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 Jun 13, 2026, the Moderate Portfolio returned 7.21% Year-To-Date and 9.11% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio Moderate Portfolio | 0.31% | 1.30% | 7.21% | 7.70% | 18.29% | 13.70% | 7.20% | 9.11% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.03% | 0.27% | 1.60% | 1.76% | 3.85% | 4.63% | 3.43% | 2.20% |
BND Vanguard Total Bond Market ETF | -0.12% | 1.03% | 0.52% | 0.91% | 4.77% | 4.17% | 0.03% | 1.58% |
SCHP Schwab U.S. TIPS ETF | 0.04% | 0.31% | 1.42% | 1.48% | 4.83% | 4.14% | 1.06% | 2.60% |
VTI Vanguard Total Stock Market ETF | 0.57% | 1.00% | 9.62% | 9.69% | 26.27% | 20.60% | 12.20% | 15.02% |
VXUS Vanguard Total International Stock ETF | 0.40% | 3.09% | 13.69% | 15.52% | 30.12% | 18.37% | 8.32% | 10.22% |
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% | -0.82% | 7.21% | ||||||
| 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 0.84%, 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 65.00% 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
- 0.84%
- Beta
- 0.57
- R²
- 0.93
- Upside Capture
- 58.85%
- Downside Capture
- 65.00%
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 59 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 | 2.05 | 1.86 | +0.18 |
| Sortino ratioReturn per unit of downside risk | 2.89 | 2.53 | +0.35 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.34 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.82 | 2.53 | +0.29 |
| Martin ratioReturn relative to average drawdown | 12.21 | 11.37 | +0.84 |
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 | 19.63 | 175.17 | 88.41 | 357.44 | 2,834.34 |
BND Vanguard Total Bond Market ETF | 36 | 1.18 | 1.77 | 1.21 | 1.65 | 4.81 |
SCHP Schwab U.S. TIPS ETF | 48 | 1.44 | 2.19 | 1.25 | 2.45 | 7.41 |
VTI Vanguard Total Stock Market ETF | 67 | 1.97 | 2.67 | 1.35 | 2.79 | 12.52 |
VXUS Vanguard Total International Stock ETF | 58 | 1.77 | 2.44 | 1.33 | 2.53 | 9.72 |
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Dividends
Dividend yield
Moderate Portfolio provided a 2.52% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.52% | 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 | 3.86% | 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 | 3.96% | 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 | 3.99% | 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 | 1.03% | 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 | 2.67% | 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 1.24%.
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
Thesis
The portfolio is making a fairly clean bet on global growth and the U.S. rate cycle, with the equity sleeve split between U.S. large caps and foreign equities and the bond sleeve split between duration, cash-like, and inflation-linked exposures.
The numbers
- The diversification ratio is 1.13 at 1Y and only 1.16-1.17 over longer windows, which sits in the 20.5th-38.9th percentile range; there is some diversification, but not much of it.
- Effective asset count is 3.85 of 5, so the weights are spread, though not in a way that produces many independent return streams.
- Correlations are mostly mild, but VTI (Large Cap Blend Equities) and VXUS (Global Equities) sit at 0.82, which is the portfolio’s real convergence point.
What works
- The bond sleeve is not a single rate bet. BND (Total Bond Market), BIL (Government Bonds, Ultrashort Bond), and SCHP (Inflation-Protected Bonds) cover different rate and inflation regimes, such as it is.
- VTI and VXUS are structurally distinct exposures in business terms even if the market often treats them as cousins.
What does not
- The equity sleeve is highly redundant: VTI already contains a large chunk of the same megacap multinationals that drive VXUS.
- BND and SCHP cluster together at 0.78, so the inflation-hedge and core-bond sleeves are less separate than they look on the label.
- The 1Y DR is below the longer-window figures, which says the portfolio’s pieces have been moving together more recently.
Stress Scenario
- A synchronized equity drawdown with a rate shock is the awkward case: VTI, VXUS, and the duration-sensitive part of BND can all be under pressure at once, while BIL mostly just sits there being cash.
Worth knowing
- Portfolios with this correlation profile often behave more like an equity portfolio with bond accessories than like a genuinely multi-engine structure.
- The low correlation between VTI and BND is doing real work; that is the main source of portfolio-level dampening here.
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 | 1.16 | 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