Analysis
VBINX vs MAPSA Diversifying a Couch Potato Portfolio
VBINX does not provide any diversification advantages. MAPSA reduces downside risk by 1.8 (18.4%) percentage points while increasing annual returns by 0.4 (22.2%) percentage points.
Winner: Diversifying a Couch Potato Portfolio with a 60% allocation to MAPSA provides the best risk based returns.
Winner: Diversifying a Couch Potato Portfolio with a 60% allocation to MAPSA provides the best risk based returns.
Returns
Ulcer impact
| Statistic | Couch Potato | VBINX Optimal | MAPSA Optimal |
|---|---|---|---|
| Value Per 10K | $10,387 | $10,387 | $10,474 |
| Total Returns | 3.87% | 3.87% | 4.74% |
| Annual Returns | 1.58% | 1.58% | 1.93% |
| Standard Deviation | 11.47% | 11.47% | 9.50% |
| Downside Deviation | 8.33% | 8.33% | 6.53% |
| Max Drawdown | -19.82% | -19.82% | -15.49% |
| Recovery Time | Ongoing | Ongoing | Ongoing |
| Ulcer Index | 9.69% | 9.69% | 7.90% |
| Sharpe Ratio | 0.14 | 0.14 | 0.20 |
| Sortino Ratio | 0.19 | 0.19 | 0.30 |
| Ulcer Perf. Index | 0.16 | 0.16 | 0.24 |
| Beta | 0.63 | 0.63 | 0.44 |
| Downside Beta | 0.66 | 0.66 | 0.38 |
| Jensen's Alpha | -2.84% | -2.84% | -1.13% |
| Mac's Alpha | -3.06% | -3.06% | -0.72% |
Diversification Optimization
VBINX Diversification
| Statistic | 0% VBINX | 20% VBINX | 40% VBINX | 60% VBINX | 80% VBINX | 100% VBINX |
|---|---|---|---|---|---|---|
| Value Per 10K | $10,387 | $10,367 | $10,347 | $10,326 | $10,305 | $10,284 |
| Total Returns | 3.87% | 3.67% | 3.47% | 3.26% | 3.05% | 2.84% |
| Annual Returns | 1.58% | 1.50% | 1.42% | 1.34% | 1.25% | 1.17% |
| Standard Deviation | 11.47% | 11.68% | 11.89% | 12.12% | 12.34% | 12.57% |
| Downside Deviation | 8.33% | 8.49% | 8.65% | 8.82% | 8.98% | 9.15% |
| Max Drawdown | -19.82% | -20.18% | -20.54% | -20.89% | -21.25% | -21.61% |
| Recovery Time | Ongoing | Ongoing | Ongoing | Ongoing | Ongoing | Ongoing |
| Ulcer Index | 9.69% | 9.92% | 10.15% | 10.39% | 10.62% | 10.86% |
| Sharpe Ratio | 0.14 | 0.13 | 0.12 | 0.11 | 0.10 | 0.09 |
| Sortino Ratio | 0.19 | 0.18 | 0.16 | 0.15 | 0.14 | 0.13 |
| Ulcer Perf. Index | 0.16 | 0.15 | 0.14 | 0.13 | 0.12 | 0.11 |
| Beta | 0.63 | 0.65 | 0.66 | 0.67 | 0.69 | 0.70 |
| Downside Beta | 0.66 | 0.68 | 0.69 | 0.71 | 0.72 | 0.73 |
| Jensen's Alpha | -2.84% | -3.01% | -3.19% | -3.37% | -3.54% | -3.72% |
| Mac's Alpha | -3.06% | -3.23% | -3.41% | -3.59% | -3.78% | -3.96% |
MAPSA Diversification
| Statistic | 0% MAPSA | 20% MAPSA | 40% MAPSA | 60% MAPSA | 80% MAPSA | 100% MAPSA |
|---|---|---|---|---|---|---|
| Value Per 10K | $10,387 | $10,424 | $10,453 | $10,474 | $10,487 | $10,493 |
| Total Returns | 3.87% | 4.24% | 4.53% | 4.74% | 4.87% | 4.93% |
| Annual Returns | 1.58% | 1.73% | 1.85% | 1.93% | 1.99% | 2.01% |
| Standard Deviation | 11.47% | 10.39% | 9.70% | 9.50% | 9.83% | 10.62% |
| Downside Deviation | 8.33% | 7.54% | 6.93% | 6.53% | 6.39% | 6.61% |
| Max Drawdown | -19.82% | -17.58% | -16.29% | -15.49% | -16.54% | -17.66% |
| Recovery Time | Ongoing | Ongoing | Ongoing | Ongoing | Ongoing | Ongoing |
| Ulcer Index | 9.69% | 8.40% | 7.98% | 7.90% | 9.21% | 10.67% |
| Sharpe Ratio | 0.14 | 0.17 | 0.19 | 0.20 | 0.20 | 0.19 |
| Sortino Ratio | 0.19 | 0.23 | 0.27 | 0.30 | 0.31 | 0.30 |
| Ulcer Perf. Index | 0.16 | 0.21 | 0.23 | 0.24 | 0.22 | 0.19 |
| Beta | 0.63 | 0.57 | 0.50 | 0.44 | 0.37 | 0.31 |
| Downside Beta | 0.66 | 0.57 | 0.47 | 0.38 | 0.28 | 0.19 |
| Jensen's Alpha | -2.84% | -2.24% | -1.67% | -1.13% | -0.61% | -0.13% |
| Mac's Alpha | -3.06% | -2.25% | -1.47% | -0.72% | 0.00% | 0.69% |
2021-04-01 - 2023-09-01
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