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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
IAU
iShares Gold Trust
Precious Metals, Gold
10%
IEFA
iShares Core MSCI EAFE ETF
Foreign Large Cap Equities
15%
IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities
10%
SLYV
SPDR S&P 600 Small Cap Value ETF
Small Cap Value Equities
10%
USRT
iShares Core U.S. REIT ETF
REIT
15%
VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds
15%
VGSH
Vanguard Short-Term Treasury ETF
Government Bonds
10%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
15%

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%MayJuneJulyAugustSeptemberOctober
9.96%
10.51%
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 Oct 4, 2024, the Pinwheel Portfolio returned 12.24% Year-To-Date and 6.93% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%4.18%10.51%35.06%14.29%11.53%
Pinwheel Portfolio12.59%2.68%9.96%26.14%7.89%7.04%
VTI
Vanguard Total Stock Market ETF
19.25%3.36%9.61%35.00%15.15%12.90%
IEFA
iShares Core MSCI EAFE ETF
11.45%1.84%6.76%25.65%8.11%6.18%
USRT
iShares Core U.S. REIT ETF
13.58%0.87%17.48%34.72%4.92%7.34%
SLYV
SPDR S&P 600 Small Cap Value ETF
4.40%1.93%8.25%25.30%9.50%9.10%
IEMG
iShares Core MSCI Emerging Markets ETF
16.84%9.50%13.95%28.81%6.42%4.27%
VGIT
Vanguard Intermediate-Term Treasury ETF
4.07%0.02%5.72%9.54%0.06%1.43%
VGSH
Vanguard Short-Term Treasury ETF
3.96%0.38%3.84%6.47%1.34%1.33%
IAU
iShares Gold Trust
28.31%6.30%13.95%45.29%11.80%7.95%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.60%1.89%2.88%-2.86%3.24%0.75%3.98%2.18%2.25%12.59%
20237.06%-3.42%1.46%0.65%-1.92%3.25%2.88%-2.58%-3.99%-1.85%6.70%5.52%13.69%
2022-3.52%-0.94%0.69%-4.87%-0.62%-5.37%4.50%-3.74%-7.78%3.80%6.74%-2.69%-13.89%
20210.39%1.93%1.95%3.23%2.14%-0.09%0.55%1.23%-2.99%2.98%-1.64%3.39%13.67%
2020-0.63%-4.54%-10.61%7.01%2.65%2.66%4.12%2.68%-2.39%-0.85%7.92%4.24%11.28%
20196.60%1.35%0.71%1.57%-2.91%4.38%0.01%0.26%1.38%2.03%0.37%2.29%19.25%
20181.97%-3.72%0.54%0.13%1.18%-0.12%1.25%0.61%-0.87%-4.46%1.83%-3.91%-5.71%
20171.92%2.00%0.46%1.14%0.69%0.63%1.84%0.49%1.09%0.70%1.34%0.91%14.02%
2016-2.53%0.95%5.47%0.76%-0.30%2.32%3.03%-0.68%0.65%-2.46%-0.10%1.44%8.60%
20151.35%1.35%-0.31%0.36%0.00%-1.85%-0.11%-3.80%-1.24%4.52%-0.75%-1.12%-1.81%
2014-1.24%3.87%0.04%0.67%1.27%1.87%-1.52%2.15%-3.83%2.30%0.91%-0.49%5.93%
20132.35%-0.21%1.69%1.48%-2.07%-2.71%3.39%-1.85%3.25%2.58%-0.58%0.47%7.80%

Expense Ratio

Pinwheel Portfolio has an expense ratio of 0.09%, 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.


Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SLYV: 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 IEMG: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for USRT: 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 IEFA: 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 VGIT: 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 VGSH: 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 VTI: 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 Pinwheel Portfolio is 67, 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 Pinwheel Portfolio is 6767
Pinwheel Portfolio
The Sharpe Ratio Rank of Pinwheel Portfolio is 6868Sharpe Ratio Rank
The Sortino Ratio Rank of Pinwheel Portfolio is 7676Sortino Ratio Rank
The Omega Ratio Rank of Pinwheel Portfolio is 7373Omega Ratio Rank
The Calmar Ratio Rank of Pinwheel Portfolio is 3434Calmar Ratio Rank
The Martin Ratio Rank of Pinwheel Portfolio is 8383Martin 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.


Pinwheel Portfolio
Sharpe ratio
The chart of Sharpe ratio for Pinwheel Portfolio, currently valued at 2.72, compared to the broader market0.002.004.002.72
Sortino ratio
The chart of Sortino ratio for Pinwheel Portfolio, currently valued at 3.92, compared to the broader market-2.000.002.004.006.003.92
Omega ratio
The chart of Omega ratio for Pinwheel Portfolio, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for Pinwheel Portfolio, currently valued at 1.87, compared to the broader market0.002.004.006.008.0010.0012.001.87
Martin ratio
The chart of Martin ratio for Pinwheel Portfolio, currently valued at 19.11, compared to the broader market0.0010.0020.0030.0040.0050.0019.11
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.0010.0020.0030.0040.0050.0017.01

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.743.651.502.4816.52
IEFA
iShares Core MSCI EAFE ETF
2.042.861.351.6312.80
USRT
iShares Core U.S. REIT ETF
1.982.821.351.149.60
SLYV
SPDR S&P 600 Small Cap Value ETF
1.161.771.211.085.25
IEMG
iShares Core MSCI Emerging Markets ETF
1.952.771.340.9810.95
VGIT
Vanguard Intermediate-Term Treasury ETF
1.842.761.330.637.14
VGSH
Vanguard Short-Term Treasury ETF
3.415.771.772.1525.10
IAU
iShares Gold Trust
3.124.231.553.6520.55

Sharpe Ratio

The current Pinwheel Portfolio Sharpe ratio is 2.73. 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 2.20 to 2.96, 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 Pinwheel Portfolio 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 Ratio1.001.502.002.50MayJuneJulyAugustSeptemberOctober
2.72
2.80
Pinwheel Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Pinwheel Portfolio granted a 2.46% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Pinwheel Portfolio2.46%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
1.33%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
2.96%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
2.78%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
2.28%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
2.54%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
3.41%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
4.06%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.74%
-0.20%
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 1.05%.


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 2.36%, 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.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.36%
3.37%
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
IAU1.000.350.390.100.160.000.130.01
VGSH0.351.000.790.11-0.06-0.13-0.06-0.13
VGIT0.390.791.000.11-0.11-0.19-0.11-0.18
USRT0.100.110.111.000.420.560.510.59
IEMG0.16-0.06-0.110.421.000.580.790.71
SLYV0.00-0.13-0.190.560.581.000.690.80
IEFA0.13-0.06-0.110.510.790.691.000.81
VTI0.01-0.13-0.180.590.710.800.811.00
The correlation results are calculated based on daily price changes starting from Oct 23, 2012