PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Trudo_TFSA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Trudo_TFSA

Last updated Nov 5, 2024

Asset Allocation

XLB.TO 4.16%CCRV 6.09%VUN.TO 15.39%CHAT 13.69%XLC 13.58%VPU 11.07%SOXL 8.54%XGRO.TO 7.2%XLF 6.65%RSP 5.64%QQQA 5.63%XLV 2.36%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CCRV
iShares Commodity Curve Carry Strategy ETF		Commodities
6.09%
CHAT
Roundhill Generative AI & Technology ETF		Technology Equities
13.69%
QQQA
ProShares Nasdaq-100 Dorsey Wright Momentum ETF		Large Cap Growth Equities
5.63%
RSP
Invesco S&P 500® Equal Weight ETF		Large Cap Blend Equities
5.64%
SOXL
Direxion Daily Semiconductor Bull 3x Shares		Leveraged Equities, Leveraged
8.54%
VPU
Vanguard Utilities ETF		Utilities Equities
11.07%
VUN.TO
Vanguard US Total Market Index ETF		Large Cap Growth Equities
15.39%
XGRO.TO
iShares Core Growth ETF Portfolio		Actively Managed, Large Cap Growth Equities
7.20%
XLB.TO
iShares Core Canadian Long Term Bond Index ETF		Canadian Government Bonds
4.16%
XLC
Communication Services Select Sector SPDR Fund		Large Cap Growth Equities
13.58%
XLF
Financial Select Sector SPDR Fund		Financials Equities
6.65%
XLV
Health Care Select Sector SPDR Fund		Health & Biotech Equities
2.36%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Trudo_TFSA, 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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.54%
10.27%
Trudo_TFSA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 18, 2023, corresponding to the inception date of CHAT

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.77%-0.67%10.27%31.07%13.22%10.92%
Trudo_TFSA17.88%-2.43%6.63%34.77%N/AN/A
Portfolio components:
VPU
Vanguard Utilities ETF		24.40%-4.79%12.00%29.28%6.99%8.63%
VUN.TO
Vanguard US Total Market Index ETF		19.38%-0.46%10.25%32.04%15.16%14.28%
XLV
Health Care Select Sector SPDR Fund		8.83%-3.21%3.73%16.24%11.19%9.94%
XLC
Communication Services Select Sector SPDR Fund		27.81%1.33%13.79%38.16%13.58%N/A
CHAT
Roundhill Generative AI & Technology ETF		23.34%-0.63%10.50%36.90%N/AN/A
CCRV
iShares Commodity Curve Carry Strategy ETF		6.43%-2.68%-2.45%1.48%N/AN/A
SOXL
Direxion Daily Semiconductor Bull 3x Shares		-2.82%-17.26%-24.46%67.58%16.06%33.80%
XGRO.TO
iShares Core Growth ETF Portfolio		11.18%-1.89%6.75%22.29%9.28%8.10%
XLB.TO
iShares Core Canadian Long Term Bond Index ETF		-4.74%-1.37%3.98%9.49%-1.88%1.90%
XLF
Financial Select Sector SPDR Fund		24.49%1.38%13.16%39.66%11.55%13.56%
QQQA
ProShares Nasdaq-100 Dorsey Wright Momentum ETF		11.25%-1.62%3.63%27.38%N/AN/A
RSP
Invesco S&P 500® Equal Weight ETF		13.28%-1.10%8.22%27.41%11.66%10.30%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.40%6.97%3.76%-5.08%6.51%3.05%-0.94%0.81%2.54%-1.71%17.88%
20231.77%6.17%5.07%-4.06%-5.60%-3.99%12.16%7.79%19.35%

Expense Ratio

Trudo_TFSA features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SOXL
Direxion Daily Semiconductor Bull 3x Shares
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
CHAT
Roundhill Generative AI & Technology ETF
Expense ratio chart for CHAT: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
QQQA
ProShares Nasdaq-100 Dorsey Wright Momentum ETF
Expense ratio chart for QQQA: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
CCRV
iShares Commodity Curve Carry Strategy ETF
Expense ratio chart for CCRV: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
XGRO.TO
iShares Core Growth ETF Portfolio
Expense ratio chart for XGRO.TO: 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%
XLB.TO
iShares Core Canadian Long Term Bond Index ETF
Expense ratio chart for XLB.TO: 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%
RSP
Invesco S&P 500® Equal Weight ETF
Expense ratio chart for RSP: 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%
VUN.TO
Vanguard US Total Market Index ETF
Expense ratio chart for VUN.TO: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
XLC
Communication Services Select Sector SPDR Fund
Expense ratio chart for XLC: 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%
XLF
Financial Select Sector SPDR Fund
Expense ratio chart for XLF: 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%
XLV
Health Care Select Sector SPDR Fund
Expense ratio chart for XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VPU
Vanguard Utilities ETF
Expense ratio chart for VPU: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Trudo_TFSA is 29, 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.

The Risk-Adjusted Performance Rank of Trudo_TFSA is 2929
Combined Rank
The Sharpe Ratio Rank of Trudo_TFSA is 2525Sharpe Ratio Rank
The Sortino Ratio Rank of Trudo_TFSA is 2424Sortino Ratio Rank
The Omega Ratio Rank of Trudo_TFSA is 2525Omega Ratio Rank
The Calmar Ratio Rank of Trudo_TFSA is 4848Calmar Ratio Rank
The Martin Ratio Rank of Trudo_TFSA is 2222Martin 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.

Trudo_TFSA
Sharpe ratio
The chart of Sharpe ratio for Trudo_TFSA, currently valued at 2.08, compared to the broader market0.002.004.002.08
Sortino ratio
The chart of Sortino ratio for Trudo_TFSA, currently valued at 2.80, compared to the broader market-2.000.002.004.006.002.80
Omega ratio
The chart of Omega ratio for Trudo_TFSA, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for Trudo_TFSA, currently valued at 2.91, compared to the broader market0.002.004.006.008.0010.0012.002.91
Martin ratio
The chart of Martin ratio for Trudo_TFSA, currently valued at 9.93, compared to the broader market0.0010.0020.0030.0040.0050.009.93
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.67, compared to the broader market0.002.004.002.67
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.55, compared to the broader market-2.000.002.004.006.003.55
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.45, compared to the broader market0.002.004.006.008.0010.0012.003.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.04, compared to the broader market0.0010.0020.0030.0040.0050.0017.04
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VPU
Vanguard Utilities ETF		2.122.971.382.5910.74
VUN.TO
Vanguard US Total Market Index ETF		2.753.771.513.9117.18
XLV
Health Care Select Sector SPDR Fund		1.822.541.342.718.30
XLC
Communication Services Select Sector SPDR Fund		2.593.451.475.9420.83
CHAT
Roundhill Generative AI & Technology ETF		1.502.061.271.905.76
CCRV
iShares Commodity Curve Carry Strategy ETF		0.310.531.060.381.07
SOXL
Direxion Daily Semiconductor Bull 3x Shares		0.661.451.191.072.25
XGRO.TO
iShares Core Growth ETF Portfolio		2.293.291.423.8915.75
XLB.TO
iShares Core Canadian Long Term Bond Index ETF		0.791.191.140.851.63
XLF
Financial Select Sector SPDR Fund		3.274.281.565.8720.77
QQQA
ProShares Nasdaq-100 Dorsey Wright Momentum ETF		1.091.531.211.213.56
RSP
Invesco S&P 500® Equal Weight ETF		2.543.551.463.2514.55

Sharpe Ratio

The current Trudo_TFSA Sharpe ratio is 2.08. 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 2.02 to 2.79, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Trudo_TFSA 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.08
2.67
Trudo_TFSA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Trudo_TFSA provided a 1.64% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.64%1.73%3.37%2.61%1.15%1.24%1.77%1.09%1.55%1.23%1.36%1.03%
Portfolio components:
VPU
Vanguard Utilities ETF		2.98%3.49%2.98%2.70%3.17%2.83%3.23%3.18%3.19%3.63%3.02%3.76%
VUN.TO
Vanguard US Total Market Index ETF		0.97%1.10%1.21%0.97%1.15%1.45%1.52%1.39%1.50%1.49%1.32%0.63%
XLV
Health Care Select Sector SPDR Fund		1.55%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
XLC
Communication Services Select Sector SPDR Fund		0.96%0.82%1.10%0.74%0.68%0.82%0.64%0.00%0.00%0.00%0.00%0.00%
CHAT
Roundhill Generative AI & Technology ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CCRV
iShares Commodity Curve Carry Strategy ETF		6.82%7.26%33.27%26.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares		1.01%0.51%1.07%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%0.00%
XGRO.TO
iShares Core Growth ETF Portfolio		2.10%2.27%1.89%1.69%1.98%2.25%7.56%2.08%2.70%2.19%5.71%1.66%
XLB.TO
iShares Core Canadian Long Term Bond Index ETF		3.84%3.73%3.97%3.03%2.90%3.18%3.56%3.45%3.62%3.64%3.90%4.14%
XLF
Financial Select Sector SPDR Fund		1.44%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%
QQQA
ProShares Nasdaq-100 Dorsey Wright Momentum ETF		0.10%0.34%0.28%0.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
RSP
Invesco S&P 500® Equal Weight ETF		1.50%1.64%1.82%1.28%1.64%1.69%2.02%1.52%1.20%1.70%1.45%1.27%

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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.96%
-2.59%
Trudo_TFSA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Trudo_TFSA. 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 Trudo_TFSA was 14.18%, occurring on Oct 27, 2023. Recovery took 32 trading sessions.

The current Trudo_TFSA drawdown is 3.96%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.18%Aug 1, 202363Oct 27, 202332Dec 12, 202395
-12.23%Jul 11, 202420Aug 7, 202447Oct 14, 202467
-8.08%Mar 8, 202430Apr 19, 202418May 15, 202448
-4.08%Jun 16, 20237Jun 26, 202312Jul 12, 202319
-3.96%Oct 15, 202415Nov 4, 2024———

Volatility

Volatility Chart

The current Trudo_TFSA volatility is 3.65%, 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%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
3.11%
Trudo_TFSA
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.
CCRVVPUXLB.TOXLVSOXLXLFXLCCHATQQQARSPXGRO.TOVUN.TO
CCRV1.000.070.00-0.080.080.120.060.110.100.150.200.10
VPU0.071.000.320.410.010.420.230.020.050.500.370.26
XLB.TO0.000.321.000.230.160.210.250.200.180.340.490.32
XLV-0.080.410.231.000.210.550.390.250.300.600.510.52
SOXL0.080.010.160.211.000.350.560.850.840.580.630.74
XLF0.120.420.210.550.351.000.500.370.410.820.660.65
XLC0.060.230.250.390.560.501.000.710.670.620.670.75
CHAT0.110.020.200.250.850.370.711.000.870.570.670.78
QQQA0.100.050.180.300.840.410.670.871.000.590.670.79
RSP0.150.500.340.600.580.820.620.570.591.000.840.82
XGRO.TO0.200.370.490.510.630.660.670.670.670.841.000.89
VUN.TO0.100.260.320.520.740.650.750.780.790.820.891.00
The correlation results are calculated based on daily price changes starting from May 19, 2023