PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
modcons3++
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AGG 15%EMNT 10%IAU 5%MOAT 20%SCHD 20%JQUA 15%JEPI 5%IVV 5%IJR 5%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%

IJR
iShares Core S&P Small-Cap ETF
Small Cap Growth Equities

5%

IVV
iShares Core S&P 500 ETF
Large Cap Growth Equities

5%

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

5%

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

15%

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


30.00%40.00%50.00%60.00%70.00%80.00%NovemberDecember2024FebruaryMarchApril
51.16%
68.47%
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
4.14%-4.93%17.59%20.28%11.33%10.22%
modcons3++1.48%-2.85%12.64%11.58%N/AN/A
JQUA
JPMorgan U.S. Quality Factor ETF
4.25%-5.45%17.20%21.21%13.40%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF
-0.67%-4.80%15.67%15.17%13.28%12.42%
AGG
iShares Core U.S. Aggregate Bond ETF
-3.04%-2.20%5.52%-0.55%-0.06%1.25%
JEPI
JPMorgan Equity Premium Income ETF
2.56%-2.91%9.39%8.80%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
1.85%0.42%3.18%5.99%N/AN/A
IAU
iShares Gold Trust
15.65%10.29%20.47%20.09%13.16%6.18%
SCHD
Schwab US Dividend Equity ETF
1.47%-3.44%12.63%8.62%10.94%10.92%
IVV
iShares Core S&P 500 ETF
4.50%-5.04%18.44%22.01%13.16%12.25%
IJR
iShares Core S&P Small-Cap ETF
-4.36%-4.22%15.79%10.17%7.06%8.10%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.00%2.35%3.10%
2023-3.84%-2.36%6.42%5.24%

Expense Ratio

The modcons3++ has a high expense ratio of 0.20%, 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.


0.50%1.00%1.50%2.00%0.48%
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.06%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.03%

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.


modcons3++
Sharpe ratio
The chart of Sharpe ratio for modcons3++, currently valued at 1.31, compared to the broader market-1.000.001.002.003.004.001.31
Sortino ratio
The chart of Sortino ratio for modcons3++, currently valued at 1.94, compared to the broader market-2.000.002.004.006.001.94
Omega ratio
The chart of Omega ratio for modcons3++, 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 modcons3++, currently valued at 1.31, compared to the broader market0.002.004.006.008.001.31
Martin ratio
The chart of Martin ratio for modcons3++, currently valued at 4.15, compared to the broader market0.0010.0020.0030.0040.004.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JQUA
JPMorgan U.S. Quality Factor ETF
1.832.671.322.268.76
MOAT
VanEck Vectors Morningstar Wide Moat ETF
1.101.631.191.003.00
AGG
iShares Core U.S. Aggregate Bond ETF
-0.04-0.001.00-0.01-0.09
JEPI
JPMorgan Equity Premium Income ETF
1.231.751.221.355.47
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
5.067.814.318.28124.61
IAU
iShares Gold Trust
1.612.471.291.574.31
SCHD
Schwab US Dividend Equity ETF
0.661.011.120.582.18
IVV
iShares Core S&P 500 ETF
1.822.651.321.577.61
IJR
iShares Core S&P Small-Cap ETF
0.490.871.100.381.54

Sharpe Ratio

The current modcons3++ Sharpe ratio is 1.31. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.31

The Sharpe ratio of modcons3++ 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
1.31
1.66
modcons3++
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

modcons3++ granted a 2.58% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
modcons3++2.58%2.54%2.54%1.78%2.03%1.70%1.92%1.30%1.33%1.58%1.31%1.14%
JQUA
JPMorgan U.S. Quality Factor ETF
1.20%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
0.86%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
3.40%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
7.69%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
4.93%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%
IVV
iShares Core S&P 500 ETF
1.39%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%1.80%
IJR
iShares Core S&P Small-Cap ETF
1.38%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%

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
-3.83%
-5.46%
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 16.79%, occurring on Sep 30, 2022. Recovery took 198 trading sessions.

The current modcons3++ drawdown is 3.83%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.79%Jan 5, 2022186Sep 30, 2022198Jul 18, 2023384
-8.64%Aug 1, 202363Oct 27, 202331Dec 12, 202394
-6.37%Jun 9, 202014Jun 26, 202026Aug 4, 202040
-6.09%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.19%Oct 13, 202012Oct 28, 20208Nov 9, 202020

Volatility

Volatility Chart

The current modcons3++ volatility is 2.57%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.57%
3.15%
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.

EMNTIAUAGGIJRJEPISCHDIVVMOATJQUA
EMNT1.000.260.390.030.050.050.040.070.05
IAU0.261.000.380.130.130.140.140.160.14
AGG0.390.381.000.090.170.080.150.170.17
IJR0.030.130.091.000.650.840.780.840.78
JEPI0.050.130.170.651.000.790.820.760.85
SCHD0.050.140.080.840.791.000.810.850.82
IVV0.040.140.150.780.820.811.000.910.98
MOAT0.070.160.170.840.760.850.911.000.91
JQUA0.050.140.170.780.850.820.980.911.00