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modcons3+
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

modcons3+

Last updated Jul 25, 2024

Asset Allocation

AGG 15%EMNT 10%IAU 5%JQUA 20%MOAT 20%SCHD 20%JEPI 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF		Total Bond Market

15%

EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		Total Bond Market, Actively Managed

10%

IAU
iShares Gold Trust		Precious Metals, Gold

5%

JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income

10%

JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities

20%

MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend Equities

20%

SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in modcons3+, 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%60.00%70.00%80.00%90.00%FebruaryMarchAprilMayJuneJuly
57.49%
83.12%
modcons3+
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		13.20%-1.28%10.32%18.23%12.31%10.58%
modcons3+6.69%1.76%5.88%11.21%N/AN/A
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		10.97%-0.26%7.40%18.32%13.90%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF		4.97%2.67%5.38%9.20%13.47%12.79%
AGG
iShares Core U.S. Aggregate Bond ETF		0.53%0.91%1.74%4.42%-0.03%1.45%
JEPI
JPMorgan Equity Premium Income ETF		6.06%-0.12%4.24%8.95%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		3.40%0.49%2.86%6.12%N/AN/A
IAU
iShares Gold Trust		14.32%2.67%16.87%21.12%10.61%5.89%
SCHD
Schwab US Dividend Equity ETF		8.60%4.84%7.35%12.13%11.96%11.22%

Monthly Returns

The table below presents the monthly returns of modcons3+, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.33%2.31%3.01%-3.41%1.88%0.81%6.69%
20234.82%-2.57%2.62%0.74%-1.15%3.87%2.66%-1.30%-3.67%-2.14%6.21%4.73%15.16%
2022-3.03%-1.26%1.67%-4.78%0.86%-5.18%4.96%-3.29%-6.56%5.79%6.10%-2.94%-8.39%
2021-1.12%2.48%4.50%2.74%1.72%0.57%1.70%1.31%-3.31%3.38%-1.29%4.20%17.91%
20202.63%0.31%3.81%3.50%-2.24%-1.27%8.39%2.54%18.66%

Expense Ratio

modcons3+ has an expense ratio of 0.21%, 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.

MOAT
VanEck Vectors Morningstar Wide Moat ETF
Expense ratio chart for MOAT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
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%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
Expense ratio chart for EMNT: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
JQUA
JPMorgan U.S. Quality Factor ETF
Expense ratio chart for JQUA: 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%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: 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%
AGG
iShares Core U.S. Aggregate Bond ETF
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of modcons3+ 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 modcons3+ is 3535
modcons3+
The Sharpe Ratio Rank of modcons3+ is 3333Sharpe Ratio Rank
The Sortino Ratio Rank of modcons3+ is 3333Sortino Ratio Rank
The Omega Ratio Rank of modcons3+ is 3333Omega Ratio Rank
The Calmar Ratio Rank of modcons3+ is 4646Calmar Ratio Rank
The Martin Ratio Rank of modcons3+ is 2929Martin 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.

modcons3+
Sharpe ratio
The chart of Sharpe ratio for modcons3+, currently valued at 1.35, compared to the broader market-1.000.001.002.003.004.001.35
Sortino ratio
The chart of Sortino ratio for modcons3+, currently valued at 1.96, compared to the broader market-2.000.002.004.006.001.96
Omega ratio
The chart of Omega ratio for modcons3+, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for modcons3+, currently valued at 1.33, compared to the broader market0.002.004.006.008.001.33
Martin ratio
The chart of Martin ratio for modcons3+, currently valued at 4.17, compared to the broader market0.0010.0020.0030.0040.004.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JQUA
JPMorgan U.S. Quality Factor ETF		1.592.291.282.006.66
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.671.021.120.571.64
AGG
iShares Core U.S. Aggregate Bond ETF		0.580.871.100.221.72
JEPI
JPMorgan Equity Premium Income ETF		1.201.701.211.305.04
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.388.216.008.43132.27
IAU
iShares Gold Trust		1.452.081.261.617.03
SCHD
Schwab US Dividend Equity ETF		1.061.601.190.903.31

Sharpe Ratio

The current modcons3+ Sharpe ratio is 1.32. 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 1.23 to 1.94, 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 modcons3+ 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.35
1.58
modcons3+
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

modcons3+ granted a 2.87% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
modcons3+2.87%2.88%3.05%2.04%2.26%1.61%1.83%1.17%1.17%1.39%1.15%1.00%
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		1.21%1.22%1.60%1.32%1.44%1.67%2.10%0.40%0.00%0.00%0.00%0.00%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.82%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
AGG
iShares Core U.S. Aggregate Bond ETF		3.45%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
JEPI
JPMorgan Equity Premium Income ETF		7.34%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.12%4.62%2.79%0.83%1.44%0.13%0.00%0.00%0.00%0.00%0.00%0.00%
IAU
iShares 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%
SCHD
Schwab US Dividend Equity ETF		3.49%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

Drawdowns Chart

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

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.34%
-4.73%
modcons3+
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the modcons3+. 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 modcons3+ was 16.11%, occurring on Oct 14, 2022. Recovery took 184 trading sessions.

The current modcons3+ drawdown is 1.70%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.11%Jan 5, 2022196Oct 14, 2022184Jul 12, 2023380
-8.07%Aug 1, 202363Oct 27, 202330Dec 11, 202393
-5.78%Jun 9, 202014Jun 26, 202022Jul 29, 202036
-5.68%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.07%Oct 13, 202012Oct 28, 20208Nov 9, 202020

Volatility

Volatility Chart

The current modcons3+ volatility is 2.13%, 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%1.50%2.00%2.50%3.00%3.50%4.00%4.50%FebruaryMarchAprilMayJuneJuly
2.13%
3.80%
modcons3+
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.
EMNTIAUAGGSCHDJEPIMOATJQUA
EMNT1.000.250.380.050.050.070.05
IAU0.251.000.370.140.130.170.15
AGG0.380.371.000.090.190.190.19
SCHD0.050.140.091.000.790.840.81
JEPI0.050.130.190.791.000.770.84
MOAT0.070.170.190.840.771.000.90
JQUA0.050.150.190.810.840.901.00
The correlation results are calculated based on daily price changes starting from May 22, 2020