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Non Stock Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


HYG 30%AGGY 20%GLD 25%GSG 25%BondBondCommodityCommodity
PositionCategory/SectorWeight
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund
Total Bond Market

20%

GLD
SPDR Gold Trust
Precious Metals, Gold

25%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

25%

HYG
iShares iBoxx $ High Yield Corporate Bond ETF
High Yield Bonds

30%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Non Stock Portfolio, 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


50.00%100.00%150.00%FebruaryMarchAprilMayJuneJuly
50.22%
168.37%
Non Stock Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 9, 2015, corresponding to the inception date of AGGY

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Non Stock Portfolio7.12%0.34%7.54%11.01%6.43%N/A
GLD
SPDR Gold Trust
15.99%2.91%17.99%21.34%10.54%5.85%
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund
0.83%0.57%2.03%4.94%-0.29%N/A
GSG
iShares S&P GSCI Commodity-Indexed Trust
7.23%-3.63%5.70%4.01%7.01%-3.93%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
3.93%1.35%4.23%10.19%3.09%3.44%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.73%0.20%3.79%0.09%0.89%0.49%7.12%
20233.26%-3.53%2.89%0.13%-2.47%1.04%3.63%-0.23%-1.06%0.27%2.05%1.38%7.33%
20221.18%3.37%2.17%-1.64%1.33%-4.93%1.83%-3.42%-4.66%1.82%3.59%-0.34%-0.21%
20210.11%0.73%-0.68%3.33%2.60%-0.17%1.26%-0.49%0.32%1.77%-3.23%3.22%8.91%
2020-1.24%-2.04%-10.23%1.66%5.33%2.21%5.45%0.85%-2.48%-1.04%2.98%3.91%4.40%
20194.62%1.13%0.84%0.85%-1.97%4.37%0.02%1.60%-0.53%0.90%-0.51%3.14%15.22%
20181.55%-2.04%0.80%0.84%0.24%-0.59%-0.86%0.03%0.89%-1.90%-2.67%-0.48%-4.21%
20171.32%1.47%-1.12%0.20%0.20%-0.85%2.07%0.97%0.03%0.85%0.29%1.71%7.30%
2016-0.19%2.98%1.85%4.96%-1.13%3.33%-1.38%0.21%1.44%-1.68%-2.00%1.49%10.05%
2015-3.88%0.40%-2.66%1.71%-4.84%-2.81%-11.65%

Expense Ratio

Non Stock Portfolio features an expense ratio of 0.46%, 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 GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for AGGY: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Non Stock Portfolio is 52, 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 Non Stock Portfolio is 5252
Non Stock Portfolio
The Sharpe Ratio Rank of Non Stock Portfolio is 4747Sharpe Ratio Rank
The Sortino Ratio Rank of Non Stock Portfolio is 5353Sortino Ratio Rank
The Omega Ratio Rank of Non Stock Portfolio is 4949Omega Ratio Rank
The Calmar Ratio Rank of Non Stock Portfolio is 3434Calmar Ratio Rank
The Martin Ratio Rank of Non Stock Portfolio is 7777Martin 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.


Non Stock Portfolio
Sharpe ratio
The chart of Sharpe ratio for Non Stock Portfolio, currently valued at 1.53, compared to the broader market-1.000.001.002.003.004.005.001.53
Sortino ratio
The chart of Sortino ratio for Non Stock Portfolio, currently valued at 2.26, compared to the broader market-2.000.002.004.006.002.26
Omega ratio
The chart of Omega ratio for Non Stock Portfolio, currently valued at 1.27, compared to the broader market0.801.001.201.401.601.801.27
Calmar ratio
The chart of Calmar ratio for Non Stock Portfolio, currently valued at 1.01, compared to the broader market0.002.004.006.008.0010.001.01
Martin ratio
The chart of Martin ratio for Non Stock Portfolio, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.008.76
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.005.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLD
SPDR Gold Trust
1.512.161.271.607.41
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund
0.721.091.120.242.33
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.290.501.060.180.72
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.692.611.311.028.66

Sharpe Ratio

The current Non Stock Portfolio Sharpe ratio is 1.89. 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 1.63 to 2.48, 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 Non Stock Portfolio 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 Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.53
1.82
Non Stock Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Non Stock Portfolio granted a 2.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Non Stock Portfolio2.59%2.48%2.15%1.63%2.06%2.10%2.34%2.09%2.22%2.02%1.71%1.83%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund
4.14%3.78%2.77%2.10%2.96%3.02%3.36%2.78%3.18%1.27%0.00%0.00%
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.88%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.36%
-2.86%
Non Stock Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Non Stock Portfolio. 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 Non Stock Portfolio was 19.54%, occurring on Mar 20, 2020. Recovery took 95 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.54%Jan 7, 202052Mar 20, 202095Aug 5, 2020147
-17.03%Mar 9, 2022139Sep 26, 2022380Apr 2, 2024519
-14.87%Jul 13, 2015132Jan 19, 2016148Aug 18, 2016280
-7.5%Jan 25, 2018231Dec 24, 201858Mar 20, 2019289
-5.81%Aug 19, 201661Nov 14, 2016177Jul 31, 2017238

Volatility

Volatility Chart

The current Non Stock Portfolio volatility is 2.19%, 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%FebruaryMarchAprilMayJuneJuly
2.19%
2.76%
Non Stock Portfolio
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.

GSGGLDAGGYHYG
GSG1.000.15-0.060.33
GLD0.151.000.370.12
AGGY-0.060.371.000.26
HYG0.330.120.261.00
The correlation results are calculated based on daily price changes starting from Jul 10, 2015