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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%

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


-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
15.88%
13.90%
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


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
27.68%2.72%13.90%32.81%14.15%11.47%
Portfolio v1.036.14%5.70%15.88%40.33%26.15%N/A
QQQ
Invesco QQQ
29.12%2.52%14.06%35.17%21.67%18.49%
SPY
SPDR S&P 500 ETF
29.08%2.05%14.54%33.86%15.92%13.41%
BTC-USD
Bitcoin
136.41%31.64%44.17%126.24%68.34%75.91%
ETH-USD
Ethereum
75.58%38.34%8.83%69.83%93.42%N/A
URTH
iShares MSCI World ETF
23.50%1.90%11.73%28.47%12.88%10.53%

Monthly Returns

The table below presents the monthly returns of Portfolio v1.0, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.41%9.04%3.73%-5.39%6.55%3.14%0.03%0.25%2.50%-0.66%9.18%36.14%
202310.96%-1.39%7.47%1.39%2.34%6.42%2.73%-2.60%-4.15%-0.13%9.90%5.84%44.66%
2022-8.12%-2.34%4.36%-11.20%-2.42%-11.03%12.97%-5.30%-9.79%6.94%3.56%-6.66%-27.98%
20214.11%4.00%7.89%6.98%-1.63%1.92%3.73%5.72%-5.76%10.71%0.10%0.02%43.51%
20204.22%-5.39%-13.83%16.39%6.15%2.97%9.38%9.35%-5.59%-0.80%15.99%8.86%52.85%
20196.23%4.32%2.78%6.34%1.03%10.25%0.10%-2.65%1.16%3.48%1.39%2.14%42.52%
20187.02%-4.19%-7.10%5.61%0.52%-1.57%3.73%1.10%-0.59%-7.85%-3.07%-7.83%-14.58%
20174.71%7.42%20.03%5.77%20.28%5.74%1.91%7.31%-1.02%5.48%8.65%8.53%144.49%
20161.48%22.11%29.01%-1.47%5.55%0.10%4.00%0.04%1.70%-1.64%1.22%3.04%80.65%
2015-8.21%-3.23%11.24%1.27%-0.18%-0.11%

Expense Ratio

Portfolio v1.0 has an expense ratio of 0.15%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Portfolio v1.0 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 Portfolio v1.0 is 1818
Overall Rank
The Sharpe Ratio Rank of Portfolio v1.0 is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio v1.0 is 1919
Sortino Ratio Rank
The Omega Ratio Rank of Portfolio v1.0 is 1919
Omega Ratio Rank
The Calmar Ratio Rank of Portfolio v1.0 is 99
Calmar Ratio Rank
The Martin Ratio Rank of Portfolio v1.0 is 2222
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Portfolio v1.0, currently valued at 1.78, compared to the broader market-6.00-4.00-2.000.002.004.006.001.782.77
The chart of Sortino ratio for Portfolio v1.0, currently valued at 2.38, compared to the broader market-6.00-4.00-2.000.002.004.006.002.383.66
The chart of Omega ratio for Portfolio v1.0, currently valued at 1.30, compared to the broader market0.501.001.502.001.301.51
The chart of Calmar ratio for Portfolio v1.0, currently valued at 0.81, compared to the broader market0.005.0010.0015.000.813.99
The chart of Martin ratio for Portfolio v1.0, currently valued at 8.91, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.9117.73
Portfolio v1.0
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.542.041.280.666.56
SPY
SPDR S&P 500 ETF
1.992.661.370.9111.72
BTC-USD
Bitcoin
1.322.041.201.125.84
ETH-USD
Ethereum
0.320.971.100.110.86
URTH
iShares MSCI World ETF
1.622.221.290.669.24

The current Portfolio v1.0 Sharpe ratio is 1.78. 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 1.95 to 2.84, 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 Portfolio v1.0 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
1.78
2.77
Portfolio v1.0
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio v1.0 provided a 0.88% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.88%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
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
SPY
SPDR S&P 500 ETF
1.15%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
1.40%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%1.04%

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%JulyAugustSeptemberOctoberNovemberDecember00
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 33.51%, occurring on Mar 23, 2020. Recovery took 119 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.51%Feb 15, 202038Mar 23, 2020119Jul 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 3.25%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.25%
2.22%
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-USD1.000.640.150.160.15
ETH-USD0.641.000.150.160.16
QQQ0.150.151.000.800.85
URTH0.160.160.801.000.91
SPY0.150.160.850.911.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2015
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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