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20230828-2

Last updated Sep 21, 2023

Asset Allocation


VOO 40%EFA 20%QQQ 10%KWEB 10%INDA 10%VNQI 10%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities40%
EFA
iShares MSCI EAFE ETF
Foreign Large Cap Equities20%
QQQ
Invesco QQQ
Large Cap Blend Equities10%
KWEB
KraneShares CSI China Internet ETF
China Equities10%
INDA
iShares MSCI India ETF
Asia Pacific Equities10%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
REIT10%

Performance

The chart shows the growth of an initial investment of $10,000 in 20230828-2, 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%15.00%AprilMayJuneJulyAugustSeptember
7.34%
9.04%
20230828-2
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the 20230828-2 returned 11.63% Year-To-Date and 8.79% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.31%9.66%12.78%14.25%8.15%9.80%
20230828-20.29%7.56%10.72%15.45%6.36%8.73%
VOO
Vanguard S&P 500 ETF
0.48%12.46%16.07%18.16%10.39%12.06%
QQQ
Invesco QQQ
-1.38%15.86%34.98%27.06%15.14%17.40%
EFA
iShares MSCI EAFE ETF
-0.19%3.03%8.35%21.44%3.29%3.80%
KWEB
KraneShares CSI China Internet ETF
-1.81%-12.47%-12.15%3.39%-9.89%0.37%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
2.06%0.50%-3.10%-1.42%-3.49%0.27%
INDA
iShares MSCI India ETF
2.16%15.02%6.69%3.74%7.66%8.24%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

KWEBINDAVNQIQQQVOOEFA
KWEB1.000.430.530.580.520.53
INDA0.431.000.600.500.560.62
VNQI0.530.601.000.610.680.82
QQQ0.580.500.611.000.900.71
VOO0.520.560.680.901.000.81
EFA0.530.620.820.710.811.00

Sharpe Ratio

The current 20230828-2 Sharpe ratio is 0.76. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.76

The Sharpe ratio of 20230828-2 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 Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.78
0.70
20230828-2
Benchmark (^GSPC)
Portfolio components

Dividend yield

20230828-2 granted a 1.20% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
20230828-21.20%1.37%3.25%1.32%2.49%2.77%2.13%2.65%2.32%2.71%2.23%2.91%
VOO
Vanguard S&P 500 ETF
1.53%1.71%1.28%1.60%1.99%2.23%1.96%2.26%2.41%2.17%2.19%2.65%
QQQ
Invesco QQQ
0.61%0.81%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.39%
EFA
iShares MSCI EAFE ETF
2.26%2.74%3.48%2.30%3.43%3.87%3.02%3.71%3.44%4.76%3.36%4.21%
KWEB
KraneShares CSI China Internet ETF
0.00%0.00%7.07%0.31%0.09%3.66%0.64%1.33%0.52%1.02%0.36%0.00%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
0.59%0.57%6.52%1.00%8.20%5.40%4.71%6.58%3.82%5.63%4.67%8.24%
INDA
iShares MSCI India ETF
0.18%0.00%6.45%0.29%1.06%1.02%1.19%1.00%1.33%0.71%0.69%0.47%

Expense Ratio

The 20230828-2 has a high expense ratio of 0.25%, 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.


0.76%
0.00%2.15%
0.69%
0.00%2.15%
0.32%
0.00%2.15%
0.20%
0.00%2.15%
0.12%
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
VOO
Vanguard S&P 500 ETF
0.85
QQQ
Invesco QQQ
1.08
EFA
iShares MSCI EAFE ETF
1.15
KWEB
KraneShares CSI China Internet ETF
-0.03
VNQI
Vanguard Global ex-U.S. Real Estate ETF
-0.27
INDA
iShares MSCI India ETF
0.20

Drawdowns Chart

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


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-11.12%
-9.73%
20230828-2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the 20230828-2. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the 20230828-2 is 32.93%, recorded on Mar 23, 2020. It took 94 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.93%Feb 13, 202027Mar 23, 202094Aug 5, 2020121
-28.4%Nov 17, 2021229Oct 14, 2022
-20.31%Jan 29, 2018229Dec 24, 2018212Oct 28, 2019441
-17.89%May 26, 2015182Feb 11, 2016128Aug 15, 2016310
-8.96%Sep 8, 201429Oct 16, 201427Nov 24, 201456

Volatility Chart

The current 20230828-2 volatility is 3.31%, 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.31%
3.66%
20230828-2
Benchmark (^GSPC)
Portfolio components