PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Vgsh/DGRO/VIG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGSH 10%VIG 45%DGRO 45%BondBondEquityEquity
PositionCategory/SectorWeight
DGRO
iShares Core Dividend Growth ETF
Large Cap Growth Equities, Dividend
45%
VGSH
Vanguard Short-Term Treasury ETF
Government Bonds
10%
VIG
Vanguard Dividend Appreciation ETF
Large Cap Growth Equities, Dividend
45%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Vgsh/DGRO/VIG, 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%JuneJulyAugustSeptemberOctoberNovember
9.68%
10.58%
Vgsh/DGRO/VIG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2014, corresponding to the inception date of DGRO

Returns By Period

As of Nov 2, 2024, the Vgsh/DGRO/VIG returned 15.18% Year-To-Date and 10.81% 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%-0.39%11.72%31.44%13.30%10.96%
Vgsh/DGRO/VIG15.18%-1.03%9.68%24.37%11.00%10.72%
VIG
Vanguard Dividend Appreciation ETF
15.99%-1.12%10.54%25.98%12.31%11.61%
DGRO
iShares Core Dividend Growth ETF
17.08%-1.12%10.31%27.30%11.59%11.75%
VGSH
Vanguard Short-Term Treasury ETF
3.38%-0.21%3.04%5.18%1.28%1.27%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.16%2.88%3.06%-3.53%2.88%0.94%4.01%2.96%1.42%-1.47%15.18%
20232.57%-2.55%1.35%1.87%-2.87%5.36%2.60%-1.90%-3.72%-1.81%6.65%4.19%11.68%
2022-3.92%-2.42%2.26%-4.72%0.72%-5.91%5.90%-3.22%-7.53%9.05%6.20%-3.44%-8.26%
2021-2.02%1.92%5.93%3.35%1.62%-0.26%2.63%1.77%-4.28%5.67%-1.28%5.97%22.46%
2020-0.36%-7.74%-9.84%9.66%3.30%0.20%4.19%4.98%-1.65%-1.96%9.97%2.60%11.94%
20195.68%3.79%1.05%3.39%-4.63%6.15%1.64%-0.27%2.02%0.93%2.63%2.17%26.96%
20184.39%-3.58%-1.80%-0.46%1.55%0.20%4.42%2.57%1.04%-5.27%3.56%-7.54%-1.74%
20171.29%4.10%-0.04%1.22%1.23%0.72%0.86%0.03%2.24%1.90%3.90%1.19%20.20%
2016-2.48%0.88%5.57%0.40%1.14%1.62%2.36%-0.08%-0.82%-1.53%3.46%1.40%12.30%
2015-3.12%4.84%-1.71%-0.03%1.00%-2.25%1.85%-5.27%-1.52%6.61%0.12%-1.01%-1.07%
20141.26%-2.55%3.44%-0.87%2.53%2.80%0.23%6.88%

Expense Ratio

Vgsh/DGRO/VIG has an expense ratio of 0.07%, 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 DGRO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for VIG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VGSH: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Vgsh/DGRO/VIG 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.


The Risk-Adjusted Performance Rank of Vgsh/DGRO/VIG is 8585
Combined Rank
The Sharpe Ratio Rank of Vgsh/DGRO/VIG is 8787Sharpe Ratio Rank
The Sortino Ratio Rank of Vgsh/DGRO/VIG is 8989Sortino Ratio Rank
The Omega Ratio Rank of Vgsh/DGRO/VIG is 8888Omega Ratio Rank
The Calmar Ratio Rank of Vgsh/DGRO/VIG is 7878Calmar Ratio Rank
The Martin Ratio Rank of Vgsh/DGRO/VIG is 8585Martin 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.


Vgsh/DGRO/VIG
Sharpe ratio
The chart of Sharpe ratio for Vgsh/DGRO/VIG, currently valued at 3.13, compared to the broader market0.002.004.003.13
Sortino ratio
The chart of Sortino ratio for Vgsh/DGRO/VIG, currently valued at 4.44, compared to the broader market-2.000.002.004.006.004.44
Omega ratio
The chart of Omega ratio for Vgsh/DGRO/VIG, currently valued at 1.59, compared to the broader market0.801.001.201.401.601.802.001.59
Calmar ratio
The chart of Calmar ratio for Vgsh/DGRO/VIG, currently valued at 4.26, compared to the broader market0.002.004.006.008.0010.0012.0014.004.26
Martin ratio
The chart of Martin ratio for Vgsh/DGRO/VIG, currently valued at 21.19, compared to the broader market0.0010.0020.0030.0040.0050.0021.19
^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 market0.801.001.201.401.601.802.001.54
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
VIG
Vanguard Dividend Appreciation ETF
2.954.101.554.9819.44
DGRO
iShares Core Dividend Growth ETF
3.204.511.593.6221.80
VGSH
Vanguard Short-Term Treasury ETF
2.844.621.612.2116.91

Sharpe Ratio

The current Vgsh/DGRO/VIG Sharpe ratio is 3.13. 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 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 Vgsh/DGRO/VIG 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.13
2.88
Vgsh/DGRO/VIG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Vgsh/DGRO/VIG provided a 2.20% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.20%2.28%2.05%1.63%1.94%1.99%2.21%1.87%2.07%2.26%1.36%0.86%
VIG
Vanguard Dividend Appreciation ETF
1.75%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
DGRO
iShares Core Dividend Growth ETF
2.22%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%0.00%
VGSH
Vanguard Short-Term Treasury ETF
4.15%3.31%1.15%0.66%1.74%2.28%1.79%1.10%0.82%0.71%0.46%0.34%

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%JuneJulyAugustSeptemberOctoberNovember
-2.86%
-2.32%
Vgsh/DGRO/VIG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Vgsh/DGRO/VIG. 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 Vgsh/DGRO/VIG was 29.88%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current Vgsh/DGRO/VIG drawdown is 2.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.88%Feb 18, 202025Mar 23, 2020111Aug 28, 2020136
-18.37%Jan 5, 2022186Sep 30, 2022302Dec 13, 2023488
-15.19%Sep 24, 201864Dec 24, 201866Apr 1, 2019130
-10.41%May 19, 201569Aug 25, 2015142Mar 18, 2016211
-8.97%Jan 29, 20189Feb 8, 2018132Aug 17, 2018141

Volatility

Volatility Chart

The current Vgsh/DGRO/VIG volatility is 2.48%, 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%JuneJulyAugustSeptemberOctoberNovember
2.48%
3.23%
Vgsh/DGRO/VIG
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.

VGSHVIGDGRO
VGSH1.00-0.10-0.14
VIG-0.101.000.96
DGRO-0.140.961.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2014