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…LOW.beta.TEST#4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

…LOW.beta.TEST#4

Last updated May 4, 2024

ETV 60% (in practice JEPI) VIG 20% QQQ 20%

Asset Allocation

ETV 60%VIG 20%QQQ 20%EquityEquity
PositionCategory/SectorWeight
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		Financial Services

60%

QQQ
Invesco QQQ		Large Cap Blend Equities

20%

VIG
Vanguard Dividend Appreciation 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 …LOW.beta.TEST#4, 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

250.00%300.00%350.00%400.00%450.00%December2024FebruaryMarchAprilMay
464.25%
291.52%
…LOW.beta.TEST#4
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 27, 2006, corresponding to the inception date of VIG

Returns By Period

As of May 4, 2024, the …LOW.beta.TEST#4 returned 6.70% Year-To-Date and 10.88% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		7.50%-1.61%17.65%26.26%11.73%10.64%
…LOW.beta.TEST#46.70%-0.53%13.54%21.18%9.52%10.88%
Portfolio components:
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		7.59%0.18%11.79%16.82%5.61%8.10%
VIG
Vanguard Dividend Appreciation ETF		4.28%-1.68%13.26%17.23%11.39%11.11%
QQQ
Invesco QQQ		6.48%-1.50%18.89%38.66%18.72%18.51%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20241.56%4.77%1.11%-2.44%
2023-3.71%10.54%1.70%

Expense Ratio

…LOW.beta.TEST#4 has an expense ratio of 0.05% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
VIG
Vanguard Dividend Appreciation ETF
Expense ratio chart for VIG: 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%

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.

…LOW.beta.TEST#4
Sharpe ratio
The chart of Sharpe ratio for …LOW.beta.TEST#4, currently valued at 1.86, compared to the broader market0.002.004.001.86
Sortino ratio
The chart of Sortino ratio for …LOW.beta.TEST#4, currently valued at 2.71, compared to the broader market-2.000.002.004.006.002.71
Omega ratio
The chart of Omega ratio for …LOW.beta.TEST#4, currently valued at 1.34, compared to the broader market0.801.001.201.401.601.801.34
Calmar ratio
The chart of Calmar ratio for …LOW.beta.TEST#4, currently valued at 1.20, compared to the broader market0.002.004.006.008.0010.001.20
Martin ratio
The chart of Martin ratio for …LOW.beta.TEST#4, currently valued at 5.78, compared to the broader market0.0010.0020.0030.0040.0050.005.78
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.65, compared to the broader market0.002.004.006.008.0010.001.65
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.41, compared to the broader market0.0010.0020.0030.0040.0050.008.41
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		1.422.161.260.763.90
VIG
Vanguard Dividend Appreciation ETF		1.662.431.291.685.32
QQQ
Invesco QQQ		2.333.191.391.8211.50

Sharpe Ratio

The current …LOW.beta.TEST#4 Sharpe ratio is 1.86. 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 1.49 to 2.47, 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 …LOW.beta.TEST#4 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
1.86
2.17
…LOW.beta.TEST#4
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

…LOW.beta.TEST#4 granted a 5.82% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
…LOW.beta.TEST#45.82%6.04%6.89%5.16%5.63%5.83%6.52%5.73%6.02%5.88%6.35%6.27%
Portfolio components:
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		8.88%9.24%10.57%7.94%8.66%8.89%9.86%8.65%8.96%8.69%9.46%9.49%
VIG
Vanguard Dividend Appreciation ETF		1.82%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
QQQ
Invesco QQQ		0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

Drawdowns Chart

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

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-1.85%
-2.41%
…LOW.beta.TEST#4
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the …LOW.beta.TEST#4. 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 …LOW.beta.TEST#4 was 47.91%, occurring on Nov 20, 2008. Recovery took 267 trading sessions.

The current …LOW.beta.TEST#4 drawdown is 1.85%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.91%Jun 20, 2007361Nov 20, 2008267Dec 14, 2009628
-37.05%Feb 20, 202023Mar 23, 202084Jul 22, 2020107
-22.79%Dec 28, 2021253Dec 28, 2022288Feb 22, 2024541
-20.67%Oct 2, 201858Dec 24, 201876Apr 15, 2019134
-17.71%Jul 8, 201122Aug 8, 2011113Jan 19, 2012135

Volatility

Volatility Chart

The current …LOW.beta.TEST#4 volatility is 3.27%, 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%3.00%4.00%5.00%6.00%December2024FebruaryMarchAprilMay
3.27%
4.10%
…LOW.beta.TEST#4
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.
ETVQQQVIG
ETV1.000.630.64
QQQ0.631.000.79
VIG0.640.791.00