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Traditional Portfolio + Gold
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Traditional Portfolio + Gold

Last updated May 7, 2024

Asset Allocation

IEF 33.33%GC=F 33.33%^GSPC 33.33%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500

33.33%

GC=F
Gold

33.33%

IEF
iShares 7-10 Year Treasury Bond ETF		Government Bonds

33.33%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Traditional Portfolio + Gold, 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

350.00%400.00%450.00%500.00%December2024FebruaryMarchAprilMay
410.64%
507.47%
507.47%
Traditional Portfolio + Gold
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2002, corresponding to the inception date of IEF

Returns By Period

As of May 7, 2024, the Traditional Portfolio + Gold returned 6.26% Year-To-Date and 5.52% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		8.61%-0.45%18.66%25.25%12.50%10.70%
Traditional Portfolio + Gold6.26%-0.12%13.21%11.78%7.41%5.52%
Portfolio components:
GC=F
Gold		13.12%0.31%17.73%15.14%11.13%5.38%
^GSPC
S&P 500		8.61%-0.45%18.66%25.25%10.93%9.36%
IEF
iShares 7-10 Year Treasury Bond ETF		-2.93%-0.35%3.28%-4.17%-0.77%0.76%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20240.33%1.01%4.05%-1.27%
20230.66%5.41%3.10%

Expense Ratio

Traditional Portfolio + Gold has an expense ratio of 0.05% 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.

IEF
iShares 7-10 Year Treasury Bond ETF
Expense ratio chart for IEF: 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%

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.

Traditional Portfolio + Gold
Sharpe ratio
The chart of Sharpe ratio for Traditional Portfolio + Gold, currently valued at 1.69, compared to the broader market0.002.004.001.69
Sortino ratio
The chart of Sortino ratio for Traditional Portfolio + Gold, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Omega ratio
The chart of Omega ratio for Traditional Portfolio + Gold, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Traditional Portfolio + Gold, currently valued at 1.21, compared to the broader market0.002.004.006.008.0010.001.21
Martin ratio
The chart of Martin ratio for Traditional Portfolio + Gold, currently valued at 4.99, compared to the broader market0.0010.0020.0030.0040.004.99
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.67, compared to the broader market0.002.004.001.67
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.43, compared to the broader market-2.000.002.004.006.002.43
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.002.004.006.008.0010.001.31
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.65, compared to the broader market0.0010.0020.0030.0040.005.65
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GC=F
Gold		1.432.021.261.677.14
^GSPC
S&P 500		1.672.431.311.315.65
IEF
iShares 7-10 Year Treasury Bond ETF		-0.16-0.180.98-0.05-0.37

Sharpe Ratio

The current Traditional Portfolio + Gold Sharpe ratio is 1.69. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.60 to 2.61, 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 Traditional Portfolio + Gold 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 Ratio0.501.001.502.002.50December2024FebruaryMarchAprilMay
1.69
1.67
1.67
Traditional Portfolio + Gold
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Traditional Portfolio + Gold granted a 1.08% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Traditional Portfolio + Gold1.08%0.97%0.65%0.28%0.36%0.69%0.75%0.61%0.60%0.63%0.68%0.59%
Portfolio components:
GC=F
Gold		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
^GSPC
S&P 500		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF		3.24%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%

Drawdowns

Drawdowns Chart

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

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.47%
-1.40%
-1.40%
Traditional Portfolio + Gold
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Traditional Portfolio + Gold. 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 Traditional Portfolio + Gold was 21.88%, occurring on Nov 20, 2008. Recovery took 261 trading sessions.

The current Traditional Portfolio + Gold drawdown is 0.47%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.88%Mar 14, 2008209Nov 20, 2008261Oct 19, 2009470
-17.12%Jan 3, 2022229Oct 14, 2022337Dec 22, 2023566
-12.23%Feb 24, 202020Mar 18, 202043May 8, 202063
-10.24%May 11, 200629Jun 13, 2006140Nov 30, 2006169
-9.98%Oct 4, 2012200Jun 25, 2013281Jun 18, 2014481

Volatility

Volatility Chart

The current Traditional Portfolio + Gold volatility is 2.31%, 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.

1.00%2.00%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
2.31%
3.96%
3.96%
Traditional Portfolio + Gold
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.
GC=F^GSPCIEF
GC=F1.000.020.09
^GSPC0.021.00-0.28
IEF0.09-0.281.00