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Nov 2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VTIP 13%VGLT 7%IAU 9%VTI 47%VOO 15%VPU 9%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold
9%
VGLT
Vanguard Long-Term Treasury ETF
Government Bonds
7%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
15%
VPU
Vanguard Utilities ETF
Utilities Equities
9%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
47%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Inflation-Protected Bonds
13%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Nov 2023, 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%MayJuneJulyAugustSeptemberOctober
14.67%
15.83%
Nov 2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 16, 2012, corresponding to the inception date of VTIP

Returns By Period

As of Oct 30, 2024, the Nov 2023 returned 19.73% Year-To-Date and 10.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Nov 202319.73%0.89%14.67%34.35%11.75%10.27%
IAU
iShares Gold Trust
34.15%4.53%20.92%38.56%12.74%8.78%
VTI
Vanguard Total Stock Market ETF
22.25%1.78%16.24%41.75%15.07%12.66%
VOO
Vanguard S&P 500 ETF
23.64%1.79%16.67%42.02%15.81%13.26%
VGLT
Vanguard Long-Term Treasury ETF
-3.00%-5.93%6.40%14.04%-5.24%0.23%
VPU
Vanguard Utilities ETF
27.59%-1.47%19.80%38.52%7.07%9.08%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
4.37%-0.55%3.64%7.05%3.53%2.39%

Monthly Returns

The table below presents the monthly returns of Nov 2023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.28%3.27%3.56%-2.64%4.24%1.61%2.53%2.18%2.62%19.73%
20235.18%-2.88%3.52%1.01%-0.63%4.10%2.54%-2.01%-4.43%-1.12%7.18%4.29%17.28%
2022-4.43%-1.16%2.62%-6.84%-0.03%-5.94%6.47%-3.14%-7.99%4.86%5.18%-3.73%-14.46%
2021-0.88%0.48%3.00%4.10%0.88%0.97%2.19%2.09%-3.86%5.01%-0.82%3.55%17.66%
20201.48%-5.37%-8.69%9.25%3.94%1.33%5.62%3.95%-2.62%-1.16%6.99%3.55%18.11%
20195.94%2.43%1.54%2.39%-3.46%5.50%0.90%0.68%0.98%1.43%1.85%2.30%24.58%
20183.03%-3.11%-0.65%0.26%1.68%0.43%1.92%2.20%-0.11%-4.46%1.74%-4.96%-2.38%
20171.82%3.17%-0.01%0.97%1.16%0.12%1.64%1.01%0.75%1.67%2.22%0.53%16.09%
2016-2.10%1.46%4.97%0.60%0.68%2.20%2.66%-0.77%0.21%-1.78%0.92%1.58%10.94%
20150.00%1.88%-0.99%0.26%0.72%-2.02%1.28%-3.93%-1.46%5.38%-0.48%-1.15%-0.80%
2014-1.02%3.90%0.36%0.72%1.28%2.52%-2.10%3.32%-2.24%2.34%1.77%0.43%11.63%
20133.59%0.67%3.06%1.11%-0.33%-1.96%4.51%-1.99%2.05%3.10%0.91%1.34%17.04%

Expense Ratio

Nov 2023 has an expense ratio of 0.06%, 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 IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VPU: 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 VGLT: 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 VTIP: 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Nov 2023 is 86, placing it in the top 14% 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 Nov 2023 is 8686
Combined Rank
The Sharpe Ratio Rank of Nov 2023 is 9292Sharpe Ratio Rank
The Sortino Ratio Rank of Nov 2023 is 9494Sortino Ratio Rank
The Omega Ratio Rank of Nov 2023 is 9595Omega Ratio Rank
The Calmar Ratio Rank of Nov 2023 is 5656Calmar Ratio Rank
The Martin Ratio Rank of Nov 2023 is 9595Martin 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.


Nov 2023
Sharpe ratio
The chart of Sharpe ratio for Nov 2023, currently valued at 3.91, compared to the broader market0.002.004.006.003.91
Sortino ratio
The chart of Sortino ratio for Nov 2023, currently valued at 5.44, compared to the broader market-2.000.002.004.006.005.44
Omega ratio
The chart of Omega ratio for Nov 2023, currently valued at 1.77, compared to the broader market0.801.001.201.401.601.802.001.77
Calmar ratio
The chart of Calmar ratio for Nov 2023, currently valued at 3.30, compared to the broader market0.005.0010.003.30
Martin ratio
The chart of Martin ratio for Nov 2023, currently valued at 31.37, compared to the broader market0.0010.0020.0030.0040.0050.0060.0031.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IAU
iShares Gold Trust
2.683.611.465.5317.31
VTI
Vanguard Total Stock Market ETF
3.504.601.653.3222.61
VOO
Vanguard S&P 500 ETF
3.624.771.684.1423.93
VGLT
Vanguard Long-Term Treasury ETF
0.981.471.170.302.65
VPU
Vanguard Utilities ETF
2.513.471.441.8313.08
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.175.661.733.6829.56

Sharpe Ratio

The current Nov 2023 Sharpe ratio is 3.91. 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 2.49 to 3.44, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Nov 2023 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 Ratio1.502.002.503.003.504.00MayJuneJulyAugustSeptemberOctober
3.91
3.43
Nov 2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Nov 2023 provided a 1.78% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Nov 20231.78%1.88%2.39%1.74%1.49%1.80%2.07%1.73%1.78%1.80%1.68%1.66%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.30%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VGLT
Vanguard Long-Term Treasury ETF
3.98%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%3.19%
VPU
Vanguard Utilities ETF
2.91%3.49%2.98%2.70%3.17%2.83%3.23%3.18%3.19%3.63%3.02%3.76%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.39%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.65%
-0.54%
Nov 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Nov 2023. 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 Nov 2023 was 24.60%, occurring on Mar 23, 2020. Recovery took 83 trading sessions.

The current Nov 2023 drawdown is 0.65%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.6%Feb 20, 202023Mar 23, 202083Jul 21, 2020106
-20.03%Dec 31, 2021199Oct 14, 2022296Dec 19, 2023495
-11.8%Sep 21, 201865Dec 24, 201840Feb 22, 2019105
-8.33%May 22, 2015167Jan 20, 201640Mar 17, 2016207
-7.37%Jan 29, 20189Feb 8, 2018123Aug 6, 2018132

Volatility

Volatility Chart

The current Nov 2023 volatility is 1.86%, 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
1.86%
2.71%
Nov 2023
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.

IAUVTIPVGLTVPUVTIVOO
IAU1.000.360.310.130.010.01
VTIP0.361.000.410.170.080.08
VGLT0.310.411.000.12-0.21-0.21
VPU0.130.170.121.000.420.43
VTI0.010.08-0.210.421.000.99
VOO0.010.08-0.210.430.991.00
The correlation results are calculated based on daily price changes starting from Oct 17, 2012