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DCA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


QLD 100%EquityEquity
PositionCategory/SectorWeight
QLD
ProShares Ultra QQQ
Leveraged Equities, Leveraged
100%

Performance

Performance Chart

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


-10.00%0.00%10.00%20.00%30.00%MayJuneJulyAugustSeptemberOctober
20.83%
12.23%
DCA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 21, 2006, corresponding to the inception date of QLD

Returns By Period

As of Oct 10, 2024, the DCA returned 35.29% Year-To-Date and 30.89% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.43%5.87%12.23%32.90%14.34%11.78%
DCA35.29%17.20%20.83%64.44%33.32%30.89%
QLD
ProShares Ultra QQQ
35.29%17.20%20.83%64.44%33.32%30.89%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.89%10.03%1.74%-9.33%12.36%12.11%-4.31%1.09%4.35%35.29%
202321.20%-1.74%18.79%0.34%15.24%12.32%7.22%-3.98%-10.21%-4.94%21.78%10.72%117.72%
2022-17.20%-9.55%7.87%-26.03%-4.76%-18.28%25.62%-10.86%-20.94%6.60%9.77%-18.08%-60.52%
20210.23%-0.72%2.31%11.84%-2.82%12.75%5.56%8.39%-11.43%16.17%3.63%1.61%54.67%
20205.62%-11.78%-21.12%30.59%12.39%12.34%14.89%22.77%-12.01%-6.71%22.58%9.83%88.90%
201917.83%5.62%7.62%10.84%-16.46%15.35%4.31%-4.71%1.36%8.44%8.04%7.61%81.69%
201817.84%-3.43%-8.69%0.26%11.27%1.71%5.04%11.78%-0.83%-17.75%-1.17%-17.84%-8.31%
201710.28%8.76%3.86%5.32%7.62%-5.14%8.20%3.57%-0.62%9.12%3.71%0.89%70.34%
2016-14.09%-3.62%14.82%-6.56%8.67%-4.99%14.60%1.91%4.13%-3.06%0.57%2.14%11.08%
2015-4.35%14.73%-4.95%3.58%4.43%-5.12%8.91%-14.01%-5.05%23.81%0.96%-3.57%14.74%
2014-4.08%10.26%-5.59%-1.09%8.99%6.23%2.09%10.15%-1.68%4.73%9.19%-4.83%37.59%
20135.31%0.48%6.08%4.66%7.11%-5.17%13.05%-1.04%9.56%10.06%6.91%5.82%82.12%

Expense Ratio

DCA has a high expense ratio of 0.95%, 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.


Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of DCA is 18, indicating that it is in the bottom 18% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of DCA is 1818
DCA
The Sharpe Ratio Rank of DCA is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of DCA is 1515Sortino Ratio Rank
The Omega Ratio Rank of DCA is 1616Omega Ratio Rank
The Calmar Ratio Rank of DCA is 2626Calmar Ratio Rank
The Martin Ratio Rank of DCA is 1616Martin 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.


DCA
Sharpe ratio
The chart of Sharpe ratio for DCA, currently valued at 1.88, compared to the broader market0.002.004.001.88
Sortino ratio
The chart of Sortino ratio for DCA, currently valued at 2.36, compared to the broader market-2.000.002.004.006.002.36
Omega ratio
The chart of Omega ratio for DCA, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for DCA, currently valued at 1.61, compared to the broader market0.002.004.006.008.0010.0012.001.61
Martin ratio
The chart of Martin ratio for DCA, currently valued at 8.20, compared to the broader market0.0010.0020.0030.0040.0050.008.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, 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 16.37, compared to the broader market0.0010.0020.0030.0040.0050.0016.37

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QLD
ProShares Ultra QQQ
1.882.361.311.618.20

Sharpe Ratio

The current DCA Sharpe ratio is 1.88. 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 2.16 to 2.86, 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 DCA 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 Ratio1.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.88
2.68
DCA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

DCA granted a 0.28% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
DCA0.28%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%
QLD
ProShares Ultra QQQ
0.28%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-6.54%
0
DCA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the DCA. 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 DCA was 83.13%, occurring on Mar 9, 2009. Recovery took 764 trading sessions.

The current DCA drawdown is 6.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-83.13%Nov 1, 2007339Mar 9, 2009764Mar 19, 20121103
-63.68%Nov 22, 2021277Dec 28, 2022353May 24, 2024630
-51.72%Feb 20, 202022Mar 20, 202071Jul 1, 202093
-42.46%Aug 30, 201880Dec 24, 2018135Jul 10, 2019215
-30.74%Nov 5, 201565Feb 9, 2016120Aug 1, 2016185

Volatility

Volatility Chart

The current DCA volatility is 8.84%, 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.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
8.84%
2.94%
DCA
Benchmark (^GSPC)
Portfolio components