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60/40

Last updated Feb 24, 2024

Balanced

Asset Allocation


SGOV 20%STIP 10%ANGL 10%VTI 25%VB 5%QUAL 5%VIGI 5%MOAT 5%FNDF 5%AVUS 5%IYW 5%BondBondEquityEquity
PositionCategory/SectorWeight
SGOV
iShares 0-3 Month Treasury Bond ETF
Government Bonds

20%

STIP
iShares 0-5 Year TIPS Bond ETF
Inflation-Protected Bonds

10%

ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
High Yield Bonds

10%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

25%

VB
Vanguard Small-Cap ETF
Small Cap Growth Equities

5%

QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities

5%

VIGI
Vanguard International Dividend Appreciation ETF
Foreign Large Cap Equities, Dividend

5%

MOAT
VanEck Vectors Morningstar Wide Moat ETF
Large Cap Blend Equities

5%

FNDF
Schwab Fundamental International Large Company Index ETF
Foreign Large Cap Equities

5%

AVUS
Avantis U.S. Equity ETF
Large Cap Growth Equities, Actively Managed

5%

IYW
iShares U.S. Technology ETF
Technology Equities

5%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 60/40, 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
10.86%
15.50%
60/40
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 28, 2020, corresponding to the inception date of SGOV

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
60/403.24%2.13%10.86%18.76%N/AN/A
VTI
Vanguard Total Stock Market ETF
6.23%3.99%16.20%28.34%13.73%12.05%
VB
Vanguard Small-Cap ETF
1.58%3.28%11.86%11.82%8.41%8.40%
QUAL
iShares Edge MSCI USA Quality Factor ETF
8.92%5.64%18.76%36.85%14.82%12.88%
VIGI
Vanguard International Dividend Appreciation ETF
2.43%2.89%11.54%16.49%8.38%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF
2.03%2.47%11.98%24.44%14.48%13.22%
FNDF
Schwab Fundamental International Large Company Index ETF
1.51%3.19%10.50%15.37%7.83%4.75%
AVUS
Avantis U.S. Equity ETF
5.06%3.57%15.24%22.68%N/AN/A
SGOV
iShares 0-3 Month Treasury Bond ETF
0.82%0.42%2.70%5.29%N/AN/A
STIP
iShares 0-5 Year TIPS Bond ETF
-0.04%-0.21%2.67%4.46%3.21%1.91%
IYW
iShares U.S. Technology ETF
8.09%1.58%24.57%60.87%24.46%20.38%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
0.57%-0.54%8.07%11.46%5.22%5.99%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.50%
20232.51%-1.31%-2.97%-1.69%6.35%4.08%

Sharpe Ratio

The current 60/40 Sharpe ratio is 2.20. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.20

The Sharpe ratio of 60/40 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 Ratio0.501.001.502.00SeptemberOctoberNovemberDecember2024February
2.20
2.23
60/40
Benchmark (^GSPC)
Portfolio components

Dividend yield

60/40 granted a 2.66% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
60/402.66%2.68%2.37%1.89%1.43%1.69%1.94%1.56%1.61%1.50%1.55%1.29%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VB
Vanguard Small-Cap ETF
1.53%1.55%1.59%1.24%1.14%1.39%1.67%1.35%1.50%1.48%1.43%1.31%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.13%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
VIGI
Vanguard International Dividend Appreciation ETF
1.88%1.92%2.06%7.02%1.29%1.83%1.99%1.75%1.05%0.00%0.00%0.00%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
0.84%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
FNDF
Schwab Fundamental International Large Company Index ETF
3.36%3.41%3.10%3.54%2.17%3.20%3.47%2.32%2.42%2.08%1.84%0.48%
AVUS
Avantis U.S. Equity ETF
1.34%1.41%1.59%1.08%1.19%0.35%0.00%0.00%0.00%0.00%0.00%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF
4.92%4.87%1.45%0.03%0.05%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
STIP
iShares 0-5 Year TIPS Bond ETF
2.84%2.84%6.04%4.15%1.40%2.06%2.44%1.59%0.89%0.00%0.74%0.31%
IYW
iShares U.S. Technology ETF
0.37%0.40%0.50%0.31%0.56%0.72%0.91%0.82%1.13%1.12%1.13%1.06%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
5.34%5.27%4.72%3.90%4.67%5.19%5.99%5.25%5.76%5.81%6.80%6.10%

Expense Ratio

The 60/40 features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.48%
0.00%2.15%
0.42%
0.00%2.15%
0.35%
0.00%2.15%
0.25%
0.00%2.15%
0.15%
0.00%2.15%
0.15%
0.00%2.15%
0.06%
0.00%2.15%
0.05%
0.00%2.15%
0.03%
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
2.23
60/40
2.20
VTI
Vanguard Total Stock Market ETF
2.15
VB
Vanguard Small-Cap ETF
0.61
QUAL
iShares Edge MSCI USA Quality Factor ETF
2.82
VIGI
Vanguard International Dividend Appreciation ETF
1.30
MOAT
VanEck Vectors Morningstar Wide Moat ETF
1.56
FNDF
Schwab Fundamental International Large Company Index ETF
1.07
AVUS
Avantis U.S. Equity ETF
1.66
SGOV
iShares 0-3 Month Treasury Bond ETF
20.98
STIP
iShares 0-5 Year TIPS Bond ETF
1.45
IYW
iShares U.S. Technology ETF
3.20
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
1.78

Asset Correlations Table

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

SGOVSTIPANGLFNDFIYWVIGIVBMOATQUALAVUSVTI
SGOV1.00-0.01-0.01-0.010.010.00-0.02-0.000.01-0.02-0.01
STIP-0.011.000.420.240.190.260.200.230.220.210.22
ANGL-0.010.421.000.580.630.650.660.680.690.670.70
FNDF-0.010.240.581.000.570.860.770.760.720.810.77
IYW0.010.190.630.571.000.690.700.780.890.790.88
VIGI0.000.260.650.860.691.000.740.760.780.780.80
VB-0.020.200.660.770.700.741.000.890.840.950.91
MOAT-0.000.230.680.760.780.760.891.000.900.930.93
QUAL0.010.220.690.720.890.780.840.901.000.930.97
AVUS-0.020.210.670.810.790.780.950.930.931.000.97
VTI-0.010.220.700.770.880.800.910.930.970.971.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February00
60/40
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 60/40. 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 was 17.99%, occurring on Oct 14, 2022. Recovery took 284 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.99%Nov 9, 2021235Oct 14, 2022284Dec 1, 2023519
-5.73%Sep 3, 202014Sep 23, 202033Nov 9, 202047
-5.01%Jun 9, 20203Jun 11, 202026Jul 20, 202029
-3.23%Sep 7, 202120Oct 4, 202115Oct 25, 202135
-2.97%Feb 16, 202113Mar 4, 20217Mar 15, 202120

Volatility Chart

The current 60/40 volatility is 2.51%, 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
2.51%
3.90%
60/40
Benchmark (^GSPC)
Portfolio components
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