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20-40-40
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VGT 40%SCHD 40%VOO 20%EquityEquity
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend
40%
VGT
Vanguard Information Technology ETF
Technology Equities
40%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 20-40-40, 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


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
17.61%
15.83%
20-40-40
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Oct 30, 2024, the 20-40-40 returned 21.08% Year-To-Date and 15.86% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
20-40-4021.08%2.10%17.61%40.90%17.92%15.86%
VOO
Vanguard S&P 500 ETF
23.64%1.79%16.67%42.02%15.81%13.26%
VGT
Vanguard Information Technology ETF
26.76%4.34%23.72%51.83%23.35%21.01%
SCHD
Schwab US Dividend Equity ETF
13.75%0.01%11.61%29.24%12.61%11.48%

Monthly Returns

The table below presents the monthly returns of 20-40-40, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.20%3.72%3.10%-4.87%5.03%4.00%2.13%1.86%1.70%21.08%
20235.97%-1.57%4.43%-0.12%1.86%5.92%3.47%-1.80%-5.23%-2.64%9.72%5.39%27.25%
2022-5.27%-3.08%3.26%-8.13%1.04%-8.59%8.73%-4.22%-9.56%9.09%6.00%-5.64%-17.33%
2021-0.85%3.57%4.93%4.01%0.88%2.99%2.09%2.84%-4.72%6.45%0.33%4.76%30.32%
20200.81%-8.25%-11.09%13.28%5.58%3.00%5.67%7.91%-3.73%-2.09%12.48%4.23%27.65%
20197.20%5.21%2.65%4.64%-7.87%7.83%2.37%-1.73%2.44%2.48%4.11%3.11%36.46%
20185.96%-2.93%-2.83%-0.39%4.04%0.17%3.58%5.11%0.68%-7.12%1.16%-8.35%-2.07%
20171.88%4.13%1.01%1.24%2.75%-0.95%2.73%1.31%1.84%4.87%2.70%1.07%27.39%
2016-4.24%-0.12%7.48%-1.87%3.01%0.31%4.90%0.85%1.10%-1.20%2.26%1.83%14.68%
2015-3.22%6.54%-2.24%1.02%1.45%-3.29%1.63%-5.68%-1.32%9.38%0.68%-1.84%2.15%
2014-3.42%4.42%0.87%0.52%2.35%2.22%-0.76%3.87%-0.91%2.03%3.74%-0.95%14.57%
20134.13%1.33%3.71%1.83%2.71%-1.90%5.08%-2.20%3.32%4.35%3.04%3.07%32.11%

Expense Ratio

20-40-40 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 VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for SCHD: 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 VOO: 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 20-40-40 is 66, 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 20-40-40 is 6666
Combined Rank
The Sharpe Ratio Rank of 20-40-40 is 6666Sharpe Ratio Rank
The Sortino Ratio Rank of 20-40-40 is 6262Sortino Ratio Rank
The Omega Ratio Rank of 20-40-40 is 6464Omega Ratio Rank
The Calmar Ratio Rank of 20-40-40 is 7474Calmar Ratio Rank
The Martin Ratio Rank of 20-40-40 is 6161Martin 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.


20-40-40
Sharpe ratio
The chart of Sharpe ratio for 20-40-40, currently valued at 3.26, compared to the broader market0.002.004.006.003.26
Sortino ratio
The chart of Sortino ratio for 20-40-40, currently valued at 4.31, compared to the broader market-2.000.002.004.006.004.31
Omega ratio
The chart of Omega ratio for 20-40-40, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for 20-40-40, currently valued at 4.15, compared to the broader market0.005.0010.004.15
Martin ratio
The chart of Martin ratio for 20-40-40, currently valued at 20.18, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.18
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
3.624.771.684.1423.93
VGT
Vanguard Information Technology ETF
2.583.181.443.4912.68
SCHD
Schwab US Dividend Equity ETF
2.713.911.482.5215.22

Sharpe Ratio

The current 20-40-40 Sharpe ratio is 3.26. 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 2.49 to 3.44, 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 20-40-40 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.26
3.43
20-40-40
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

20-40-40 provided a 1.89% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
20-40-401.89%1.95%2.06%1.62%1.90%2.01%2.15%1.80%2.08%2.12%1.87%1.78%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VGT
Vanguard Information Technology ETF
0.61%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

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%MayJuneJulyAugustSeptemberOctober
-0.75%
-0.54%
20-40-40
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 20-40-40. 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 20-40-40 was 32.62%, occurring on Mar 23, 2020. Recovery took 91 trading sessions.

The current 20-40-40 drawdown is 0.75%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.62%Feb 20, 202023Mar 23, 202091Jul 31, 2020114
-25.05%Dec 28, 2021200Oct 12, 2022291Dec 8, 2023491
-19.87%Oct 4, 201856Dec 24, 201859Mar 21, 2019115
-13.33%May 22, 201566Aug 25, 201548Nov 2, 2015114
-12.04%Dec 2, 201549Feb 11, 201632Mar 30, 201681

Volatility

Volatility Chart

The current 20-40-40 volatility is 2.92%, 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%MayJuneJulyAugustSeptemberOctober
2.92%
2.71%
20-40-40
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.

SCHDVGTVOO
SCHD1.000.680.86
VGT0.681.000.89
VOO0.860.891.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011