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Portfolio v1.0

Last updated Dec 9, 2023

- QQQ 35% - SPY 35% - URTH 20% - BTC 5% - ETH 5%

Asset Allocation


BTC-USD 5%ETH-USD 5%QQQ 35%SPY 35%URTH 20%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin
5%
ETH-USD
Ethereum
5%
QQQ
Invesco QQQ
Large Cap Blend Equities35%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities35%
URTH
iShares MSCI World ETF
Large Cap Growth Equities20%

Performance

The chart shows the growth of an initial investment of $10,000 in Portfolio v1.0, 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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
12.74%
7.10%
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 7, 2015, corresponding to the inception date of ETH-USD

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Portfolio v1.039.92%7.00%12.74%35.03%16.64%N/A
QQQ
Invesco QQQ
47.92%5.16%10.94%39.10%20.28%17.41%
SPY
SPDR S&P 500 ETF
21.67%5.25%7.82%17.97%13.69%11.83%
BTC-USD
Bitcoin
166.91%23.87%66.79%156.28%41.32%29.99%
ETH-USD
Ethereum
97.09%24.85%28.18%84.12%55.87%N/A
URTH
iShares MSCI World ETF
19.15%5.65%6.47%16.06%11.24%8.68%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.34%6.42%2.73%-2.60%-4.15%-0.13%9.90%

Sharpe Ratio

The current Portfolio v1.0 Sharpe ratio is 1.77. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.77

The Sharpe ratio of Portfolio v1.0 lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.77
1.23
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components

Dividend yield

Portfolio v1.0 granted a 1.00% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Portfolio v1.01.00%1.20%0.87%1.03%1.30%1.49%1.30%1.51%1.54%1.61%1.20%1.74%
QQQ
Invesco QQQ
0.55%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%1.26%
SPY
SPDR S&P 500 ETF
1.41%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
URTH
iShares MSCI World ETF
1.55%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%2.69%

Expense Ratio

The Portfolio v1.0 features an expense ratio of 0.15%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.20%
0.00%2.15%
0.09%
0.00%2.15%
0.24%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
QQQ
Invesco QQQ
2.18
SPY
SPDR S&P 500 ETF
1.38
BTC-USD
Bitcoin
1.71
ETH-USD
Ethereum
0.83
URTH
iShares MSCI World ETF
1.28

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BTC-USDETH-USDQQQURTHSPY
BTC-USD1.000.620.150.150.14
ETH-USD0.621.000.150.150.15
QQQ0.150.151.000.800.85
URTH0.150.150.801.000.91
SPY0.140.150.850.911.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-2.67%
-4.01%
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio v1.0. 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 Portfolio v1.0 was 33.55%, occurring on Mar 22, 2020. Recovery took 120 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.55%Feb 15, 202037Mar 22, 2020120Jul 20, 2020157
-33.45%Nov 9, 2021341Oct 15, 2022
-26.61%Jan 29, 2018331Dec 25, 2018174Jun 17, 2019505
-13.4%Aug 8, 201553Sep 29, 201530Oct 29, 201583
-12.75%Mar 14, 20167Mar 20, 201688Jun 16, 201695

Volatility Chart

The current Portfolio v1.0 volatility is 2.26%, 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%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
2.26%
1.61%
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components
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