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Moderate Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


BND 32%IGOV 8%VTI 39%VEA 21%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

32%

IGOV
iShares International Treasury Bond ETF
International Government Bonds

8%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

39%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

21%

S&P 500

Expense Ratio

The Moderate Portfolio has an expense ratio of 0.06% 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.


0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.03%
0.50%1.00%1.50%2.00%0.03%

Asset Correlations Table

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

BNDIGOVVTIVEA
BND1.000.42-0.15-0.11
IGOV0.421.000.130.32
VTI-0.150.131.000.84
VEA-0.110.320.841.00

Performance

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 Quarterly


200.00%300.00%400.00%500.00%OctoberNovemberDecember2024FebruaryMarch
243.43%
505.47%
Moderate Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 29, 2009, corresponding to the inception date of IGOV

Returns By Period

As of Mar 16, 2024, the Moderate Portfolio returned 2.73% Year-To-Date and 6.23% 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%
Moderate Portfolio2.73%1.74%9.98%16.40%6.85%6.32%
BND
Vanguard Total Bond Market ETF
-1.52%0.31%3.39%0.92%0.31%1.42%
IGOV
iShares International Treasury Bond ETF
-3.65%0.96%5.32%-0.52%-4.01%-2.20%
VTI
Vanguard Total Stock Market ETF
6.95%2.11%15.69%32.05%13.74%12.01%
VEA
Vanguard FTSE Developed Markets ETF
3.83%3.49%11.38%20.36%6.87%5.24%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.11%2.14%
2023-1.97%-3.82%-2.32%7.47%4.84%

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
Moderate Portfolio
2.00
BND
Vanguard Total Bond Market ETF
0.17
IGOV
iShares International Treasury Bond ETF
0.07
VTI
Vanguard Total Stock Market ETF
2.65
VEA
Vanguard FTSE Developed Markets ETF
1.61

Sharpe Ratio

The current Moderate Portfolio Sharpe ratio is 2.00. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.00

The Sharpe ratio of Moderate Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.00
2.64
Moderate Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Moderate Portfolio granted a 2.33% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Moderate Portfolio2.33%2.21%2.10%1.80%1.69%2.22%2.43%2.08%2.25%2.23%2.45%2.22%
BND
Vanguard Total Bond Market ETF
3.25%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
IGOV
iShares International Treasury Bond ETF
0.00%0.00%0.11%0.39%0.00%0.24%0.31%0.19%0.69%0.22%1.28%1.32%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VEA
Vanguard FTSE Developed Markets ETF
3.64%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

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
-1.48%
-1.12%
Moderate Portfolio
Benchmark (^GSPC)
Portfolio components

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 23.53%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current Moderate Portfolio drawdown is 1.48%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.53%Nov 9, 2021235Oct 14, 2022
-21.72%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-14.03%Feb 10, 200919Mar 9, 200923Apr 9, 200942
-12.42%May 2, 2011108Oct 3, 201194Feb 16, 2012202
-11.69%Jan 29, 2018229Dec 24, 201869Apr 4, 2019298

Volatility

Volatility Chart

The current Moderate Portfolio volatility is 2.00%, 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%OctoberNovemberDecember2024FebruaryMarch
2.00%
3.36%
Moderate Portfolio
Benchmark (^GSPC)
Portfolio components
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