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C&M Shift 60/40

Last updated Mar 2, 2024

60/40 Balanced

Asset Allocation


IUSB 17.5%MBB 6%TFLO 5%TLT 3.5%LQD 3%EMB 2%IWF 15%IVV 10%EFA 10%IWD 8%SWVXX 7%IGE 5%IWN 4%IYW 3%IGF 1%BondBondEquityEquity
PositionCategory/SectorWeight
IUSB
iShares Core Total USD Bond Market ETF
Total Bond Market

17.50%

MBB
iShares MBS Bond ETF
Mortgage Backed Securities

6%

TFLO
iShares Treasury Floating Rate Bond ETF
Government Bonds

5%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

3.50%

LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds

3%

EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
Emerging Markets Bonds

2%

IWF
iShares Russell 1000 Growth ETF
Large Cap Growth Equities

15%

IVV
iShares Core S&P 500 ETF
Large Cap Growth Equities

10%

EFA
iShares MSCI EAFE ETF
Foreign Large Cap Equities

10%

IWD
iShares Russell 1000 Value ETF
Large Cap Blend Equities

8%

SWVXX
Schwab Value Advantage Money Fund

7%

IGE
iShares North American Natural Resources ETF
Large Cap Blend Equities

5%

IWN
iShares Russell 2000 Value ETF
Small Cap Blend Equities

4%

IYW
iShares U.S. Technology ETF
Technology Equities

3%

IGF
iShares Global Infrastructure ETF
Large Cap Value Equities

1%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in C&M Shift 60/40, 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


60.00%80.00%100.00%120.00%140.00%160.00%OctoberNovemberDecember2024FebruaryMarch
89.70%
166.15%
C&M Shift 60/40
Benchmark (^GSPC)
Portfolio components

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

Returns


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%
C&M Shift 60/403.01%2.77%8.48%16.65%8.18%N/A
SWVXX
Schwab Value Advantage Money Fund
0.21%0.00%2.24%4.72%1.72%N/A
IWF
iShares Russell 1000 Growth ETF
10.55%7.92%19.32%46.97%18.51%15.50%
IVV
iShares Core S&P 500 ETF
7.91%6.22%14.59%31.02%14.67%12.67%
EFA
iShares MSCI EAFE ETF
3.52%3.99%10.47%15.12%6.87%4.50%
IWD
iShares Russell 1000 Value ETF
4.18%4.11%9.02%13.78%9.13%8.53%
IGE
iShares North American Natural Resources ETF
1.89%3.93%-1.13%4.92%9.66%2.34%
IWN
iShares Russell 2000 Value ETF
-0.79%4.02%6.91%6.08%6.41%6.27%
IGF
iShares Global Infrastructure ETF
-3.27%0.31%2.04%0.47%3.59%4.18%
IUSB
iShares Core Total USD Bond Market ETF
-0.92%-1.35%3.63%5.28%0.87%N/A
MBB
iShares MBS Bond ETF
-1.52%-1.23%2.92%4.05%-0.21%0.93%
TFLO
iShares Treasury Floating Rate Bond ETF
0.98%0.52%2.66%5.37%2.01%1.51%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.64%1.54%-1.61%-2.27%1.15%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
-1.77%-1.34%5.05%7.22%1.82%2.53%
IYW
iShares U.S. Technology ETF
10.31%7.17%21.47%62.22%24.57%20.45%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
0.15%1.38%6.52%10.68%0.46%2.50%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.23%2.06%
2023-1.48%-3.38%-2.16%6.78%4.38%

Sharpe Ratio

The current C&M Shift 60/40 Sharpe ratio is 2.29. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.29

The Sharpe ratio of C&M Shift 60/40 lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.29
2.44
C&M Shift 60/40
Benchmark (^GSPC)
Portfolio components

Dividend yield

C&M Shift 60/40 granted a 2.38% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
C&M Shift 60/402.38%2.36%1.98%1.46%1.69%2.33%2.32%1.88%2.03%2.01%1.78%1.39%
SWVXX
Schwab Value Advantage Money Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWF
iShares Russell 1000 Growth ETF
0.60%0.67%0.91%0.49%0.66%0.99%1.27%1.10%1.43%1.37%1.32%1.29%
IVV
iShares Core S&P 500 ETF
1.34%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%1.80%
EFA
iShares MSCI EAFE ETF
2.87%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%2.54%
IWD
iShares Russell 1000 Value ETF
1.94%2.02%2.15%1.62%2.05%2.45%2.71%2.08%2.25%2.47%2.00%1.95%
IGE
iShares North American Natural Resources ETF
2.80%2.85%2.96%2.92%3.34%5.50%2.61%2.05%1.61%2.99%1.78%1.46%
IWN
iShares Russell 2000 Value ETF
2.05%2.04%2.12%1.48%1.60%1.92%1.99%1.78%1.74%2.15%1.88%1.77%
IGF
iShares Global Infrastructure ETF
3.48%3.36%2.67%2.42%2.33%3.27%3.52%2.95%2.98%3.25%3.00%3.45%
IUSB
iShares Core Total USD Bond Market ETF
3.59%3.46%2.53%1.74%2.45%3.04%2.98%2.56%2.60%1.95%1.39%0.00%
MBB
iShares MBS Bond ETF
3.58%3.40%2.31%1.05%2.10%2.77%2.64%2.23%2.58%2.66%1.72%1.27%
TFLO
iShares Treasury Floating Rate Bond ETF
5.08%4.88%1.68%0.00%0.36%2.08%1.65%0.86%0.31%0.15%0.08%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.16%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
IYW
iShares U.S. Technology ETF
0.36%0.40%0.50%0.31%0.56%0.72%0.91%0.82%1.13%1.12%1.13%1.06%
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
4.84%4.74%5.04%3.89%3.88%4.51%5.64%4.54%4.83%4.84%4.56%4.75%

Expense Ratio

The C&M Shift 60/40 features an expense ratio of 0.17%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.46%
0.00%2.15%
0.42%
0.00%2.15%
0.39%
0.00%2.15%
0.32%
0.00%2.15%
0.24%
0.00%2.15%
0.19%
0.00%2.15%
0.15%
0.00%2.15%
0.06%
0.00%2.15%
0.06%
0.00%2.15%
0.03%
0.00%2.15%

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
C&M Shift 60/40
2.29
SWVXX
Schwab Value Advantage Money Fund
3.34
IWF
iShares Russell 1000 Growth ETF
3.45
IVV
iShares Core S&P 500 ETF
2.96
EFA
iShares MSCI EAFE ETF
1.33
IWD
iShares Russell 1000 Value ETF
1.59
IGE
iShares North American Natural Resources ETF
0.55
IWN
iShares Russell 2000 Value ETF
0.68
IGF
iShares Global Infrastructure ETF
0.14
IUSB
iShares Core Total USD Bond Market ETF
0.54
MBB
iShares MBS Bond ETF
0.28
TFLO
iShares Treasury Floating Rate Bond ETF
7.40
TLT
iShares 20+ Year Treasury Bond ETF
-0.42
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
0.60
IYW
iShares U.S. Technology ETF
3.52
EMB
iShares J.P. Morgan USD Emerging Markets Bond ETF
1.06

Asset Correlations Table

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

SWVXXTFLOMBBIUSBLQDTLTIGEEMBIYWIWNIGFIWFEFAIWDIVV
SWVXX1.00-0.030.000.01-0.01-0.01-0.010.000.020.030.010.020.010.030.03
TFLO-0.031.00-0.00-0.02-0.02-0.01-0.05-0.05-0.03-0.05-0.04-0.04-0.05-0.05-0.04
MBB0.00-0.001.000.800.760.75-0.070.44-0.00-0.060.12-0.000.02-0.07-0.03
IUSB0.01-0.020.801.000.840.78-0.060.520.05-0.030.160.060.05-0.030.02
LQD-0.01-0.020.760.841.000.790.020.590.150.060.240.170.150.080.13
TLT-0.01-0.010.750.780.791.00-0.240.33-0.14-0.24-0.05-0.14-0.18-0.25-0.20
IGE-0.01-0.05-0.07-0.060.02-0.241.000.320.420.690.630.460.610.730.60
EMB0.00-0.050.440.520.590.330.321.000.420.360.530.460.520.420.47
IYW0.02-0.03-0.000.050.15-0.140.420.421.000.610.550.950.680.680.88
IWN0.03-0.05-0.06-0.030.06-0.240.690.360.611.000.640.660.700.870.78
IGF0.01-0.040.120.160.24-0.050.630.530.550.641.000.610.790.750.71
IWF0.02-0.04-0.000.060.17-0.140.460.460.950.660.611.000.740.750.94
EFA0.01-0.050.020.050.15-0.180.610.520.680.700.790.741.000.790.81
IWD0.03-0.05-0.07-0.030.08-0.250.730.420.680.870.750.750.791.000.91
IVV0.03-0.04-0.030.020.13-0.200.600.470.880.780.710.940.810.911.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
C&M Shift 60/40
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the C&M Shift 60/40. 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 C&M Shift 60/40 was 21.21%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.21%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-18.94%Nov 9, 2021235Oct 14, 2022300Dec 19, 2023535
-11.08%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-9.84%Apr 27, 2015202Feb 11, 201681Jun 8, 2016283
-6.31%Jan 29, 20189Feb 8, 2018137Aug 24, 2018146

Volatility Chart

The current C&M Shift 60/40 volatility is 2.28%, 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
2.28%
3.47%
C&M Shift 60/40
Benchmark (^GSPC)
Portfolio components
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