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DaoFund1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 20%IEF 20%JEPI 20%RYLD 20%SVXY 20%BondBondEquityEquityMulti-AssetMulti-AssetVolatilityVolatility
PositionCategory/SectorWeight
IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds
20%
JEPI
JPMorgan Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income
20%
RYLD
Global X Russell 2000 Covered Call ETF
Hedge Fund
20%
SVXY
ProShares Short VIX Short-Term Futures ETF
Leveraged, Volatility
20%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in DaoFund1, 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


40.00%50.00%60.00%70.00%80.00%90.00%100.00%110.00%JulyAugustSeptemberOctoberNovemberDecember
55.22%
106.55%
DaoFund1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
27.68%2.72%13.90%32.81%14.15%11.47%
DaoFund18.28%1.61%3.81%10.68%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF
16.44%1.07%10.04%18.63%N/AN/A
TIP
iShares TIPS Bond ETF
3.67%0.69%3.62%5.64%2.07%2.21%
IEF
iShares 7-10 Year Treasury Bond ETF
2.06%1.66%4.37%5.02%-1.04%0.94%
RYLD
Global X Russell 2000 Covered Call ETF
11.76%0.95%10.79%12.14%3.60%N/A
SVXY
ProShares Short VIX Short-Term Futures ETF
3.97%3.58%-11.49%7.96%11.47%-3.22%

Monthly Returns

The table below presents the monthly returns of DaoFund1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.38%1.36%1.85%-2.58%3.02%1.03%1.07%-0.60%0.03%-2.88%5.21%8.28%
20234.56%-1.66%0.44%2.58%0.05%4.57%1.54%-0.47%-2.92%-2.18%6.53%3.14%16.87%
2022-4.40%-1.24%1.28%-5.74%0.27%-2.78%5.52%-3.15%-6.56%4.72%4.05%-1.02%-9.51%
2021-3.00%2.57%4.98%2.84%1.88%2.74%0.64%2.05%-2.64%4.16%-3.30%4.36%18.18%
20201.38%-1.35%4.38%1.55%0.47%-1.66%8.26%1.14%14.68%

Expense Ratio

DaoFund1 features an expense ratio of 0.53%, 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 SVXY: current value at 1.38% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.38%
Expense ratio chart for RYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of DaoFund1 is 11, indicating that it is in the bottom 11% 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 DaoFund1 is 1111
Overall Rank
The Sharpe Ratio Rank of DaoFund1 is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of DaoFund1 is 66
Sortino Ratio Rank
The Omega Ratio Rank of DaoFund1 is 1111
Omega Ratio Rank
The Calmar Ratio Rank of DaoFund1 is 1515
Calmar Ratio Rank
The Martin Ratio Rank of DaoFund1 is 1313
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 DaoFund1, currently valued at 1.11, compared to the broader market-6.00-4.00-2.000.002.004.006.001.112.77
The chart of Sortino ratio for DaoFund1, currently valued at 1.41, compared to the broader market-6.00-4.00-2.000.002.004.006.001.413.66
The chart of Omega ratio for DaoFund1, currently valued at 1.23, compared to the broader market0.501.001.502.001.231.51
The chart of Calmar ratio for DaoFund1, currently valued at 1.28, compared to the broader market0.005.0010.0015.001.283.99
The chart of Martin ratio for DaoFund1, currently valued at 5.89, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.8917.73
DaoFund1
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF
2.613.641.514.8018.51
TIP
iShares TIPS Bond ETF
1.121.651.200.484.39
IEF
iShares 7-10 Year Treasury Bond ETF
0.610.911.110.201.55
RYLD
Global X Russell 2000 Covered Call ETF
1.231.771.250.707.33
SVXY
ProShares Short VIX Short-Term Futures ETF
0.240.531.100.240.70

The current DaoFund1 Sharpe ratio is 1.11. 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 DaoFund1 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.11
2.77
DaoFund1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

DaoFund1 provided a 4.93% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio4.93%5.34%6.82%4.81%3.76%2.05%0.99%0.78%0.66%0.45%0.74%0.58%
JEPI
JPMorgan Equity Premium Income ETF
7.09%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TIP
iShares TIPS Bond ETF
2.32%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
IEF
iShares 7-10 Year Treasury Bond ETF
3.49%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
RYLD
Global X Russell 2000 Covered Call ETF
11.74%12.65%13.50%12.35%10.77%6.44%0.00%0.00%0.00%0.00%0.00%0.00%
SVXY
ProShares Short VIX Short-Term Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
DaoFund1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the DaoFund1. 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 DaoFund1 was 16.44%, occurring on Sep 27, 2022. Recovery took 197 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.44%Nov 16, 2021217Sep 27, 2022197Jul 12, 2023414
-8.48%Jul 15, 202416Aug 5, 202479Nov 25, 202495
-7.41%Sep 15, 202331Oct 27, 202320Nov 27, 202351
-4.51%May 10, 20213May 12, 202111May 27, 202114
-4.42%Jun 8, 20204Jun 11, 202025Jul 17, 202029

Volatility

Volatility Chart

The current DaoFund1 volatility is 2.07%, 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%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.07%
2.22%
DaoFund1
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.

IEFTIPSVXYRYLDJEPI
IEF1.000.77-0.020.010.08
TIP0.771.000.080.120.19
SVXY-0.020.081.000.670.61
RYLD0.010.120.671.000.65
JEPI0.080.190.610.651.00
The correlation results are calculated based on daily price changes starting from May 22, 2020
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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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