PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ETF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IUSB 40%DGRO 60%BondBondEquityEquity
PositionCategory/SectorWeight
DGRO
iShares Core Dividend Growth ETF
Large Cap Growth Equities, Dividend

60%

IUSB
iShares Core Total USD Bond Market ETF
Total Bond Market

40%

S&P 500

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
12.95%
19.38%
ETF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2014, corresponding to the inception date of DGRO

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
ETF2.44%-1.51%12.95%8.24%6.97%N/A
DGRO
iShares Core Dividend Growth ETF
5.62%-1.36%18.07%13.66%11.14%N/A
IUSB
iShares Core Total USD Bond Market ETF
-2.34%-1.76%5.47%0.34%0.20%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.93%1.16%2.74%
2023-3.35%-2.21%6.09%4.42%

Expense Ratio

The ETF has an expense ratio of 0.07% 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 DGRO: 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 IUSB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

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.


ETF
Sharpe ratio
The chart of Sharpe ratio for ETF, currently valued at 1.18, compared to the broader market-1.000.001.002.003.004.005.001.18
Sortino ratio
The chart of Sortino ratio for ETF, currently valued at 1.76, compared to the broader market0.002.004.006.001.76
Omega ratio
The chart of Omega ratio for ETF, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for ETF, currently valued at 0.69, compared to the broader market0.002.004.006.008.000.69
Martin ratio
The chart of Martin ratio for ETF, currently valued at 3.23, compared to the broader market0.0010.0020.0030.0040.0050.003.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DGRO
iShares Core Dividend Growth ETF
1.362.001.241.184.25
IUSB
iShares Core Total USD Bond Market ETF
0.120.211.020.050.29

Sharpe Ratio

The current ETF Sharpe ratio is 1.18. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.18

The Sharpe ratio of ETF 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 Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.18
1.92
ETF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETF granted a 2.89% dividend yield in the last twelve months.


TTM2023202220212020201920182017201620152014
ETF2.89%2.85%2.41%1.85%2.36%2.54%2.66%2.24%2.40%2.29%1.14%
DGRO
iShares Core Dividend Growth ETF
2.35%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%
IUSB
iShares Core Total USD Bond Market ETF
3.71%3.46%2.53%1.74%2.45%3.04%2.98%2.56%2.60%1.95%1.39%

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
-2.34%
-3.50%
ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETF. 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 ETF was 22.99%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current ETF drawdown is 2.34%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.99%Feb 13, 202027Mar 23, 202097Aug 10, 2020124
-17.36%Jan 5, 2022194Oct 12, 2022342Feb 23, 2024536
-9.71%Sep 24, 201864Dec 24, 201840Feb 22, 2019104
-7.22%Apr 27, 201585Aug 25, 2015141Mar 17, 2016226
-6.98%Jan 29, 201839Mar 23, 2018103Aug 20, 2018142

Volatility

Volatility Chart

The current ETF volatility is 2.30%, 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%NovemberDecember2024FebruaryMarchApril
2.30%
3.58%
ETF
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.

DGROIUSB
DGRO1.00-0.00
IUSB-0.001.00