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All Bonds

Last updated Feb 23, 2024

Asset Allocation


BIV 50%BLV 20%MBB 15%SPHY 15%BondBond
PositionCategory/SectorWeight
BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market

50%

BLV
Vanguard Long-Term Bond ETF
Total Bond Market

20%

MBB
iShares MBS Bond ETF
Mortgage Backed Securities

15%

SPHY
SPDR Portfolio High Yield Bond ETF
High Yield Bonds

15%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in All Bonds, 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


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
3.71%
16.24%
All Bonds
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 19, 2012, corresponding to the inception date of SPHY

Returns

As of Feb 23, 2024, the All Bonds returned -2.17% Year-To-Date and 2.21% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.65%4.57%16.24%27.46%12.76%10.68%
All Bonds-2.17%-0.65%3.71%4.15%1.11%2.21%
BIV
Vanguard Intermediate-Term Bond ETF
-1.91%-0.79%3.18%3.84%0.96%1.86%
BLV
Vanguard Long-Term Bond ETF
-4.47%-1.06%2.90%1.05%-0.32%2.30%
MBB
iShares MBS Bond ETF
-2.63%-0.94%2.40%1.59%-0.51%0.86%
SPHY
SPDR Portfolio High Yield Bond ETF
0.52%0.65%7.50%11.70%4.49%4.17%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.25%
2023-0.07%-0.82%-3.21%-2.12%5.76%4.50%

Sharpe Ratio

The current All Bonds Sharpe ratio is 0.53. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.53

The Sharpe ratio of All Bonds 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 Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
0.53
2.21
All Bonds
Benchmark (^GSPC)
Portfolio components

Dividend yield

All Bonds granted a 4.13% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All Bonds4.13%3.96%3.36%3.31%3.80%3.36%3.26%3.07%3.05%3.43%3.62%3.93%
BIV
Vanguard Intermediate-Term Bond ETF
3.23%3.09%2.41%3.42%2.95%2.75%2.88%2.69%2.38%3.02%3.96%4.22%
BLV
Vanguard Long-Term Bond ETF
4.33%4.06%4.17%3.37%5.84%3.57%4.07%3.63%4.16%4.37%3.90%4.85%
MBB
iShares MBS Bond ETF
3.56%3.40%2.31%1.06%2.10%2.77%2.64%2.23%2.58%2.66%1.72%1.27%
SPHY
SPDR Portfolio High Yield Bond ETF
7.44%7.30%6.47%5.14%5.63%5.73%4.09%4.41%4.27%4.29%3.98%4.41%

Expense Ratio

The All Bonds has an expense ratio of 0.05% 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.


0.10%
0.00%2.15%
0.06%
0.00%2.15%
0.04%
0.00%2.15%
0.04%
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
2.21
All Bonds
0.53
BIV
Vanguard Intermediate-Term Bond ETF
0.52
BLV
Vanguard Long-Term Bond ETF
0.11
MBB
iShares MBS Bond ETF
0.23
SPHY
SPDR Portfolio High Yield Bond ETF
1.92

Asset Correlations Table

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

SPHYMBBBLVBIV
SPHY1.000.190.200.20
MBB0.191.000.770.85
BLV0.200.771.000.88
BIV0.200.850.881.00

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%SeptemberOctoberNovemberDecember2024February
-12.59%
0
All Bonds
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All Bonds. 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 All Bonds was 20.81%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current All Bonds drawdown is 12.59%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.81%Aug 4, 2021307Oct 20, 2022
-11.69%Mar 9, 20209Mar 19, 202057Jun 10, 202066
-8.32%May 3, 201387Sep 5, 2013182May 28, 2014269
-5.72%Jul 11, 2016112Dec 15, 2016175Aug 28, 2017287
-4.7%Feb 2, 2015102Jun 26, 2015187Mar 24, 2016289

Volatility Chart

The current All Bonds volatility is 2.41%, 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%SeptemberOctoberNovemberDecember2024February
2.41%
3.90%
All Bonds
Benchmark (^GSPC)
Portfolio components
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