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Cristian
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 40%IEF 15%DBC 7.5%GLD 7.5%VTI 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DBC
Invesco DB Commodity Index Tracking Fund
Commodities

7.50%

GLD
SPDR Gold Trust
Precious Metals, Gold

7.50%

IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds

15%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

40%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Cristian, 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%NovemberDecember2024FebruaryMarchApril
10.73%
19.37%
Cristian
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 3, 2006, corresponding to the inception date of DBC

Returns By Period

As of Apr 24, 2024, the Cristian returned -1.04% Year-To-Date and 4.86% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
Cristian-1.04%-2.45%10.74%2.65%4.38%4.86%
VTI
Vanguard Total Stock Market ETF
6.01%-3.06%20.57%24.07%12.72%11.99%
DBC
Invesco DB Commodity Index Tracking Fund
6.81%3.65%-0.01%2.86%9.27%-0.38%
GLD
SPDR Gold Trust
12.49%7.33%17.54%16.36%12.30%5.55%
IEF
iShares 7-10 Year Treasury Bond ETF
-3.92%-2.50%3.71%-4.30%-0.99%0.84%
TLT
iShares 20+ Year Treasury Bond ETF
-9.08%-4.95%6.37%-12.42%-4.17%0.20%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.56%0.34%2.43%
2023-5.22%-2.86%7.42%5.53%

Expense Ratio

The Cristian features an expense ratio of 0.19%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VTI: 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 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.


Cristian
Sharpe ratio
The chart of Sharpe ratio for Cristian, currently valued at 0.32, compared to the broader market-1.000.001.002.003.004.005.000.32
Sortino ratio
The chart of Sortino ratio for Cristian, currently valued at 0.53, compared to the broader market0.002.004.006.000.53
Omega ratio
The chart of Omega ratio for Cristian, currently valued at 1.06, compared to the broader market0.801.001.201.401.601.801.06
Calmar ratio
The chart of Calmar ratio for Cristian, currently valued at 0.14, compared to the broader market0.002.004.006.008.000.14
Martin ratio
The chart of Martin ratio for Cristian, currently valued at 0.77, compared to the broader market0.0010.0020.0030.0040.0050.000.77
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF
1.982.851.341.547.69
DBC
Invesco DB Commodity Index Tracking Fund
0.260.451.050.070.61
GLD
SPDR Gold Trust
1.362.071.251.293.69
IEF
iShares 7-10 Year Treasury Bond ETF
-0.46-0.600.94-0.16-0.78
TLT
iShares 20+ Year Treasury Bond ETF
-0.67-0.860.91-0.24-1.10

Sharpe Ratio

The current Cristian Sharpe ratio is 0.32. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.32

The Sharpe ratio of Cristian 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 Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.32
1.92
Cristian
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Cristian granted a 2.81% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Cristian2.81%2.59%1.90%1.09%1.19%1.87%2.10%1.76%1.89%1.92%1.90%2.09%
VTI
Vanguard Total Stock Market ETF
1.41%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
DBC
Invesco DB Commodity Index Tracking Fund
4.63%4.94%0.59%0.00%0.00%1.59%1.30%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%
IEF
iShares 7-10 Year Treasury Bond ETF
3.23%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
TLT
iShares 20+ Year Treasury Bond ETF
3.89%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-13.34%
-3.50%
Cristian
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Cristian. 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 Cristian was 24.28%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current Cristian drawdown is 13.34%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.28%Nov 10, 2021238Oct 20, 2022
-15.56%May 21, 2008123Nov 12, 2008226Oct 7, 2009349
-13.99%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-8.23%Feb 3, 2015237Jan 11, 201684May 11, 2016321
-7.37%May 3, 201337Jun 25, 2013170Feb 27, 2014207

Volatility

Volatility Chart

The current Cristian volatility is 2.25%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.25%
3.58%
Cristian
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.

GLDVTIDBCTLTIEF
GLD1.000.060.350.190.23
VTI0.061.000.35-0.30-0.30
DBC0.350.351.00-0.20-0.17
TLT0.19-0.30-0.201.000.92
IEF0.23-0.30-0.170.921.00