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Michael's 60/40 Balanced Portfolio for CalSTRS Voya

Last updated Mar 2, 2024

Adjusted to higher bond allocations during interest rate spikes of 2023. Aim for 20-25% exposure to international stocks and 15-20% to international bonds.

Asset Allocation


VBTLX 40%TISCX 34%VTMGX 10%VIMSX 6%NAESX 3%VEMAX 3%VGSLX 4%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
VBTLX
Vanguard Total Bond Market Index Fund Admiral Shares
Total Bond Market

40%

TISCX
TIAA-CREF Social Choice Equity Fund
Large Cap Blend Equities

34%

VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
Large Cap Growth Equities, Foreign Large Cap Equities

10%

VIMSX
Vanguard Mid Cap Index Fund
Mid Cap Blend Equities

6%

NAESX
Vanguard Small Cap Index Fund
Small Cap Blend Equities

3%

VEMAX
Vanguard Emerging Markets Stock Index Fund Admiral Shares
Emerging Markets Equities

3%

VGSLX
Vanguard Real Estate Index Fund Admiral Shares
REIT

4%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Michael's 60/40 Balanced Portfolio for CalSTRS Voya, 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


200.00%250.00%300.00%OctoberNovemberDecember2024FebruaryMarch
220.82%
312.78%
Michael's 60/40 Balanced Portfolio for CalSTRS Voya
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 23, 2006, corresponding to the inception date of VEMAX

Returns

As of Mar 2, 2024, the Michael's 60/40 Balanced Portfolio for CalSTRS Voya returned 2.39% Year-To-Date and 6.42% 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%
Michael's 60/40 Balanced Portfolio for CalSTRS Voya2.39%2.11%8.51%12.16%7.31%6.44%
VBTLX
Vanguard Total Bond Market Index Fund Admiral Shares
-1.57%-0.94%2.96%3.68%0.59%1.44%
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
2.66%3.54%9.68%12.70%6.96%4.72%
VGSLX
Vanguard Real Estate Index Fund Admiral Shares
-3.24%2.56%7.15%3.82%4.37%6.22%
TISCX
TIAA-CREF Social Choice Equity Fund
7.53%4.29%14.75%24.07%14.28%11.56%
NAESX
Vanguard Small Cap Index Fund
2.60%5.28%9.90%11.49%9.31%8.26%
VIMSX
Vanguard Mid Cap Index Fund
3.59%4.32%10.60%12.41%10.60%9.28%
VEMAX
Vanguard Emerging Markets Stock Index Fund Admiral Shares
1.61%4.63%4.64%6.25%2.91%3.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.35%2.06%
2023-1.76%-3.90%-2.60%7.64%5.20%

Sharpe Ratio

The current Michael's 60/40 Balanced Portfolio for CalSTRS Voya Sharpe ratio is 1.52. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.52

The Sharpe ratio of Michael's 60/40 Balanced Portfolio for CalSTRS Voya 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 Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.52
2.44
Michael's 60/40 Balanced Portfolio for CalSTRS Voya
Benchmark (^GSPC)
Portfolio components

Dividend yield

Michael's 60/40 Balanced Portfolio for CalSTRS Voya granted a 3.66% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Michael's 60/40 Balanced Portfolio for CalSTRS Voya3.66%3.85%3.43%4.65%1.95%3.39%5.22%3.01%4.04%3.46%2.61%2.43%
VBTLX
Vanguard Total Bond Market Index Fund Admiral Shares
2.96%3.08%2.59%2.11%2.39%2.73%2.80%2.56%2.54%2.37%2.59%2.59%
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
3.06%3.14%2.88%3.14%2.02%3.03%3.33%2.77%3.06%2.91%3.70%2.61%
VGSLX
Vanguard Real Estate Index Fund Admiral Shares
4.04%3.91%3.91%2.56%3.92%3.39%4.73%4.23%4.82%3.92%3.60%4.32%
TISCX
TIAA-CREF Social Choice Equity Fund
5.24%5.64%4.99%9.46%1.38%4.84%9.85%3.99%6.84%5.44%2.55%2.29%
NAESX
Vanguard Small Cap Index Fund
1.39%1.43%1.41%1.12%1.05%1.27%1.53%1.24%1.39%1.35%1.27%1.17%
VIMSX
Vanguard Mid Cap Index Fund
1.34%1.39%1.46%1.00%1.34%1.37%1.68%1.24%1.34%1.33%1.14%1.03%
VEMAX
Vanguard Emerging Markets Stock Index Fund Admiral Shares
3.42%3.47%4.05%2.57%1.87%3.20%2.85%2.31%2.51%3.25%2.86%2.76%

Expense Ratio

The Michael's 60/40 Balanced Portfolio for CalSTRS Voya 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%0.17%
0.50%1.00%1.50%2.00%0.17%
0.50%1.00%1.50%2.00%0.17%

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
Michael's 60/40 Balanced Portfolio for CalSTRS Voya
1.52
VBTLX
Vanguard Total Bond Market Index Fund Admiral Shares
0.58
VTMGX
Vanguard Developed Markets Index Fund Admiral Shares
1.12
VGSLX
Vanguard Real Estate Index Fund Admiral Shares
0.34
TISCX
TIAA-CREF Social Choice Equity Fund
1.78
NAESX
Vanguard Small Cap Index Fund
0.74
VIMSX
Vanguard Mid Cap Index Fund
1.05
VEMAX
Vanguard Emerging Markets Stock Index Fund Admiral Shares
0.60

Asset Correlations Table

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

VBTLXVGSLXVEMAXVTMGXNAESXTISCXVIMSX
VBTLX1.00-0.05-0.18-0.17-0.23-0.23-0.22
VGSLX-0.051.000.510.580.720.700.72
VEMAX-0.180.511.000.800.690.730.73
VTMGX-0.170.580.801.000.770.820.80
NAESX-0.230.720.690.771.000.930.96
TISCX-0.230.700.730.820.931.000.96
VIMSX-0.220.720.730.800.960.961.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-2.24%
0
Michael's 60/40 Balanced Portfolio for CalSTRS Voya
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Michael's 60/40 Balanced Portfolio for CalSTRS Voya. 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 Michael's 60/40 Balanced Portfolio for CalSTRS Voya was 36.85%, occurring on Mar 9, 2009. Recovery took 396 trading sessions.

The current Michael's 60/40 Balanced Portfolio for CalSTRS Voya drawdown is 2.24%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.85%Nov 1, 2007339Mar 9, 2009396Oct 1, 2010735
-22.35%Nov 10, 2021234Oct 14, 2022
-22.05%Feb 20, 202023Mar 23, 202084Jul 22, 2020107
-11.91%Jul 8, 201161Oct 3, 201183Feb 1, 2012144
-10.78%Aug 30, 201880Dec 24, 201855Mar 15, 2019135

Volatility Chart

The current Michael's 60/40 Balanced Portfolio for CalSTRS Voya volatility is 2.58%, 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%OctoberNovemberDecember2024FebruaryMarch
2.58%
3.47%
Michael's 60/40 Balanced Portfolio for CalSTRS Voya
Benchmark (^GSPC)
Portfolio components
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