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60/40

Last updated Mar 2, 2024

Asset Allocation


TLT 40%VTI 60%BondBondEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

40%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

60%

S&P 500

Performance

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


400.00%450.00%500.00%550.00%OctoberNovemberDecember2024FebruaryMarch
543.38%
502.35%
60/40
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2002, corresponding to the inception date of TLT

Returns

As of Mar 2, 2024, the 60/40 returned 2.95% Year-To-Date and 8.20% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
60/402.95%1.92%9.27%14.17%8.05%8.23%
VTI
Vanguard Total Stock Market ETF
7.45%3.96%14.35%27.20%14.06%11.98%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.36%1.54%-3.93%-2.48%1.23%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.22%2.36%
2023-2.40%-6.00%-3.77%9.62%6.63%

Sharpe Ratio

The current 60/40 Sharpe ratio is 1.44. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.44

The Sharpe ratio of 60/40 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.44
2.44
60/40
Benchmark (^GSPC)
Portfolio components

Dividend yield

60/40 granted a 2.25% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
60/402.25%2.22%2.07%1.33%1.45%1.97%2.28%2.00%2.19%2.23%2.13%2.35%
VTI
Vanguard Total Stock Market ETF
1.34%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Expense Ratio

The 60/40 has an expense ratio of 0.08% which is considered to be low. 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%0.15%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
60/40
1.44
VTI
Vanguard Total Stock Market ETF
2.31
TLT
iShares 20+ Year Treasury Bond ETF
-0.14

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

TLTVTI
TLT1.00-0.29
VTI-0.291.00

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-9.72%
0
60/40
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 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 60/40 was 30.25%, occurring on Mar 9, 2009. Recovery took 353 trading sessions.

The current 60/40 drawdown is 9.72%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.25%Oct 30, 2007341Mar 9, 2009353Aug 2, 2010694
-28.39%Nov 10, 2021238Oct 20, 2022
-18.76%Feb 21, 202019Mar 18, 202048May 27, 202067
-11.07%Aug 30, 201880Dec 24, 201856Mar 18, 2019136
-9.23%Aug 23, 200233Oct 9, 2002133Apr 22, 2003166

Volatility Chart

The current 60/40 volatility is 3.49%, 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%OctoberNovemberDecember2024FebruaryMarch
3.49%
3.47%
60/40
Benchmark (^GSPC)
Portfolio components
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