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90-10 portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BND 10%^GSPC 90%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

10%

^GSPC
S&P 500

90%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 90-10 portfolio, 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%20.00%NovemberDecember2024FebruaryMarchApril
14.58%
15.74%
15.74%
90-10 portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 10, 2007, corresponding to the inception date of BND

Returns By Period

As of Apr 16, 2024, the 90-10 portfolio returned 5.22% Year-To-Date and 9.68% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
90-10 portfolio5.22%-1.11%14.58%19.90%10.73%9.68%
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
BND
Vanguard Total Bond Market ETF
-2.99%-1.49%4.17%-0.78%-0.04%1.21%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.41%4.53%2.89%
2023-4.64%-2.13%8.48%4.34%

Expense Ratio

The 90-10 portfolio has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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.


90-10 portfolio
Sharpe ratio
The chart of Sharpe ratio for 90-10 portfolio, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.005.001.83
Sortino ratio
The chart of Sortino ratio for 90-10 portfolio, currently valued at 2.68, compared to the broader market-2.000.002.004.006.002.68
Omega ratio
The chart of Omega ratio for 90-10 portfolio, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for 90-10 portfolio, currently valued at 1.33, compared to the broader market0.002.004.006.008.0010.001.33
Martin ratio
The chart of Martin ratio for 90-10 portfolio, currently valued at 7.12, compared to the broader market0.0010.0020.0030.0040.0050.007.12
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^GSPC
S&P 500
1.892.741.331.437.65
BND
Vanguard Total Bond Market ETF
-0.18-0.210.98-0.07-0.43

Sharpe Ratio

The current 90-10 portfolio Sharpe ratio is 1.83. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.83

The Sharpe ratio of 90-10 portfolio 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.83
1.89
1.89
90-10 portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

90-10 portfolio granted a 0.34% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
90-10 portfolio0.34%0.31%0.26%0.20%0.22%0.27%0.28%0.25%0.25%0.26%0.28%0.28%
^GSPC
S&P 500
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.36%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.53%
-3.66%
-3.66%
90-10 portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 90-10 portfolio. 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 90-10 portfolio was 52.25%, occurring on Mar 9, 2009. Recovery took 975 trading sessions.

The current 90-10 portfolio drawdown is 3.53%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.25%Oct 10, 2007355Mar 9, 2009975Jan 22, 20131330
-30.76%Feb 20, 202023Mar 23, 202097Aug 10, 2020120
-24.33%Jan 4, 2022195Oct 12, 2022318Jan 19, 2024513
-17.69%Sep 21, 201865Dec 24, 201881Apr 23, 2019146
-12.5%May 22, 2015183Feb 11, 201681Jun 8, 2016264

Volatility

Volatility Chart

The current 90-10 portfolio volatility is 3.15%, 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%NovemberDecember2024FebruaryMarchApril
3.15%
3.44%
3.44%
90-10 portfolio
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.

BND^GSPC
BND1.00-0.18
^GSPC-0.181.00