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Bad funds

Last updated Feb 28, 2024

Asset Allocation


MBB 16.67%TLT 16.67%LQD 16.67%VGIT 16.67%IEFA 16.67%IEMG 16.67%BondBondEquityEquity
PositionCategory/SectorWeight
MBB
iShares MBS Bond ETF
Mortgage Backed Securities

16.67%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

16.67%

LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds

16.67%

VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds

16.67%

IEFA
iShares Core MSCI EAFE ETF
Foreign Large Cap Equities

16.67%

IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities

16.67%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Bad funds, 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


-10.00%-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2024February
3.21%
12.48%
Bad funds
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 22, 2012, corresponding to the inception date of IEFA

Returns

As of Feb 28, 2024, the Bad funds returned -1.52% Year-To-Date and 2.65% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.46%3.83%12.91%27.52%12.80%10.59%
Bad funds-1.52%0.06%3.22%5.02%2.01%2.65%
MBB
iShares MBS Bond ETF
-2.47%-1.56%1.57%1.88%-0.40%0.82%
IEFA
iShares Core MSCI EAFE ETF
2.39%2.43%8.77%14.47%6.61%4.59%
IEMG
iShares Core MSCI Emerging Markets ETF
0.71%3.92%4.62%10.78%2.75%3.35%
TLT
iShares 20+ Year Treasury Bond ETF
-5.71%-1.72%-1.54%-5.40%-2.67%0.87%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
-2.45%-1.45%3.76%5.90%1.70%2.43%
VGIT
Vanguard Intermediate-Term Treasury ETF
-1.68%-1.33%1.64%2.65%0.43%1.01%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.27%
20231.06%-2.58%-3.82%-2.91%7.01%4.99%

Sharpe Ratio

The current Bad funds Sharpe ratio is 0.60. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.60

The Sharpe ratio of Bad funds is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
0.60
2.27
Bad funds
Benchmark (^GSPC)
Portfolio components

Dividend yield

Bad funds granted a 3.37% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Bad funds3.37%3.26%2.57%2.15%2.04%2.81%2.86%2.39%2.57%2.60%2.45%2.32%
MBB
iShares MBS Bond ETF
3.56%3.40%2.31%1.06%2.10%2.77%2.64%2.23%2.58%2.66%1.72%1.27%
IEFA
iShares Core MSCI EAFE ETF
3.13%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%
IEMG
iShares Core MSCI Emerging Markets ETF
2.87%2.89%2.71%3.06%1.87%3.14%2.74%2.33%2.26%2.51%2.29%1.75%
TLT
iShares 20+ Year Treasury Bond ETF
3.63%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.15%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
VGIT
Vanguard Intermediate-Term Treasury ETF
2.86%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%

Expense Ratio

The Bad funds features an expense ratio of 0.10%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.15%
0.00%2.15%
0.14%
0.00%2.15%
0.07%
0.00%2.15%
0.06%
0.00%2.15%
0.04%
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
^GSPC
S&P 500
2.27
Bad funds
0.60
MBB
iShares MBS Bond ETF
0.25
IEFA
iShares Core MSCI EAFE ETF
1.13
IEMG
iShares Core MSCI Emerging Markets ETF
0.72
TLT
iShares 20+ Year Treasury Bond ETF
-0.26
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
0.65
VGIT
Vanguard Intermediate-Term Treasury ETF
0.44

Asset Correlations Table

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

IEMGIEFAMBBLQDVGITTLT
IEMG1.000.790.010.12-0.12-0.16
IEFA0.791.000.010.13-0.14-0.19
MBB0.010.011.000.760.830.75
LQD0.120.130.761.000.760.79
VGIT-0.12-0.140.830.761.000.84
TLT-0.16-0.190.750.790.841.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-13.90%
-0.21%
Bad funds
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bad funds. 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 Bad funds was 25.69%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current Bad funds drawdown is 13.90%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.69%Sep 15, 2021280Oct 24, 2022
-13.56%Mar 9, 20209Mar 19, 202050Jun 1, 202059
-9.45%Apr 28, 2015186Jan 21, 2016130Jul 27, 2016316
-9.37%Jan 29, 2018191Oct 29, 2018158Jun 18, 2019349
-8.4%May 3, 201336Jun 24, 2013200Apr 9, 2014236

Volatility Chart

The current Bad funds volatility is 2.75%, 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%4.50%5.00%SeptemberOctoberNovemberDecember2024February
2.75%
3.92%
Bad funds
Benchmark (^GSPC)
Portfolio components
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