PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

USincome+FgnDiversified

Last updated Oct 2, 2023

65% ETV (in practice JEPI) 25% QQQ 10% INDY (India Top 50)

Asset Allocation


ETV 65%QQQ 25%INDY 10%EquityEquity
PositionCategory/SectorWeight
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
Financial Services65%
QQQ
Invesco QQQ
Large Cap Blend Equities25%
INDY
iShares India 50 ETF
Asia Pacific Equities10%

Performance

The chart shows the growth of an initial investment of $10,000 in USincome+FgnDiversified, 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%MayJuneJulyAugustSeptember
4.43%
4.57%
USincome+FgnDiversified
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 2, 2023, the USincome+FgnDiversified returned 11.93% Year-To-Date and 10.93% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%3.97%11.68%19.59%7.98%9.78%
USincome+FgnDiversified-4.92%4.00%11.93%9.12%6.84%10.86%
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
-5.62%-0.14%4.26%-0.37%3.07%8.40%
QQQ
Invesco QQQ
-4.98%12.22%35.14%34.96%14.87%17.35%
INDY
iShares India 50 ETF
-0.26%10.14%6.99%11.15%8.94%8.88%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20231.14%-0.44%1.89%5.60%4.08%-2.74%

Sharpe Ratio

The current USincome+FgnDiversified Sharpe ratio is 0.42. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.42

The Sharpe ratio of USincome+FgnDiversified is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00MayJuneJulyAugustSeptember
0.42
0.89
USincome+FgnDiversified
Benchmark (^GSPC)
Portfolio components

Dividend yield

USincome+FgnDiversified granted a 6.79% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
USincome+FgnDiversified6.79%7.92%6.89%7.30%8.34%10.11%9.63%10.94%11.58%13.82%15.07%18.60%
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
9.65%11.30%9.30%11.01%12.44%15.09%14.44%16.31%17.32%20.59%22.62%28.01%
QQQ
Invesco QQQ
0.60%0.81%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.39%
INDY
iShares India 50 ETF
3.67%3.75%7.39%0.09%0.65%0.66%0.30%0.54%0.65%0.59%0.87%0.45%

Expense Ratio

The USincome+FgnDiversified features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.94%
0.00%2.15%
0.20%
0.00%2.15%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
-0.07
QQQ
Invesco QQQ
1.26
INDY
iShares India 50 ETF
0.85

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

INDYETVQQQ
INDY1.000.450.52
ETV0.451.000.65
QQQ0.520.651.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%MayJuneJulyAugustSeptember
-13.07%
-10.60%
USincome+FgnDiversified
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the USincome+FgnDiversified. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the USincome+FgnDiversified is 38.33%, recorded on Mar 23, 2020. It took 82 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.33%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-24.44%Jan 4, 2022248Dec 28, 2022
-20.05%Aug 30, 201880Dec 24, 201876Apr 15, 2019156
-17.84%Jul 8, 201122Aug 8, 2011117Jan 25, 2012139
-13.2%Jul 22, 201524Aug 24, 201550Nov 3, 201574

Volatility Chart

The current USincome+FgnDiversified volatility is 3.06%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%MayJuneJulyAugustSeptember
3.06%
3.17%
USincome+FgnDiversified
Benchmark (^GSPC)
Portfolio components