Nov 2023
Nov 2023
Asset Allocation
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
The earliest data available for this chart is Oct 16, 2012, corresponding to the inception date of VTIP
Returns By Period
As of Oct 17, 2024, the Nov 2023 returned 20.20% Year-To-Date and 10.76% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.49% | 3.72% | 16.33% | 33.60% | 14.41% | 11.99% |
| Nov 2023 | 20.20% | 2.79% | 15.44% | 32.23% | 12.13% | 10.68% |
| Portfolio components: | ||||||
IAU iShares Gold Trust | 29.46% | 4.12% | 12.29% | 36.86% | 12.27% | 7.73% |
VTI Vanguard Total Stock Market ETF | 22.57% | 3.83% | 17.22% | 37.03% | 15.53% | 13.36% |
VOO Vanguard S&P 500 ETF | 23.75% | 3.73% | 17.40% | 37.33% | 16.24% | 13.93% |
VGLT Vanguard Long-Term Treasury ETF | 0.21% | -4.65% | 9.39% | 17.51% | -4.40% | 0.40% |
VPU Vanguard Utilities ETF | 32.30% | 4.40% | 28.96% | 43.15% | 7.96% | 9.97% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 4.70% | -0.02% | 3.94% | 7.86% | 3.60% | 2.40% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.28% | 3.27% | 3.56% | -2.64% | 4.24% | 1.61% | 2.53% | 2.18% | 2.62% | 20.20% | |||
| 2023 | 5.18% | -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% |
| 2020 | 1.48% | -5.37% | -8.69% | 9.25% | 3.94% | 1.33% | 5.62% | 3.95% | -2.62% | -1.16% | 6.99% | 3.55% | 18.11% |
| 2019 | 5.94% | 2.43% | 1.54% | 2.39% | -3.46% | 5.50% | 0.90% | 0.68% | 0.98% | 1.43% | 1.85% | 2.30% | 24.58% |
| 2018 | 3.03% | -3.11% | -0.65% | 0.26% | 1.68% | 0.43% | 1.92% | 2.20% | -0.11% | -4.46% | 1.74% | -4.96% | -2.38% |
| 2017 | 1.82% | 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% |
| 2015 | 0.00% | 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% |
| 2013 | 3.59% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Nov 2023 is 85, placing it in the top 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IAU iShares Gold Trust | 2.78 | 3.74 | 1.48 | 5.23 | 17.70 |
VTI Vanguard Total Stock Market ETF | 2.75 | 3.66 | 1.50 | 2.50 | 16.71 |
VOO Vanguard S&P 500 ETF | 2.85 | 3.80 | 1.52 | 3.05 | 17.77 |
VGLT Vanguard Long-Term Treasury ETF | 1.07 | 1.59 | 1.18 | 0.33 | 3.08 |
VPU Vanguard Utilities ETF | 2.62 | 3.63 | 1.46 | 1.76 | 13.75 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.39 | 6.08 | 1.79 | 3.28 | 35.39 |
Dividends
Dividend yield
Nov 2023 granted a 1.76% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Nov 2023 | 1.76% | 1.88% | 2.39% | 1.74% | 1.49% | 1.80% | 2.07% | 1.73% | 1.78% | 1.80% | 1.68% | 1.66% |
| Portfolio components: | ||||||||||||
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 | 1.26% | 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 | 3.85% | 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 | 2.80% | 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 | 3.38% | 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.
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.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.6% | Feb 20, 2020 | 23 | Mar 23, 2020 | 83 | Jul 21, 2020 | 106 |
| -20.03% | Dec 31, 2021 | 199 | Oct 14, 2022 | 296 | Dec 19, 2023 | 495 |
| -11.8% | Sep 21, 2018 | 65 | Dec 24, 2018 | 40 | Feb 22, 2019 | 105 |
| -8.33% | May 22, 2015 | 167 | Jan 20, 2016 | 40 | Mar 17, 2016 | 207 |
| -7.37% | Jan 29, 2018 | 9 | Feb 8, 2018 | 123 | Aug 6, 2018 | 132 |
Volatility
Volatility Chart
The current Nov 2023 volatility is 2.01%, 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.
Diversification
Asset Correlations Table
| IAU | VTIP | VGLT | VPU | VTI | VOO | |
|---|---|---|---|---|---|---|
| IAU | 1.00 | 0.36 | 0.31 | 0.13 | 0.01 | 0.01 |
| VTIP | 0.36 | 1.00 | 0.41 | 0.17 | 0.08 | 0.08 |
| VGLT | 0.31 | 0.41 | 1.00 | 0.11 | -0.21 | -0.21 |
| VPU | 0.13 | 0.17 | 0.11 | 1.00 | 0.42 | 0.44 |
| VTI | 0.01 | 0.08 | -0.21 | 0.42 | 1.00 | 0.99 |
| VOO | 0.01 | 0.08 | -0.21 | 0.44 | 0.99 | 1.00 |