Diversified Basket

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Diversified Basket

Last updated Jul 25, 2024

Asset Allocation

Position	Category/Sector	Weight
BIV Vanguard Intermediate-Term Bond ETF	Total Bond Market	6.67%
BRK-B Berkshire Hathaway Inc.	Financial Services	6.67%
BSV Vanguard Short-Term Bond ETF	Total Bond Market	6.67%
CHILX BlackRock China A Opportunities Fund	China Equities	6.67%
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF	Commodities	6.67%
ESGV Vanguard ESG U.S. Stock ETF	Large Cap Blend Equities, ESG	6.67%
FHKCX Fidelity China Region Fund	China Equities	6.67%
GOPIX abrdn China A Share Equity Fund	China Equities	6.67%
ICLN iShares Global Clean Energy ETF	Alternative Energy Equities	6.67%
VBR Vanguard Small-Cap Value ETF	Small Cap Blend Equities	6.67%
VFMO Vanguard U.S. Momentum Factor ETF	All Cap Equities	6.67%
VMO Invesco Municipal Opportunity Trust	Financial Services	6.67%
VOE Vanguard Mid-Cap Value ETF	Mid Cap Blend Equities	6.67%
VSGX Vanguard ESG International Stock ETF	Foreign Large Cap Equities, ESG	6.67%
VTV Vanguard Value ETF	Large Cap Value Equities	6.67%

Benchmark

S&P 500

Rebalance portfolio

Performance

Performance Chart

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

Diversified Basket

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Dec 28, 2018, corresponding to the inception date of CHILX

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	13.20%	-1.28%	10.32%	18.23%	12.31%	10.58%
Diversified Basket	5.96%	0.62%	7.07%	5.67%	7.30%	N/A
Portfolio components:
VMO Invesco Municipal Opportunity Trust	6.80%	-0.49%	8.80%	10.27%	0.26%	3.31%
VFMO Vanguard U.S. Momentum Factor ETF	16.40%	2.15%	13.24%	25.78%	13.58%	N/A
BRK-B Berkshire Hathaway Inc.	21.49%	5.61%	12.43%	24.04%	15.64%	12.96%
VTV Vanguard Value ETF	11.64%	2.93%	10.46%	15.67%	10.70%	10.05%
VOE Vanguard Mid-Cap Value ETF	8.53%	3.95%	9.58%	11.82%	9.04%	8.47%
VBR Vanguard Small-Cap Value ETF	8.80%	6.99%	9.89%	15.33%	10.24%	8.83%
BSV Vanguard Short-Term Bond ETF	1.89%	1.02%	2.00%	5.47%	1.20%	1.49%
BIV Vanguard Intermediate-Term Bond ETF	0.84%	1.12%	1.92%	5.04%	0.35%	1.86%
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF	1.73%	-3.02%	1.92%	-3.67%	6.83%	N/A
GOPIX abrdn China A Share Equity Fund	-8.39%	-2.62%	-0.77%	-22.14%	-3.76%	0.66%
FHKCX Fidelity China Region Fund	11.72%	-4.72%	14.40%	7.19%	4.14%	6.05%
CHILX BlackRock China A Opportunities Fund	-0.44%	-3.96%	2.42%	-12.41%	0.78%	N/A
ESGV Vanguard ESG U.S. Stock ETF	12.83%	-1.43%	10.10%	20.81%	13.92%	N/A
ICLN iShares Global Clean Energy ETF	-9.95%	1.60%	1.09%	-22.35%	6.51%	3.82%
VSGX Vanguard ESG International Stock ETF	5.30%	0.26%	6.44%	8.31%	5.38%	N/A

Monthly Returns

The table below presents the monthly returns of Diversified Basket, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	-1.96%	4.06%	2.47%	-2.22%	3.58%	-0.82%							5.96%
2023	5.62%	-4.18%	0.68%	-0.46%	-3.28%	3.88%	3.47%	-4.04%	-3.95%	-3.29%	6.23%	3.78%	3.62%
2022	-3.58%	0.03%	0.29%	-6.57%	1.90%	-4.29%	4.04%	-2.92%	-8.64%	2.23%	8.98%	-2.36%	-11.53%
2021	1.86%	1.62%	0.54%	3.07%	2.12%	-0.16%	-1.83%	1.35%	-2.22%	4.26%	-2.91%	2.15%	10.04%
2020	-1.71%	-3.22%	-12.25%	7.77%	3.72%	3.55%	6.96%	5.43%	-1.14%	0.62%	9.28%	6.09%	25.64%
2019	7.31%	3.14%	1.38%	2.59%	-4.93%	5.81%	0.30%	-1.19%	1.11%	1.61%	1.47%	3.70%	24.07%
2018												0.56%	0.56%

Expense Ratio

Diversified Basket features an expense ratio of 0.28%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

VFMO

Vanguard U.S. Momentum Factor ETF

GOPIX

abrdn China A Share Equity Fund

CHILX

BlackRock China A Opportunities Fund

FHKCX

Fidelity China Region Fund

ICLN

iShares Global Clean Energy ETF

CMDY

iShares Bloomberg Roll Select Commodity Strategy ETF

VSGX

Vanguard ESG International Stock ETF

ESGV

Vanguard ESG U.S. Stock ETF

VOE

Vanguard Mid-Cap Value ETF

VBR

Vanguard Small-Cap Value ETF

VTV

Vanguard Value ETF

BSV

Vanguard Short-Term Bond ETF

BIV

Vanguard Intermediate-Term Bond ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Diversified Basket is 9, indicating that it is in the bottom 9% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Diversified Basket

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Diversified Basket

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
VMO Invesco Municipal Opportunity Trust	0.84	1.32	1.16	0.26	1.75
VFMO Vanguard U.S. Momentum Factor ETF	1.37	1.97	1.23	1.03	4.68
BRK-B Berkshire Hathaway Inc.	1.98	2.86	1.34	2.36	7.03
VTV Vanguard Value ETF	1.53	2.22	1.26	1.53	4.82
VOE Vanguard Mid-Cap Value ETF	0.86	1.30	1.15	0.67	2.24
VBR Vanguard Small-Cap Value ETF	0.91	1.41	1.16	0.93	2.86
BSV Vanguard Short-Term Bond ETF	2.01	3.17	1.38	0.93	10.53
BIV Vanguard Intermediate-Term Bond ETF	0.67	1.02	1.12	0.25	2.01
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF	-0.48	-0.60	0.93	-0.19	-1.02
GOPIX abrdn China A Share Equity Fund	-1.26	-1.94	0.80	-0.39	-1.19
FHKCX Fidelity China Region Fund	0.40	0.69	1.08	0.14	0.99
CHILX BlackRock China A Opportunities Fund	-0.81	-1.15	0.87	-0.29	-1.09
ESGV Vanguard ESG U.S. Stock ETF	1.56	2.19	1.27	1.19	5.97
ICLN iShares Global Clean Energy ETF	-0.93	-1.35	0.86	-0.41	-1.07
VSGX Vanguard ESG International Stock ETF	0.68	1.05	1.12	0.37	1.89

Sharpe Ratio

The current Diversified Basket Sharpe ratio is 0.58. 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 1.23 to 1.94, 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 Diversified Basket 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.

Diversified Basket

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

Diversified Basket granted a 2.26% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
Diversified Basket	2.26%	2.21%	2.00%	3.42%	1.98%	2.85%	1.72%	1.36%	1.56%	2.57%	2.47%	2.26%
Portfolio components:
VMO Invesco Municipal Opportunity Trust	4.88%	4.47%	5.69%	4.64%	4.66%	4.94%	5.94%	5.98%	6.73%	6.33%	6.12%	7.43%
VFMO Vanguard U.S. Momentum Factor ETF	0.66%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%	0.00%	0.00%	0.00%	0.00%	0.00%
BRK-B Berkshire Hathaway Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VTV Vanguard Value ETF	2.40%	2.46%	2.52%	2.15%	2.56%	2.50%	2.73%	2.29%	2.44%	2.60%	2.22%	2.21%
VOE Vanguard Mid-Cap Value ETF	2.22%	2.27%	2.27%	1.78%	2.36%	2.05%	2.75%	1.86%	1.92%	2.05%	1.67%	1.53%
VBR Vanguard Small-Cap Value ETF	2.06%	2.12%	2.03%	1.75%	1.68%	2.06%	2.35%	1.79%	1.77%	1.99%	1.77%	1.87%
BSV Vanguard Short-Term Bond ETF	2.99%	2.46%	1.50%	1.45%	1.79%	2.29%	1.99%	1.65%	1.48%	1.40%	1.45%	1.48%
BIV Vanguard Intermediate-Term Bond ETF	3.49%	3.09%	2.41%	3.42%	2.95%	2.75%	2.88%	2.69%	2.38%	3.02%	3.96%	4.22%
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF	5.01%	5.10%	3.98%	16.09%	0.15%	2.21%	1.73%	0.00%	0.00%	0.00%	0.00%	0.00%
GOPIX abrdn China A Share Equity Fund	0.86%	0.79%	0.00%	2.58%	1.44%	4.45%	0.41%	1.24%	1.40%	2.03%	1.08%	0.96%
FHKCX Fidelity China Region Fund	1.72%	1.92%	2.10%	10.77%	4.85%	0.66%	0.83%	0.39%	1.35%	16.83%	15.96%	12.04%
CHILX BlackRock China A Opportunities Fund	2.02%	2.02%	0.92%	1.19%	3.64%	12.77%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ESGV Vanguard ESG U.S. Stock ETF	1.16%	1.16%	1.42%	0.95%	1.11%	1.27%	0.28%	0.00%	0.00%	0.00%	0.00%	0.00%
ICLN iShares Global Clean Energy ETF	1.57%	1.59%	0.89%	1.18%	0.34%	1.36%	2.77%	2.49%	3.88%	2.36%	2.82%	2.10%
VSGX Vanguard ESG International Stock ETF	2.89%	2.77%	2.61%	2.49%	1.67%	2.28%	0.38%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

Drawdowns Chart

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

Diversified Basket

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Diversified Basket. 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 Diversified Basket was 26.26%, occurring on Mar 23, 2020. Recovery took 83 trading sessions.

The current Diversified Basket drawdown is 4.70%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-26.26%	Feb 21, 2020	22	Mar 23, 2020	83	Jul 21, 2020	105
-20.46%	Nov 15, 2021	229	Oct 12, 2022	—	—	—
-6.17%	Feb 17, 2021	26	Mar 24, 2021	31	May 7, 2021	57
-5.3%	Sep 3, 2020	15	Sep 24, 2020	9	Oct 7, 2020	24
-5.21%	May 6, 2019	19	May 31, 2019	20	Jun 28, 2019	39

Volatility

Volatility Chart

The current Diversified Basket volatility is 2.52%, 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.

Diversified Basket

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.

	BSV	BIV	VMO	CMDY	GOPIX	CHILX	BRK-B	FHKCX	ICLN	VFMO	VTV	VBR	VOE	ESGV	VSGX
BSV	1.00	0.88	0.40	0.02	0.02	0.03	-0.06	0.01	0.14	0.05	0.01	0.01	0.03	0.08	0.11
BIV	0.88	1.00	0.41	0.00	0.02	0.02	-0.07	0.02	0.16	0.05	-0.00	-0.00	0.02	0.09	0.11
VMO	0.40	0.41	1.00	0.09	0.10	0.11	0.13	0.15	0.27	0.24	0.20	0.22	0.23	0.24	0.24
CMDY	0.02	0.00	0.09	1.00	0.29	0.31	0.27	0.30	0.27	0.33	0.34	0.33	0.33	0.27	0.37
GOPIX	0.02	0.02	0.10	0.29	1.00	0.90	0.31	0.73	0.42	0.39	0.38	0.37	0.38	0.43	0.57
CHILX	0.03	0.02	0.11	0.31	0.90	1.00	0.31	0.71	0.42	0.39	0.38	0.38	0.39	0.43	0.56
BRK-B	-0.06	-0.07	0.13	0.27	0.31	0.31	1.00	0.37	0.37	0.54	0.81	0.70	0.76	0.64	0.59
FHKCX	0.01	0.02	0.15	0.30	0.73	0.71	0.37	1.00	0.55	0.55	0.48	0.50	0.50	0.61	0.77
ICLN	0.14	0.16	0.27	0.27	0.42	0.42	0.37	0.55	1.00	0.66	0.52	0.60	0.58	0.65	0.67
VFMO	0.05	0.05	0.24	0.33	0.39	0.39	0.54	0.55	0.66	1.00	0.73	0.80	0.77	0.85	0.74
VTV	0.01	-0.00	0.20	0.34	0.38	0.38	0.81	0.48	0.52	0.73	1.00	0.89	0.95	0.80	0.74
VBR	0.01	-0.00	0.22	0.33	0.37	0.38	0.70	0.50	0.60	0.80	0.89	1.00	0.96	0.79	0.73
VOE	0.03	0.02	0.23	0.33	0.38	0.39	0.76	0.50	0.58	0.77	0.95	0.96	1.00	0.80	0.75
ESGV	0.08	0.09	0.24	0.27	0.43	0.43	0.64	0.61	0.65	0.85	0.80	0.79	0.80	1.00	0.81
VSGX	0.11	0.11	0.24	0.37	0.57	0.56	0.59	0.77	0.67	0.74	0.74	0.73	0.75	0.81	1.00

The correlation results are calculated based on daily price changes starting from Dec 31, 2018