DefComp
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 20% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 20% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 40% |
TIP iShares TIPS Bond ETF | Inflation-Protected Bonds | 20% |
Performance
Performance Chart
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
The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND
Returns By Period
As of Oct 17, 2024, the DefComp returned 11.47% Year-To-Date and 6.71% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.49% | 3.72% | 16.33% | 33.60% | 14.41% | 11.99% |
| DefComp | 11.47% | 0.89% | 10.08% | 20.06% | 7.38% | 6.67% |
| Portfolio components: | ||||||
SHY iShares 1-3 Year Treasury Bond ETF | 3.64% | -0.33% | 3.82% | 6.32% | 1.26% | 1.20% |
TIP iShares TIPS Bond ETF | 4.05% | -1.04% | 5.83% | 9.74% | 2.26% | 2.12% |
SPY SPDR S&P 500 ETF | 23.66% | 3.73% | 17.31% | 37.18% | 16.17% | 13.86% |
BND Vanguard Total Bond Market ETF | 3.58% | -1.54% | 6.82% | 12.44% | 0.10% | 1.54% |
Monthly Returns
The table below presents the monthly returns of DefComp, 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 | 0.73% | 1.55% | 1.72% | -2.52% | 2.83% | 1.86% | 1.54% | 1.56% | 1.56% | 11.47% | |||
| 2023 | 3.75% | -1.98% | 2.92% | 0.82% | -0.36% | 2.42% | 1.36% | -0.88% | -2.81% | -1.25% | 5.29% | 3.28% | 12.92% |
| 2022 | -3.07% | -1.30% | 0.21% | -4.82% | 0.18% | -4.27% | 5.09% | -2.93% | -6.18% | 3.25% | 3.51% | -2.83% | -13.01% |
| 2021 | -0.52% | 0.45% | 1.53% | 2.59% | 0.51% | 1.21% | 1.78% | 1.12% | -2.28% | 2.96% | -0.13% | 1.85% | 11.52% |
| 2020 | 0.92% | -2.45% | -5.14% | 6.26% | 2.25% | 1.05% | 3.14% | 2.87% | -1.72% | -1.26% | 4.81% | 1.76% | 12.61% |
| 2019 | 3.77% | 1.32% | 1.63% | 1.72% | -1.78% | 3.22% | 0.69% | 0.49% | 0.40% | 1.00% | 1.51% | 1.28% | 16.25% |
| 2018 | 1.77% | -1.93% | -0.73% | -0.03% | 1.25% | 0.36% | 1.36% | 1.63% | -0.08% | -3.21% | 1.02% | -2.74% | -1.47% |
| 2017 | 0.95% | 1.79% | 0.06% | 0.68% | 0.71% | 0.08% | 1.03% | 0.53% | 0.54% | 0.97% | 1.20% | 0.80% | 9.74% |
| 2016 | -1.29% | 0.42% | 3.12% | 0.29% | 0.53% | 1.11% | 1.71% | -0.13% | 0.19% | -1.00% | 0.45% | 0.92% | 6.41% |
| 2015 | 0.08% | 1.57% | -0.57% | 0.47% | 0.22% | -1.24% | 1.20% | -2.72% | -0.84% | 3.47% | 0.00% | -0.96% | 0.55% |
| 2014 | -0.65% | 1.97% | 0.17% | 0.72% | 1.58% | 0.91% | -0.63% | 1.95% | -1.20% | 1.32% | 1.33% | -0.34% | 7.30% |
| 2013 | 1.83% | 0.69% | 1.65% | 1.15% | -0.29% | -1.61% | 2.35% | -1.78% | 1.90% | 2.10% | 0.96% | 0.63% | 9.89% |
Expense Ratio
DefComp 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 risk-adjusted rank of DefComp is 77, placing it in the top 23% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
SHY iShares 1-3 Year Treasury Bond ETF | 3.10 | 5.03 | 1.67 | 1.93 | 20.98 |
TIP iShares TIPS Bond ETF | 1.75 | 2.62 | 1.32 | 0.63 | 9.73 |
SPY SPDR S&P 500 ETF | 2.85 | 3.80 | 1.52 | 3.03 | 17.65 |
BND Vanguard Total Bond Market ETF | 1.87 | 2.77 | 1.33 | 0.62 | 7.82 |
Dividends
Dividend yield
DefComp granted a 2.47% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DefComp | 2.47% | 2.32% | 2.83% | 1.78% | 1.47% | 2.02% | 2.26% | 1.84% | 1.75% | 1.51% | 1.71% | 1.56% |
| Portfolio components: | ||||||||||||
SHY iShares 1-3 Year Treasury Bond ETF | 3.78% | 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 | 2.70% | 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 | 1.20% | 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 | 3.46% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
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 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, 2008 | 202 | Mar 9, 2009 | 274 | Apr 9, 2010 | 476 |
| -16.49% | Dec 28, 2021 | 202 | Oct 14, 2022 | 339 | Feb 22, 2024 | 541 |
| -14.26% | Feb 20, 2020 | 20 | Mar 18, 2020 | 55 | Jun 5, 2020 | 75 |
| -7.45% | Aug 30, 2018 | 80 | Dec 24, 2018 | 42 | Feb 26, 2019 | 122 |
| -5.96% | Jul 25, 2011 | 50 | Oct 3, 2011 | 19 | Oct 28, 2011 | 69 |
Volatility
Volatility Chart
The current DefComp volatility is 1.29%, 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
| SPY | TIP | SHY | BND | |
|---|---|---|---|---|
| SPY | 1.00 | -0.13 | -0.22 | -0.17 |
| TIP | -0.13 | 1.00 | 0.61 | 0.76 |
| SHY | -0.22 | 0.61 | 1.00 | 0.72 |
| BND | -0.17 | 0.76 | 0.72 | 1.00 |