PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

20230827

Last updated Sep 23, 2023

Asset Allocation


VOO 40%QQQ 10%MOAT 10%EWJ 10%VGK 10%INDA 10%VNQI 10%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities40%
QQQ
Invesco QQQ
Large Cap Blend Equities10%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
Large Cap Blend Equities10%
EWJ
iShares MSCI Japan ETF
Japan Equities10%
VGK
Vanguard FTSE Europe ETF
Europe Equities10%
INDA
iShares MSCI India ETF
Asia Pacific Equities10%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
REIT10%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
8.68%
8.61%
20230827
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 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%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

INDAEWJVNQIQQQMOATVGKVOO
INDA1.000.500.590.490.520.600.56
EWJ0.501.000.700.610.630.690.68
VNQI0.590.701.000.610.640.780.69
QQQ0.490.610.611.000.780.680.90
MOAT0.520.630.640.781.000.740.90
VGK0.600.690.780.680.741.000.78
VOO0.560.680.690.900.900.781.00

Sharpe Ratio

The current 20230827 Sharpe ratio is 1.02. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.02

The Sharpe ratio of 20230827 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 Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.02
0.81
20230827
Benchmark (^GSPC)
Portfolio components

Dividend yield

20230827 granted a 1.30% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
202308271.30%1.40%2.50%1.31%2.52%2.46%2.04%2.55%2.38%2.57%2.12%2.79%
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.


0.69%
0.00%2.15%
0.49%
0.00%2.15%
0.48%
0.00%2.15%
0.20%
0.00%2.15%
0.12%
0.00%2.15%
0.08%
0.00%2.15%
0.03%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-8.20%
-9.93%
20230827
Benchmark (^GSPC)
Portfolio components

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, 202027Mar 23, 2020107Aug 24, 2020134
-25.96%Jan 5, 2022196Oct 14, 2022
-17.17%Jan 29, 2018229Dec 24, 201877Apr 16, 2019306
-16.48%May 22, 2015183Feb 11, 2016115Jul 27, 2016298
-10.52%May 2, 201222Jun 1, 201253Aug 16, 201275

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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.15%
3.41%
20230827
Benchmark (^GSPC)
Portfolio components