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60/40 portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AGG 40%SPY 60%BondBondEquityEquity
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market

40%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

60%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 60/40 portfolio, 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


300.00%350.00%400.00%NovemberDecember2024FebruaryMarchApril
344.57%
398.29%
60/40 portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 26, 2003, corresponding to the inception date of AGG

Returns By Period

As of Apr 20, 2024, the 60/40 portfolio returned 1.56% Year-To-Date and 8.00% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
60/40 portfolio1.56%-3.88%13.26%12.65%7.94%8.00%
SPY
SPDR S&P 500 ETF
4.50%-5.00%18.41%21.87%12.91%12.20%
AGG
iShares Core U.S. Aggregate Bond ETF
-3.04%-2.20%5.52%-0.55%-0.07%1.23%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.89%2.57%2.37%
2023-3.90%-1.93%7.31%4.23%

Expense Ratio

The 60/40 portfolio 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.


0.50%1.00%1.50%2.00%0.09%
0.50%1.00%1.50%2.00%0.05%

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.


60/40 portfolio
Sharpe ratio
The chart of Sharpe ratio for 60/40 portfolio, currently valued at 1.52, compared to the broader market-1.000.001.002.003.004.001.52
Sortino ratio
The chart of Sortino ratio for 60/40 portfolio, currently valued at 2.29, compared to the broader market-2.000.002.004.006.002.29
Omega ratio
The chart of Omega ratio for 60/40 portfolio, currently valued at 1.27, compared to the broader market0.801.001.201.401.601.801.27
Calmar ratio
The chart of Calmar ratio for 60/40 portfolio, currently valued at 0.98, compared to the broader market0.002.004.006.008.000.98
Martin ratio
The chart of Martin ratio for 60/40 portfolio, currently valued at 5.29, compared to the broader market0.0010.0020.0030.0040.005.29
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
1.822.651.321.567.54
AGG
iShares Core U.S. Aggregate Bond ETF
-0.04-0.001.00-0.01-0.09

Sharpe Ratio

The current 60/40 portfolio Sharpe ratio is 1.52. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.52

The Sharpe ratio of 60/40 portfolio 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.52
1.66
60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

60/40 portfolio granted a 2.18% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
60/40 portfolio2.18%2.09%1.95%1.43%1.77%2.13%2.41%2.01%2.18%2.22%2.08%2.02%
SPY
SPDR S&P 500 ETF
1.36%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
AGG
iShares Core U.S. Aggregate Bond ETF
3.40%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

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
-4.19%
-5.46%
60/40 portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 60/40 portfolio. 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 60/40 portfolio was 35.07%, occurring on Mar 9, 2009. Recovery took 420 trading sessions.

The current 60/40 portfolio drawdown is 4.19%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.07%Oct 10, 2007355Mar 9, 2009420Nov 4, 2010775
-21.04%Feb 20, 202023Mar 23, 202079Jul 15, 2020102
-20.78%Dec 28, 2021202Oct 14, 2022322Jan 29, 2024524
-11.01%Sep 21, 201865Dec 24, 201853Mar 13, 2019118
-9.71%Jul 25, 201150Oct 3, 201168Jan 10, 2012118

Volatility

Volatility Chart

The current 60/40 portfolio volatility is 2.09%, 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%NovemberDecember2024FebruaryMarchApril
2.09%
3.15%
60/40 portfolio
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.

AGGSPY
AGG1.00-0.14
SPY-0.141.00