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C&M S 60/40
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


FLTR 9.07%AGG 8.66%LQD 2.54%TIP 1.11%USD=X 5.49%SWVXX 18.7%IWF 14.54%IVV 11.17%EFA 9.78%IWD 7.63%IGE 4.62%IWN 4.25%IGF 2.44%BondBondCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market
8.66%
EFA
iShares MSCI EAFE ETF
Foreign Large Cap Equities
9.78%
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
Corporate Bonds
9.07%
IGE
iShares North American Natural Resources ETF
Large Cap Blend Equities
4.62%
IGF
iShares Global Infrastructure ETF
Large Cap Value Equities
2.44%
IVV
iShares Core S&P 500 ETF
Large Cap Growth Equities
11.17%
IWD
iShares Russell 1000 Value ETF
Large Cap Blend Equities
7.63%
IWF
iShares Russell 1000 Growth ETF
Large Cap Growth Equities
14.54%
IWN
iShares Russell 2000 Value ETF
Small Cap Blend Equities
4.25%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds
2.54%
SWVXX
Schwab Value Advantage Money Fund
18.70%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
1.11%
USD=X
USD Cash
5.49%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in C&M S 60/40, 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


150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
147.46%
349.28%
C&M S 60/40
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 26, 2011, corresponding to the inception date of FLTR

Returns By Period

As of Dec 10, 2024, the C&M S 60/40 returned 13.96% Year-To-Date and 6.96% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.90%0.96%12.91%31.46%14.06%11.73%
C&M S 60/4013.96%0.75%7.49%17.03%8.21%6.96%
SWVXX
Schwab Value Advantage Money Fund
4.30%0.38%2.75%5.01%2.22%1.50%
IWF
iShares Russell 1000 Growth ETF
35.80%2.87%15.55%40.11%19.18%16.48%
IVV
iShares Core S&P 500 ETF
28.51%1.09%13.38%32.78%15.07%13.21%
EFA
iShares MSCI EAFE ETF
8.06%1.10%1.42%12.45%5.72%5.54%
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
6.95%0.56%3.04%7.64%3.33%2.65%
AGG
iShares Core U.S. Aggregate Bond ETF
3.22%0.87%4.16%6.02%0.06%1.45%
IWD
iShares Russell 1000 Value ETF
19.45%-0.33%12.46%24.06%9.46%8.84%
IGE
iShares North American Natural Resources ETF
13.62%-2.30%4.59%17.82%12.20%5.31%
IWN
iShares Russell 2000 Value ETF
15.59%-0.35%18.36%24.45%8.60%7.95%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
3.87%0.87%5.23%7.48%0.42%2.53%
IGF
iShares Global Infrastructure ETF
17.82%0.76%12.90%22.04%5.56%5.59%
TIP
iShares TIPS Bond ETF
3.48%0.23%3.29%5.66%1.99%2.10%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

The table below presents the monthly returns of C&M S 60/40, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.21%2.29%2.41%-2.22%2.95%1.06%1.74%1.34%1.18%-0.96%3.15%13.96%
20234.54%-1.79%1.77%1.01%-0.58%3.51%2.25%-1.21%-2.51%-1.62%5.40%3.50%14.80%
2022-2.43%-0.99%1.56%-4.94%0.81%-5.23%5.06%-2.49%-5.80%4.56%4.22%-2.86%-8.97%
2021-0.23%1.81%1.97%2.62%0.91%1.03%0.70%1.24%-2.04%3.42%-1.18%2.19%13.04%
2020-0.39%-4.31%-8.86%7.63%3.04%1.51%2.77%3.40%-2.37%-1.25%7.25%2.61%10.25%
20195.01%1.79%1.13%1.94%-3.24%3.76%0.38%-0.79%1.17%1.28%1.64%1.91%16.94%
20182.51%-2.63%-0.69%0.68%1.23%0.21%1.67%1.02%0.14%-4.37%0.65%-4.18%-3.97%
20171.07%1.57%0.50%0.70%0.79%0.34%1.31%0.10%1.46%1.04%1.36%0.86%11.65%
2016-2.72%-0.18%4.14%1.03%0.57%0.34%2.14%0.15%0.41%-1.35%1.50%1.26%7.36%
2015-0.82%2.81%-0.64%0.93%0.13%-1.44%0.57%-3.38%-1.70%4.34%0.01%-1.74%-1.16%
2014-1.81%2.79%0.30%0.60%1.28%1.42%-1.29%1.93%-1.79%0.95%0.69%-0.50%4.56%
20132.61%0.35%1.83%1.24%0.23%-1.35%3.08%-1.48%2.67%2.36%1.04%1.30%14.66%

Expense Ratio

C&M S 60/40 has an expense ratio of 0.14%, 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 IGE: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for IGF: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for EFA: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for IWN: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for IWF: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for IWD: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for LQD: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for FLTR: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for AGG: 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 IVV: 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 C&M S 60/40 is 52, 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 C&M S 60/40 is 5252
Overall Rank
The Sharpe Ratio Rank of C&M S 60/40 is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of C&M S 60/40 is 5151
Sortino Ratio Rank
The Omega Ratio Rank of C&M S 60/40 is 5858
Omega Ratio Rank
The Calmar Ratio Rank of C&M S 60/40 is 4949
Calmar Ratio Rank
The Martin Ratio Rank of C&M S 60/40 is 5757
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for C&M S 60/40, currently valued at 2.24, compared to the broader market-6.00-4.00-2.000.002.004.006.002.242.62
The chart of Sortino ratio for C&M S 60/40, currently valued at 3.16, compared to the broader market-6.00-4.00-2.000.002.004.006.003.163.48
The chart of Omega ratio for C&M S 60/40, currently valued at 1.44, compared to the broader market0.501.001.501.441.48
The chart of Calmar ratio for C&M S 60/40, currently valued at 3.31, compared to the broader market0.005.0010.0015.003.313.77
The chart of Martin ratio for C&M S 60/40, currently valued at 14.54, compared to the broader market0.0010.0020.0030.0040.0050.0060.0014.5416.74
C&M S 60/40
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SWVXX
Schwab Value Advantage Money Fund
3.48
IWF
iShares Russell 1000 Growth ETF
2.162.831.402.7210.67
IVV
iShares Core S&P 500 ETF
2.453.311.473.4815.66
EFA
iShares MSCI EAFE ETF
0.731.081.131.052.82
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
7.1211.623.799.63108.25
AGG
iShares Core U.S. Aggregate Bond ETF
0.650.941.120.271.90
IWD
iShares Russell 1000 Value ETF
1.982.851.363.8111.68
IGE
iShares North American Natural Resources ETF
0.841.201.151.313.47
IWN
iShares Russell 2000 Value ETF
0.791.261.151.173.84
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
0.610.901.110.271.83
IGF
iShares Global Infrastructure ETF
1.632.251.291.848.13
TIP
iShares TIPS Bond ETF
0.751.051.130.302.68
USD=X
USD Cash

The current C&M S 60/40 Sharpe ratio is 2.24. 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 1.87 to 2.71, 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 C&M S 60/40 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.24
2.62
C&M S 60/40
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

C&M S 60/40 provided a 1.89% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.89%1.96%1.61%1.23%1.32%1.89%1.88%1.47%1.54%1.59%1.52%1.38%
SWVXX
Schwab Value Advantage Money Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IWF
iShares Russell 1000 Growth ETF
0.49%0.67%0.91%0.50%0.66%0.99%1.27%1.10%1.43%1.37%1.33%1.29%
IVV
iShares Core S&P 500 ETF
1.22%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%
EFA
iShares MSCI EAFE ETF
2.90%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%2.54%
FLTR
VanEck Vectors Investment Grade Floating Rate ETF
6.00%6.08%2.30%0.63%1.49%3.05%2.67%1.69%1.16%0.71%0.66%0.65%
AGG
iShares Core U.S. Aggregate Bond ETF
3.63%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
IWD
iShares Russell 1000 Value ETF
1.77%2.02%2.15%1.62%2.05%2.45%2.71%2.09%2.25%2.47%2.00%1.95%
IGE
iShares North American Natural Resources ETF
2.50%2.85%2.95%2.92%3.34%5.55%2.68%2.11%1.66%3.07%1.83%1.50%
IWN
iShares Russell 2000 Value ETF
1.69%2.04%2.12%1.48%1.60%1.92%1.99%1.78%1.74%2.15%1.88%1.77%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.31%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
IGF
iShares Global Infrastructure ETF
3.19%3.36%2.67%2.42%2.33%3.27%3.52%2.95%2.99%3.24%3.00%3.45%
TIP
iShares TIPS Bond ETF
2.33%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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%JulyAugustSeptemberOctoberNovemberDecember
-0.27%
-0.61%
C&M S 60/40
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the C&M S 60/40. 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 C&M S 60/40 was 21.22%, occurring on Mar 23, 2020. Recovery took 98 trading sessions.

The current C&M S 60/40 drawdown is 0.27%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.22%Feb 20, 202023Mar 23, 202098Aug 6, 2020121
-14.37%Jan 5, 2022193Sep 30, 2022207Jul 18, 2023400
-12.14%May 2, 2011111Oct 3, 2011106Feb 28, 2012217
-10.76%Sep 21, 201867Dec 24, 201872Apr 3, 2019139
-9.82%May 22, 2015191Feb 11, 2016108Jul 12, 2016299

Volatility

Volatility Chart

The current C&M S 60/40 volatility is 1.19%, 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%JulyAugustSeptemberOctoberNovemberDecember
1.19%
2.24%
C&M S 60/40
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.

USD=XSWVXXFLTRTIPLQDAGGIGEIWFIGFIWNEFAIVVIWD
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.00
SWVXX0.001.000.00-0.00-0.01-0.00-0.010.030.010.030.020.030.03
FLTR0.000.001.00-0.020.04-0.000.110.100.100.090.100.100.10
TIP0.00-0.00-0.021.000.710.78-0.03-0.050.06-0.08-0.03-0.07-0.10
LQD0.00-0.010.040.711.000.880.000.120.190.040.110.090.04
AGG0.00-0.00-0.000.780.881.00-0.12-0.040.06-0.10-0.04-0.08-0.12
IGE0.00-0.010.11-0.030.00-0.121.000.510.660.700.640.640.75
IWF0.000.030.10-0.050.12-0.040.511.000.630.690.750.950.77
IGF0.000.010.100.060.190.060.660.631.000.670.810.730.77
IWN0.000.030.09-0.080.04-0.100.700.690.671.000.720.800.88
EFA0.000.020.10-0.030.11-0.040.640.750.810.721.000.810.80
IVV0.000.030.10-0.070.09-0.080.640.950.730.800.811.000.91
IWD0.000.030.10-0.100.04-0.120.750.770.770.880.800.911.00
The correlation results are calculated based on daily price changes starting from Apr 27, 2011
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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