PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AA1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


DBMF 20%BCI 5%VWO 13%VEA 12%NTSX 35%SIXH 5%VNQ 10%AlternativesAlternativesCommodityCommodityEquityEquityMulti-AssetMulti-AssetReal EstateReal Estate
PositionCategory/SectorWeight
BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF

5%

DBMF
iM DBi Managed Futures Strategy ETF

20%

NTSX
WisdomTree U.S. Efficient Core Fund
Diversified Portfolio, Actively Managed

35%

SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
Actively Managed, Volatility Hedged Equity

5%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

12%

VNQ
Vanguard Real Estate ETF
REIT

10%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

13%

S&P 500

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


30.00%40.00%50.00%60.00%70.00%80.00%NovemberDecember2024FebruaryMarchApril
46.11%
69.52%
AA1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 11, 2020, corresponding to the inception date of SIXH

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
AA13.20%-2.46%12.77%11.16%N/AN/A
NTSX
WisdomTree U.S. Efficient Core Fund
2.19%-5.72%18.50%15.58%10.15%N/A
VEA
Vanguard FTSE Developed Markets ETF
0.49%-4.16%15.67%6.82%5.80%4.45%
VWO
Vanguard FTSE Emerging Markets ETF
-0.42%-1.73%10.31%6.09%1.66%2.86%
DBMF
iM DBi Managed Futures Strategy ETF
14.22%3.45%4.66%13.82%N/AN/A
SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
6.30%-0.04%10.98%11.94%N/AN/A
VNQ
Vanguard Real Estate ETF
-9.83%-6.59%11.41%-0.01%2.17%5.01%
BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
5.99%4.64%-0.34%2.29%6.50%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.17%3.05%2.99%
2023-2.66%-2.43%5.86%3.51%

Expense Ratio

The AA1 has a high expense ratio of 0.32%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.87%
0.50%1.00%1.50%2.00%0.85%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.05%

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.


AA1
Sharpe ratio
The chart of Sharpe ratio for AA1, currently valued at 1.21, compared to the broader market-1.000.001.002.003.004.001.21
Sortino ratio
The chart of Sortino ratio for AA1, currently valued at 1.78, compared to the broader market-2.000.002.004.006.001.78
Omega ratio
The chart of Omega ratio for AA1, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for AA1, currently valued at 0.94, compared to the broader market0.002.004.006.008.000.94
Martin ratio
The chart of Martin ratio for AA1, currently valued at 4.17, compared to the broader market0.0010.0020.0030.0040.004.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NTSX
WisdomTree U.S. Efficient Core Fund
1.221.801.210.643.92
VEA
Vanguard FTSE Developed Markets ETF
0.570.891.110.431.74
VWO
Vanguard FTSE Emerging Markets ETF
0.360.611.070.181.02
DBMF
iM DBi Managed Futures Strategy ETF
1.462.031.260.743.51
SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
1.842.791.372.369.74
VNQ
Vanguard Real Estate ETF
-0.050.061.01-0.03-0.15
BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
0.060.171.020.030.15

Sharpe Ratio

The current AA1 Sharpe ratio is 1.21. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.21

The Sharpe ratio of AA1 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 Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.21
1.66
AA1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

AA1 granted a 2.63% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
AA12.63%2.54%4.40%4.39%1.47%3.60%1.52%1.31%1.17%1.17%1.17%1.10%
NTSX
WisdomTree U.S. Efficient Core Fund
1.20%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
3.42%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
3.56%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
3.10%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
1.78%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
4.37%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
3.71%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.52%
-5.46%
AA1
Benchmark (^GSPC)
Portfolio components

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 3.52%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.99%Nov 17, 2021229Oct 14, 2022331Feb 9, 2024560
-6.33%Sep 3, 202014Sep 23, 202035Nov 11, 202049
-4.88%Jun 9, 20203Jun 11, 202020Jul 10, 202023
-4.34%Sep 7, 202120Oct 4, 202115Oct 25, 202135
-3.94%Feb 17, 202112Mar 4, 202121Apr 5, 202133

Volatility

Volatility Chart

The current AA1 volatility is 2.50%, 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
2.50%
3.15%
AA1
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.

DBMFBCISIXHVNQVWONTSXVEA
DBMF1.000.160.04-0.050.06-0.020.06
BCI0.161.000.250.200.350.230.37
SIXH0.040.251.000.460.350.480.52
VNQ-0.050.200.461.000.460.700.64
VWO0.060.350.350.461.000.620.78
NTSX-0.020.230.480.700.621.000.76
VEA0.060.370.520.640.780.761.00