20230827
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in 20230827, 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 23, 2023, the 20230827 returned 13.36% Year-To-Date and 9.58% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -2.61% | 8.79% | 12.52% | 14.96% | 8.09% | 9.81% |
| 20230827 | -1.55% | 8.92% | 13.36% | 17.50% | 7.91% | 9.58% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | -2.45% | 9.62% | 13.90% | 16.93% | 9.96% | 11.87% |
QQQ Invesco QQQ | -2.89% | 15.45% | 35.00% | 28.66% | 15.13% | 17.40% |
MOAT VanEck Vectors Morningstar Wide Moat ETF | -2.73% | 7.65% | 17.30% | 25.22% | 11.58% | 12.29% |
EWJ iShares MSCI Japan ETF | 2.23% | 8.92% | 14.30% | 22.12% | 2.20% | 4.19% |
VGK Vanguard FTSE Europe ETF | -2.47% | 2.92% | 8.63% | 25.23% | 3.76% | 4.05% |
INDA iShares MSCI India ETF | 0.66% | 15.60% | 6.77% | 4.88% | 7.67% | 8.28% |
VNQI Vanguard Global ex-U.S. Real Estate ETF | -0.58% | -0.35% | -4.04% | -1.39% | -3.67% | 0.25% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| INDA | EWJ | VNQI | QQQ | MOAT | VGK | VOO | |
|---|---|---|---|---|---|---|---|
| INDA | 1.00 | 0.50 | 0.59 | 0.49 | 0.52 | 0.60 | 0.56 |
| EWJ | 0.50 | 1.00 | 0.70 | 0.61 | 0.63 | 0.69 | 0.68 |
| VNQI | 0.59 | 0.70 | 1.00 | 0.61 | 0.64 | 0.78 | 0.69 |
| QQQ | 0.49 | 0.61 | 0.61 | 1.00 | 0.78 | 0.68 | 0.90 |
| MOAT | 0.52 | 0.63 | 0.64 | 0.78 | 1.00 | 0.74 | 0.90 |
| VGK | 0.60 | 0.69 | 0.78 | 0.68 | 0.74 | 1.00 | 0.78 |
| VOO | 0.56 | 0.68 | 0.69 | 0.90 | 0.90 | 0.78 | 1.00 |
Dividend yield
20230827 granted a 1.30% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 20230827 | 1.30% | 1.40% | 2.50% | 1.31% | 2.52% | 2.46% | 2.04% | 2.55% | 2.38% | 2.57% | 2.12% | 2.79% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.56% | 1.71% | 1.28% | 1.60% | 1.99% | 2.23% | 1.96% | 2.26% | 2.41% | 2.17% | 2.19% | 2.65% |
QQQ Invesco QQQ | 0.61% | 0.81% | 0.43% | 0.56% | 0.76% | 0.94% | 0.87% | 1.11% | 1.05% | 1.51% | 1.10% | 1.39% |
MOAT VanEck Vectors Morningstar Wide Moat ETF | 1.07% | 1.25% | 1.09% | 1.49% | 1.36% | 1.89% | 1.15% | 1.27% | 2.34% | 1.50% | 0.90% | 0.70% |
EWJ iShares MSCI Japan ETF | 0.90% | 1.24% | 2.12% | 1.08% | 2.14% | 1.84% | 1.36% | 2.15% | 1.43% | 1.51% | 1.29% | 2.27% |
VGK Vanguard FTSE Europe ETF | 3.36% | 3.34% | 3.24% | 2.32% | 3.68% | 4.60% | 3.26% | 4.36% | 4.18% | 6.12% | 3.82% | 4.29% |
INDA iShares MSCI India ETF | 0.18% | 0.00% | 6.45% | 0.29% | 1.06% | 1.02% | 1.19% | 1.00% | 1.33% | 0.71% | 0.69% | 0.47% |
VNQI Vanguard Global ex-U.S. Real Estate ETF | 0.59% | 0.57% | 6.52% | 1.00% | 8.20% | 5.40% | 4.71% | 6.58% | 3.82% | 5.63% | 4.67% | 8.24% |
Expense Ratio
The 20230827 has a high expense ratio of 0.22%, indicating higher-than-average management fees. 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 | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 0.92 | ||||
QQQ Invesco QQQ | 1.18 | ||||
MOAT VanEck Vectors Morningstar Wide Moat ETF | 1.07 | ||||
EWJ iShares MSCI Japan ETF | 1.36 | ||||
VGK Vanguard FTSE Europe ETF | 1.27 | ||||
INDA iShares MSCI India ETF | 0.29 | ||||
VNQI Vanguard Global ex-U.S. Real Estate ETF | -0.13 |
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 20230827. 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 20230827 is 33.65%, recorded on Mar 23, 2020. It took 107 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.65% | Feb 13, 2020 | 27 | Mar 23, 2020 | 107 | Aug 24, 2020 | 134 |
| -25.96% | Jan 5, 2022 | 196 | Oct 14, 2022 | — | — | — |
| -17.17% | Jan 29, 2018 | 229 | Dec 24, 2018 | 77 | Apr 16, 2019 | 306 |
| -16.48% | May 22, 2015 | 183 | Feb 11, 2016 | 115 | Jul 27, 2016 | 298 |
| -10.52% | May 2, 2012 | 22 | Jun 1, 2012 | 53 | Aug 16, 2012 | 75 |
Volatility Chart
The current 20230827 volatility is 3.15%, 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.