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LUBIN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

LUBIN

Last updated Oct 18, 2024

Asset Allocation

BND 14%DBC 8%GSG 8%BTC-USD 7%SPY 14%JEPI 14%VYM 14%VXUS 7%VNQ 14%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF		Total Bond Market
14%
BTC-USD
Bitcoin
7%
DBC
Invesco DB Commodity Index Tracking Fund		Commodities
8%
GSG
iShares S&P GSCI Commodity-Indexed Trust		Commodities
8%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
14%
SPY
SPDR S&P 500 ETF		Large Cap Growth Equities
14%
VNQ
Vanguard Real Estate ETF		REIT
14%
VXUS
Vanguard Total International Stock ETF		Foreign Large Cap Equities
7%
VYM
Vanguard High Dividend Yield ETF		Dividend, Large Cap Value Equities
14%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in LUBIN, 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%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
10.17%
17.04%
LUBIN
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

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.95%4.39%18.07%37.09%14.48%11.71%
LUBIN16.76%1.66%10.17%30.09%N/AN/A
Portfolio components:
SPY
SPDR S&P 500 ETF		24.15%2.88%17.72%40.67%16.24%13.67%
JEPI
JPMorgan Equity Premium Income ETF		14.92%1.94%11.11%22.57%N/AN/A
VYM
Vanguard High Dividend Yield ETF		20.21%3.49%14.10%33.91%11.75%10.66%
BND
Vanguard Total Bond Market ETF		3.13%-1.65%6.18%12.05%0.02%1.51%
VNQ
Vanguard Real Estate ETF		13.63%0.55%24.91%40.39%4.52%6.68%
DBC
Invesco DB Commodity Index Tracking Fund		1.32%0.50%-4.74%-6.77%9.46%0.85%
BTC-USD
Bitcoin		61.88%7.92%2.37%128.11%52.77%67.81%
GSG
iShares S&P GSCI Commodity-Indexed Trust		4.64%-0.19%-6.71%-6.34%6.99%-2.66%
VXUS
Vanguard Total International Stock ETF		11.96%1.24%10.53%27.57%7.07%5.63%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.24%4.75%4.29%-3.95%3.15%0.43%2.51%1.25%2.12%16.76%
20236.84%-3.29%3.10%1.03%-3.35%4.61%3.08%-2.16%-2.45%-0.25%5.84%4.55%18.15%
2022-2.57%0.49%3.91%-4.30%0.04%-7.81%5.44%-4.33%-7.75%5.73%3.58%-3.18%-11.41%
20211.09%6.08%5.91%4.01%-0.71%1.20%2.98%2.05%-2.68%7.39%-3.42%3.19%29.95%
20203.11%1.41%5.39%2.99%-2.77%-0.05%12.03%8.36%33.89%

Expense Ratio

LUBIN has an expense ratio of 0.22%, 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.

DBC
Invesco DB Commodity Index Tracking Fund
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
GSG
iShares S&P GSCI Commodity-Indexed Trust
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%
JEPI
JPMorgan Equity Premium Income ETF
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%
VNQ
Vanguard Real Estate ETF
Expense ratio chart for VNQ: 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%
SPY
SPDR S&P 500 ETF
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%
VXUS
Vanguard Total International Stock ETF
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
BND
Vanguard Total Bond Market ETF
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of LUBIN is 35, 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 LUBIN is 3535
Combined Rank
The Sharpe Ratio Rank of LUBIN is 3939Sharpe Ratio Rank
The Sortino Ratio Rank of LUBIN is 4040Sortino Ratio Rank
The Omega Ratio Rank of LUBIN is 3131Omega Ratio Rank
The Calmar Ratio Rank of LUBIN is 1818Calmar Ratio Rank
The Martin Ratio Rank of LUBIN is 4747Martin 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.

LUBIN
Sharpe ratio
The chart of Sharpe ratio for LUBIN, currently valued at 2.34, compared to the broader market0.002.004.002.34
Sortino ratio
The chart of Sortino ratio for LUBIN, currently valued at 3.21, compared to the broader market-2.000.002.004.006.003.21
Omega ratio
The chart of Omega ratio for LUBIN, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.802.001.39
Calmar ratio
The chart of Calmar ratio for LUBIN, currently valued at 1.33, compared to the broader market0.002.004.006.008.0010.0012.001.33
Martin ratio
The chart of Martin ratio for LUBIN, currently valued at 14.71, compared to the broader market0.0010.0020.0030.0040.0050.0014.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.84, compared to the broader market-2.000.002.004.006.003.84
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.54, compared to the broader market0.002.004.006.008.0010.0012.002.54
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.73, compared to the broader market0.0010.0020.0030.0040.0050.0018.73
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF		2.112.831.380.9712.54
JEPI
JPMorgan Equity Premium Income ETF		2.353.201.461.1916.04
VYM
Vanguard High Dividend Yield ETF		2.703.661.481.7215.80
BND
Vanguard Total Bond Market ETF		1.251.771.220.086.12
VNQ
Vanguard Real Estate ETF		1.862.531.330.358.19
DBC
Invesco DB Commodity Index Tracking Fund		0.030.151.020.000.10
BTC-USD
Bitcoin		1.312.001.201.085.46
GSG
iShares S&P GSCI Commodity-Indexed Trust		-0.040.061.01-0.08-0.11
VXUS
Vanguard Total International Stock ETF		1.442.041.260.649.16

Sharpe Ratio

The current LUBIN Sharpe ratio is 2.38. 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 2.19 to 3.02, 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 LUBIN 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.34
2.89
LUBIN
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

LUBIN granted a 3.14% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
LUBIN3.14%3.42%3.46%2.33%2.48%1.87%2.14%1.78%1.92%1.85%1.78%1.83%
Portfolio components:
SPY
SPDR S&P 500 ETF		1.20%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
JEPI
JPMorgan Equity Premium Income ETF		7.05%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VYM
Vanguard High Dividend Yield ETF		2.76%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
BND
Vanguard Total Bond Market ETF		3.48%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VNQ
Vanguard Real Estate ETF		3.74%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
DBC
Invesco DB Commodity Index Tracking Fund		4.88%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
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%
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%
VXUS
Vanguard Total International Stock ETF		2.86%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%

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%MayJuneJulyAugustSeptemberOctober00
LUBIN
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the LUBIN. 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 LUBIN was 19.11%, occurring on Oct 2, 2022. Recovery took 437 trading sessions.

The current LUBIN drawdown is 0.17%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.11%Mar 31, 2022186Oct 2, 2022437Dec 13, 2023623
-6.73%Nov 10, 202179Jan 27, 202257Mar 25, 2022136
-5.8%Sep 3, 202021Sep 23, 202019Oct 12, 202040
-5.68%Jun 9, 202019Jun 27, 202025Jul 22, 202044
-4.72%Jul 17, 202420Aug 5, 202418Aug 23, 202438

Volatility

Volatility Chart

The current LUBIN volatility is 1.82%, 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%MayJuneJulyAugustSeptemberOctober
1.82%
2.56%
LUBIN
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.
BNDBTC-USDGSGDBCVNQJEPIVXUSVYMSPY
BND1.000.04-0.07-0.040.250.160.130.050.13
BTC-USD0.041.000.100.120.210.200.300.210.28
GSG-0.070.101.000.950.090.150.310.310.23
DBC-0.040.120.951.000.120.180.350.330.25
VNQ0.250.210.090.121.000.650.550.650.64
JEPI0.160.200.150.180.651.000.590.760.75
VXUS0.130.300.310.350.550.591.000.670.74
VYM0.050.210.310.330.650.760.671.000.75
SPY0.130.280.230.250.640.750.740.751.00
The correlation results are calculated based on daily price changes starting from May 22, 2020