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

Asset Allocation


SCHX 25%SCHD 25%CALF 25%COWZ 25%EquityEquity
PositionCategory/SectorWeight
SCHX
Schwab U.S. Large-Cap ETF
Large Cap Growth Equities

25%

SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

25%

CALF
Pacer US Small Cap Cash Cows 100 ETF
Small Cap Blend Equities

25%

COWZ
Pacer US Cash Cows 100 ETF
All Cap Equities

25%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 4-ETF Portfolio, 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%NovemberDecember2024FebruaryMarchApril
13.22%
15.74%
4-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 19, 2017, corresponding to the inception date of CALF

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
4-ETF Portfolio2.76%-1.55%13.23%18.48%13.93%N/A
SCHX
Schwab U.S. Large-Cap ETF
6.39%-1.09%16.86%24.76%13.46%12.47%
SCHD
Schwab US Dividend Equity ETF
1.16%-1.97%9.36%7.68%10.89%10.92%
CALF
Pacer US Small Cap Cash Cows 100 ETF
-3.69%-2.57%13.43%22.84%14.09%N/A
COWZ
Pacer US Cash Cows 100 ETF
7.25%-0.56%12.85%18.28%15.78%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.21%3.61%4.44%
2023-3.29%-3.64%7.45%6.72%

Expense Ratio

The 4-ETF Portfolio has a high expense ratio of 0.29%, 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%0.59%
0.50%1.00%1.50%2.00%0.49%
0.50%1.00%1.50%2.00%0.06%
0.50%1.00%1.50%2.00%0.03%

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.


4-ETF Portfolio
Sharpe ratio
The chart of Sharpe ratio for 4-ETF Portfolio, currently valued at 1.40, compared to the broader market-1.000.001.002.003.004.005.001.40
Sortino ratio
The chart of Sortino ratio for 4-ETF Portfolio, currently valued at 2.09, compared to the broader market-2.000.002.004.006.002.09
Omega ratio
The chart of Omega ratio for 4-ETF Portfolio, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for 4-ETF Portfolio, currently valued at 1.57, compared to the broader market0.002.004.006.008.0010.001.57
Martin ratio
The chart of Martin ratio for 4-ETF Portfolio, currently valued at 6.22, compared to the broader market0.0010.0020.0030.0040.0050.006.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHX
Schwab U.S. Large-Cap ETF
2.052.941.361.628.58
SCHD
Schwab US Dividend Equity ETF
0.640.981.110.562.06
CALF
Pacer US Small Cap Cash Cows 100 ETF
1.141.801.201.066.08
COWZ
Pacer US Cash Cows 100 ETF
1.321.981.221.626.05

Sharpe Ratio

The current 4-ETF Portfolio Sharpe ratio is 1.40. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.40

The Sharpe ratio of 4-ETF Portfolio 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.40
1.89
4-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

4-ETF Portfolio granted a 1.96% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
4-ETF Portfolio1.96%2.00%1.96%2.03%2.04%1.94%2.07%1.74%1.13%1.25%1.10%1.03%
SCHX
Schwab U.S. Large-Cap ETF
1.34%1.39%1.64%1.22%1.64%1.82%2.17%1.70%1.48%2.04%1.76%1.65%
SCHD
Schwab US Dividend Equity ETF
3.50%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
CALF
Pacer US Small Cap Cash Cows 100 ETF
1.13%1.18%0.85%2.63%0.82%0.99%1.39%0.70%0.00%0.00%0.00%0.00%
COWZ
Pacer US Cash Cows 100 ETF
1.86%1.92%1.96%1.48%2.54%1.96%1.67%1.95%0.13%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
-4.84%
-3.66%
4-ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 4-ETF Portfolio. 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 4-ETF Portfolio was 37.12%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current 4-ETF Portfolio drawdown is 4.84%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.12%Jan 21, 202044Mar 23, 2020111Aug 28, 2020155
-21%Sep 24, 201864Dec 24, 2018212Oct 28, 2019276
-20.3%Jan 5, 2022182Sep 26, 2022206Jul 24, 2023388
-9.63%Aug 1, 202363Oct 27, 202324Dec 1, 202387
-9.24%Jan 29, 20189Feb 8, 201884Jun 11, 201893

Volatility

Volatility Chart

The current 4-ETF Portfolio volatility is 3.79%, 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%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
3.79%
3.44%
4-ETF Portfolio
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.

CALFSCHXSCHDCOWZ
CALF1.000.710.740.84
SCHX0.711.000.830.80
SCHD0.740.831.000.87
COWZ0.840.800.871.00