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

Non Stock Portfolio

Last updated Apr 16, 2024

Asset Allocation

HYG 30%AGGY 20%GLD 25%GSG 25%BondBondCommodityCommodity
PositionCategory/SectorWeight
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		High Yield Bonds

30%

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%

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

-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
10.28%
15.74%
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		6.12%-1.08%15.73%22.34%11.82%10.53%
Non Stock Portfolio6.45%3.09%10.28%9.75%6.85%N/A
Portfolio components:
GLD
SPDR Gold Trust		15.58%10.64%24.16%18.56%12.98%5.90%
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund		-2.79%-1.63%4.94%0.77%-0.18%N/A
GSG
iShares S&P GSCI Commodity-Indexed Trust		13.36%4.26%2.80%8.39%6.91%-3.75%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		-0.32%-0.97%7.65%7.08%2.49%3.11%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20240.73%0.20%3.79%
2023-1.06%0.27%2.05%1.38%

Expense Ratio

The Non Stock Portfolio has a high expense ratio of 0.46%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

GSG
iShares S&P GSCI Commodity-Indexed Trust
0.50%1.00%1.50%2.00%0.75%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
0.50%1.00%1.50%2.00%0.49%
GLD
SPDR Gold Trust
0.50%1.00%1.50%2.00%0.40%
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund
0.50%1.00%1.50%2.00%0.12%

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.

Non Stock Portfolio
Sharpe ratio
The chart of Sharpe ratio for Non Stock Portfolio, currently valued at 1.32, compared to the broader market-1.000.001.002.003.004.005.001.32
Sortino ratio
The chart of Sortino ratio for Non Stock Portfolio, currently valued at 2.01, compared to the broader market-2.000.002.004.006.002.01
Omega ratio
The chart of Omega ratio for Non Stock Portfolio, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for Non Stock Portfolio, currently valued at 0.79, compared to the broader market0.002.004.006.008.0010.000.79
Martin ratio
The chart of Martin ratio for Non Stock Portfolio, currently valued at 5.52, compared to the broader market0.0010.0020.0030.0040.0050.005.52
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLD
SPDR Gold Trust		1.352.081.241.273.64
AGGY
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund		0.060.131.010.020.16
GSG
iShares S&P GSCI Commodity-Indexed Trust		0.490.781.090.301.22
HYG
iShares iBoxx $ High Yield Corporate Bond ETF		1.121.731.200.726.05

Sharpe Ratio

The current Non Stock Portfolio Sharpe ratio is 1.32. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.32

The Sharpe ratio of Non Stock Portfolio 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 Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.32
1.89
Non Stock Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Non Stock Portfolio granted a 2.60% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Non Stock Portfolio2.60%2.48%2.15%1.63%2.06%2.10%2.34%2.09%2.22%2.02%1.71%1.83%
Portfolio components:
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		4.09%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		5.93%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.

-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-0.32%
-3.66%
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.

The current Non Stock Portfolio drawdown is 0.32%.

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 1.39%, 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%NovemberDecember2024FebruaryMarchApril
1.39%
3.44%
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
GSG1.000.14-0.060.33
GLD0.141.000.370.11
AGGY-0.060.371.000.25
HYG0.330.110.251.00