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2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 40%VOO 60%BondBondEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

40%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

60%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2024, 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%20.00%NovemberDecember2024FebruaryMarchApril
14.81%
19.37%
2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Apr 24, 2024, the 2024 returned 0.37% Year-To-Date and 8.12% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
20240.37%-3.79%14.81%8.73%6.96%8.12%
VOO
Vanguard S&P 500 ETF
6.76%-2.99%20.31%24.48%13.51%12.61%
TLT
iShares 20+ Year Treasury Bond ETF
-9.08%-4.95%6.37%-12.42%-4.17%0.20%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.07%2.30%2.35%
2023-5.96%-3.49%9.47%6.20%

Expense Ratio

The 2024 has an expense ratio of 0.08% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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 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.


2024
Sharpe ratio
The chart of Sharpe ratio for 2024, currently valued at 0.85, compared to the broader market-1.000.001.002.003.004.005.000.85
Sortino ratio
The chart of Sortino ratio for 2024, currently valued at 1.29, compared to the broader market0.002.004.006.001.29
Omega ratio
The chart of Omega ratio for 2024, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.801.15
Calmar ratio
The chart of Calmar ratio for 2024, currently valued at 0.38, compared to the broader market0.002.004.006.008.000.38
Martin ratio
The chart of Martin ratio for 2024, currently valued at 2.12, compared to the broader market0.0010.0020.0030.0040.0050.002.12
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
2.083.011.361.808.64
TLT
iShares 20+ Year Treasury Bond ETF
-0.67-0.860.91-0.24-1.10

Sharpe Ratio

The current 2024 Sharpe ratio is 0.85. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.85

The Sharpe ratio of 2024 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 Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.85
1.92
2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2024 granted a 2.39% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
20242.39%2.23%2.08%1.35%1.53%2.04%2.29%2.04%2.25%2.31%2.18%2.40%
VOO
Vanguard S&P 500 ETF
1.38%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
TLT
iShares 20+ Year Treasury Bond ETF
3.89%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-10.90%
-3.50%
2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2024. 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 was 27.74%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current 2024 drawdown is 10.90%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.74%Dec 28, 2021206Oct 20, 2022
-17.58%Feb 21, 202019Mar 18, 202048May 27, 202067
-10.56%Aug 30, 201880Dec 24, 201853Mar 13, 2019133
-7.89%Mar 23, 2015109Aug 25, 2015141Mar 17, 2016250
-7.7%Jan 29, 20189Feb 8, 2018133Aug 20, 2018142

Volatility

Volatility Chart

The current 2024 volatility is 2.79%, 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%NovemberDecember2024FebruaryMarchApril
2.79%
3.58%
2024
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.

TLTVOO
TLT1.00-0.28
VOO-0.281.00