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All Bonds
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BIV 25%SKOR 25%BLV 20%MBB 15%SPHY 15%BondBond
PositionCategory/SectorWeight
BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market
25%
BLV
Vanguard Long-Term Bond ETF
Total Bond Market
20%
MBB
iShares MBS Bond ETF
Mortgage Backed Securities
15%
SKOR
FlexShares Credit-Scored US Corporate Bond Index Fund
Corporate Bonds
25%
SPHY
SPDR Portfolio High Yield Bond ETF
High Yield Bonds
15%

Performance

Performance Chart

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


0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
6.58%
12.23%
All Bonds
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 13, 2014, corresponding to the inception date of SKOR

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.43%5.87%12.23%32.90%14.34%11.78%
All Bonds3.97%-1.30%6.59%12.66%0.93%N/A
BIV
Vanguard Intermediate-Term Bond ETF
3.51%-1.58%6.35%10.75%0.43%1.99%
BLV
Vanguard Long-Term Bond ETF
1.11%-3.20%7.37%15.77%-2.24%1.77%
MBB
iShares MBS Bond ETF
3.14%-1.52%6.68%10.95%-0.27%1.08%
SPHY
SPDR Portfolio High Yield Bond ETF
7.79%0.59%7.05%15.67%4.77%4.55%
SKOR
FlexShares Credit-Scored US Corporate Bond Index Fund
4.95%-0.47%5.85%11.17%2.01%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.20%-1.31%1.08%-2.64%1.96%0.81%2.56%1.67%1.53%3.97%
20234.12%-2.96%2.86%0.62%-1.39%0.20%0.17%-0.76%-2.92%-1.96%5.53%4.32%7.64%
2022-2.43%-1.32%-2.82%-4.76%0.85%-2.80%3.76%-3.60%-4.83%-0.75%4.57%-1.11%-14.66%
2021-0.85%-1.64%-1.16%1.02%0.31%1.28%1.26%-0.10%-1.04%0.04%-0.02%0.10%-0.85%
20202.17%1.41%-3.55%3.20%1.64%1.12%2.47%-0.88%-0.18%-0.42%2.00%0.43%9.62%
20191.97%-0.04%2.46%0.15%1.51%1.95%0.31%3.08%-0.59%0.14%0.26%0.20%11.93%
2018-1.49%-1.47%0.46%-0.90%0.68%-0.28%0.43%0.60%-0.58%-1.17%0.26%1.95%-1.57%
20170.55%0.93%-0.20%1.08%1.09%0.17%0.48%1.00%-0.40%0.10%-0.03%0.71%5.61%
20161.28%1.13%1.99%0.81%-0.07%2.39%1.15%0.05%0.02%-1.13%-3.44%0.54%4.66%
20153.03%-1.20%0.35%-0.56%-0.67%-1.64%1.00%-0.26%0.57%0.39%-0.40%-0.96%-0.43%
20140.78%0.57%1.36%

Expense Ratio

All Bonds has an expense ratio of 0.10%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SKOR: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for SPHY: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for MBB: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for BIV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for BLV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All Bonds is 17, indicating that it is in the bottom 17% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of All Bonds is 1717
All Bonds
The Sharpe Ratio Rank of All Bonds is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of All Bonds is 2424Sortino Ratio Rank
The Omega Ratio Rank of All Bonds is 1919Omega Ratio Rank
The Calmar Ratio Rank of All Bonds is 66Calmar Ratio Rank
The Martin Ratio Rank of All Bonds is 1717Martin 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.


All Bonds
Sharpe ratio
The chart of Sharpe ratio for All Bonds, currently valued at 1.88, compared to the broader market0.002.004.001.88
Sortino ratio
The chart of Sortino ratio for All Bonds, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for All Bonds, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for All Bonds, currently valued at 0.69, compared to the broader market0.002.004.006.008.0010.0012.000.69
Martin ratio
The chart of Martin ratio for All Bonds, currently valued at 8.48, compared to the broader market0.0010.0020.0030.0040.0050.008.48
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.37, compared to the broader market0.0010.0020.0030.0040.0050.0016.37

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BIV
Vanguard Intermediate-Term Bond ETF
1.682.481.300.606.92
BLV
Vanguard Long-Term Bond ETF
1.231.801.210.413.91
MBB
iShares MBS Bond ETF
1.502.201.270.626.03
SPHY
SPDR Portfolio High Yield Bond ETF
3.195.181.662.0126.66
SKOR
FlexShares Credit-Scored US Corporate Bond Index Fund
2.614.021.510.9815.93

Sharpe Ratio

The current All Bonds Sharpe ratio is 1.88. 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 2.16 to 2.86, 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 All Bonds 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.88
2.68
All Bonds
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All Bonds granted a 4.67% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All Bonds4.67%4.17%3.39%3.10%3.91%3.56%3.25%3.01%3.14%3.23%2.70%2.88%
BIV
Vanguard Intermediate-Term Bond ETF
3.57%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
4.35%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
3.74%3.40%2.31%1.05%2.10%2.77%2.64%2.23%2.58%2.66%1.72%1.27%
SPHY
SPDR Portfolio High Yield Bond ETF
7.75%7.30%6.47%5.14%5.63%5.73%4.09%4.41%4.27%4.29%3.98%4.41%
SKOR
FlexShares Credit-Scored US Corporate Bond Index Fund
4.75%3.90%2.56%2.55%3.38%3.53%2.85%2.46%2.74%2.25%0.31%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-5.76%
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 19.96%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current All Bonds drawdown is 5.76%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.96%Sep 15, 2021278Oct 20, 2022
-13.35%Mar 9, 20209Mar 19, 202057Jun 10, 202066
-5.27%Sep 8, 201671Dec 16, 2016130Jun 26, 2017201
-4.3%Dec 18, 2017104May 17, 2018177Jan 31, 2019281
-4.23%Feb 2, 2015102Jun 26, 2015183Mar 18, 2016285

Volatility

Volatility Chart

The current All Bonds volatility is 1.24%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.24%
2.94%
All Bonds
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.

SPHYSKORMBBBLVBIV
SPHY1.000.320.240.240.25
SKOR0.321.000.670.670.74
MBB0.240.671.000.780.87
BLV0.240.670.781.000.89
BIV0.250.740.870.891.00
The correlation results are calculated based on daily price changes starting from Nov 14, 2014