McClellan
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in McClellan, 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 21, 2020, corresponding to the inception date of JEPI
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.72% | 2.30% | 12.31% | 32.12% | 13.81% | 11.31% |
| McClellan | 5.91% | -1.25% | 4.01% | 12.15% | N/A | N/A |
| Portfolio components: | ||||||
DBLIX DoubleLine Income Fund | 8.75% | 0.04% | 4.03% | 13.19% | 0.86% | N/A |
EWC iShares MSCI Canada ETF | 15.80% | 1.45% | 10.90% | 25.54% | 9.59% | 5.60% |
AAXJ iShares MSCI All Country Asia ex-Japan ETF | 10.79% | -4.77% | 0.88% | 13.42% | 2.76% | 3.60% |
JEPI JPMorgan Equity Premium Income ETF | 15.42% | 1.00% | 8.34% | 18.87% | N/A | N/A |
VXUS Vanguard Total International Stock ETF | 6.19% | -4.06% | -1.01% | 13.19% | 5.31% | 4.92% |
VTI Vanguard Total Stock Market ETF | 25.21% | 2.68% | 13.00% | 33.95% | 14.97% | 12.80% |
TLT iShares 20+ Year Treasury Bond ETF | -5.60% | -4.51% | 0.12% | 6.12% | -5.81% | -0.28% |
BND Vanguard Total Bond Market ETF | 1.52% | -1.85% | 2.51% | 7.09% | -0.27% | 1.40% |
BNDX Vanguard Total International Bond ETF | 2.97% | -0.24% | 3.28% | 7.61% | -0.04% | 2.01% |
VTC Vanguard Total Corporate Bond ETF | 2.36% | -1.98% | 3.13% | 9.34% | 0.44% | N/A |
FXY Invesco CurrencyShares® Japanese Yen Trust | -10.30% | -4.57% | -0.87% | -3.66% | -7.56% | -3.43% |
Monthly Returns
The table below presents the monthly returns of McClellan, 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 | -0.24% | 0.25% | 1.57% | -2.50% | 2.07% | 0.84% | 2.33% | 1.69% | 1.87% | -2.09% | 5.91% | ||
| 2023 | 3.98% | -2.93% | 2.52% | 0.55% | -1.37% | 1.26% | 0.83% | -0.98% | -2.98% | -1.94% | 5.55% | 4.13% | 8.51% |
| 2022 | -2.50% | -1.51% | -1.75% | -4.77% | -0.15% | -2.92% | 2.86% | -2.84% | -5.90% | 0.09% | 5.21% | -1.41% | -14.97% |
| 2021 | -0.46% | -0.65% | 0.11% | 1.57% | 0.77% | 1.33% | 1.24% | 0.39% | -1.99% | 1.50% | -0.28% | 0.84% | 4.39% |
| 2020 | 1.12% | 2.10% | 3.74% | 0.17% | -0.29% | -0.72% | 3.66% | 1.61% | 11.86% |
Expense Ratio
McClellan has an expense ratio of 0.26%, which is considered low compared to other funds. 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 McClellan is 31, 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 | |
|---|---|---|---|---|---|
DBLIX DoubleLine Income Fund | 6.03 | 11.70 | 3.02 | 1.50 | 84.02 |
EWC iShares MSCI Canada ETF | 1.94 | 2.67 | 1.34 | 1.92 | 13.52 |
AAXJ iShares MSCI All Country Asia ex-Japan ETF | 0.85 | 1.29 | 1.16 | 0.41 | 4.06 |
JEPI JPMorgan Equity Premium Income ETF | 2.70 | 3.76 | 1.54 | 4.87 | 19.06 |
VXUS Vanguard Total International Stock ETF | 1.05 | 1.52 | 1.19 | 1.11 | 5.75 |
VTI Vanguard Total Stock Market ETF | 2.76 | 3.68 | 1.51 | 4.00 | 17.66 |
TLT iShares 20+ Year Treasury Bond ETF | 0.31 | 0.54 | 1.06 | 0.10 | 0.76 |
BND Vanguard Total Bond Market ETF | 1.14 | 1.66 | 1.20 | 0.43 | 3.87 |
BNDX Vanguard Total International Bond ETF | 1.81 | 2.73 | 1.32 | 0.66 | 6.57 |
VTC Vanguard Total Corporate Bond ETF | 1.46 | 2.16 | 1.26 | 0.56 | 5.62 |
FXY Invesco CurrencyShares® Japanese Yen Trust | -0.41 | -0.55 | 0.94 | -0.12 | -0.64 |
Dividends
Dividend yield
McClellan provided a 4.65% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.65% | 4.68% | 4.37% | 3.22% | 2.87% | 1.94% | 1.80% | 1.12% | 1.02% | 1.05% | 1.06% | 1.07% |
| Portfolio components: | ||||||||||||
DBLIX DoubleLine Income Fund | 7.10% | 7.42% | 5.46% | 4.76% | 4.09% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EWC iShares MSCI Canada ETF | 1.98% | 2.27% | 2.34% | 1.85% | 2.09% | 2.16% | 2.65% | 1.97% | 1.75% | 2.34% | 2.15% | 2.37% |
AAXJ iShares MSCI All Country Asia ex-Japan ETF | 1.87% | 2.26% | 1.73% | 2.21% | 1.06% | 1.83% | 2.10% | 1.99% | 1.77% | 2.44% | 1.78% | 1.77% |
JEPI JPMorgan Equity Premium Income ETF | 7.09% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VXUS Vanguard Total International Stock ETF | 3.02% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
VTI Vanguard Total Stock Market ETF | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
TLT iShares 20+ Year Treasury Bond ETF | 4.07% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
BND Vanguard Total Bond Market ETF | 3.58% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
BNDX Vanguard Total International Bond ETF | 4.77% | 4.42% | 1.52% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% | 1.54% | 0.86% |
VTC Vanguard Total Corporate Bond ETF | 4.36% | 3.81% | 3.13% | 2.36% | 2.69% | 3.34% | 3.54% | 0.55% | 0.00% | 0.00% | 0.00% | 0.00% |
FXY Invesco CurrencyShares® Japanese Yen 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% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the McClellan. 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 McClellan was 19.93%, occurring on Oct 20, 2022. The portfolio has not yet recovered.
The current McClellan drawdown is 2.56%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.93% | Nov 10, 2021 | 238 | Oct 20, 2022 | — | — | — |
| -2.79% | Feb 11, 2021 | 15 | Mar 4, 2021 | 43 | May 5, 2021 | 58 |
| -2.51% | Sep 3, 2021 | 26 | Oct 11, 2021 | 21 | Nov 9, 2021 | 47 |
| -1.83% | Oct 13, 2020 | 14 | Oct 30, 2020 | 3 | Nov 4, 2020 | 17 |
| -1.78% | Sep 3, 2020 | 15 | Sep 24, 2020 | 12 | Oct 12, 2020 | 27 |
Volatility
Volatility Chart
The current McClellan volatility is 1.56%, 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
| FXY | JEPI | AAXJ | DBLIX | EWC | TLT | VTI | VXUS | BNDX | BND | VTC | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| FXY | 1.00 | 0.02 | 0.17 | 0.41 | 0.11 | 0.42 | 0.02 | 0.20 | 0.43 | 0.51 | 0.46 |
| JEPI | 0.02 | 1.00 | 0.44 | 0.07 | 0.66 | 0.04 | 0.80 | 0.64 | 0.15 | 0.17 | 0.28 |
| AAXJ | 0.17 | 0.44 | 1.00 | 0.08 | 0.64 | 0.01 | 0.64 | 0.86 | 0.10 | 0.12 | 0.20 |
| DBLIX | 0.41 | 0.07 | 0.08 | 1.00 | 0.06 | 0.63 | 0.07 | 0.11 | 0.61 | 0.70 | 0.62 |
| EWC | 0.11 | 0.66 | 0.64 | 0.06 | 1.00 | -0.02 | 0.78 | 0.84 | 0.10 | 0.12 | 0.23 |
| TLT | 0.42 | 0.04 | 0.01 | 0.63 | -0.02 | 1.00 | 0.00 | 0.02 | 0.78 | 0.91 | 0.85 |
| VTI | 0.02 | 0.80 | 0.64 | 0.07 | 0.78 | 0.00 | 1.00 | 0.80 | 0.13 | 0.15 | 0.29 |
| VXUS | 0.20 | 0.64 | 0.86 | 0.11 | 0.84 | 0.02 | 0.80 | 1.00 | 0.14 | 0.17 | 0.28 |
| BNDX | 0.43 | 0.15 | 0.10 | 0.61 | 0.10 | 0.78 | 0.13 | 0.14 | 1.00 | 0.84 | 0.79 |
| BND | 0.51 | 0.17 | 0.12 | 0.70 | 0.12 | 0.91 | 0.15 | 0.17 | 0.84 | 1.00 | 0.94 |
| VTC | 0.46 | 0.28 | 0.20 | 0.62 | 0.23 | 0.85 | 0.29 | 0.28 | 0.79 | 0.94 | 1.00 |