PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VEA 38%VUG 35%VTI 27%EquityEquity
PositionCategory/SectorWeight
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities
38%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
27%
VUG
Vanguard Growth ETF
Large Cap Growth Equities
35%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 4, 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


250.00%260.00%270.00%280.00%290.00%300.00%310.00%JuneJulyAugustSeptemberOctoberNovember
304.47%
286.39%
4
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA

Returns By Period

As of Nov 2, 2024, the 4 returned 16.56% Year-To-Date and 10.97% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.10%0.34%11.72%32.68%13.33%11.05%
416.56%-1.22%9.22%28.85%12.86%10.93%
VTI
Vanguard Total Stock Market ETF
20.18%-0.18%12.06%32.92%14.37%12.40%
VUG
Vanguard Growth ETF
24.63%0.68%14.14%38.69%18.44%15.26%
VEA
Vanguard FTSE Developed Markets ETF
6.71%-3.76%2.54%17.18%6.22%5.63%

Monthly Returns

The table below presents the monthly returns of 4, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.64%4.97%2.72%-3.93%5.27%2.60%1.04%2.47%1.78%-2.24%16.56%
20238.94%-2.46%4.49%1.65%0.50%5.96%3.36%-2.40%-4.76%-2.62%9.96%5.06%29.91%
2022-6.39%-3.26%2.42%-9.55%-0.33%-8.69%9.09%-4.96%-9.88%5.94%7.81%-5.20%-22.76%
2021-0.72%2.07%2.68%4.95%0.93%2.43%1.78%2.57%-4.37%5.92%-1.87%3.18%20.88%
2020-0.06%-7.32%-13.13%11.47%6.06%3.66%5.21%7.47%-3.36%-2.92%12.24%4.87%23.13%
20198.37%3.14%1.72%3.79%-5.94%6.51%0.41%-1.47%1.75%2.70%2.93%3.15%29.75%
20185.60%-3.97%-1.57%0.70%1.72%0.01%2.64%1.90%0.48%-8.44%0.94%-7.59%-8.22%
20173.13%2.92%1.63%1.93%2.56%0.34%2.49%0.46%1.97%2.27%2.00%1.25%25.47%
2016-5.75%-1.32%7.17%0.78%1.21%-0.94%4.33%0.10%0.89%-2.41%1.07%1.88%6.64%
2015-1.00%6.08%-2.15%2.61%0.84%-2.14%2.16%-6.59%-3.33%7.84%-0.07%-2.24%1.12%
2014-3.90%5.53%-0.56%0.63%2.48%1.94%-1.98%2.84%-2.76%1.66%1.76%-1.73%5.64%
20134.46%0.21%2.85%2.98%0.10%-2.20%5.48%-2.08%5.73%3.86%1.82%2.66%28.70%

Expense Ratio

4 has an expense ratio of 0.04%, 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 VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VUG: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 4 is 49, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of 4 is 4949
Combined Rank
The Sharpe Ratio Rank of 4 is 4646Sharpe Ratio Rank
The Sortino Ratio Rank of 4 is 4545Sortino Ratio Rank
The Omega Ratio Rank of 4 is 4848Omega Ratio Rank
The Calmar Ratio Rank of 4 is 5050Calmar Ratio Rank
The Martin Ratio Rank of 4 is 5454Martin 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.


4
Sharpe ratio
The chart of Sharpe ratio for 4, currently valued at 2.53, compared to the broader market0.002.004.002.53
Sortino ratio
The chart of Sortino ratio for 4, currently valued at 3.43, compared to the broader market-2.000.002.004.006.003.43
Omega ratio
The chart of Omega ratio for 4, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.801.46
Calmar ratio
The chart of Calmar ratio for 4, currently valued at 2.98, compared to the broader market0.002.004.006.008.0010.0012.0014.002.98
Martin ratio
The chart of Martin ratio for 4, currently valued at 16.26, compared to the broader market0.0010.0020.0030.0040.0050.0016.26
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.801.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.52, compared to the broader market0.002.004.006.008.0010.0012.0014.003.52
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0040.0050.0018.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
2.973.931.553.7619.19
VUG
Vanguard Growth ETF
2.563.281.463.0913.11
VEA
Vanguard FTSE Developed Markets ETF
1.642.331.291.699.58

Sharpe Ratio

The current 4 Sharpe ratio is 2.53. 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 2.14 to 2.96, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 4 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.53
2.88
4
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

4 provided a 1.67% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
41.67%1.79%1.80%1.70%1.39%1.97%2.29%1.91%2.16%2.10%2.30%1.88%
VTI
Vanguard Total Stock Market ETF
1.32%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VUG
Vanguard Growth ETF
0.51%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%
VEA
Vanguard FTSE Developed Markets ETF
2.99%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.48%
-2.32%
4
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 4. 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 4 was 55.67%, occurring on Mar 9, 2009. Recovery took 962 trading sessions.

The current 4 drawdown is 2.48%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-55.67%Nov 1, 2007339Mar 9, 2009962Jan 2, 20131301
-33.47%Feb 20, 202023Mar 23, 202092Aug 3, 2020115
-29.96%Nov 9, 2021235Oct 14, 2022317Jan 22, 2024552
-19.51%Sep 21, 201865Dec 24, 201881Apr 23, 2019146
-17.63%May 22, 2015183Feb 11, 2016143Sep 6, 2016326

Volatility

Volatility Chart

The current 4 volatility is 3.24%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.24%
3.23%
4
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.

VEAVUGVTI
VEA1.000.780.84
VUG0.781.000.95
VTI0.840.951.00
The correlation results are calculated based on daily price changes starting from Jul 27, 2007