New Diversification Testing Tool
In a volatile market proper diversification is critical to minimizing risk while reaching your long term goals. How well does VBINX diversify your portfolio?
VBINX Summary
| Fund Family | Vanguard |
| Category | Allocation--50% to 70% Equity |
| Structure | NA |
| Inception Date | 1992-11-09 |
| Expense Ratio | NA |
| Yield | NA |
| Net Assets | 60.20B |
| Avg. Volume | NA |
Protect
We measure a funds ability to protect on the downside by comparing various downside specific risk measures. First, and perhaps most important, is largest drawdown. We also look at downside deviation and downside beta, both of which are measured relative to the S&P 500. These guages provide an investor with a material expectation of how the fund should perform if the broad market declines.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|---|---|---|
| Max Drawdown | -12.54% | -22.78% | -22.78% |
| Recovery Time | Ongoing | 152 days | 152 days |
| Downside Deviation | 9.54% | 8.08% | 7.06% |
| Downside Beta | 0.80 | 0.72 | 0.70 |
Participate
Beta is a widely used calculation to determine how correlated a security is to the S&P 500. We also look to the Treynor Ratio to measure upside alpha plus we integrate upside beta. Upside Beta measures how well a fund participates when the market is going up.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|---|---|---|
| Beta | 0.67 | 0.65 | 0.64 |
| Treynor Ratio | -8.07% | 12.52% | 13.05% |
| Standard Deviation | 11.04% | 12.23% | 10.62% |
| Upside Beta | 0.50 | 0.68 | 0.65 |
Perform
We measure relative performance by simply comparing annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe ratio but prefer risk-adjusted ratios such as Jenson's Alpha and our own proprietary tool, Mac's Alpha. Ultimately, performance is the most critical variable in fund selection so we takea much deeper dive into this measure.
| Statistic | 1 Year | 3 Years | 5 Years |
|---|---|---|---|
| Annual Returns | -5.40% | 8.09% | 8.34% |
| Jensen's Alpha | -5.42% | -0.80% | -0.33% |
| Sharpe Ratio | -0.49 | 0.66 | 0.78 |
| Sortino Ratio | -0.57 | 1.00 | 1.18 |
Comparison
Returns
Ulcer impact
| Statistic | VBINX | AOM | MAPSA |
|---|---|---|---|
| Value Per 10K | $12,630 | $11,228 | $13,909 |
| Total Returns | 26.30% | 12.28% | 39.09% |
| Annual Returns | 8.09% | 3.94% | 11.63% |
| Standard Deviation | 12.23% | 8.29% | 10.68% |
| Downside Deviation | 8.08% | 5.84% | 4.75% |
| Max Drawdown | -22.78% | -16.90% | -11.49% |
| Recovery Time | 152 days | 152 days | 314 days |
| Ulcer Index | 4.36% | 3.39% | 4.26% |
| Sharpe Ratio | 0.66 | 0.47 | 1.09 |
| Sortino Ratio | 1.00 | 0.67 | 2.45 |
| Ulcer Perf. Index | 1.86 | 1.16 | 2.73 |
| Beta | 0.65 | 0.42 | 0.28 |
| Downside Beta | 0.72 | 0.50 | 0.12 |
| Treynor Ratio | 0.13 | 0.09 | 0.42 |
| Jensen's Alpha | -0.80% | -1.86% | 7.81% |
| Mac's Alpha | -1.79% | -3.00% | 9.97% |
Free Risk Profile Assessment
Risk management is a critical factor in creating long-term financial security, especially for those in retirement. Too often bear markets can sabotage a lifetime of savings. And quantifying risk using yesterday’s data is too often insufficient.
For an extensive, forward-looking risk assessment profile for your investment account, fill out the form and we’ll contact you soon. Our report will answer the following:
- Does my portfolio match my level of risk aversion?
- Do my investments properly account for sequence of return risk?
- What is my interest rate risk exposure?
- What is my downside risk if the S&P 500 falls 50%?
- Is my portfolio adequately hedged for inflation?
- What is the upside expectation for my portfolio when the S&P 500 appreciates?
- How will my portfolio react in various economic climates?
- Are there more effective ways to hedge risk than my current approach?