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Passive #1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VFIAX 10%VIGAX 10%VVIAX 10%VRTTX 10%IWF 10%IWD 10%FSPSX 10%VIMAX 8%FSMDX 8%VB 8%VSIAX 3%VIOG 3%EquityEquity
PositionCategory/SectorWeight
FSMDX
Fidelity Mid Cap Index Fund
Mid Cap Blend Equities

8%

FSPSX
Fidelity International Index Fund
Large Cap Blend Equities, Foreign Large Cap Equities

10%

IWD
iShares Russell 1000 Value ETF
Large Cap Blend Equities

10%

IWF
iShares Russell 1000 Growth ETF
Large Cap Growth Equities

10%

VB
Vanguard Small-Cap ETF
Small Cap Growth Equities

8%

VFIAX
Vanguard 500 Index Fund Admiral Shares
Large Cap Blend Equities

10%

VIGAX
Vanguard Growth Index Fund Admiral Shares
Large Cap Growth Equities

10%

VIMAX
Vanguard Mid-Cap Index Fund Admiral Shares
Mid Cap Blend Equities

8%

VIOG
Vanguard S&P Small-Cap 600 Growth ETF
Small Cap Growth Equities

3%

VRTTX
Vanguard Russell 3000 Index Fund Institutional Shares
Large Cap Blend Equities

10%

VSIAX
Vanguard Small-Cap Value Index Fund Admiral Shares
Small Cap Value Equities

3%

VVIAX
Vanguard Value Index Fund Admiral Shares
Large Cap Value Equities

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Passive #1, 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


300.00%320.00%340.00%360.00%380.00%400.00%FebruaryMarchAprilMayJuneJuly
399.48%
375.13%
Passive #1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 27, 2011, corresponding to the inception date of VSIAX

Returns By Period

As of Jul 12, 2024, the Passive #1 returned 12.81% Year-To-Date and 10.89% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.08%3.89%16.83%24.87%13.16%10.96%
Passive #112.81%2.43%13.45%19.24%12.33%10.93%
VFIAX
Vanguard 500 Index Fund Admiral Shares
17.93%3.12%17.53%25.64%14.98%13.02%
VIGAX
Vanguard Growth Index Fund Admiral Shares
23.75%3.58%22.97%33.56%18.67%15.64%
VVIAX
Vanguard Value Index Fund Admiral Shares
10.71%2.58%10.73%16.97%10.52%10.01%
VRTTX
Vanguard Russell 3000 Index Fund Institutional Shares
16.17%3.01%16.23%23.81%14.10%12.34%
IWF
iShares Russell 1000 Growth ETF
23.88%4.04%22.92%34.56%19.06%16.43%
IWD
iShares Russell 1000 Value ETF
8.34%1.83%9.10%13.12%8.84%8.20%
VIMAX
Vanguard Mid-Cap Index Fund Admiral Shares
6.84%1.33%8.33%10.68%9.31%9.35%
FSMDX
Fidelity Mid Cap Index Fund
6.89%1.14%8.52%11.49%9.44%9.49%
VB
Vanguard Small-Cap ETF
5.55%1.67%8.57%10.59%8.76%8.61%
VSIAX
Vanguard Small-Cap Value Index Fund Admiral Shares
5.26%1.98%7.87%12.49%9.67%8.36%
VIOG
Vanguard S&P Small-Cap 600 Growth ETF
6.23%2.28%9.57%13.58%8.83%9.64%
FSPSX
Fidelity International Index Fund
8.97%1.14%9.48%12.18%7.33%4.93%

Monthly Returns

The table below presents the monthly returns of Passive #1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.22%4.97%3.61%-4.48%4.28%1.50%12.81%
20237.42%-2.39%1.54%0.75%-0.81%6.99%3.64%-2.50%-4.72%-3.28%9.24%6.10%22.84%
2022-5.92%-1.97%2.67%-8.37%0.24%-8.77%9.13%-3.81%-9.35%8.27%6.21%-5.33%-17.80%
2021-0.27%3.77%3.41%4.78%0.89%1.71%1.33%2.64%-4.20%6.10%-2.15%4.17%23.99%
2020-0.59%-8.26%-15.38%12.64%5.62%2.21%5.26%5.94%-3.16%-1.52%13.04%4.74%18.15%
20198.86%3.59%1.09%3.81%-6.32%6.82%1.13%-2.33%1.95%2.05%3.41%2.76%29.34%
20184.89%-3.94%-1.31%0.41%2.38%0.51%3.08%2.88%-0.01%-7.78%1.91%-9.10%-6.91%
20172.10%3.21%0.36%1.18%1.07%0.88%1.90%-0.11%2.60%1.99%2.85%1.01%20.70%
2016-5.93%-0.05%7.26%0.85%1.59%-0.06%4.16%0.27%0.29%-2.47%4.27%1.93%12.11%
2015-2.20%5.79%-0.68%0.43%1.24%-1.75%1.47%-5.95%-3.26%7.40%0.42%-2.30%-0.12%
2014-3.13%5.05%0.30%-0.04%2.09%2.65%-2.34%3.91%-2.64%2.62%2.21%-0.18%10.61%
20135.62%1.03%3.77%1.85%1.89%-1.43%5.61%-2.67%4.37%4.02%2.50%2.65%32.98%

Expense Ratio

Passive #1 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 IWF: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for IWD: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for VIOG: 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 VRTTX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VSIAX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VIGAX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VVIAX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VIMAX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VB: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VFIAX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for FSPSX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for FSMDX: 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 Rank

The current rank of Passive #1 is 41, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Passive #1 is 4141
Passive #1
The Sharpe Ratio Rank of Passive #1 is 4242Sharpe Ratio Rank
The Sortino Ratio Rank of Passive #1 is 4343Sortino Ratio Rank
The Omega Ratio Rank of Passive #1 is 4242Omega Ratio Rank
The Calmar Ratio Rank of Passive #1 is 4141Calmar Ratio Rank
The Martin Ratio Rank of Passive #1 is 3939Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Passive #1
Sharpe ratio
The chart of Sharpe ratio for Passive #1, currently valued at 1.86, compared to the broader market-1.000.001.002.003.004.005.001.86
Sortino ratio
The chart of Sortino ratio for Passive #1, currently valued at 2.66, compared to the broader market-2.000.002.004.006.002.66
Omega ratio
The chart of Omega ratio for Passive #1, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for Passive #1, currently valued at 1.44, compared to the broader market0.002.004.006.008.0010.001.44
Martin ratio
The chart of Martin ratio for Passive #1, currently valued at 5.85, compared to the broader market0.0010.0020.0030.0040.005.85
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.005.002.31
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.002.004.006.008.0010.001.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.58, compared to the broader market0.0010.0020.0030.0040.008.58

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VFIAX
Vanguard 500 Index Fund Admiral Shares
2.483.461.442.379.62
VIGAX
Vanguard Growth Index Fund Admiral Shares
2.403.231.421.9811.69
VVIAX
Vanguard Value Index Fund Admiral Shares
1.802.561.311.785.60
VRTTX
Vanguard Russell 3000 Index Fund Institutional Shares
2.243.161.401.878.10
IWF
iShares Russell 1000 Growth ETF
2.553.431.442.3812.89
IWD
iShares Russell 1000 Value ETF
1.321.901.231.123.72
VIMAX
Vanguard Mid-Cap Index Fund Admiral Shares
0.951.411.170.532.51
FSMDX
Fidelity Mid Cap Index Fund
0.971.431.170.602.63
VB
Vanguard Small-Cap ETF
0.741.161.130.502.10
VSIAX
Vanguard Small-Cap Value Index Fund Admiral Shares
0.871.351.160.872.69
VIOG
Vanguard S&P Small-Cap 600 Growth ETF
0.891.411.160.582.81
FSPSX
Fidelity International Index Fund
1.392.071.251.134.08

Sharpe Ratio

The current Passive #1 Sharpe ratio is 1.86. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.58 to 2.51, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Passive #1 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.86
2.31
Passive #1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Passive #1 granted a 1.51% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Passive #11.51%1.60%1.73%1.55%1.53%1.91%2.06%1.76%1.94%2.16%1.98%1.76%
VFIAX
Vanguard 500 Index Fund Admiral Shares
1.29%1.45%1.68%1.24%1.53%1.87%2.05%1.78%2.02%2.10%1.85%1.84%
VIGAX
Vanguard Growth Index Fund Admiral Shares
0.48%0.57%0.69%0.47%0.66%0.94%1.31%1.14%1.39%1.31%1.21%1.19%
VVIAX
Vanguard Value Index Fund Admiral Shares
2.41%2.45%2.51%2.14%2.55%2.49%2.72%2.29%2.45%2.60%2.22%2.21%
VRTTX
Vanguard Russell 3000 Index Fund Institutional Shares
1.27%1.49%1.54%1.18%1.38%1.66%1.96%1.69%1.89%1.91%1.73%1.62%
IWF
iShares Russell 1000 Growth ETF
0.53%0.67%0.91%0.49%0.66%0.99%1.27%1.10%1.43%1.37%1.32%1.29%
IWD
iShares Russell 1000 Value ETF
1.92%2.02%2.15%1.62%2.05%2.45%2.71%2.08%2.25%2.47%2.00%1.95%
VIMAX
Vanguard Mid-Cap Index Fund Admiral Shares
1.56%1.51%1.59%1.11%1.44%1.47%1.82%1.35%1.45%1.47%1.29%1.17%
FSMDX
Fidelity Mid Cap Index Fund
1.07%1.39%2.07%3.35%2.34%2.86%2.60%2.53%2.23%4.68%3.82%2.74%
VB
Vanguard Small-Cap ETF
1.49%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%
VSIAX
Vanguard Small-Cap Value Index Fund Admiral Shares
2.13%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%
VIOG
Vanguard S&P Small-Cap 600 Growth ETF
1.12%1.15%1.17%0.69%0.68%1.09%0.76%0.87%0.92%1.04%0.72%0.52%
FSPSX
Fidelity International Index Fund
2.92%2.79%2.66%3.07%1.84%3.18%2.79%2.50%3.08%2.79%3.53%2.59%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly0
-0.88%
Passive #1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Passive #1. 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 Passive #1 was 36.11%, occurring on Mar 23, 2020. Recovery took 110 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.11%Feb 20, 202023Mar 23, 2020110Aug 27, 2020133
-24.91%Nov 9, 2021225Sep 30, 2022306Dec 19, 2023531
-20.15%Sep 21, 201865Dec 24, 201884Apr 26, 2019149
-16.77%Jun 24, 2015161Feb 11, 2016104Jul 12, 2016265
-10.8%Mar 27, 201248Jun 4, 201266Sep 6, 2012114

Volatility

Volatility Chart

The current Passive #1 volatility is 1.77%, 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%FebruaryMarchAprilMayJuneJuly
1.77%
2.07%
Passive #1
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.

FSPSXVIOGVIGAXIWFVVIAXVSIAXIWDVBVFIAXVIMAXFSMDXVRTTX
FSPSX1.000.670.710.710.750.710.760.720.770.760.760.77
VIOG0.671.000.740.740.780.910.810.940.800.870.890.84
VIGAX0.710.741.000.990.750.730.770.810.950.870.860.94
IWF0.710.740.991.000.760.730.770.810.950.870.860.94
VVIAX0.750.780.750.761.000.890.990.860.910.890.900.91
VSIAX0.710.910.730.730.891.000.920.970.840.920.940.88
IWD0.760.810.770.770.990.921.000.900.910.920.930.92
VB0.720.940.810.810.860.970.901.000.870.950.970.91
VFIAX0.770.800.950.950.910.840.910.871.000.930.930.99
VIMAX0.760.870.870.870.890.920.920.950.931.000.990.96
FSMDX0.760.890.860.860.900.940.930.970.930.991.000.96
VRTTX0.770.840.940.940.910.880.920.910.990.960.961.00
The correlation results are calculated based on daily price changes starting from Sep 28, 2011