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Rob's Portfolio + EM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


FLBL 36%AAA 22%FLRT 12%VCLT 4%SMIN 5%DXJ 3%IVV 2%EDIV 2%IYW 2%EEMS 2%EWZS 2%EPI 2%ILF 2%EWZ 2%XLRE 2%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
AAA
AAF First Priority CLO Bond ETF
Corporate Bonds, Actively Managed
22%
DXJ
WisdomTree Japan Hedged Equity Fund
Japan Equities
3%
EDIV
SPDR S&P Emerging Markets Dividend ETF
Emerging Markets Equities, Dividend
2%
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
Foreign Small & Mid Cap Equities
2%
EPI
WisdomTree India Earnings Fund
Asia Pacific Equities
2%
EWZ
iShares MSCI Brazil ETF
Latin America Equities
2%
EWZS
iShares MSCI Brazil Small-Cap ETF
Latin America Equities
2%
FLBL
Franklin Liberty Senior Loan ETF
High Yield Bonds, Actively Managed
36%
FLRT
Pacific Global Senior Loan ETF
High Yield Bonds, Actively Managed
12%
ILF
iShares Latin American 40 ETF
Latin America Equities
2%
IVV
iShares Core S&P 500 ETF
Large Cap Growth Equities
2%
IYW
iShares U.S. Technology ETF
Technology Equities
2%
SMIN
iShares MSCI India Small-Cap ETF
Asia Pacific Equities
5%
VCLT
Vanguard Long-Term Corporate Bond ETF
Corporate Bonds
4%
XLRE
Real Estate Select Sector SPDR Fund
REIT
2%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Rob's Portfolio + EM, 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%JulyAugustSeptemberOctoberNovemberDecember
37.92%
74.49%
Rob's Portfolio + EM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2020, corresponding to the inception date of AAA

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
Rob's Portfolio + EM7.36%0.17%2.79%7.84%N/AN/A
IVV
iShares Core S&P 500 ETF
25.92%-0.18%9.27%26.40%14.77%13.05%
EDIV
SPDR S&P Emerging Markets Dividend ETF
11.94%-1.18%1.16%14.77%6.32%4.46%
FLRT
Pacific Global Senior Loan ETF
8.89%0.55%3.89%9.10%5.22%N/A
AAA
AAF First Priority CLO Bond ETF
6.71%0.68%3.18%6.87%N/AN/A
FLBL
Franklin Liberty Senior Loan ETF
8.11%0.57%3.97%8.49%5.22%N/A
IYW
iShares U.S. Technology ETF
32.29%1.96%7.87%32.45%23.53%20.71%
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
3.70%0.21%-2.47%5.19%8.21%5.41%
VCLT
Vanguard Long-Term Corporate Bond ETF
-1.40%-1.01%0.23%-0.87%-1.90%2.22%
XLRE
Real Estate Select Sector SPDR Fund
4.28%-6.79%7.83%5.15%4.68%N/A
EWZS
iShares MSCI Brazil Small-Cap ETF
-32.42%-11.95%-15.87%-32.19%-10.71%-0.10%
DXJ
WisdomTree Japan Hedged Equity Fund
26.30%0.92%2.25%26.57%18.03%11.22%
SMIN
iShares MSCI India Small-Cap ETF
23.50%8.33%6.88%24.66%20.38%11.36%
EPI
WisdomTree India Earnings Fund
12.49%0.74%-2.95%13.68%15.12%9.35%
ILF
iShares Latin American 40 ETF
-21.75%-7.20%-10.58%-21.29%-2.58%0.58%
EWZ
iShares MSCI Brazil ETF
-28.62%-10.26%-12.02%-27.92%-6.41%0.32%
*Annualized

Monthly Returns

The table below presents the monthly returns of Rob's Portfolio + EM, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.43%1.06%1.12%-0.14%1.17%0.89%0.95%1.11%0.71%-0.43%0.58%7.36%
20233.99%-1.29%1.13%1.23%0.51%4.10%1.91%0.06%-0.41%-0.63%3.96%2.66%18.44%
2022-0.07%-1.07%1.10%-2.03%-1.97%-3.68%3.00%0.90%-3.74%1.54%2.61%-1.25%-4.83%
2021-0.08%1.49%0.36%1.12%1.59%1.14%0.05%0.62%-0.38%0.06%-0.68%1.63%7.10%
2020-0.74%-0.72%5.03%2.80%6.41%

Expense Ratio

Rob's Portfolio + EM features an expense ratio of 0.44%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EPI: current value at 0.84% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.84%
Expense ratio chart for SMIN: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
Expense ratio chart for FLRT: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for EEMS: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for EWZS: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for EWZ: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for EDIV: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for DXJ: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for ILF: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
Expense ratio chart for FLBL: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for IYW: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for AAA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for VCLT: 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%
Expense ratio chart for IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 85, Rob's Portfolio + EM is among the top 15% of 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 Rob's Portfolio + EM is 8585
Overall Rank
The Sharpe Ratio Rank of Rob's Portfolio + EM is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of Rob's Portfolio + EM is 8888
Sortino Ratio Rank
The Omega Ratio Rank of Rob's Portfolio + EM is 8989
Omega Ratio Rank
The Calmar Ratio Rank of Rob's Portfolio + EM is 7575
Calmar Ratio Rank
The Martin Ratio Rank of Rob's Portfolio + EM is 8989
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 Rob's Portfolio + EM, currently valued at 2.36, compared to the broader market-6.00-4.00-2.000.002.004.002.362.10
The chart of Sortino ratio for Rob's Portfolio + EM, currently valued at 3.27, compared to the broader market-6.00-4.00-2.000.002.004.006.003.272.80
The chart of Omega ratio for Rob's Portfolio + EM, currently valued at 1.45, compared to the broader market0.400.600.801.001.201.401.601.801.451.39
The chart of Calmar ratio for Rob's Portfolio + EM, currently valued at 3.26, compared to the broader market0.002.004.006.008.0010.0012.003.263.09
The chart of Martin ratio for Rob's Portfolio + EM, currently valued at 15.90, compared to the broader market0.0010.0020.0030.0040.0050.0015.9013.49
Rob's Portfolio + EM
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IVV
iShares Core S&P 500 ETF
2.252.981.423.3214.68
EDIV
SPDR S&P Emerging Markets Dividend ETF
1.392.021.251.855.01
FLRT
Pacific Global Senior Loan ETF
6.9411.413.3517.9588.74
AAA
AAF First Priority CLO Bond ETF
3.656.151.8118.1570.08
FLBL
Franklin Liberty Senior Loan ETF
4.727.202.2010.0961.53
IYW
iShares U.S. Technology ETF
1.582.101.282.137.31
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
0.590.861.110.812.38
VCLT
Vanguard Long-Term Corporate Bond ETF
-0.12-0.090.99-0.05-0.33
XLRE
Real Estate Select Sector SPDR Fund
0.400.641.080.251.45
EWZS
iShares MSCI Brazil Small-Cap ETF
-1.14-1.590.81-0.64-1.89
DXJ
WisdomTree Japan Hedged Equity Fund
1.361.751.261.284.37
SMIN
iShares MSCI India Small-Cap ETF
1.571.981.292.718.25
EPI
WisdomTree India Earnings Fund
1.021.351.211.604.50
ILF
iShares Latin American 40 ETF
-1.09-1.440.83-0.83-1.91
EWZ
iShares MSCI Brazil ETF
-1.18-1.610.81-0.83-1.78

The current Rob's Portfolio + EM Sharpe ratio is 2.36. 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 1.27 to 2.07, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Rob's Portfolio + EM 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.36
2.10
Rob's Portfolio + EM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Rob's Portfolio + EM provided a 6.63% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio6.63%6.19%4.52%2.87%2.24%2.68%2.13%1.04%1.21%1.30%0.95%0.69%
IVV
iShares Core S&P 500 ETF
1.29%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%
EDIV
SPDR S&P Emerging Markets Dividend ETF
3.47%4.26%4.94%3.84%3.52%3.83%3.41%2.99%4.93%5.33%4.84%5.13%
FLRT
Pacific Global Senior Loan ETF
8.11%8.42%5.81%3.16%3.51%4.31%3.95%3.20%3.38%3.21%0.00%0.00%
AAA
AAF First Priority CLO Bond ETF
6.21%6.12%2.78%1.06%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FLBL
Franklin Liberty Senior Loan ETF
8.06%8.37%5.53%3.57%3.22%3.97%2.20%0.00%0.00%0.00%0.00%0.00%
IYW
iShares U.S. Technology ETF
0.20%0.53%0.50%0.31%0.56%0.72%0.91%0.82%1.13%1.12%1.13%1.06%
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
2.58%2.69%0.89%3.56%2.14%2.64%3.06%2.47%2.51%2.33%2.67%2.15%
VCLT
Vanguard Long-Term Corporate Bond ETF
4.67%4.67%4.44%3.07%3.16%3.81%4.55%4.01%4.33%4.68%4.29%4.83%
XLRE
Real Estate Select Sector SPDR Fund
2.36%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
EWZS
iShares MSCI Brazil Small-Cap ETF
4.68%2.75%4.62%4.51%1.15%1.77%4.79%3.41%3.62%4.35%3.05%1.88%
DXJ
WisdomTree Japan Hedged Equity Fund
0.87%3.44%3.03%2.64%2.53%2.47%2.92%2.30%1.98%5.95%11.61%2.44%
SMIN
iShares MSCI India Small-Cap ETF
11.31%0.41%0.01%1.27%1.07%1.74%1.68%0.89%2.30%0.93%0.34%0.75%
EPI
WisdomTree India Earnings Fund
0.00%0.15%6.01%1.18%0.78%1.17%1.18%0.85%1.04%1.20%1.02%0.75%
ILF
iShares Latin American 40 ETF
7.31%4.61%12.72%8.47%1.88%3.09%3.12%1.81%1.59%3.25%2.32%3.32%
EWZ
iShares MSCI Brazil ETF
8.69%5.66%12.59%9.87%1.71%2.54%2.89%1.71%1.81%4.08%3.78%3.23%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.88%
-2.62%
Rob's Portfolio + EM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Rob's Portfolio + EM. 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 Rob's Portfolio + EM was 8.86%, occurring on Jul 6, 2022. Recovery took 229 trading sessions.

The current Rob's Portfolio + EM drawdown is 0.88%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.86%Apr 5, 202263Jul 6, 2022229Jun 2, 2023292
-3.69%Jan 13, 202241Mar 14, 202214Apr 1, 202255
-2.61%Jul 17, 202414Aug 5, 202410Aug 19, 202424
-2.06%Sep 15, 202331Oct 27, 20237Nov 7, 202338
-2.02%Sep 17, 202032Oct 30, 20204Nov 5, 202036

Volatility

Volatility Chart

The current Rob's Portfolio + EM volatility is 1.24%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.24%
3.79%
Rob's Portfolio + EM
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.

AAAVCLTFLRTFLBLDXJXLRESMINEWZSIYWEWZEPIEDIVILFIVVEEMS
AAA1.00-0.000.120.040.03-0.020.010.02-0.030.03-0.000.030.03-0.020.01
VCLT-0.001.000.180.19-0.000.370.170.220.280.180.180.180.180.280.25
FLRT0.120.181.000.350.150.210.160.180.210.210.190.230.240.260.26
FLBL0.040.190.351.000.300.340.270.260.420.290.290.330.330.470.41
DXJ0.03-0.000.150.301.000.330.360.300.480.320.430.420.390.590.48
XLRE-0.020.370.210.340.331.000.330.340.470.330.380.380.380.640.45
SMIN0.010.170.160.270.360.331.000.330.410.340.870.410.370.470.64
EWZS0.020.220.180.260.300.340.331.000.320.900.370.470.830.400.55
IYW-0.030.280.210.420.480.470.410.321.000.290.470.450.370.890.59
EWZ0.030.180.210.290.320.330.340.900.291.000.390.520.940.400.56
EPI-0.000.180.190.290.430.380.870.370.470.391.000.500.450.540.68
EDIV0.030.180.230.330.420.380.410.470.450.520.501.000.600.520.77
ILF0.030.180.240.330.390.380.370.830.370.940.450.601.000.500.64
IVV-0.020.280.260.470.590.640.470.400.890.400.540.520.501.000.65
EEMS0.010.250.260.410.480.450.640.550.590.560.680.770.640.651.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2020
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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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