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Top 10 Sharpe Ratio based
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Top 10 Sharpe Ratio based

Last updated Nov 15, 2024

Asset Allocation

VONG 11.11%MGK 11.11%SCHG 11.11%IWY 11.11%SPXL 11.11%TQQQ 11.11%SPYI 11.11%JEPQ 11.11%QQQI 11.11%EquityEquity
PositionCategory/SectorWeight
IWY
iShares Russell Top 200 Growth ETF		Large Cap Growth Equities
11.11%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
11.11%
MGK
Vanguard Mega Cap Growth ETF		Large Cap Blend Equities
11.11%
QQQI
NEOS Nasdaq 100 High Income ETF		Dividend, Options Trading
11.11%
SCHG
Schwab U.S. Large-Cap Growth ETF		Large Cap Growth Equities
11.11%
SPXL
Direxion Daily S&P 500 Bull 3X Shares		Leveraged Equities, Leveraged
11.11%
SPYI
NEOS S&P 500 High Income ETF		Large Cap Blend Equities, Dividend
11.11%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
11.11%
VONG
Vanguard Russell 1000 Growth ETF		Large Cap Blend Equities
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Top 10 Sharpe Ratio based, 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

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
17.51%
12.31%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 30, 2024, corresponding to the inception date of QQQI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
Top 10 Sharpe Ratio basedN/A4.65%17.52%N/AN/AN/A
Portfolio components:
VONG
Vanguard Russell 1000 Growth ETF		31.22%4.19%15.85%38.87%19.59%16.65%
MGK
Vanguard Mega Cap Growth ETF		30.86%4.22%16.49%37.81%20.14%16.54%
SCHG
Schwab U.S. Large-Cap Growth ETF		33.21%4.48%16.57%40.95%20.47%16.71%
IWY
iShares Russell Top 200 Growth ETF		32.20%3.95%15.92%39.02%21.01%17.75%
SPXL
Direxion Daily S&P 500 Bull 3X Shares		71.87%5.75%31.91%101.79%25.09%24.65%
TQQQ
ProShares UltraPro QQQ		59.60%9.43%27.81%88.74%34.59%35.45%
SPYI
NEOS S&P 500 High Income ETF		20.07%2.28%11.26%23.79%N/AN/A
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		23.12%4.02%10.33%27.93%N/AN/A
QQQI
NEOS Nasdaq 100 High Income ETF		N/A3.47%11.45%N/AN/AN/A

Monthly Returns

The table below presents the monthly returns of Top 10 Sharpe Ratio based, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.52%7.59%2.70%-6.00%7.85%7.32%-1.67%2.20%3.13%-1.13%28.51%

Expense Ratio

Top 10 Sharpe Ratio based features an expense ratio of 0.45%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPXL
Direxion Daily S&P 500 Bull 3X Shares
Expense ratio chart for SPXL: current value at 1.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.02%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
SPYI
NEOS S&P 500 High Income ETF
Expense ratio chart for SPYI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
QQQI
NEOS Nasdaq 100 High Income ETF
Expense ratio chart for QQQI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
IWY
iShares Russell Top 200 Growth ETF
Expense ratio chart for IWY: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
VONG
Vanguard Russell 1000 Growth ETF
Expense ratio chart for VONG: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
MGK
Vanguard Mega Cap Growth ETF
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
SCHG
Schwab U.S. Large-Cap Growth ETF
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Top 10 Sharpe Ratio based is 80, placing it in the top 20% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Top 10 Sharpe Ratio based is 8080
Combined Rank
The Sharpe Ratio Rank of Top 10 Sharpe Ratio based is 8282Sharpe Ratio Rank
The Sortino Ratio Rank of Top 10 Sharpe Ratio based is 6969Sortino Ratio Rank
The Omega Ratio Rank of Top 10 Sharpe Ratio based is 7474Omega Ratio Rank
The Calmar Ratio Rank of Top 10 Sharpe Ratio based is 9191Calmar Ratio Rank
The Martin Ratio Rank of Top 10 Sharpe Ratio based is 8484Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Top 10 Sharpe Ratio based
Sharpe ratio
No data
Sortino ratio
No data
Omega ratio
No data
Calmar ratio
No data
Martin ratio
No data
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VONG
Vanguard Russell 1000 Growth ETF		2.353.051.432.9611.71
MGK
Vanguard Mega Cap Growth ETF		2.192.861.402.7810.57
SCHG
Schwab U.S. Large-Cap Growth ETF		2.423.141.443.3013.16
IWY
iShares Russell Top 200 Growth ETF		2.272.941.412.8110.71
SPXL
Direxion Daily S&P 500 Bull 3X Shares		2.873.201.442.6917.07
TQQQ
ProShares UltraPro QQQ		1.742.171.291.757.20
SPYI
NEOS S&P 500 High Income ETF		2.623.501.573.6118.15
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.292.991.472.6011.26
QQQI
NEOS Nasdaq 100 High Income ETF		—————

Sharpe Ratio

There is not enough data available to calculate the Sharpe ratio for Top 10 Sharpe Ratio based. We calculate this metric based on the past 12 months of trading data. Please check back later for updated information.

Chart placeholderNot enough data

Dividends

Dividend yield

Top 10 Sharpe Ratio based provided a 3.90% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.90%2.96%1.95%0.23%0.32%0.52%0.67%0.95%0.62%0.63%0.58%0.58%
Portfolio components:
VONG
Vanguard Russell 1000 Growth ETF		0.59%0.71%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%1.28%
MGK
Vanguard Mega Cap Growth ETF		0.42%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%
SCHG
Schwab U.S. Large-Cap Growth ETF		0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%
IWY
iShares Russell Top 200 Growth ETF		0.49%0.68%0.88%0.50%0.71%1.06%1.32%1.26%1.51%1.58%1.44%1.56%
SPXL
Direxion Daily S&P 500 Bull 3X Shares		0.69%0.98%0.33%0.11%0.22%0.84%1.02%3.88%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.19%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
SPYI
NEOS S&P 500 High Income ETF		11.56%12.01%4.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.37%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQI
NEOS Nasdaq 100 High Income ETF		10.41%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.

-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.06%
-0.87%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top 10 Sharpe Ratio based. 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 Top 10 Sharpe Ratio based was 15.89%, occurring on Aug 5, 2024. Recovery took 49 trading sessions.

The current Top 10 Sharpe Ratio based drawdown is 1.06%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.89%Jul 11, 202418Aug 5, 202449Oct 14, 202467
-8.84%Mar 25, 202419Apr 19, 202418May 15, 202437
-4.04%Oct 30, 20242Oct 31, 20244Nov 6, 20246
-2.84%Feb 12, 20247Feb 21, 20241Feb 22, 20248
-2.52%Jan 31, 20241Jan 31, 20242Feb 2, 20243

Volatility

Volatility Chart

The current Top 10 Sharpe Ratio based volatility is 6.21%, 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.

2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.21%
3.81%
Top 10 Sharpe Ratio based
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.
SPYISPXLQQQIJEPQIWYMGKTQQQSCHGVONG
SPYI1.000.970.920.940.900.910.920.920.93
SPXL0.971.000.910.930.920.920.930.930.94
QQQI0.920.911.000.960.930.930.960.930.94
JEPQ0.940.930.961.000.950.950.970.950.96
IWY0.900.920.930.951.000.990.970.990.99
MGK0.910.920.930.950.991.000.970.990.99
TQQQ0.920.930.960.970.970.971.000.980.98
SCHG0.920.930.930.950.990.990.981.000.99
VONG0.930.940.940.960.990.990.980.991.00
The correlation results are calculated based on daily price changes starting from Jan 31, 2024