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2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VOO 20%INDY 20%VHT 20%O 20%JEPI 20%EquityEquity
PositionCategory/SectorWeight
INDY
iShares India 50 ETF
Asia Pacific Equities
20%
JEPI
JPMorgan Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income
20%
O
Realty Income Corporation
Real Estate
20%
VHT
Vanguard Health Care ETF
Health & Biotech Equities
20%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2024, 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
11.28%
15.83%
2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
202413.58%-2.15%11.08%28.74%N/AN/A
VOO
Vanguard S&P 500 ETF
23.64%1.35%17.05%41.16%15.81%13.26%
INDY
iShares India 50 ETF
9.08%-4.65%6.00%22.19%9.82%6.97%
VHT
Vanguard Health Care ETF
10.00%-3.33%6.86%22.58%10.75%9.88%
O
Realty Income Corporation
9.73%-4.35%14.64%34.20%-0.76%7.84%
JEPI
JPMorgan Equity Premium Income ETF
13.65%0.21%10.07%21.36%N/AN/A

Monthly Returns

The table below presents the monthly returns of 2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.25%1.81%2.54%-2.47%1.94%2.18%3.61%3.96%1.37%13.58%
20232.91%-3.59%1.57%2.09%-1.91%3.99%2.14%-2.56%-4.14%-2.86%7.82%5.12%10.24%
2022-3.64%-3.02%3.82%-4.17%-0.83%-3.60%6.88%-3.93%-7.51%7.04%4.63%-2.89%-8.18%
2021-1.34%1.78%4.23%3.63%1.93%0.95%2.93%3.87%-4.69%5.29%-2.30%5.23%23.09%
20204.43%3.11%5.11%4.07%-1.58%-2.08%8.47%4.78%29.02%

Expense Ratio

2024 features an expense ratio of 0.28%, 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 INDY: current value at 0.94% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.94%
Expense ratio chart for JEPI: 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%
Expense ratio chart for VHT: 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%
Expense ratio chart for VOO: 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

The current rank of 2024 is 75, 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 2024 is 7575
Combined Rank
The Sharpe Ratio Rank of 2024 is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of 2024 is 8585Sortino Ratio Rank
The Omega Ratio Rank of 2024 is 8383Omega Ratio Rank
The Calmar Ratio Rank of 2024 is 4040Calmar Ratio Rank
The Martin Ratio Rank of 2024 is 9292Martin 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.


2024
Sharpe ratio
The chart of Sharpe ratio for 2024, currently valued at 3.35, compared to the broader market0.002.004.006.003.35
Sortino ratio
The chart of Sortino ratio for 2024, currently valued at 4.81, compared to the broader market-2.000.002.004.006.004.81
Omega ratio
The chart of Omega ratio for 2024, currently valued at 1.65, compared to the broader market0.801.001.201.401.601.802.001.65
Calmar ratio
The chart of Calmar ratio for 2024, currently valued at 2.49, compared to the broader market0.005.0010.0015.002.49
Martin ratio
The chart of Martin ratio for 2024, currently valued at 28.04, compared to the broader market0.0010.0020.0030.0040.0050.0060.0028.04
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
3.624.771.684.1423.93
INDY
iShares India 50 ETF
1.762.301.342.5511.24
VHT
Vanguard Health Care ETF
2.193.011.401.7110.98
O
Realty Income Corporation
1.572.201.290.884.64
JEPI
JPMorgan Equity Premium Income ETF
3.354.721.694.2824.91

Sharpe Ratio

The current 2024 Sharpe ratio is 3.35. 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 2.49 to 3.44, 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 2024 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.35
3.43
2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2024 provided a 2.96% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
20242.96%3.39%4.62%3.99%2.63%1.61%1.64%1.56%1.63%1.66%1.60%1.91%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
INDY
iShares India 50 ETF
0.29%0.38%3.75%7.12%0.08%0.58%0.59%0.27%0.48%0.57%0.52%0.76%
VHT
Vanguard Health Care ETF
1.41%1.36%1.33%1.14%1.21%1.89%1.38%1.31%1.45%1.22%1.02%1.12%
O
Realty Income Corporation
4.73%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
JEPI
JPMorgan Equity Premium Income ETF
7.13%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.57%
-0.54%
2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2024. 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 2024 was 16.29%, occurring on Oct 14, 2022. Recovery took 293 trading sessions.

The current 2024 drawdown is 2.57%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.29%Jan 5, 2022196Oct 14, 2022293Dec 14, 2023489
-6.97%Jun 9, 20203Jun 11, 202025Jul 17, 202028
-6.65%Sep 3, 202015Sep 24, 202011Oct 9, 202026
-6.21%Oct 13, 202014Oct 30, 20206Nov 9, 202020
-5.4%Sep 7, 202118Sep 30, 202117Oct 25, 202135

Volatility

Volatility Chart

The current 2024 volatility is 2.33%, 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%MayJuneJulyAugustSeptemberOctober
2.33%
2.71%
2024
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.

OINDYVHTVOOJEPI
O1.000.280.440.440.52
INDY0.281.000.440.560.47
VHT0.440.441.000.720.77
VOO0.440.560.721.000.81
JEPI0.520.470.770.811.00
The correlation results are calculated based on daily price changes starting from May 22, 2020