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Pinwheel Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGIT 15%VGSH 10%IAU 10%VTI 15%IEFA 15%SLYV 10%IEMG 10%USRT 15%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds

15%

VGSH
Vanguard Short-Term Treasury ETF
Government Bonds

10%

IAU
iShares Gold Trust
Precious Metals, Gold

10%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

15%

IEFA
iShares Core MSCI EAFE ETF
Foreign Large Cap Equities

15%

SLYV
SPDR S&P 600 Small Cap Value ETF
Small Cap Value Equities

10%

IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities

10%

USRT
iShares Core U.S. REIT ETF
REIT

15%

S&P 500

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
11.04%
17.15%
Pinwheel Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Apr 13, 2024, the Pinwheel Portfolio returned 1.03% Year-To-Date and 5.89% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
Pinwheel Portfolio1.03%-0.14%11.04%9.36%6.35%5.83%
VTI
Vanguard Total Stock Market ETF
7.03%0.07%18.04%25.26%13.16%12.09%
IEFA
iShares Core MSCI EAFE ETF
2.15%-1.96%13.50%8.58%5.89%4.61%
USRT
iShares Core U.S. REIT ETF
-5.19%-2.51%9.20%8.08%3.58%5.84%
SLYV
SPDR S&P 600 Small Cap Value ETF
-6.40%-2.16%10.86%6.02%6.38%7.34%
IEMG
iShares Core MSCI Emerging Markets ETF
0.85%-0.27%8.86%6.58%1.75%2.76%
VGIT
Vanguard Intermediate-Term Treasury ETF
-2.20%-0.73%3.00%-1.02%0.09%1.02%
VGSH
Vanguard Short-Term Treasury ETF
-0.08%0.00%2.37%2.48%1.05%0.96%
IAU
iShares Gold Trust
13.50%8.58%21.90%16.55%12.80%5.90%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.60%1.89%2.88%
2023-3.99%-1.85%6.70%5.52%

Expense Ratio

The Pinwheel Portfolio has an expense ratio of 0.09% 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.


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.04%
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.


Pinwheel Portfolio
Sharpe ratio
The chart of Sharpe ratio for Pinwheel Portfolio, currently valued at 0.97, compared to the broader market0.002.004.000.97
Sortino ratio
The chart of Sortino ratio for Pinwheel Portfolio, currently valued at 1.48, compared to the broader market-2.000.002.004.006.001.48
Omega ratio
The chart of Omega ratio for Pinwheel Portfolio, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for Pinwheel Portfolio, currently valued at 0.65, compared to the broader market0.002.004.006.008.0010.0012.000.65
Martin ratio
The chart of Martin ratio for Pinwheel Portfolio, currently valued at 2.89, compared to the broader market0.0010.0020.0030.0040.0050.002.89
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.203.141.381.698.71
IEFA
iShares Core MSCI EAFE ETF
0.761.171.140.582.36
USRT
iShares Core U.S. REIT ETF
0.310.591.070.190.92
SLYV
SPDR S&P 600 Small Cap Value ETF
0.280.581.060.260.84
IEMG
iShares Core MSCI Emerging Markets ETF
0.520.841.090.251.46
VGIT
Vanguard Intermediate-Term Treasury ETF
-0.27-0.340.96-0.10-0.52
VGSH
Vanguard Short-Term Treasury ETF
1.101.721.200.613.37
IAU
iShares Gold Trust
1.322.031.241.303.53

Sharpe Ratio

The current Pinwheel Portfolio Sharpe ratio is 0.97. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.97

The Sharpe ratio of Pinwheel Portfolio 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.97
2.15
Pinwheel Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Pinwheel Portfolio granted a 2.52% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Pinwheel Portfolio2.52%2.41%1.97%1.84%1.80%2.29%2.65%2.30%2.11%2.46%2.51%1.77%
VTI
Vanguard Total Stock Market ETF
1.40%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
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%
USRT
iShares Core U.S. REIT ETF
3.32%3.18%3.46%2.27%3.12%3.34%5.66%3.44%3.98%3.59%3.46%3.84%
SLYV
SPDR S&P 600 Small Cap Value ETF
2.33%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%1.58%
IEMG
iShares Core MSCI Emerging Markets ETF
2.86%2.89%2.71%3.06%1.87%3.14%2.74%2.33%2.26%2.51%2.29%1.75%
VGIT
Vanguard Intermediate-Term Treasury ETF
3.04%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
VGSH
Vanguard Short-Term Treasury ETF
3.70%3.31%1.15%0.66%1.74%2.28%1.79%1.10%0.82%0.71%0.46%0.34%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.31%
-2.49%
Pinwheel Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Pinwheel Portfolio. 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 Pinwheel Portfolio was 23.65%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current Pinwheel Portfolio drawdown is 2.31%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.65%Feb 21, 202022Mar 23, 202097Aug 10, 2020119
-21.05%Nov 16, 2021230Oct 14, 2022363Mar 27, 2024593
-11.53%Apr 29, 2015184Jan 20, 2016108Jun 23, 2016292
-11.2%Jan 29, 2018229Dec 24, 201866Apr 1, 2019295
-7.8%May 22, 201323Jun 24, 201360Sep 18, 201383

Volatility

Volatility Chart

The current Pinwheel Portfolio volatility is 3.02%, 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
3.02%
3.24%
Pinwheel Portfolio
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.

IAUVGSHVGITUSRTIEMGSLYVIEFAVTI
IAU1.000.360.390.100.15-0.010.11-0.00
VGSH0.361.000.790.09-0.08-0.15-0.08-0.14
VGIT0.390.791.000.09-0.12-0.21-0.13-0.20
USRT0.100.090.091.000.420.560.510.59
IEMG0.15-0.08-0.120.421.000.580.790.71
SLYV-0.01-0.15-0.210.560.581.000.690.81
IEFA0.11-0.08-0.130.510.790.691.000.81
VTI-0.00-0.14-0.200.590.710.810.811.00