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GMP

Last updated Sep 21, 2023

Global Market Portfolio

Asset Allocation


BNDX 27%BND 20%TIP 2%DBC 7%GLD 3%VXUS 21%VTI 20%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BNDX
Vanguard Total International Bond ETF
Total Bond Market27%
BND
Vanguard Total Bond Market ETF
Total Bond Market20%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds2%
DBC
Invesco DB Commodity Index Tracking Fund
Commodities7%
GLD
SPDR Gold Trust
Precious Metals, Gold3%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities21%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities20%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
2.92%
11.49%
GMP
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%8.51%9.93%
GMP0.91%3.28%5.98%7.30%4.21%4.41%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

DBCVTIVXUSGLDBNDXTIPBND
DBC1.000.330.400.22-0.070.10-0.06
VTI0.331.000.82-0.02-0.04-0.04-0.07
VXUS0.400.821.000.13-0.030.01-0.03
GLD0.22-0.020.131.000.270.420.40
BNDX-0.07-0.04-0.030.271.000.540.70
TIP0.10-0.040.010.420.541.000.78
BND-0.06-0.07-0.030.400.700.781.00

Sharpe Ratio

The current GMP Sharpe ratio is 0.80. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.80

The Sharpe ratio of GMP lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.80
0.82
GMP
Benchmark (^GSPC)
Portfolio components

Dividend yield

GMP granted a 2.24% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
GMP2.24%2.12%2.47%1.60%2.83%2.90%2.38%2.41%2.35%2.57%2.19%2.27%
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.


0.85%
0.00%2.15%
0.40%
0.00%2.15%
0.19%
0.00%2.15%
0.07%
0.00%2.15%
0.03%
0.00%2.15%

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
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.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-7.80%
-8.22%
GMP
Benchmark (^GSPC)
Portfolio components

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, 2021234Oct 14, 2022
-17.49%Feb 20, 202020Mar 18, 202086Jul 21, 2020106
-10.54%Apr 29, 2015184Jan 20, 2016122Jul 14, 2016306
-8.76%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-4.35%Aug 28, 201435Oct 16, 2014116Apr 6, 2015151

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.


1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
1.57%
3.27%
GMP
Benchmark (^GSPC)
Portfolio components