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Diversified Basket

Last updated Mar 2, 2024

Asset Allocation


BSV 6.67%BIV 6.67%CMDY 6.67%VMO 6.67%VFMO 6.67%BRK-B 6.67%VTV 6.67%VOE 6.67%VBR 6.67%GOPIX 6.67%FHKCX 6.67%CHILX 6.67%ESGV 6.67%ICLN 6.67%VSGX 6.67%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BSV
Vanguard Short-Term Bond ETF
Total Bond Market

6.67%

BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market

6.67%

CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
Commodities

6.67%

VMO
Invesco Municipal Opportunity Trust
Financial Services

6.67%

VFMO
Vanguard U.S. Momentum Factor ETF
All Cap Equities

6.67%

BRK-B
Berkshire Hathaway Inc.
Financial Services

6.67%

VTV
Vanguard Value ETF
Large Cap Value Equities

6.67%

VOE
Vanguard Mid-Cap Value ETF
Mid Cap Blend Equities

6.67%

VBR
Vanguard Small-Cap Value ETF
Small Cap Blend Equities

6.67%

GOPIX
abrdn China A Share Equity Fund
China Equities

6.67%

FHKCX
Fidelity China Region Fund
China Equities

6.67%

CHILX
BlackRock China A Opportunities Fund
China Equities

6.67%

ESGV
Vanguard ESG U.S. Stock ETF
Large Cap Blend Equities, ESG

6.67%

ICLN
iShares Global Clean Energy ETF
Alternative Energy Equities

6.67%

VSGX
Vanguard ESG International Stock ETF
Foreign Large Cap Equities, ESG

6.67%

S&P 500

Performance

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


40.00%50.00%60.00%70.00%80.00%90.00%100.00%110.00%OctoberNovemberDecember2024FebruaryMarch
62.47%
106.66%
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


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%
Diversified Basket2.75%4.39%4.73%3.36%7.74%N/A
VMO
Invesco Municipal Opportunity Trust
0.97%0.93%9.38%7.72%0.79%3.08%
VFMO
Vanguard U.S. Momentum Factor ETF
13.56%7.87%22.91%26.62%14.90%N/A
BRK-B
Berkshire Hathaway Inc.
14.15%4.19%12.32%30.30%15.15%13.15%
VTV
Vanguard Value ETF
4.91%3.04%10.36%13.49%10.74%10.18%
VOE
Vanguard Mid-Cap Value ETF
2.97%3.64%9.25%7.96%9.16%8.47%
VBR
Vanguard Small-Cap Value ETF
1.93%3.77%8.98%9.04%9.14%8.35%
BSV
Vanguard Short-Term Bond ETF
-0.11%-0.18%3.01%4.93%1.35%1.31%
BIV
Vanguard Intermediate-Term Bond ETF
-1.11%-0.72%3.46%4.74%1.15%1.90%
CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
-1.47%0.45%-7.14%-7.63%5.45%N/A
GOPIX
abrdn China A Share Equity Fund
-2.61%12.80%-13.23%-29.82%-1.16%2.43%
FHKCX
Fidelity China Region Fund
2.50%8.21%1.21%-5.62%2.74%5.52%
CHILX
BlackRock China A Opportunities Fund
3.93%13.86%-4.92%-15.62%2.61%N/A
ESGV
Vanguard ESG U.S. Stock ETF
7.90%3.88%16.06%31.17%15.15%N/A
ICLN
iShares Global Clean Energy ETF
-9.25%1.07%-11.37%-27.51%8.86%4.02%
VSGX
Vanguard ESG International Stock ETF
2.48%3.94%8.94%11.44%5.53%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.96%4.12%
2023-4.04%-3.95%-3.29%6.23%3.78%

Sharpe Ratio

The current Diversified Basket Sharpe ratio is 0.45. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.45

The Sharpe ratio of Diversified Basket 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 Ratio-1.000.001.002.003.00OctoberNovemberDecember2024FebruaryMarch
0.45
2.44
Diversified Basket
Benchmark (^GSPC)
Portfolio components

Dividend yield

Diversified Basket granted a 2.21% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Diversified Basket2.21%2.21%2.00%3.42%1.98%2.85%1.72%1.36%1.56%2.57%2.47%2.26%
VMO
Invesco Municipal Opportunity Trust
4.41%4.47%5.69%4.63%4.66%4.94%5.94%5.98%6.73%6.33%6.12%7.43%
VFMO
Vanguard U.S. Momentum Factor ETF
0.78%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
2.34%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
2.21%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
2.08%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
2.66%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
3.28%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
5.17%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
0.81%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
1.87%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
1.94%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
1.08%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
1.75%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
2.70%2.77%2.61%2.49%1.67%2.28%0.38%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Diversified Basket has a high expense ratio of 0.28%, indicating higher-than-average management fees. 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%0.13%
0.50%1.00%1.50%2.00%0.99%
0.50%1.00%1.50%2.00%0.99%
0.50%1.00%1.50%2.00%0.91%
0.50%1.00%1.50%2.00%0.46%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.09%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.04%
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
Diversified Basket
0.45
VMO
Invesco Municipal Opportunity Trust
0.62
VFMO
Vanguard U.S. Momentum Factor ETF
1.63
BRK-B
Berkshire Hathaway Inc.
2.50
VTV
Vanguard Value ETF
1.37
VOE
Vanguard Mid-Cap Value ETF
0.69
VBR
Vanguard Small-Cap Value ETF
0.58
BSV
Vanguard Short-Term Bond ETF
1.47
BIV
Vanguard Intermediate-Term Bond ETF
0.69
CMDY
iShares Bloomberg Roll Select Commodity Strategy ETF
-0.62
GOPIX
abrdn China A Share Equity Fund
-1.59
FHKCX
Fidelity China Region Fund
-0.24
CHILX
BlackRock China A Opportunities Fund
-0.89
ESGV
Vanguard ESG U.S. Stock ETF
2.55
ICLN
iShares Global Clean Energy ETF
-1.04
VSGX
Vanguard ESG International Stock ETF
1.01

Asset Correlations Table

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

BSVBIVVMOCMDYGOPIXCHILXBRK-BICLNFHKCXVFMOVTVVBRVOEESGVVSGX
BSV1.000.870.390.020.020.02-0.080.11-0.010.03-0.01-0.020.000.060.08
BIV0.871.000.410.000.010.02-0.090.130.000.03-0.03-0.03-0.010.070.08
VMO0.390.411.000.080.110.120.130.270.150.230.190.210.220.230.24
CMDY0.020.000.081.000.290.320.280.270.290.340.350.340.340.280.37
GOPIX0.020.010.110.291.000.910.320.430.750.410.390.390.390.450.58
CHILX0.020.020.120.320.911.000.320.430.730.410.400.390.400.450.59
BRK-B-0.08-0.090.130.280.320.321.000.380.380.560.820.710.760.660.60
ICLN0.110.130.270.270.430.430.381.000.550.680.530.600.580.660.67
FHKCX-0.010.000.150.290.750.730.380.551.000.550.490.510.510.610.77
VFMO0.030.030.230.340.410.410.560.680.551.000.740.800.770.850.74
VTV-0.01-0.030.190.350.390.400.820.530.490.741.000.900.950.810.74
VBR-0.02-0.030.210.340.390.390.710.600.510.800.901.000.960.800.74
VOE0.00-0.010.220.340.390.400.760.580.510.770.950.961.000.820.75
ESGV0.060.070.230.280.450.450.660.660.610.850.810.800.821.000.82
VSGX0.080.080.240.370.580.590.600.670.770.740.740.740.750.821.00

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
-7.54%
0
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 7.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.26%Feb 21, 202022Mar 23, 202083Jul 21, 2020105
-20.46%Nov 15, 2021229Oct 12, 2022
-6.17%Feb 17, 202126Mar 24, 202131May 7, 202157
-5.3%Sep 3, 202015Sep 24, 20209Oct 7, 202024
-5.21%May 6, 201919May 31, 201920Jun 28, 201939

Volatility Chart

The current Diversified Basket volatility is 2.95%, 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
2.95%
3.47%
Diversified Basket
Benchmark (^GSPC)
Portfolio components
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