Resilient portfolio
Back testing a wide asset allocation
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Resilient 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
The earliest data available for this chart is Jun 13, 2017, corresponding to the inception date of BCFU.DE
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Resilient portfolio | 17.59% | 0.83% | 9.10% | 25.00% | 10.81% | N/A |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 26.15% | 2.74% | 13.54% | 35.28% | 14.73% | 12.89% |
TLT iShares 20+ Year Treasury Bond ETF | -6.14% | -3.91% | -0.56% | 4.03% | -5.77% | -0.37% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.32% | -0.20% | 2.68% | 4.84% | 1.15% | 1.18% |
GLD SPDR Gold Trust | 24.30% | -3.04% | 7.58% | 30.48% | 11.17% | 7.59% |
VNQ Vanguard Real Estate ETF | 10.24% | -0.79% | 13.68% | 24.63% | 4.20% | 6.08% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.57% | 0.40% | 2.57% | 5.29% | 2.21% | 1.55% |
BCFU.DE UBS ETFs (IE) Bloomberg Commodity CMCI SF UCITS ETF (USD) A-acc | 2.81% | -2.19% | -3.64% | -0.05% | 9.23% | N/A |
Monthly Returns
The table below presents the monthly returns of Resilient portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.08% | 2.98% | 3.16% | -3.14% | 3.62% | 1.97% | 1.98% | 2.00% | 2.39% | -1.01% | 17.59% | ||
| 2023 | 5.93% | -3.04% | 2.67% | 0.68% | -0.82% | 4.49% | 2.70% | -1.63% | -4.40% | -1.76% | 7.22% | 4.59% | 17.07% |
| 2022 | -4.60% | -1.38% | 1.67% | -6.78% | -0.82% | -5.47% | 6.11% | -3.27% | -6.11% | 4.33% | 5.18% | -4.05% | -15.17% |
| 2021 | -0.45% | 1.68% | 1.67% | 4.71% | 1.31% | 1.48% | 2.21% | 1.76% | -3.14% | 4.98% | -0.78% | 2.79% | 19.52% |
| 2020 | 0.46% | -4.87% | -9.06% | 8.93% | 3.65% | 2.03% | 5.50% | 4.35% | -2.84% | -1.63% | 7.80% | 3.76% | 17.82% |
| 2019 | 6.52% | 2.12% | 1.51% | 2.02% | -3.38% | 5.21% | 0.83% | 0.36% | 0.68% | 1.57% | 1.81% | 2.21% | 23.34% |
| 2018 | 2.81% | -2.75% | -0.82% | 0.28% | 2.16% | 0.10% | 1.55% | 2.04% | -0.16% | -4.92% | 1.34% | -5.01% | -3.72% |
| 2017 | -0.43% | 1.60% | 0.73% | 1.02% | 1.39% | 2.04% | 1.02% | 7.58% |
Expense Ratio
Resilient portfolio has an expense ratio of 0.11%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Resilient portfolio is 66, 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 2.71 | 3.62 | 1.51 | 3.91 | 17.25 |
TLT iShares 20+ Year Treasury Bond ETF | 0.19 | 0.37 | 1.04 | 0.06 | 0.45 |
SHY iShares 1-3 Year Treasury Bond ETF | 2.60 | 4.15 | 1.54 | 2.23 | 13.39 |
GLD SPDR Gold Trust | 1.96 | 2.64 | 1.35 | 3.73 | 12.14 |
VNQ Vanguard Real Estate ETF | 1.49 | 2.10 | 1.27 | 0.90 | 5.29 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 19.56 | 264.34 | 153.62 | 467.14 | 4,302.09 |
BCFU.DE UBS ETFs (IE) Bloomberg Commodity CMCI SF UCITS ETF (USD) A-acc | 0.14 | 0.26 | 1.03 | 0.10 | 0.32 |
Dividends
Dividend yield
Resilient portfolio provided a 1.71% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.71% | 1.70% | 1.57% | 1.02% | 1.26% | 1.63% | 1.86% | 1.55% | 1.69% | 1.67% | 1.52% | 1.60% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.26% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
TLT iShares 20+ Year Treasury Bond ETF | 4.10% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.86% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.72% | 0.54% | 0.36% | 0.26% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 5.15% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% | 0.00% |
BCFU.DE UBS ETFs (IE) Bloomberg Commodity CMCI SF UCITS ETF (USD) A-acc | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Resilient 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 Resilient portfolio was 23.63%, occurring on Mar 23, 2020. Recovery took 85 trading sessions.
The current Resilient portfolio drawdown is 0.68%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.63% | Feb 20, 2020 | 23 | Mar 23, 2020 | 85 | Jul 21, 2020 | 108 |
| -20.1% | Dec 28, 2021 | 208 | Oct 14, 2022 | 332 | Jan 29, 2024 | 540 |
| -12.31% | Aug 30, 2018 | 83 | Dec 24, 2018 | 57 | Mar 15, 2019 | 140 |
| -7.01% | Jan 29, 2018 | 9 | Feb 8, 2018 | 127 | Aug 7, 2018 | 136 |
| -6.72% | Sep 3, 2020 | 15 | Sep 23, 2020 | 35 | Nov 11, 2020 | 50 |
Volatility
Volatility Chart
The current Resilient portfolio volatility is 2.50%, 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.
Diversification
Asset Correlations Table
| BIL | BCFU.DE | VTI | VNQ | GLD | TLT | SHY | |
|---|---|---|---|---|---|---|---|
| BIL | 1.00 | -0.05 | 0.02 | 0.02 | 0.01 | 0.02 | 0.11 |
| BCFU.DE | -0.05 | 1.00 | 0.20 | 0.10 | 0.25 | -0.09 | -0.05 |
| VTI | 0.02 | 0.20 | 1.00 | 0.63 | 0.07 | -0.12 | -0.05 |
| VNQ | 0.02 | 0.10 | 0.63 | 1.00 | 0.14 | 0.11 | 0.15 |
| GLD | 0.01 | 0.25 | 0.07 | 0.14 | 1.00 | 0.31 | 0.40 |
| TLT | 0.02 | -0.09 | -0.12 | 0.11 | 0.31 | 1.00 | 0.61 |
| SHY | 0.11 | -0.05 | -0.05 | 0.15 | 0.40 | 0.61 | 1.00 |