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Portfolio v1.0
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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 Equities

35%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

35%

URTH
iShares MSCI World ETF
Large Cap Growth Equities

20%

S&P 500

Performance

Performance Chart

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


0.00%200.00%400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%OctoberNovemberDecember2024FebruaryMarch
1,303.49%
152.91%
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 By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
10.16%3.47%22.20%30.45%13.16%10.89%
Portfolio v1.014.36%4.29%32.76%43.59%17.77%N/A
QQQ
Invesco QQQ
8.57%1.60%24.50%42.93%13.84%18.63%
SPY
SPDR S&P 500 ETF
10.39%3.50%22.94%32.22%10.10%12.86%
BTC-USD
Bitcoin
67.38%23.93%161.81%149.55%48.09%41.64%
ETH-USD
Ethereum
56.10%9.76%115.46%98.62%56.02%N/A
URTH
iShares MSCI World ETF
8.94%3.40%21.23%27.82%8.33%9.55%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.41%9.13%
2023-2.60%-4.15%-0.13%9.90%5.84%

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.


0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.09%
0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.79
Portfolio v1.0
2.33
QQQ
Invesco QQQ
1.41
SPY
SPDR S&P 500 ETF
1.76
BTC-USD
Bitcoin
3.44
ETH-USD
Ethereum
2.10
URTH
iShares MSCI World ETF
1.57

Sharpe Ratio

The current Portfolio v1.0 Sharpe ratio is 2.33. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.33

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 Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.33
2.79
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio v1.0 granted a 0.97% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio v1.00.97%1.04%1.20%0.87%1.03%1.30%1.49%1.30%1.51%1.54%1.61%1.20%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
SPY
SPDR S&P 500 ETF
1.29%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
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
1.56%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
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 33.50%, occurring on Mar 22, 2020. Recovery took 120 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.5%Feb 15, 202037Mar 22, 2020120Jul 20, 2020157
-33.44%Nov 9, 2021341Oct 15, 2022430Dec 19, 2023771
-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

Volatility Chart

The current Portfolio v1.0 volatility is 2.93%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.93%
2.80%
Portfolio v1.0
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.

BTC-USDETH-USDQQQURTHSPY
BTC-USD1.000.620.140.140.14
ETH-USD0.621.000.150.150.15
QQQ0.140.151.000.800.85
URTH0.140.150.801.000.91
SPY0.140.150.850.911.00