AA1
공분산이 낮은 자산군들을 배치한 자산배분 포트폴리오
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AA1, 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
The earliest data available for this chart is May 11, 2020, corresponding to the inception date of SIXH
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| AA1 | 9.00% | -0.45% | 8.30% | 11.97% | N/A | N/A |
| Portfolio components: | ||||||
NTSX WisdomTree U.S. Efficient Core Fund | 11.53% | -1.07% | 9.47% | 17.37% | 10.72% | N/A |
VEA Vanguard FTSE Developed Markets ETF | 5.14% | 0.71% | 6.18% | 8.74% | 6.76% | 4.63% |
VWO Vanguard FTSE Emerging Markets ETF | 5.71% | -0.98% | 8.19% | 6.53% | 3.41% | 2.43% |
DBMF iM DBi Managed Futures Strategy ETF | 14.36% | -2.93% | 10.96% | 10.44% | 8.62% | N/A |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 8.66% | 1.11% | 5.75% | 14.62% | N/A | N/A |
VNQ Vanguard Real Estate ETF | 1.73% | 6.97% | 5.82% | 8.37% | 3.80% | 5.59% |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 1.03% | -3.74% | 0.31% | -4.60% | 6.17% | N/A |
Monthly Returns
The table below presents the monthly returns of AA1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.17% | 3.05% | 2.99% | -1.67% | 2.90% | 2.01% | 9.00% | ||||||
| 2023 | 4.97% | -3.50% | 0.79% | 1.03% | -1.55% | 4.31% | 2.55% | -2.21% | -2.66% | -2.43% | 5.86% | 3.51% | 10.56% |
| 2022 | -2.98% | -1.39% | 2.76% | -3.24% | -0.33% | -4.91% | 4.31% | -2.89% | -7.28% | 3.84% | 4.80% | -3.27% | -10.86% |
| 2021 | -0.06% | 2.29% | 2.61% | 4.00% | 1.89% | 1.33% | 1.16% | 1.18% | -3.26% | 4.47% | -2.16% | 3.25% | 17.69% |
| 2020 | 2.63% | 1.78% | 4.95% | 3.49% | -2.49% | -1.70% | 7.95% | 3.98% | 22.06% |
Expense Ratio
AA1 features an expense ratio of 0.32%, 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
Risk-Adjusted Performance Rank
The current rank of AA1 is 32, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
NTSX WisdomTree U.S. Efficient Core Fund | 1.30 | 1.88 | 1.23 | 0.69 | 4.36 |
VEA Vanguard FTSE Developed Markets ETF | 0.68 | 1.04 | 1.12 | 0.51 | 2.02 |
VWO Vanguard FTSE Emerging Markets ETF | 0.45 | 0.74 | 1.09 | 0.22 | 1.22 |
DBMF iM DBi Managed Futures Strategy ETF | 0.98 | 1.41 | 1.17 | 0.59 | 2.64 |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 2.23 | 3.43 | 1.45 | 3.57 | 16.08 |
VNQ Vanguard Real Estate ETF | 0.35 | 0.64 | 1.08 | 0.19 | 0.90 |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | -0.50 | -0.61 | 0.93 | -0.24 | -1.25 |
Dividends
Dividend yield
AA1 granted a 2.70% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AA1 | 2.70% | 2.54% | 4.40% | 4.39% | 1.47% | 3.60% | 1.52% | 1.31% | 1.17% | 1.17% | 1.17% | 1.10% |
| Portfolio components: | ||||||||||||
NTSX WisdomTree U.S. Efficient Core Fund | 1.14% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VEA Vanguard FTSE Developed Markets ETF | 3.36% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
VWO Vanguard FTSE Emerging Markets ETF | 3.24% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
DBMF iM DBi Managed Futures Strategy ETF | 4.00% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SIXH 6 Meridian Hedged Equity-Index Option Strategy ETF | 1.63% | 2.04% | 2.06% | 1.65% | 1.10% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 4.04% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 3.89% | 3.93% | 19.98% | 19.43% | 0.68% | 1.47% | 1.13% | 5.02% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the AA1. 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 AA1 was 15.99%, occurring on Oct 14, 2022. Recovery took 331 trading sessions.
The current AA1 drawdown is 3.21%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.99% | Nov 17, 2021 | 229 | Oct 14, 2022 | 331 | Feb 9, 2024 | 560 |
| -6.33% | Sep 3, 2020 | 14 | Sep 23, 2020 | 35 | Nov 11, 2020 | 49 |
| -4.88% | Jun 9, 2020 | 3 | Jun 11, 2020 | 20 | Jul 10, 2020 | 23 |
| -4.34% | Sep 7, 2021 | 20 | Oct 4, 2021 | 15 | Oct 25, 2021 | 35 |
| -3.94% | Feb 17, 2021 | 12 | Mar 4, 2021 | 21 | Apr 5, 2021 | 33 |
Volatility
Volatility Chart
The current AA1 volatility is 2.65%, 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.
Diversification
Asset Correlations Table
| DBMF | BCI | SIXH | VNQ | VWO | NTSX | VEA | |
|---|---|---|---|---|---|---|---|
| DBMF | 1.00 | 0.18 | 0.04 | -0.06 | 0.06 | -0.02 | 0.06 |
| BCI | 0.18 | 1.00 | 0.24 | 0.20 | 0.36 | 0.24 | 0.38 |
| SIXH | 0.04 | 0.24 | 1.00 | 0.46 | 0.34 | 0.45 | 0.51 |
| VNQ | -0.06 | 0.20 | 0.46 | 1.00 | 0.46 | 0.68 | 0.63 |
| VWO | 0.06 | 0.36 | 0.34 | 0.46 | 1.00 | 0.61 | 0.77 |
| NTSX | -0.02 | 0.24 | 0.45 | 0.68 | 0.61 | 1.00 | 0.75 |
| VEA | 0.06 | 0.38 | 0.51 | 0.63 | 0.77 | 0.75 | 1.00 |