Asset Allocation
Find the right asset allocation for 2024.12.06
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2024.12.06, 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 2024.12.06 returned 10.73% Year-To-Date and 12.61% 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 2024.12.06 | 0.08% | 2.06% | 10.73% | 10.65% | 25.28% | 17.89% | 9.59% | 12.61% |
| Portfolio components: | ||||||||
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 0.52% | 0.55% | 0.42% | 0.97% | 4.90% | 4.05% | 0.05% | 1.54% |
VFIAX Vanguard 500 Index Fund Admiral Shares | 1.75% | -1.31% | 8.58% | 8.92% | 25.15% | 21.03% | 13.30% | 15.40% |
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares | 1.75% | -1.31% | 8.59% | 8.94% | 25.18% | 21.47% | 13.48% | 15.51% |
VIMAX Vanguard Mid-Cap Index Fund Admiral Shares | 1.86% | 1.98% | 9.37% | 8.26% | 18.39% | 15.75% | 7.56% | 11.61% |
VNQ Vanguard Real Estate ETF | 0.92% | 3.35% | 12.51% | 12.32% | 14.02% | 10.14% | 2.55% | 5.65% |
VSMAX Vanguard Small-Cap Index Fund Admiral Shares | 2.58% | 2.57% | 14.59% | 12.93% | 30.00% | 16.37% | 6.83% | 11.48% |
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 1.88% | -0.74% | 9.11% | 9.18% | 25.67% | 20.72% | 12.09% | 14.93% |
VXUS Vanguard Total International Stock ETF | 0.40% | 0.78% | 13.69% | 15.52% | 30.12% | 18.37% | 8.32% | 10.22% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 28, 2011, 2024.12.06's average daily return is +0.05%, while the average monthly return is +0.98%. At this rate, an investment would double in approximately 5.9 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +12.4%, while the worst month was Mar 2020 at -15.6%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, 2024.12.06 closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.0%, while the worst single day was Mar 16, 2020 at -11.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.90% | 1.77% | -5.53% | 8.82% | 3.84% | -0.95% | 10.73% | ||||||
| 2025 | 3.26% | -1.52% | -4.31% | -0.56% | 5.41% | 4.36% | 1.48% | 2.93% | 2.55% | 1.17% | 0.63% | 0.35% | 16.48% |
| 2024 | -0.61% | 4.69% | 3.49% | -4.50% | 4.15% | 1.09% | 3.31% | 1.87% | 2.21% | -1.46% | 6.16% | -4.21% | 16.69% |
| 2023 | 7.78% | -2.79% | 0.92% | 0.58% | -1.26% | 6.68% | 3.64% | -2.80% | -4.72% | -3.54% | 9.00% | 6.50% | 20.39% |
| 2022 | -5.79% | -1.75% | 2.15% | -7.91% | 0.16% | -8.32% | 8.41% | -3.61% | -9.36% | 7.34% | 6.44% | -4.96% | -17.78% |
| 2021 | 0.08% | 3.67% | 2.77% | 4.42% | 0.89% | 1.61% | 0.73% | 2.38% | -3.91% | 5.50% | -2.38% | 3.89% | 21.02% |
Benchmark Metrics
2024.12.06 has an annualized alpha of -0.20%, beta of 0.96, and R2 of 0.96 versus S&P 500 Index. Calculated based on daily prices since January 28, 2011.
- With beta of 0.96 and R2 of 0.96, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -0.20%
- Beta
- 0.96
- R²
- 0.96
- Upside Capture
- 95.76%
- Downside Capture
- 98.37%
Expense Ratio
2024.12.06 has an expense ratio of 0.04%, 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
2024.12.06 ranks 47 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 2024.12.06 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 | 1.87 | 1.86 | +0.01 |
| Sortino ratioReturn per unit of downside risk | 2.60 | 2.53 | +0.07 |
| Omega ratioGain probability vs. loss probability | 1.34 | 1.34 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.79 | 2.53 | +0.26 |
| Martin ratioReturn relative to average drawdown | 12.03 | 11.37 | +0.66 |
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 |
|---|---|---|---|---|---|---|
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 25 | 1.25 | 1.89 | 1.22 | 1.70 | 4.93 |
VFIAX Vanguard 500 Index Fund Admiral Shares | 64 | 1.97 | 2.67 | 1.36 | 2.73 | 12.43 |
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares | 65 | 1.97 | 2.67 | 1.36 | 2.74 | 12.45 |
VIMAX Vanguard Mid-Cap Index Fund Admiral Shares | 34 | 1.38 | 1.97 | 1.24 | 2.15 | 8.08 |
VNQ Vanguard Real Estate ETF | 31 | 0.96 | 1.39 | 1.17 | 1.56 | 4.90 |
VSMAX Vanguard Small-Cap Index Fund Admiral Shares | 55 | 1.67 | 2.39 | 1.29 | 3.11 | 11.42 |
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 64 | 1.94 | 2.65 | 1.35 | 2.77 | 12.46 |
VXUS Vanguard Total International Stock ETF | 59 | 1.77 | 2.44 | 1.33 | 2.53 | 9.72 |
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Dividends
Dividend yield
2024.12.06 provided a 1.74% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.74% | 1.85% | 2.11% | 2.05% | 2.18% | 2.07% | 1.81% | 2.10% | 2.24% | 1.86% | 2.09% | 2.10% |
| Portfolio components: | ||||||||||||
VBTLX Vanguard Total Bond Market Index Fund Admiral Shares | 3.98% | 3.87% | 3.69% | 3.10% | 2.59% | 1.96% | 2.39% | 2.74% | 2.57% | 2.56% | 2.53% | 2.82% |
VFIAX Vanguard 500 Index Fund Admiral Shares | 1.04% | 1.12% | 1.24% | 1.45% | 1.68% | 1.24% | 1.53% | 1.87% | 2.05% | 1.78% | 2.02% | 2.10% |
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares | 2.48% | 2.11% | 3.66% | 2.66% | 3.39% | 4.79% | 3.07% | 2.86% | 2.45% | 1.84% | 2.38% | 2.47% |
VIMAX Vanguard Mid-Cap Index Fund Admiral Shares | 1.36% | 1.51% | 1.48% | 1.50% | 1.59% | 1.11% | 1.44% | 1.47% | 1.82% | 1.35% | 1.45% | 1.47% |
VNQ Vanguard Real Estate ETF | 3.54% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VSMAX Vanguard Small-Cap Index Fund Admiral Shares | 1.19% | 1.33% | 1.30% | 1.56% | 1.54% | 1.24% | 1.14% | 1.39% | 1.67% | 1.35% | 1.49% | 1.48% |
VTSAX Vanguard Total Stock Market Index Fund Admiral Shares | 1.02% | 1.11% | 1.26% | 1.42% | 1.65% | 1.20% | 1.41% | 1.76% | 2.03% | 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 2024.12.06. 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 2024.12.06 was 35.20%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
The current 2024.12.06 drawdown is 1.55%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -35.20%Mar 2020 | 1mo 2d | 5mo 8d | 6mo 10dFeb 2020 - Aug 2020 |
Bear market2022 | -25.18%Oct 2022 | 11mo 9d | 1y 3mo | 2y 3moNov 2021 - Feb 2024 |
2011 bear market2011 | -22.34%Oct 2011 | 5mo 4d | 5mo 12d | 10mo 16dMay 2011 - Mar 2012 |
Rate-hike selloffLate 2018 | -19.13%Dec 2018 | 3mo 26d | 4mo | 7mo 26dAug 2018 - Apr 2019 |
2025 selloff2025 | -17.49%Apr 2025 | 4mo 4d | 2mo 17d | 6mo 21dDec 2024 - Jun 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 6.29, 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 | 1.08 | 1.08 | 1.06 | 1.05 | 1.05 |
The portfolio has a diversification ratio of 1.05, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
2024.12.06 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.94 |
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 | 0.96 |
Correlation (All Time) Calculated using the full available price history since Jan 28, 2011 | 0.97 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VFIAX has the highest benchmark correlation at 1.00, while VBTLX has the lowest at -0.14.
Asset Correlations Table
| VBTLX | VNQ | VXUS | VSMAX | VIMAX | VIIIX | VFIAX | VTSAX | |
|---|---|---|---|---|---|---|---|---|
| VBTLX | 1.00 | 0.10 | -0.09 | -0.13 | -0.12 | -0.14 | -0.14 | -0.14 |
| VNQ | 0.10 | 1.00 | 0.55 | 0.65 | 0.67 | 0.61 | 0.61 | 0.62 |
| VXUS | -0.09 | 0.55 | 1.00 | 0.77 | 0.80 | 0.81 | 0.81 | 0.82 |
| VSMAX | -0.13 | 0.65 | 0.77 | 1.00 | 0.96 | 0.87 | 0.87 | 0.91 |
| VIMAX | -0.12 | 0.67 | 0.80 | 0.96 | 1.00 | 0.93 | 0.93 | 0.95 |
| VIIIX | -0.14 | 0.61 | 0.81 | 0.87 | 0.93 | 1.00 | 1.00 | 0.99 |
| VFIAX | -0.14 | 0.61 | 0.81 | 0.87 | 0.93 | 1.00 | 1.00 | 0.99 |
| VTSAX | -0.14 | 0.62 | 0.82 | 0.91 | 0.95 | 0.99 | 0.99 | 1.00 |
Find what 2024.12.06 is missing
See which holdings overlap, where 2024.12.06 is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification