GMP
Global Market Portfolio
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in GMP, 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
Returns
As of Sep 21, 2023, the GMP returned 5.98% Year-To-Date and 4.41% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | 8.51% | 9.93% |
| GMP | 0.91% | 3.28% | 5.98% | 7.30% | 4.21% | 4.41% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 0.13% | 12.30% | 15.20% | 14.72% | 9.51% | 11.37% |
VXUS Vanguard Total International Stock ETF | 1.23% | 4.76% | 8.29% | 15.70% | 3.19% | 3.82% |
BND Vanguard Total Bond Market ETF | 0.40% | -2.89% | 0.29% | -0.05% | 0.34% | 1.25% |
BNDX Vanguard Total International Bond ETF | 0.41% | -0.64% | 2.79% | 1.48% | 0.11% | 1.92% |
TIP iShares TIPS Bond ETF | 0.32% | -2.87% | 0.36% | -1.59% | 2.15% | 1.74% |
DBC Invesco DB Commodity Index Tracking Fund | 5.15% | 10.56% | 2.76% | 2.22% | 8.46% | 0.10% |
GLD SPDR Gold Trust | 2.01% | -2.23% | 5.72% | 15.66% | 9.61% | 3.44% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| DBC | VTI | VXUS | GLD | BNDX | TIP | BND | |
|---|---|---|---|---|---|---|---|
| DBC | 1.00 | 0.33 | 0.40 | 0.22 | -0.07 | 0.10 | -0.06 |
| VTI | 0.33 | 1.00 | 0.82 | -0.02 | -0.04 | -0.04 | -0.07 |
| VXUS | 0.40 | 0.82 | 1.00 | 0.13 | -0.03 | 0.01 | -0.03 |
| GLD | 0.22 | -0.02 | 0.13 | 1.00 | 0.27 | 0.42 | 0.40 |
| BNDX | -0.07 | -0.04 | -0.03 | 0.27 | 1.00 | 0.54 | 0.70 |
| TIP | 0.10 | -0.04 | 0.01 | 0.42 | 0.54 | 1.00 | 0.78 |
| BND | -0.06 | -0.07 | -0.03 | 0.40 | 0.70 | 0.78 | 1.00 |
Dividend yield
GMP granted a 2.24% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GMP | 2.24% | 2.12% | 2.47% | 1.60% | 2.83% | 2.90% | 2.38% | 2.41% | 2.35% | 2.57% | 2.19% | 2.27% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.90% | 1.68% | 1.25% | 1.48% | 1.88% | 2.21% | 1.88% | 2.15% | 2.27% | 2.06% | 2.07% | 2.58% |
VXUS Vanguard Total International Stock ETF | 3.02% | 3.15% | 3.25% | 2.32% | 3.40% | 3.64% | 3.23% | 3.56% | 3.54% | 4.37% | 3.58% | 4.04% |
BND Vanguard Total Bond Market ETF | 3.00% | 2.65% | 2.06% | 2.36% | 2.97% | 3.15% | 2.93% | 2.97% | 3.12% | 3.46% | 3.56% | 4.26% |
BNDX Vanguard Total International Bond ETF | 1.98% | 1.53% | 3.84% | 1.18% | 3.67% | 3.35% | 2.56% | 2.22% | 1.94% | 1.87% | 1.07% | 0.00% |
TIP iShares TIPS Bond ETF | 2.42% | 7.09% | 4.64% | 1.32% | 2.01% | 3.16% | 2.49% | 1.81% | 0.42% | 2.08% | 1.45% | 2.84% |
DBC Invesco DB Commodity Index Tracking Fund | 0.57% | 0.59% | 0.00% | 0.00% | 1.60% | 1.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Expense Ratio
The GMP features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.83 | ||||
VXUS Vanguard Total International Stock ETF | 0.85 | ||||
BND Vanguard Total Bond Market ETF | -0.07 | ||||
BNDX Vanguard Total International Bond ETF | 0.14 | ||||
TIP iShares TIPS Bond ETF | -0.22 | ||||
DBC Invesco DB Commodity Index Tracking Fund | 0.12 | ||||
GLD SPDR Gold Trust | 1.05 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the GMP. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the GMP is 17.81%, recorded on Oct 14, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.81% | Nov 10, 2021 | 234 | Oct 14, 2022 | — | — | — |
| -17.49% | Feb 20, 2020 | 20 | Mar 18, 2020 | 86 | Jul 21, 2020 | 106 |
| -10.54% | Apr 29, 2015 | 184 | Jan 20, 2016 | 122 | Jul 14, 2016 | 306 |
| -8.76% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
| -4.35% | Aug 28, 2014 | 35 | Oct 16, 2014 | 116 | Apr 6, 2015 | 151 |
Volatility Chart
The current GMP volatility is 1.57%, 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.