more than by independent economic forces.
- The 1Y deterioration suggests the recent correlation regime deserves more weight than the longer-run averages.
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 3.85, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.12 | 1.16 | 1.17 | 1.15 | 1.17 |
The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Moderate Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jan 28, 2011 | 0.95 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BND has the lowest at -0.07.
Asset Correlations Table
Find what Moderate Portfolio is missing
See which holdings overlap, where Moderate Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification