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DefComp

Last updated Mar 2, 2024

Asset Allocation


SHY 20%TIP 20%BND 20%SPY 40%BondBondEquityEquity
PositionCategory/SectorWeight
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

20%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

20%

BND
Vanguard Total Bond Market ETF
Total Bond Market

20%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

40%

S&P 500

Performance

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


140.00%160.00%180.00%200.00%220.00%240.00%260.00%OctoberNovemberDecember2024FebruaryMarch
160.52%
254.68%
DefComp
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND

Returns

As of Mar 2, 2024, the DefComp returned 2.87% Year-To-Date and 6.09% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
DefComp2.87%1.41%7.51%13.17%7.07%6.10%
SHY
iShares 1-3 Year Treasury Bond ETF
0.13%-0.02%2.61%4.42%1.10%0.92%
TIP
iShares TIPS Bond ETF
-0.34%0.11%2.69%1.94%2.62%2.02%
SPY
SPDR S&P 500 ETF
7.90%3.74%14.53%28.81%15.00%12.59%
BND
Vanguard Total Bond Market ETF
-1.11%-0.65%3.31%3.94%0.59%1.48%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.73%1.60%
2023-0.88%-2.81%-1.25%5.29%3.28%

Sharpe Ratio

The current DefComp Sharpe ratio is 2.43. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.43

The Sharpe ratio of DefComp lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.43
2.44
DefComp
Benchmark (^GSPC)
Portfolio components

Dividend yield

DefComp granted a 2.36% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
DefComp2.36%2.32%2.83%1.78%1.47%2.02%2.26%1.84%1.75%1.51%1.71%1.56%
SHY
iShares 1-3 Year Treasury Bond ETF
3.21%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
TIP
iShares TIPS Bond ETF
2.74%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
SPY
SPDR S&P 500 ETF
1.29%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
BND
Vanguard Total Bond Market ETF
3.24%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Expense Ratio

The DefComp features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.19%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.09%
0.50%1.00%1.50%2.00%0.03%

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
2.44
DefComp
2.43
SHY
iShares 1-3 Year Treasury Bond ETF
1.67
TIP
iShares TIPS Bond ETF
0.46
SPY
SPDR S&P 500 ETF
2.59
BND
Vanguard Total Bond Market ETF
0.64

Asset Correlations Table

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

SPYTIPSHYBND
SPY1.00-0.14-0.23-0.18
TIP-0.141.000.600.75
SHY-0.230.601.000.71
BND-0.180.750.711.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
DefComp
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the DefComp. 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 DefComp was 24.14%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.14%May 20, 2008202Mar 9, 2009274Apr 9, 2010476
-16.49%Dec 28, 2021202Oct 14, 2022339Feb 22, 2024541
-14.26%Feb 20, 202020Mar 18, 202055Jun 5, 202075
-7.45%Aug 30, 201880Dec 24, 201842Feb 26, 2019122
-5.96%Jul 25, 201150Oct 3, 201119Oct 28, 201169

Volatility Chart

The current DefComp volatility is 1.84%, 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.


1.00%2.00%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
1.84%
3.47%
DefComp
Benchmark (^GSPC)
Portfolio components
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