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90% EFT

Last updated Mar 2, 2024

Asset Allocation


VFITX 10%VOOG 20%VO 20%VB 20%VEA 20%VWO 10%BondBondEquityEquity
PositionCategory/SectorWeight
VFITX
Vanguard Intermediate-Term Treasury Fund Investor Shares
Government Bonds

10%

VOOG
Vanguard S&P 500 Growth ETF
Large Cap Blend Equities

20%

VO
Vanguard Mid-Cap ETF
Mid Cap Growth Equities

20%

VB
Vanguard Small-Cap ETF
Small Cap Growth Equities

20%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

20%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

10%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 90% EFT, 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%350.00%OctoberNovemberDecember2024FebruaryMarch
254.29%
365.24%
90% EFT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOOG

Returns

As of Mar 2, 2024, the 90% EFT returned 4.45% Year-To-Date and 8.08% 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%
90% EFT4.45%3.98%10.14%15.49%9.22%8.06%
VOOG
Vanguard S&P 500 Growth ETF
11.67%4.68%16.84%37.40%16.02%14.17%
VO
Vanguard Mid-Cap ETF
4.11%4.32%10.67%12.71%10.53%9.41%
VB
Vanguard Small-Cap ETF
3.73%5.28%10.00%11.60%9.10%8.40%
VEA
Vanguard FTSE Developed Markets ETF
2.71%3.49%9.53%12.57%6.93%4.67%
VWO
Vanguard FTSE Emerging Markets ETF
1.14%4.90%4.49%5.87%2.83%3.48%
VFITX
Vanguard Intermediate-Term Treasury Fund Investor Shares
-0.89%-0.51%2.72%3.72%0.69%1.16%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.83%4.33%
2023-3.01%-4.25%-3.70%8.36%5.97%

Sharpe Ratio

The current 90% EFT Sharpe ratio is 1.45. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.45

The Sharpe ratio of 90% EFT 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
1.45
2.44
90% EFT
Benchmark (^GSPC)
Portfolio components

Dividend yield

90% EFT granted a 2.12% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
90% EFT2.12%2.17%2.01%1.58%1.78%1.99%2.16%1.76%2.02%2.05%2.01%1.77%
VOOG
Vanguard S&P 500 Growth ETF
1.01%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%1.46%
VO
Vanguard Mid-Cap ETF
1.46%1.52%1.60%1.12%1.45%1.48%1.82%1.35%1.45%1.47%1.29%1.17%
VB
Vanguard Small-Cap ETF
1.50%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%
VEA
Vanguard FTSE Developed Markets ETF
3.07%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
VWO
Vanguard FTSE Emerging Markets ETF
3.48%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
VFITX
Vanguard Intermediate-Term Treasury Fund Investor Shares
3.66%3.46%1.97%1.08%4.86%2.31%2.34%1.75%2.77%2.37%1.86%1.88%

Expense Ratio

The 90% EFT has an expense ratio of 0.08% 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.


0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.10%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.04%

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
90% EFT
1.45
VOOG
Vanguard S&P 500 Growth ETF
2.99
VO
Vanguard Mid-Cap ETF
1.06
VB
Vanguard Small-Cap ETF
0.75
VEA
Vanguard FTSE Developed Markets ETF
1.07
VWO
Vanguard FTSE Emerging Markets ETF
0.50
VFITX
Vanguard Intermediate-Term Treasury Fund Investor Shares
0.54

Asset Correlations Table

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

VFITXVWOVOOGVEAVBVO
VFITX1.00-0.17-0.20-0.19-0.23-0.22
VWO-0.171.000.680.810.680.71
VOOG-0.200.681.000.760.810.87
VEA-0.190.810.761.000.780.81
VB-0.230.680.810.781.000.96
VO-0.220.710.870.810.961.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-2.01%
0
90% EFT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 90% EFT. 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 90% EFT was 31.99%, occurring on Mar 23, 2020. Recovery took 95 trading sessions.

The current 90% EFT drawdown is 2.01%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.99%Feb 20, 202023Mar 23, 202095Aug 6, 2020118
-26.72%Nov 17, 2021229Oct 14, 2022
-21.37%May 2, 2011108Oct 3, 2011238Sep 12, 2012346
-18.05%May 22, 2015183Feb 11, 2016143Sep 6, 2016326
-17.53%Aug 30, 201880Dec 24, 201875Apr 12, 2019155

Volatility Chart

The current 90% EFT volatility is 3.44%, 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
3.44%
3.47%
90% EFT
Benchmark (^GSPC)
Portfolio components
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