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

Large Cap

Last updated Oct 17, 2024

The last portfolio assembled, for the goal of "Setting aside 20% of my income", showed a drawdown of 8.11% for the entire time. Diversified with a focus on Large Cap Growth Equities.

By. Farid B

Asset Allocation

USFR 20%SGOL 10%FNGS 25%BBLU 20%SMH 15%QQQM 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BBLU
Ea Bridgeway Blue Chip ETF		Large Cap Growth Equities
20%
FNGS
MicroSectors FANG+ ETN		Large Cap Growth Equities
25%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
10%
SGOL
Aberdeen Standard Physical Gold Shares ETF		Precious Metals, Gold
10%
SMH
VanEck Vectors Semiconductor ETF		Technology Equities
15%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		Government Bonds
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Large Cap, 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%15.00%MayJuneJulyAugustSeptemberOctober
14.42%
16.59%
Large Cap
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of BBLU

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.49%3.72%16.33%33.60%14.41%11.99%
Large Cap25.41%3.56%14.42%39.41%N/AN/A
Portfolio components:
BBLU
Ea Bridgeway Blue Chip ETF		24.66%3.77%15.85%35.65%N/AN/A
FNGS
MicroSectors FANG+ ETN		33.57%4.37%20.48%55.73%N/AN/A
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		4.33%0.42%2.48%5.34%2.48%2.32%
SGOL
Aberdeen Standard Physical Gold Shares ETF		29.43%4.16%12.31%36.92%12.26%7.75%
QQQM
Invesco NASDAQ 100 ETF		20.47%3.81%16.29%36.14%N/AN/A
SMH
VanEck Vectors Semiconductor ETF		41.43%5.82%18.54%71.18%35.48%30.02%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.48%6.42%3.03%-2.19%5.04%5.08%-0.48%0.41%2.16%25.41%
202310.26%0.42%7.69%-0.47%7.69%4.87%3.07%-1.41%-4.42%-0.74%8.65%4.44%46.64%
20221.31%8.49%-5.21%4.17%

Expense Ratio

Large Cap features an expense ratio of 0.29%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

FNGS
MicroSectors FANG+ ETN
Expense ratio chart for FNGS: 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%
SMH
VanEck Vectors Semiconductor ETF
Expense ratio chart for SMH: 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%
SGOL
Aberdeen Standard Physical Gold Shares ETF
Expense ratio chart for SGOL: 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%
BBLU
Ea Bridgeway Blue Chip ETF
Expense ratio chart for BBLU: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
Expense ratio chart for USFR: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
QQQM
Invesco NASDAQ 100 ETF
Expense ratio chart for QQQM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Large Cap is 48, 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 Large Cap is 4848
Combined Rank
The Sharpe Ratio Rank of Large Cap is 4646Sharpe Ratio Rank
The Sortino Ratio Rank of Large Cap is 4242Sortino Ratio Rank
The Omega Ratio Rank of Large Cap is 4747Omega Ratio Rank
The Calmar Ratio Rank of Large Cap is 7575Calmar Ratio Rank
The Martin Ratio Rank of Large Cap is 3131Martin 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.

Large Cap
Sharpe ratio
The chart of Sharpe ratio for Large Cap, currently valued at 2.53, compared to the broader market0.002.004.002.53
Sortino ratio
The chart of Sortino ratio for Large Cap, currently valued at 3.32, compared to the broader market-2.000.002.004.006.003.32
Omega ratio
The chart of Omega ratio for Large Cap, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.801.45
Calmar ratio
The chart of Calmar ratio for Large Cap, currently valued at 3.33, compared to the broader market0.002.004.006.008.0010.0012.003.33
Martin ratio
The chart of Martin ratio for Large Cap, currently valued at 12.33, compared to the broader market0.0010.0020.0030.0040.0050.0012.33
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.69, compared to the broader market0.002.004.002.69
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.43, compared to the broader market0.0010.0020.0030.0040.0050.0016.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BBLU
Ea Bridgeway Blue Chip ETF		2.933.931.523.8216.14
FNGS
MicroSectors FANG+ ETN		2.052.621.352.879.33
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		14.9954.6813.3090.06743.81
SGOL
Aberdeen Standard Physical Gold Shares ETF		2.793.761.486.2017.85
QQQM
Invesco NASDAQ 100 ETF		1.932.571.342.508.95
SMH
VanEck Vectors Semiconductor ETF		1.912.421.322.657.65

Sharpe Ratio

The current Large Cap Sharpe ratio is 2.53. 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 2.18 to 2.98, 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 Large Cap 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.53
2.69
Large Cap
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Large Cap granted a 1.47% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Large Cap1.47%1.51%7.21%0.20%0.30%1.32%0.90%0.63%0.30%0.64%0.35%0.47%
Portfolio components:
BBLU
Ea Bridgeway Blue Chip ETF		1.35%1.68%32.08%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FNGS
MicroSectors FANG+ ETN		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		5.36%5.12%1.78%0.01%0.40%2.08%1.67%1.03%0.29%0.00%0.00%0.00%
SGOL
Aberdeen Standard Physical Gold Shares 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%
QQQM
Invesco NASDAQ 100 ETF		0.67%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF		0.42%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%

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%MayJuneJulyAugustSeptemberOctober
-1.36%
-0.30%
Large Cap
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Large Cap. 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 Large Cap was 11.26%, occurring on Aug 7, 2024. Recovery took 47 trading sessions.

The current Large Cap drawdown is 1.36%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-11.26%Jul 11, 202420Aug 7, 202447Oct 14, 202467
-8.11%Jul 19, 202371Oct 26, 202313Nov 14, 202384
-7.58%Dec 2, 202218Dec 28, 202215Jan 20, 202333
-5.96%Feb 3, 202325Mar 10, 20239Mar 23, 202334
-5.66%Apr 12, 20246Apr 19, 202417May 14, 202423

Volatility

Volatility Chart

The current Large Cap volatility is 3.63%, 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%MayJuneJulyAugustSeptemberOctober
3.63%
3.03%
Large Cap
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.
USFRSGOLSMHBBLUFNGSQQQM
USFR1.00-0.01-0.02-0.06-0.04-0.04
SGOL-0.011.000.130.140.130.13
SMH-0.020.131.000.740.800.87
BBLU-0.060.140.741.000.770.87
FNGS-0.040.130.800.771.000.92
QQQM-0.040.130.870.870.921.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022