PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JWAC Simulation NO Growth ETFs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SCHR 11%SCHO 1%VGLT 1%DLS 14.75%RWJ 12%DFSVX 11.75%SCHF 7.75%SCHX 7.25%EWX 7.25%SCHV 7.25%DFIVX 7%IEMG 6%DFEVX 6%BondBondEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
DFEVX
DFA Emerging Markets Value Portfolio
Emerging Markets Diversified
6%
DFIVX
DFA International Value Portfolio
Foreign Large Cap Equities
7%
DFSVX
DFA U.S. Small Cap Value Portfolio I
Small Cap Value Equities
11.75%
DLS
WisdomTree International SmallCap Dividend
Foreign Small & Mid Cap Equities, Dividend
14.75%
EWX
SPDR S&P Emerging Markets Small Cap ETF
Emerging Markets Equities
7.25%
IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities
6%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
Small Cap Value Equities
12%
SCHF
Schwab International Equity ETF
Foreign Large Cap Equities
7.75%
SCHO
Schwab Short-Term U.S. Treasury ETF
Government Bonds
1%
SCHR
Schwab Intermediate-Term U.S. Treasury ETF
Government Bonds
11%
SCHV
Schwab U.S. Large-Cap Value ETF
Large Cap Blend Equities
7.25%
SCHX
Schwab U.S. Large-Cap ETF
Large Cap Growth Equities
7.25%
VGLT
Vanguard Long-Term Treasury ETF
Government Bonds
1%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in JWAC Simulation NO Growth ETFs, 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%JulyAugustSeptemberOctoberNovemberDecember
4.42%
8.53%
JWAC Simulation NO Growth ETFs
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Dec 19, 2024, the JWAC Simulation NO Growth ETFs returned 7.55% Year-To-Date and 7.56% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
JWAC Simulation NO Growth ETFs8.32%-1.88%4.42%9.31%8.44%7.56%
DLS
WisdomTree International SmallCap Dividend
2.10%-0.89%0.57%3.38%1.66%4.84%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
11.35%-2.10%14.31%11.73%16.37%10.38%
DFSVX
DFA U.S. Small Cap Value Portfolio I
8.46%-5.23%8.00%8.68%12.22%8.60%
SCHX
Schwab U.S. Large-Cap ETF
26.93%0.37%10.64%27.57%16.59%15.53%
IEMG
iShares Core MSCI Emerging Markets ETF
7.43%-0.85%0.41%9.36%2.51%3.95%
SCHR
Schwab Intermediate-Term U.S. Treasury ETF
3.57%-0.09%2.01%3.74%0.83%2.14%
SCHO
Schwab Short-Term U.S. Treasury ETF
5.34%0.34%3.00%5.51%2.42%2.25%
EWX
SPDR S&P Emerging Markets Small Cap ETF
8.43%0.85%4.46%10.28%8.53%5.95%
DFEVX
DFA Emerging Markets Value Portfolio
4.67%-3.32%-3.40%7.34%4.99%4.80%
DFIVX
DFA International Value Portfolio
4.30%-3.93%-0.99%5.30%6.71%5.21%
SCHF
Schwab International Equity ETF
3.76%-1.69%-0.47%4.83%6.44%6.33%
SCHV
Schwab U.S. Large-Cap Value ETF
18.06%-3.64%8.83%19.25%11.37%11.71%
VGLT
Vanguard Long-Term Treasury ETF
-5.27%-1.18%-2.63%-5.20%-5.16%-0.36%
*Annualized

Monthly Returns

The table below presents the monthly returns of JWAC Simulation NO Growth ETFs, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.78%2.61%3.19%-2.89%3.75%-0.60%4.98%0.85%2.29%-3.19%3.49%8.32%
20237.49%-2.58%-0.48%0.63%-2.97%5.33%4.38%-2.99%-3.21%-3.70%7.35%6.87%16.08%
2022-2.55%-0.97%0.17%-5.63%1.47%-7.75%5.36%-2.93%-9.21%5.86%8.48%-2.86%-11.55%
20213.33%3.86%4.48%2.74%2.81%-0.13%-0.84%1.69%-2.28%2.44%-2.92%4.06%20.61%
2020-4.15%-6.91%-16.48%9.82%4.20%3.07%3.82%4.71%-2.34%-0.45%13.11%5.78%11.14%
20198.13%1.99%-0.45%2.46%-6.34%5.46%-1.01%-3.35%3.53%2.46%1.69%4.05%19.30%
20183.72%-4.19%-0.11%0.18%0.72%-1.27%2.25%0.02%-0.87%-7.32%1.37%-6.39%-11.84%
20172.51%1.98%1.16%1.48%0.34%1.40%2.35%-0.15%3.05%1.30%1.37%1.77%20.17%
2016-5.06%0.07%7.99%1.59%-0.56%-0.04%4.53%0.67%1.49%-1.67%2.57%2.30%14.18%
2015-1.50%4.83%-0.38%2.67%0.07%-1.95%-1.82%-5.64%-2.79%5.71%0.00%-2.45%-3.76%
2014-3.82%4.27%1.29%-0.11%1.73%2.22%-2.13%2.49%-4.80%1.55%-0.22%-0.65%1.43%
20133.68%0.25%1.96%1.80%0.00%-2.95%4.59%-2.17%5.87%3.30%1.39%1.80%20.91%

Expense Ratio

JWAC Simulation NO Growth ETFs features an expense ratio of 0.29%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EWX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for DLS: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for DFEVX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for RWJ: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for DFSVX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for DFIVX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
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 SCHF: 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%
Expense ratio chart for SCHR: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for SCHO: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for SCHV: 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 VGLT: 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 SCHX: 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 JWAC Simulation NO Growth ETFs is 17, meaning it’s performing worse than 83% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of JWAC Simulation NO Growth ETFs is 1717
Overall Rank
The Sharpe Ratio Rank of JWAC Simulation NO Growth ETFs is 1414
Sharpe Ratio Rank
The Sortino Ratio Rank of JWAC Simulation NO Growth ETFs is 1313
Sortino Ratio Rank
The Omega Ratio Rank of JWAC Simulation NO Growth ETFs is 1414
Omega Ratio Rank
The Calmar Ratio Rank of JWAC Simulation NO Growth ETFs is 2626
Calmar Ratio Rank
The Martin Ratio Rank of JWAC Simulation NO Growth ETFs is 2121
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for JWAC Simulation NO Growth ETFs, currently valued at 0.95, compared to the broader market-6.00-4.00-2.000.002.004.000.952.10
The chart of Sortino ratio for JWAC Simulation NO Growth ETFs, currently valued at 1.34, compared to the broader market-6.00-4.00-2.000.002.004.006.001.342.80
The chart of Omega ratio for JWAC Simulation NO Growth ETFs, currently valued at 1.17, compared to the broader market0.400.600.801.001.201.401.601.801.171.39
The chart of Calmar ratio for JWAC Simulation NO Growth ETFs, currently valued at 1.70, compared to the broader market0.002.004.006.008.0010.0012.001.703.09
The chart of Martin ratio for JWAC Simulation NO Growth ETFs, currently valued at 5.78, compared to the broader market0.0010.0020.0030.0040.0050.005.7813.49
JWAC Simulation NO Growth ETFs
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DLS
WisdomTree International SmallCap Dividend
0.370.591.070.371.40
RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.631.051.121.333.28
DFSVX
DFA U.S. Small Cap Value Portfolio I
0.520.881.110.992.63
SCHX
Schwab U.S. Large-Cap ETF
2.283.011.423.3814.85
IEMG
iShares Core MSCI Emerging Markets ETF
0.761.151.140.453.02
SCHR
Schwab Intermediate-Term U.S. Treasury ETF
0.761.131.130.382.20
SCHO
Schwab Short-Term U.S. Treasury ETF
2.914.891.665.7214.67
EWX
SPDR S&P Emerging Markets Small Cap ETF
0.831.181.161.353.52
DFEVX
DFA Emerging Markets Value Portfolio
0.680.981.130.842.40
DFIVX
DFA International Value Portfolio
0.550.801.100.742.37
SCHF
Schwab International Equity ETF
0.510.771.090.691.97
SCHV
Schwab U.S. Large-Cap Value ETF
1.912.711.342.6410.28
VGLT
Vanguard Long-Term Treasury ETF
-0.44-0.530.94-0.14-0.96

The current JWAC Simulation NO Growth ETFs Sharpe ratio is 0.86. 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 1.26 to 2.07, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of JWAC Simulation NO Growth ETFs 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.95
2.10
JWAC Simulation NO Growth ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

JWAC Simulation NO Growth ETFs provided a 2.84% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.84%3.54%3.93%3.54%2.75%3.38%4.00%3.31%2.84%3.30%3.41%2.80%
DLS
WisdomTree International SmallCap Dividend
4.00%4.29%4.96%3.29%2.50%3.37%3.66%2.79%3.29%2.72%3.61%3.89%
RWJ
Invesco S&P SmallCap 600 Revenue ETF
0.91%1.34%1.02%0.61%0.89%1.22%1.44%0.91%0.60%0.74%0.57%1.27%
DFSVX
DFA U.S. Small Cap Value Portfolio I
1.10%3.67%6.77%10.40%1.96%2.83%7.54%5.62%4.53%5.83%4.53%5.09%
SCHX
Schwab U.S. Large-Cap ETF
1.79%3.54%2.47%3.01%3.52%5.47%4.46%5.10%3.26%5.11%4.40%2.58%
IEMG
iShares Core MSCI Emerging Markets ETF
3.17%2.89%2.70%3.06%1.87%3.15%2.76%2.34%2.28%2.52%2.30%1.76%
SCHR
Schwab Intermediate-Term U.S. Treasury ETF
5.96%4.22%2.65%1.25%2.34%3.83%2.86%2.51%2.20%2.74%1.89%1.39%
SCHO
Schwab Short-Term U.S. Treasury ETF
5.77%5.99%1.97%0.65%2.08%3.63%2.72%1.80%1.23%1.06%0.71%0.43%
EWX
SPDR S&P Emerging Markets Small Cap ETF
0.74%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
DFEVX
DFA Emerging Markets Value Portfolio
2.92%4.39%4.44%3.81%2.46%2.47%2.49%2.44%1.99%2.55%2.63%2.39%
DFIVX
DFA International Value Portfolio
3.00%4.40%3.78%4.27%2.43%3.70%3.31%2.85%3.37%3.45%4.89%2.71%
SCHF
Schwab International Equity ETF
3.28%2.97%5.61%4.19%4.16%2.95%6.12%4.70%2.58%4.51%5.80%2.21%
SCHV
Schwab U.S. Large-Cap Value ETF
3.36%4.95%5.72%1.95%7.90%6.99%6.18%5.77%4.95%4.06%5.84%4.38%
VGLT
Vanguard Long-Term Treasury ETF
4.24%3.33%2.83%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%

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%JulyAugustSeptemberOctoberNovemberDecember
-4.37%
-2.62%
JWAC Simulation NO Growth ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the JWAC Simulation NO Growth ETFs. 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 JWAC Simulation NO Growth ETFs was 33.54%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.

The current JWAC Simulation NO Growth ETFs drawdown is 4.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.54%Jan 21, 202044Mar 23, 2020161Nov 9, 2020205
-21.9%Nov 9, 2021225Sep 30, 2022306Dec 19, 2023531
-19.52%Jan 29, 2018229Dec 24, 2018257Jan 2, 2020486
-19.24%May 18, 2015187Feb 11, 2016200Nov 25, 2016387
-9.3%Jul 7, 201470Oct 13, 2014122Apr 9, 2015192

Volatility

Volatility Chart

The current JWAC Simulation NO Growth ETFs volatility is 3.30%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.30%
3.79%
JWAC Simulation NO Growth ETFs
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.

SCHOSCHRVGLTEWXRWJDFEVXIEMGDFSVXDLSSCHXSCHVDFIVXSCHF
SCHO1.000.780.57-0.05-0.14-0.09-0.07-0.16-0.05-0.13-0.15-0.10-0.07
SCHR0.781.000.85-0.08-0.19-0.13-0.09-0.22-0.09-0.16-0.19-0.16-0.10
VGLT0.570.851.00-0.13-0.22-0.18-0.14-0.26-0.16-0.20-0.23-0.22-0.16
EWX-0.05-0.08-0.131.000.550.830.910.580.740.670.640.720.76
RWJ-0.14-0.19-0.220.551.000.540.560.940.650.740.790.690.67
DFEVX-0.09-0.13-0.180.830.541.000.880.590.720.640.630.750.75
IEMG-0.07-0.09-0.140.910.560.881.000.590.770.700.650.750.81
DFSVX-0.16-0.22-0.260.580.940.590.591.000.680.770.840.740.71
DLS-0.05-0.09-0.160.740.650.720.770.681.000.760.740.890.93
SCHX-0.13-0.16-0.200.670.740.640.700.770.761.000.900.740.81
SCHV-0.15-0.19-0.230.640.790.630.650.840.740.901.000.770.79
DFIVX-0.10-0.16-0.220.720.690.750.750.740.890.740.771.000.93
SCHF-0.07-0.10-0.160.760.670.750.810.710.930.810.790.931.00
The correlation results are calculated based on daily price changes starting from Oct 23, 2012
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab