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Retirement Final Best ETFs High CAGR High Sharpe
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Retirement Final Best ETFs High CAGR High Sharpe

Last updated Apr 22, 2025

Asset Allocation

CTA 3%DBMF 3%BOXX 2%KMLM 1.5%IAGG 2%BNDX 2%EDV 1.5%BUCK 1%GLDM 2%VTI 10%VGIT 10%AVUV 7%AVLV 6%SRPT 5%VTIP 5%VDC 5%VGLT 4.5%VOO 3.5%AVDV 3%MGK 3%VCADX 3%DGRO 3%VIG 3%SPMO 2%VYMI 2%IGRO 2%HPE 1%VOT 1%VIGI 1%VCR 1%AlternativesAlternativesBondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorTarget Weight
AVDV
Avantis International Small Cap Value ETF		Foreign Small & Mid Cap Equities, Actively Managed
3%
AVLV
Avantis U.S. Large Cap Value ETF		Large Cap Value Equities
6%
AVUV
Avantis U.S. Small Cap Value ETF		Small Cap Value Equities, Actively Managed
7%
BNDX
Vanguard Total International Bond ETF		Total Bond Market
2%
BOXX
Alpha Architect 1-3 Month Box ETF		Ultrashort Bond
2%
BUCK
Simplify Stable Income ETF		Government Bonds
1%
CTA
Simplify Managed Futures Strategy ETF		Systematic Trend
3%
DBMF
iM DBi Managed Futures Strategy ETF		Hedge Fund, Actively Managed
3%
DGRO
iShares Core Dividend Growth ETF		Large Cap Growth Equities, Dividend
3%
DHR
Danaher Corporation		Healthcare
0.50%
EDV
Vanguard Extended Duration Treasury ETF		Government Bonds
1.50%
ETH-USD
Ethereum
0.13%
GBTC
Grayscale Bitcoin Trust (BTC)		Financial Services
0.25%
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
2%
HPE
Hewlett Packard Enterprise Company		Technology
1%
IAGG
iShares Core International Aggregate Bond ETF		Total Bond Market
2%
IGRO
iShares International Dividend Growth ETF		Foreign Large Cap Equities, Dividend
2%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
1.50%
MGK
Vanguard Mega Cap Growth ETF		Large Cap Blend Equities
3%
MSTR
0.13%
SPMO
2%
SRPT
5%
VCADX
3%
VCR
1%
VDC
5%
VGIT
10%
VGLT
4.50%
VIG
3%
VIGI
1%
VOO
3.50%
VOT
1%
VTI
10%
VTIP
5%
VYMI
2%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Retirement Final Best ETFs High CAGR High Sharpe, 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 every 3 months.

20.00%30.00%40.00%50.00%60.00%NovemberDecember2025FebruaryMarchApril
22.98%
36.34%
Retirement Final Best ETFs High CAGR High Sharpe
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 28, 2022, corresponding to the inception date of BOXX

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-12.30%-8.99%-11.89%3.84%13.06%9.34%
Retirement Final Best ETFs High CAGR High Sharpe-6.77%-4.67%-6.04%4.24%N/AN/A
Portfolio components:
VTI
-12.53%-9.10%-11.69%4.39%N/AN/A
DHR
Danaher Corporation		-19.30%-12.36%-31.84%-21.09%5.86%18.50%
SRPT
-54.58%-25.47%-56.62%-52.23%N/AN/A
HPE
Hewlett Packard Enterprise Company		-30.03%-7.66%-24.72%-9.28%14.12%N/A
AVUV
Avantis U.S. Small Cap Value ETF		-18.05%-9.96%-17.42%-8.98%21.45%N/A
BOXX
Alpha Architect 1-3 Month Box ETF		1.32%0.32%2.28%4.94%N/AN/A
BUCK
Simplify Stable Income ETF		-2.81%-4.95%-1.41%2.66%N/AN/A
KMLM
KFA Mount Lucas Index Strategy ETF		-6.58%-4.02%-6.21%-14.90%N/AN/A
CTA
Simplify Managed Futures Strategy ETF		1.16%-4.90%8.26%8.43%N/AN/A
DBMF
iM DBi Managed Futures Strategy ETF		-3.34%-0.64%-4.84%-9.24%4.83%N/A
GLDM
SPDR Gold MiniShares Trust		30.45%13.35%25.83%43.23%14.72%N/A
AVDV
Avantis International Small Cap Value ETF		7.59%-1.32%4.64%14.12%16.22%N/A
VOT
-10.06%-7.95%-8.61%4.88%N/AN/A
MGK
Vanguard Mega Cap Growth ETF		-17.10%-10.11%-13.49%6.67%15.94%13.83%
SPMO
-9.38%-8.62%-8.38%15.49%N/AN/A
VCADX
-1.90%-2.30%-2.13%0.87%N/AN/A
VTIP
3.03%0.54%3.24%7.11%N/AN/A
VGIT
2.96%0.26%1.89%7.20%N/AN/A
VGLT
-0.10%-4.39%-3.83%1.88%N/AN/A
EDV
Vanguard Extended Duration Treasury ETF		-3.71%-8.02%-9.17%-3.66%-14.99%-3.04%
ETH-USD
Ethereum		-52.36%-19.82%-40.45%-49.56%54.15%N/A
MSTR
9.72%4.53%45.06%170.64%N/AN/A
IAGG
iShares Core International Aggregate Bond ETF		1.14%1.28%1.88%6.32%0.78%N/A
BNDX
Vanguard Total International Bond ETF		0.91%1.31%1.48%5.61%0.22%1.79%
VIGI
3.37%-2.95%-3.55%8.05%N/AN/A
VYMI
8.05%-2.51%3.36%14.01%N/AN/A
IGRO
iShares International Dividend Growth ETF		6.96%-1.08%0.21%14.69%12.26%N/A
VCR
-20.51%-8.72%-10.87%2.82%N/AN/A
VDC
3.63%2.88%2.28%12.65%N/AN/A
AVLV
Avantis U.S. Large Cap Value ETF		-10.91%-9.01%-10.58%-1.49%N/AN/A
DGRO
iShares Core Dividend Growth ETF		-6.26%-7.01%-8.65%5.04%13.10%10.50%
VIG
-7.55%-6.76%-9.07%5.38%N/AN/A
VOO
-12.03%-8.89%-11.37%5.19%N/AN/A
GBTC
Grayscale Bitcoin Trust (BTC)		-6.70%4.13%28.15%20.50%55.35%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Retirement Final Best ETFs High CAGR High Sharpe, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.27%-1.42%-3.63%-4.05%-6.77%
20240.83%3.83%3.53%-3.39%3.61%1.73%1.86%0.57%1.61%-0.82%5.93%-3.65%16.29%
20234.25%-2.00%1.64%0.44%-1.48%3.60%2.14%-1.17%-2.59%-3.85%6.33%5.13%12.51%
20220.81%0.81%

Expense Ratio

Retirement Final Best ETFs High CAGR High Sharpe has an expense ratio of 0.16%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value is 0.90%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
KMLM: 0.90%
DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value is 0.85%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DBMF: 0.85%
CTA
Simplify Managed Futures Strategy ETF
Expense ratio chart for CTA: current value is 0.78%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
CTA: 0.78%
AVDV
Avantis International Small Cap Value ETF
Expense ratio chart for AVDV: current value is 0.36%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
AVDV: 0.36%
BUCK
Simplify Stable Income ETF
Expense ratio chart for BUCK: current value is 0.35%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BUCK: 0.35%
AVUV
Avantis U.S. Small Cap Value ETF
Expense ratio chart for AVUV: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
AVUV: 0.25%
IGRO
iShares International Dividend Growth ETF
Expense ratio chart for IGRO: current value is 0.22%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IGRO: 0.22%
BOXX
Alpha Architect 1-3 Month Box ETF
Expense ratio chart for BOXX: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BOXX: 0.20%
GLDM
SPDR Gold MiniShares Trust
Expense ratio chart for GLDM: current value is 0.18%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
GLDM: 0.18%
AVLV
Avantis U.S. Large Cap Value ETF
Expense ratio chart for AVLV: current value is 0.15%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
AVLV: 0.15%
DGRO
iShares Core Dividend Growth ETF
Expense ratio chart for DGRO: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DGRO: 0.08%
MGK
Vanguard Mega Cap Growth ETF
Expense ratio chart for MGK: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MGK: 0.07%
EDV
Vanguard Extended Duration Treasury ETF
Expense ratio chart for EDV: current value is 0.06%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EDV: 0.06%
IAGG
iShares Core International Aggregate Bond ETF
Expense ratio chart for IAGG: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IAGG: 0.09%
BNDX
Vanguard Total International Bond ETF
Expense ratio chart for BNDX: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BNDX: 0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Retirement Final Best ETFs High CAGR High Sharpe is 11, meaning it’s performing worse than 89% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Retirement Final Best ETFs High CAGR High Sharpe is 1111
Overall Rank
The Sharpe Ratio Rank of Retirement Final Best ETFs High CAGR High Sharpe is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of Retirement Final Best ETFs High CAGR High Sharpe is 1111
Sortino Ratio Rank
The Omega Ratio Rank of Retirement Final Best ETFs High CAGR High Sharpe is 1111
Omega Ratio Rank
The Calmar Ratio Rank of Retirement Final Best ETFs High CAGR High Sharpe is 88
Calmar Ratio Rank
The Martin Ratio Rank of Retirement Final Best ETFs High CAGR High Sharpe is 1313
Martin 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.

Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at -0.04, compared to the broader market-4.00-2.000.002.00
Portfolio: -0.04
^GSPC: 0.14
The chart of Sortino ratio for Portfolio, currently valued at 0.04, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 0.04
^GSPC: 0.33
The chart of Omega ratio for Portfolio, currently valued at 1.01, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.01
^GSPC: 1.05
No data
The chart of Martin ratio for Portfolio, currently valued at -0.14, compared to the broader market0.005.0010.0015.0020.00
Portfolio: -0.14
^GSPC: 0.62
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
-0.19-0.130.98—-0.80
DHR
Danaher Corporation		-1.38-2.050.72-0.56-2.30
SRPT
-1.23-2.220.68—-2.65
HPE
Hewlett Packard Enterprise Company		-0.33-0.140.98-0.22-0.94
AVUV
Avantis U.S. Small Cap Value ETF		-0.60-0.750.90-0.27-1.50
BOXX
Alpha Architect 1-3 Month Box ETF		12.0633.1410.506.63605.44
BUCK
Simplify Stable Income ETF		-0.11-0.110.980.54-0.50
KMLM
KFA Mount Lucas Index Strategy ETF		-1.15-1.530.82-0.52-1.73
CTA
Simplify Managed Futures Strategy ETF		1.512.211.260.597.65
DBMF
iM DBi Managed Futures Strategy ETF		-0.71-0.940.89-0.53-1.32
GLDM
SPDR Gold MiniShares Trust		3.674.831.653.1020.03
AVDV
Avantis International Small Cap Value ETF		0.831.281.190.293.53
VOT
0.100.311.040.010.37
MGK
Vanguard Mega Cap Growth ETF		-0.23-0.150.980.15-0.92
SPMO
0.150.401.060.030.72
VCADX
-0.43-0.520.92—-1.60
VTIP
3.115.001.681.0718.89
VGIT
0.470.721.080.050.89
VGLT
-0.80-1.040.88—-1.26
EDV
Vanguard Extended Duration Treasury ETF		-0.99-1.300.85-0.07-1.56
ETH-USD
Ethereum		-0.76-1.010.900.03-1.91
MSTR
2.442.921.343.3310.40
IAGG
iShares Core International Aggregate Bond ETF		1.241.791.220.295.74
BNDX
Vanguard Total International Bond ETF		0.921.301.160.183.46
VIGI
0.110.271.040.010.29
VYMI
0.861.291.180.283.54
IGRO
iShares International Dividend Growth ETF		0.691.041.150.202.00
VCR
0.020.241.030.000.07
VDC
0.691.071.140.223.04
AVLV
Avantis U.S. Large Cap Value ETF		-0.19-0.130.98-0.06-0.72
DGRO
iShares Core Dividend Growth ETF		-0.09-0.011.000.42-0.39
VIG
-0.12-0.050.99—-0.52
VOO
-0.18-0.120.98—-0.77
GBTC
Grayscale Bitcoin Trust (BTC)		1.422.121.240.956.38

The current Retirement Final Best ETFs High CAGR High Sharpe Sharpe ratio is -0.36. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 0.13 to 0.69, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Retirement Final Best ETFs High CAGR High Sharpe with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.04
0.14
Retirement Final Best ETFs High CAGR High Sharpe
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Retirement Final Best ETFs High CAGR High Sharpe provided a 2.53% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio2.53%2.42%2.29%2.48%1.91%1.43%1.75%1.52%1.26%1.46%1.12%0.97%
Portfolio components:
VTI
1.48%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%
DHR
Danaher Corporation		0.61%0.47%0.43%0.38%0.26%0.32%0.44%0.62%0.60%36.46%0.80%0.47%
SRPT
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HPE
Hewlett Packard Enterprise Company		3.51%2.44%2.89%3.01%3.04%4.05%2.89%3.13%1.59%1.40%0.36%0.00%
AVUV
Avantis U.S. Small Cap Value ETF		2.02%1.61%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%0.00%
BOXX
Alpha Architect 1-3 Month Box ETF		0.26%0.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BUCK
Simplify Stable Income ETF		8.19%8.84%4.84%0.59%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF		0.88%0.82%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CTA
Simplify Managed Futures Strategy ETF		4.65%4.80%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBMF
iM DBi Managed Futures Strategy ETF		6.07%5.75%2.91%7.72%10.38%0.86%9.35%0.00%0.00%0.00%0.00%0.00%
GLDM
SPDR Gold MiniShares 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%
AVDV
Avantis International Small Cap Value ETF		4.01%4.31%3.29%3.17%2.39%1.67%0.36%0.00%0.00%0.00%0.00%0.00%
VOT
0.77%0.67%0.71%0.78%0.34%0.56%0.78%0.84%0.72%0.81%0.81%0.79%
MGK
Vanguard Mega Cap Growth ETF		0.53%0.43%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%
SPMO
0.59%0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%0.00%
VCADX
3.01%2.86%2.57%2.36%2.13%2.26%2.52%2.71%2.66%2.78%2.87%3.08%
VTIP
2.77%2.70%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%
VGIT
3.72%3.67%2.72%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%
VGLT
4.46%4.33%3.33%2.83%1.82%2.15%2.46%2.71%2.55%2.69%3.21%2.75%
EDV
Vanguard Extended Duration Treasury ETF		4.93%4.65%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSTR
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IAGG
iShares Core International Aggregate Bond ETF		4.23%4.28%3.55%2.28%1.16%1.95%2.82%3.02%1.74%1.56%0.13%0.00%
BNDX
Vanguard Total International Bond ETF		4.25%4.18%4.42%1.52%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%
VIGI
1.99%1.93%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%0.00%0.00%
VYMI
4.50%4.84%4.58%4.71%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%
IGRO
iShares International Dividend Growth ETF		2.25%2.44%2.79%2.69%2.27%2.41%2.65%2.97%2.43%1.18%0.00%0.00%
VCR
0.98%0.74%0.84%0.98%0.79%1.71%1.17%1.37%1.21%1.60%1.32%1.23%
VDC
2.40%2.33%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%
AVLV
Avantis U.S. Large Cap Value ETF		1.86%1.58%1.85%2.00%0.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DGRO
iShares Core Dividend Growth ETF		2.42%2.26%2.45%2.34%1.93%2.30%2.21%2.44%2.03%2.27%2.52%0.97%
VIG
1.97%1.73%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%
VOO
1.48%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
GBTC
Grayscale Bitcoin Trust (BTC)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.23%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.

-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-10.47%
-16.05%
Retirement Final Best ETFs High CAGR High Sharpe
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Retirement Final Best ETFs High CAGR High Sharpe. 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 Retirement Final Best ETFs High CAGR High Sharpe was 14.22%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Retirement Final Best ETFs High CAGR High Sharpe drawdown is 10.18%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.22%Dec 7, 2024123Apr 8, 2025———
-7.44%Aug 1, 202392Oct 31, 202342Dec 12, 2023134
-5.6%Jul 17, 202422Aug 7, 202443Sep 19, 202465
-4.68%Feb 3, 202344Mar 18, 202386Jun 12, 2023130
-4.05%Apr 1, 202419Apr 19, 202426May 15, 202445

Volatility

Volatility Chart

The current Retirement Final Best ETFs High CAGR High Sharpe volatility is 8.61%, 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%12.00%14.00%NovemberDecember2025FebruaryMarchApril
8.61%
13.75%
Retirement Final Best ETFs High CAGR High Sharpe
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics

Number of Effective Assets
5.0010.0015.0020.0025.0030.00
Effective Assets: 20.27

The portfolio contains 34 assets, with an effective number of assets of 20.27, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BOXXBUCKKMLMCTASRPTGLDMETH-USDVCADXGBTCDBMFVTIPMSTRDHREDVVGITBNDXIAGGVGLTVDCHPESPMOMGKAVUVAVDVVCRVYMIIGRODGROVIGAVLVVIGIVOTVOOVTI
BOXX1.000.10-0.00-0.01-0.050.020.020.090.040.040.020.060.030.010.030.050.060.030.050.010.030.07-0.010.040.050.010.040.030.050.010.040.060.070.05
BUCK0.101.00-0.000.050.020.030.040.050.040.070.070.050.070.060.060.040.070.070.070.070.090.080.110.100.140.140.110.120.090.140.090.080.110.11
KMLM-0.00-0.001.000.330.01-0.04-0.03-0.270.020.39-0.21-0.04-0.09-0.27-0.30-0.29-0.26-0.28-0.07-0.02-0.02-0.03-0.10-0.06-0.01-0.05-0.08-0.05-0.03-0.06-0.08-0.05-0.01-0.01
CTA-0.010.050.331.00-0.04-0.070.01-0.250.030.31-0.37-0.01-0.05-0.32-0.41-0.35-0.35-0.35-0.07-0.01-0.02-0.05-0.08-0.10-0.08-0.09-0.13-0.07-0.04-0.06-0.16-0.06-0.05-0.05
SRPT-0.050.020.01-0.041.000.030.14-0.010.110.020.080.150.190.050.060.050.060.050.190.150.250.200.260.200.220.210.230.270.270.260.230.290.240.27
GLDM0.020.03-0.04-0.070.031.000.100.160.120.040.360.140.090.230.320.250.240.250.090.080.100.070.130.350.080.340.350.100.100.120.300.170.120.14
ETH-USD0.020.04-0.030.010.140.101.000.000.550.090.030.500.120.040.040.060.040.040.100.220.220.190.270.220.260.200.220.210.220.250.240.280.240.26
VCADX0.090.05-0.27-0.25-0.010.160.001.000.02-0.300.390.050.120.560.560.520.500.580.170.030.040.090.060.130.100.140.190.100.110.050.180.110.100.09
GBTC0.040.040.020.030.110.120.550.021.000.110.000.700.150.040.000.050.050.040.150.240.220.250.290.260.340.240.270.240.250.280.260.330.290.30
DBMF0.040.070.390.310.020.040.09-0.300.111.00-0.330.110.12-0.38-0.43-0.34-0.35-0.410.040.190.260.180.190.210.180.190.140.210.230.260.150.250.260.26
VTIP0.020.07-0.21-0.370.080.360.030.390.00-0.331.000.040.050.560.770.590.570.620.12-0.070.050.080.110.210.120.200.230.120.110.100.210.110.120.12
MSTR0.060.05-0.04-0.010.150.140.500.050.700.110.041.000.210.070.060.120.110.080.130.270.280.350.360.330.420.290.300.270.280.340.320.460.370.39
DHR0.030.07-0.09-0.050.190.090.120.120.150.120.050.211.000.100.090.080.090.100.320.240.270.300.420.340.380.330.340.470.490.440.400.440.420.43
EDV0.010.06-0.27-0.320.050.230.040.560.04-0.380.560.070.101.000.810.770.750.980.19-0.010.030.100.100.140.160.170.200.130.130.080.220.120.110.12
VGIT0.030.06-0.30-0.410.060.320.040.560.00-0.430.770.060.090.811.000.800.770.870.13-0.070.020.070.060.160.110.160.220.070.080.040.230.100.080.08
BNDX0.050.04-0.29-0.350.050.250.060.520.05-0.340.590.120.080.770.801.000.900.800.14-0.020.050.130.100.160.160.150.230.100.110.070.230.150.130.13
IAGG0.060.07-0.26-0.350.060.240.040.500.05-0.350.570.110.090.750.770.901.000.780.160.020.080.140.120.170.180.180.240.120.140.090.250.150.140.15
VGLT0.030.07-0.28-0.350.050.250.040.580.04-0.410.620.080.100.980.870.800.781.000.19-0.020.040.100.090.150.150.170.220.120.130.080.230.130.120.12
VDC0.050.07-0.07-0.070.190.090.100.170.150.040.120.130.320.190.130.140.160.191.000.170.330.250.370.330.360.410.420.650.630.460.430.380.430.43
HPE0.010.07-0.02-0.010.150.080.220.030.240.19-0.070.270.24-0.01-0.07-0.020.02-0.020.171.000.540.470.510.420.450.410.410.470.500.560.420.560.560.57
SPMO0.030.09-0.02-0.020.250.100.220.040.220.260.050.280.270.030.020.050.080.040.330.541.000.690.520.470.550.490.500.620.680.650.560.680.780.75
MGK0.070.08-0.03-0.050.200.070.190.090.250.180.080.350.300.100.070.130.140.100.250.470.691.000.430.470.720.440.470.510.620.560.550.730.870.83
AVUV-0.010.11-0.10-0.080.260.130.270.060.290.190.110.360.420.100.060.100.120.090.370.510.520.431.000.640.640.630.590.780.710.880.600.710.670.72
AVDV0.040.10-0.06-0.100.200.350.220.130.260.210.210.330.340.140.160.160.170.150.330.420.470.470.641.000.560.890.820.570.570.670.800.590.600.63
VCR0.050.14-0.01-0.080.220.080.260.100.340.180.120.420.380.160.110.160.180.150.360.450.550.720.640.561.000.530.530.620.660.700.590.750.780.80
VYMI0.010.14-0.05-0.090.210.340.200.140.240.190.200.290.330.170.160.150.180.170.410.410.490.440.630.890.531.000.870.620.600.680.830.570.600.62
IGRO0.040.11-0.08-0.130.230.350.220.190.270.140.230.300.340.200.220.230.240.220.420.410.500.470.590.820.530.871.000.610.600.640.890.600.610.63
DGRO0.030.12-0.05-0.070.270.100.210.100.240.210.120.270.470.130.070.100.120.120.650.470.620.510.780.570.620.620.611.000.940.860.640.720.770.78
VIG0.050.09-0.03-0.040.270.100.220.110.250.230.110.280.490.130.080.110.140.130.630.500.680.620.710.570.660.600.600.941.000.820.650.780.840.84
AVLV0.010.14-0.06-0.060.260.120.250.050.280.260.100.340.440.080.040.070.090.080.460.560.650.560.880.670.700.680.640.860.821.000.670.790.800.83
VIGI0.040.09-0.08-0.160.230.300.240.180.260.150.210.320.400.220.230.230.250.230.430.420.560.550.600.800.590.830.890.640.650.671.000.670.670.69
VOT0.060.08-0.05-0.060.290.170.280.110.330.250.110.460.440.120.100.150.150.130.380.560.680.730.710.590.750.570.600.720.780.790.671.000.860.89
VOO0.070.11-0.01-0.050.240.120.240.100.290.260.120.370.420.110.080.130.140.120.430.560.780.870.670.600.780.600.610.770.840.800.670.861.000.97
VTI0.050.11-0.01-0.050.270.140.260.090.300.260.120.390.430.120.080.130.150.120.430.570.750.830.720.630.800.620.630.780.840.830.690.890.971.00
The correlation results are calculated based on daily price changes starting from Dec 29, 2022
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Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio

DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

Asset CorrelationsPortfolio OptimizationRisk Parity OptimizationHierarchical Risk Parity (HRP) Optimization

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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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