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ChatGPT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


QAI 10%BND 10%IEF 5%DBC 10%SPY 20%VO 10%VXUS 10%IWM 5%PSP 5%IGF 5%VNQ 10%AlternativesAlternativesBondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

10%

DBC
Invesco DB Commodity Index Tracking Fund
Commodities

10%

IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds

5%

IGF
iShares Global Infrastructure ETF
Large Cap Value Equities

5%

IWM
iShares Russell 2000 ETF
Small Cap Growth Equities

5%

PSP
Invesco Global Listed Private Equity ETF
Global Equities

5%

QAI
IQ Hedge Multi-Strategy Tracker ETF
Long-Short

10%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

20%

VNQ
Vanguard Real Estate ETF
REIT

10%

VO
Vanguard Mid-Cap ETF
Mid Cap Growth Equities

10%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

10%

S&P 500

Performance

Performance Chart

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


150.00%200.00%250.00%300.00%December2024FebruaryMarchAprilMay
147.23%
315.51%
ChatGPT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 28, 2011, corresponding to the inception date of VXUS

Returns By Period

As of May 18, 2024, the ChatGPT returned 5.32% Year-To-Date and 6.47% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.18%5.60%17.48%26.33%13.16%10.99%
ChatGPT5.32%5.16%12.15%15.94%8.00%6.41%
SPY
SPDR S&P 500 ETF
11.74%6.93%18.29%28.31%14.94%12.85%
VO
Vanguard Mid-Cap ETF
7.33%5.84%17.25%22.03%10.59%9.89%
IWM
iShares Russell 2000 ETF
3.94%7.74%17.43%19.78%7.66%7.97%
VXUS
Vanguard Total International Stock ETF
7.73%7.46%14.16%14.78%7.15%4.56%
VNQ
Vanguard Real Estate ETF
-3.11%7.46%9.55%10.08%3.22%5.61%
BND
Vanguard Total Bond Market ETF
-1.21%1.75%3.44%2.20%0.13%1.28%
IEF
iShares 7-10 Year Treasury Bond ETF
-2.33%1.79%2.32%-1.54%-0.85%0.86%
DBC
Invesco DB Commodity Index Tracking Fund
7.58%1.15%3.86%9.54%9.76%-0.24%
QAI
IQ Hedge Multi-Strategy Tracker ETF
2.99%1.97%6.23%10.11%2.75%1.89%
PSP
Invesco Global Listed Private Equity ETF
7.12%6.37%23.38%35.30%8.19%7.16%
IGF
iShares Global Infrastructure ETF
7.76%9.10%14.05%10.01%5.26%4.79%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.83%2.31%2.89%-3.24%5.32%
20236.26%-3.05%0.80%0.75%-2.21%4.38%3.35%-2.37%-3.44%-2.99%7.42%4.99%13.84%
2022-3.65%-0.97%2.47%-5.32%0.59%-6.78%5.66%-3.57%-8.69%4.84%5.82%-3.77%-13.79%
20210.12%3.05%1.93%4.23%1.24%1.37%1.40%1.32%-2.71%4.61%-2.71%3.85%18.82%
2020-0.87%-5.68%-13.40%7.68%4.52%2.22%3.89%3.34%-2.31%-1.51%9.61%3.89%9.57%
20197.28%2.21%1.33%2.14%-3.61%4.46%0.21%-0.74%1.44%1.68%1.36%2.65%21.97%
20182.50%-3.80%0.01%0.60%1.52%0.27%1.50%1.25%-0.12%-5.54%0.54%-5.37%-6.85%
20171.33%2.05%0.06%0.82%0.86%0.68%1.96%0.18%1.36%1.31%1.50%0.98%13.86%
2016-3.79%-0.05%6.00%1.43%0.86%1.52%2.26%-0.24%0.68%-2.27%0.91%2.07%9.45%
2015-0.51%2.99%-0.48%0.77%0.02%-1.76%0.00%-4.27%-1.74%4.34%-0.89%-1.91%-3.67%
2014-1.54%4.13%0.26%0.52%1.56%1.90%-2.00%2.40%-3.45%2.03%0.61%-1.06%5.22%
20133.28%0.23%2.22%1.90%-0.98%-2.03%3.58%-2.20%3.28%2.92%0.44%1.30%14.62%

Expense Ratio

ChatGPT has a high expense ratio of 0.32%, 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.


Expense ratio chart for PSP: current value at 1.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.44%
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%
Expense ratio chart for QAI: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for IGF: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for IWM: 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%
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%
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 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%
Expense ratio chart for VO: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
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 ChatGPT is 26, 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 ChatGPT is 2626
ChatGPT
The Sharpe Ratio Rank of ChatGPT is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of ChatGPT is 2828Sortino Ratio Rank
The Omega Ratio Rank of ChatGPT is 2727Omega Ratio Rank
The Calmar Ratio Rank of ChatGPT is 2525Calmar Ratio Rank
The Martin Ratio Rank of ChatGPT is 2525Martin 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.


ChatGPT
Sharpe ratio
The chart of Sharpe ratio for ChatGPT, currently valued at 1.68, compared to the broader market0.002.004.006.001.68
Sortino ratio
The chart of Sortino ratio for ChatGPT, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Omega ratio
The chart of Omega ratio for ChatGPT, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for ChatGPT, currently valued at 1.12, compared to the broader market0.002.004.006.008.0010.001.12
Martin ratio
The chart of Martin ratio for ChatGPT, currently valued at 5.12, compared to the broader market0.0010.0020.0030.0040.0050.005.12
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market0.002.004.006.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-2.000.002.004.006.003.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market0.002.004.006.008.0010.001.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market0.0010.0020.0030.0040.0050.009.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
2.563.601.452.4010.14
VO
Vanguard Mid-Cap ETF
1.772.531.301.004.86
IWM
iShares Russell 2000 ETF
1.011.591.180.632.89
VXUS
Vanguard Total International Stock ETF
1.191.741.210.813.52
VNQ
Vanguard Real Estate ETF
0.500.851.100.271.34
BND
Vanguard Total Bond Market ETF
0.230.371.040.080.65
IEF
iShares 7-10 Year Treasury Bond ETF
-0.31-0.390.96-0.11-0.68
DBC
Invesco DB Commodity Index Tracking Fund
0.620.921.110.291.45
QAI
IQ Hedge Multi-Strategy Tracker ETF
2.093.181.391.1011.51
PSP
Invesco Global Listed Private Equity ETF
2.072.901.350.947.14
IGF
iShares Global Infrastructure ETF
0.691.041.130.521.72

Sharpe Ratio

The current ChatGPT Sharpe ratio is 1.68. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.77 to 2.60, 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 ChatGPT 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 Ratio0.501.001.502.002.503.00December2024FebruaryMarchAprilMay
1.68
2.38
ChatGPT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ChatGPT granted a 2.93% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ChatGPT2.93%2.94%2.16%1.87%1.93%2.39%2.68%2.26%2.09%2.19%2.18%2.58%
SPY
SPDR S&P 500 ETF
1.27%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
VO
Vanguard Mid-Cap ETF
1.51%1.52%1.60%1.12%1.45%1.48%1.82%1.35%1.45%1.47%1.29%1.17%
IWM
iShares Russell 2000 ETF
1.25%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%1.26%1.23%
VXUS
Vanguard Total International Stock ETF
3.19%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
VNQ
Vanguard Real Estate ETF
4.07%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
BND
Vanguard Total Bond Market ETF
3.36%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
IEF
iShares 7-10 Year Treasury Bond ETF
3.22%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
DBC
Invesco DB Commodity Index Tracking Fund
4.59%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
QAI
IQ Hedge Multi-Strategy Tracker ETF
3.96%4.08%2.00%0.28%1.98%1.91%1.90%0.00%0.00%0.48%1.34%1.26%
PSP
Invesco Global Listed Private Equity ETF
4.54%3.96%2.88%10.34%4.66%5.87%6.81%10.18%4.12%6.23%4.94%13.48%
IGF
iShares Global Infrastructure ETF
3.12%3.36%2.67%2.42%2.33%3.27%3.52%2.95%2.98%3.25%3.00%3.45%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.08%
-0.09%
ChatGPT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ChatGPT. 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 ChatGPT was 28.62%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.

The current ChatGPT drawdown is 0.08%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.62%Feb 20, 202023Mar 23, 2020161Nov 9, 2020184
-19.97%Nov 10, 2021234Oct 14, 2022349Mar 7, 2024583
-16.66%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-14.85%May 18, 2015187Feb 11, 2016117Jul 29, 2016304
-13.58%Aug 30, 201880Dec 24, 201867Apr 2, 2019147

Volatility

Volatility Chart

The current ChatGPT volatility is 2.42%, 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%2.50%3.00%3.50%4.00%4.50%December2024FebruaryMarchAprilMay
2.42%
3.36%
ChatGPT
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.

BNDIEFDBCVNQQAIIGFPSPIWMVXUSSPYVO
BND1.000.93-0.100.120.110.01-0.08-0.12-0.08-0.12-0.10
IEF0.931.00-0.170.01-0.01-0.11-0.21-0.25-0.22-0.26-0.24
DBC-0.10-0.171.000.190.320.400.370.350.420.340.35
VNQ0.120.010.191.000.500.660.560.630.560.640.68
QAI0.11-0.010.320.501.000.650.700.680.770.730.73
IGF0.01-0.110.400.660.651.000.730.670.820.750.75
PSP-0.08-0.210.370.560.700.731.000.770.860.800.81
IWM-0.12-0.250.350.630.680.670.771.000.750.850.92
VXUS-0.08-0.220.420.560.770.820.860.751.000.830.81
SPY-0.12-0.260.340.640.730.750.800.850.831.000.94
VO-0.10-0.240.350.680.730.750.810.920.810.941.00