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20230827
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VOO 40%QQQ 10%MOAT 10%EWJ 10%VGK 10%INDA 10%VNQI 10%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
EWJ
iShares MSCI Japan ETF
Japan Equities

10%

INDA
iShares MSCI India ETF
Asia Pacific Equities

10%

MOAT
VanEck Vectors Morningstar Wide Moat ETF
Large Cap Blend Equities

10%

QQQ
Invesco QQQ
Large Cap Blend Equities

10%

VGK
Vanguard FTSE Europe ETF
Europe Equities

10%

VNQI
Vanguard Global ex-U.S. Real Estate ETF
REIT

10%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

40%

S&P 500

Performance

Performance Chart

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


240.00%250.00%260.00%270.00%280.00%290.00%300.00%310.00%FebruaryMarchAprilMayJuneJuly
283.68%
295.85%
20230827
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 25, 2012, corresponding to the inception date of MOAT

Returns By Period

As of Jul 22, 2024, the 20230827 returned 11.78% Year-To-Date and 10.20% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
2023082711.78%1.87%11.00%18.47%11.79%10.26%
VOO
Vanguard S&P 500 ETF
16.29%0.91%14.33%23.21%14.66%12.86%
QQQ
Invesco QQQ
16.39%-0.87%13.02%27.39%20.37%18.28%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
3.98%1.40%4.96%7.91%13.35%12.71%
EWJ
iShares MSCI Japan ETF
9.88%5.98%5.69%14.51%6.64%5.41%
VGK
Vanguard FTSE Europe ETF
7.14%0.91%10.36%10.20%7.62%4.69%
INDA
iShares MSCI India ETF
15.10%2.72%12.88%26.65%12.27%7.63%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
-0.40%4.92%4.79%5.27%-3.00%0.58%

Monthly Returns

The table below presents the monthly returns of 20230827, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.60%3.89%3.05%-3.57%4.04%2.03%11.78%
20237.00%-3.01%3.57%2.08%0.03%5.57%3.49%-2.47%-3.99%-2.70%8.91%5.52%25.58%
2022-4.18%-3.13%2.14%-7.91%-0.34%-7.94%8.27%-4.33%-9.23%5.51%7.92%-4.81%-18.38%
2021-1.13%2.92%3.49%3.43%1.97%1.33%1.70%3.14%-3.52%4.45%-1.86%3.76%21.13%
2020-0.87%-7.44%-13.80%10.78%4.66%2.58%4.78%6.54%-2.71%-2.68%11.79%4.71%16.37%
20197.17%2.22%2.47%3.04%-5.32%5.56%-0.03%-1.56%2.64%3.17%2.41%2.91%26.97%
20185.86%-4.66%-1.64%0.82%0.75%-0.01%3.43%1.53%-0.51%-7.14%2.69%-6.65%-6.24%
20173.07%3.42%1.47%1.77%2.27%0.29%2.93%0.30%1.13%2.77%2.05%1.72%25.75%
2016-5.25%-1.22%7.41%0.81%1.71%-0.56%4.57%0.43%0.43%-2.00%0.60%1.38%8.06%
2015-0.76%5.75%-1.71%1.34%0.92%-2.03%2.10%-6.87%-2.41%7.14%-0.22%-1.63%0.86%
2014-4.07%4.41%0.85%0.62%3.29%2.36%-0.93%2.95%-2.07%2.32%1.50%-2.10%9.14%
20133.99%-0.50%2.96%3.83%-0.67%-1.99%4.05%-3.19%5.75%3.94%1.43%2.64%24.12%

Expense Ratio

20230827 has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for INDA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for EWJ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for MOAT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VNQI: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VGK: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 20230827 is 50, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of 20230827 is 5050
20230827
The Sharpe Ratio Rank of 20230827 is 5151Sharpe Ratio Rank
The Sortino Ratio Rank of 20230827 is 5353Sortino Ratio Rank
The Omega Ratio Rank of 20230827 is 5151Omega Ratio Rank
The Calmar Ratio Rank of 20230827 is 4747Calmar Ratio Rank
The Martin Ratio Rank of 20230827 is 4646Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


20230827
Sharpe ratio
The chart of Sharpe ratio for 20230827, currently valued at 1.62, compared to the broader market-1.000.001.002.003.004.001.62
Sortino ratio
The chart of Sortino ratio for 20230827, currently valued at 2.36, compared to the broader market-2.000.002.004.006.002.36
Omega ratio
The chart of Omega ratio for 20230827, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for 20230827, currently valued at 1.34, compared to the broader market0.002.004.006.008.0010.001.34
Martin ratio
The chart of Martin ratio for 20230827, currently valued at 5.51, compared to the broader market0.0010.0020.0030.0040.005.51
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
1.992.801.351.937.76
QQQ
Invesco QQQ
1.522.101.261.747.71
MOAT
VanEck Vectors Morningstar Wide Moat ETF
0.550.861.100.471.35
EWJ
iShares MSCI Japan ETF
0.901.341.150.643.22
VGK
Vanguard FTSE Europe ETF
0.791.201.140.652.29
INDA
iShares MSCI India ETF
1.912.451.382.2014.05
VNQI
Vanguard Global ex-U.S. Real Estate ETF
0.330.601.070.140.91

Sharpe Ratio

The current 20230827 Sharpe ratio is 1.62. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.05, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 20230827 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.62
1.82
20230827
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

20230827 granted a 1.55% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
202308271.55%1.64%1.39%2.45%1.25%2.35%2.22%1.79%2.18%2.01%2.08%1.67%
VOO
Vanguard S&P 500 ETF
1.31%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
QQQ
Invesco QQQ
0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
0.83%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
EWJ
iShares MSCI Japan ETF
1.98%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%
VGK
Vanguard FTSE Europe ETF
3.13%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
INDA
iShares MSCI India ETF
0.00%0.16%0.00%6.44%0.27%0.99%0.94%1.09%0.90%1.19%0.63%0.40%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
3.75%3.74%0.57%6.48%0.93%7.58%4.62%3.86%5.18%2.86%4.11%3.27%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.50%
-2.86%
20230827
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 20230827. 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 20230827 was 33.65%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.

The current 20230827 drawdown is 2.50%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.65%Feb 13, 202027Mar 23, 2020107Aug 24, 2020134
-25.96%Jan 5, 2022196Oct 14, 2022293Dec 14, 2023489
-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

Volatility Chart

The current 20230827 volatility is 2.45%, 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%FebruaryMarchAprilMayJuneJuly
2.45%
2.76%
20230827
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

INDAEWJVNQIQQQMOATVGKVOO
INDA1.000.490.580.490.510.590.55
EWJ0.491.000.690.600.630.680.68
VNQI0.580.691.000.600.640.780.68
QQQ0.490.600.601.000.770.670.90
MOAT0.510.630.640.771.000.740.89
VGK0.590.680.780.670.741.000.78
VOO0.550.680.680.900.890.781.00
The correlation results are calculated based on daily price changes starting from Apr 26, 2012