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

Asset Allocation


SOXX 11.11%VGT 11.11%VHT 11.11%BOTZ 11.11%QCLN 11.11%PAVE 11.11%VPU 11.11%RHS 11.11%LIT 11.11%EquityEquity
PositionCategory/SectorWeight
BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
Robotics, Technology Equities

11.11%

LIT
Global X Lithium & Battery Tech ETF
Commodity Producers Equities

11.11%

PAVE
Global X US Infrastructure Development ETF
Utilities Equities

11.11%

QCLN
First Trust NASDAQ Clean Edge Green Energy Index Fund
Alternative Energy Equities

11.11%

RHS
Invesco S&P 500® Equal Weight Consumer Staples ETF
Consumer Staples Equities

11.11%

SOXX
iShares PHLX Semiconductor ETF
Technology Equities

11.11%

VGT
Vanguard Information Technology ETF
Technology Equities

11.11%

VHT
Vanguard Health Care ETF
Health & Biotech Equities

11.11%

VPU
Vanguard Utilities ETF
Utilities Equities

11.11%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in etf, 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%15.00%2024FebruaryMarchAprilMayJune
5.80%
15.11%
etf
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2017, corresponding to the inception date of PAVE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.75%2.85%15.30%25.37%13.19%10.82%
etf5.10%-1.52%5.80%5.57%15.79%N/A
SOXX
iShares PHLX Semiconductor ETF
31.65%7.36%33.09%56.29%35.60%28.75%
VGT
Vanguard Information Technology ETF
20.28%7.56%20.37%34.90%23.51%21.08%
VHT
Vanguard Health Care ETF
6.67%-0.30%7.67%10.06%10.19%10.73%
BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
8.98%-0.48%9.42%8.44%9.07%N/A
QCLN
First Trust NASDAQ Clean Edge Green Energy Index Fund
-17.67%-6.87%-18.31%-29.33%11.33%6.20%
PAVE
Global X US Infrastructure Development ETF
8.68%-4.34%9.04%24.64%19.35%N/A
VPU
Vanguard Utilities ETF
11.12%-3.19%12.24%8.23%5.31%8.16%
RHS
Invesco S&P 500® Equal Weight Consumer Staples ETF
-0.39%-3.36%0.79%-5.63%5.27%7.07%
LIT
Global X Lithium & Battery Tech ETF
-21.30%-10.53%-19.63%-36.72%10.03%5.48%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.80%6.03%2.79%-4.36%5.52%5.10%
20239.68%-2.68%3.47%-2.67%2.52%6.16%3.04%-5.84%-6.48%-6.96%8.84%7.66%15.74%
2022-8.95%-0.42%3.42%-10.34%2.59%-7.54%10.11%-3.45%-10.08%5.70%7.34%-7.20%-19.72%
20212.38%-0.89%2.42%2.71%0.58%3.52%2.49%2.94%-4.78%8.16%0.43%1.51%23.13%
20200.93%-5.99%-13.30%13.09%7.65%4.57%7.88%8.01%-0.25%1.30%15.27%6.82%51.83%
20197.90%5.10%0.95%3.67%-8.78%8.73%0.84%-2.52%3.18%2.60%3.56%4.91%33.07%
20183.95%-4.35%-1.54%-1.64%3.13%-0.82%2.84%2.73%-0.24%-7.27%2.73%-9.39%-10.41%
20172.56%1.18%3.11%-0.42%3.41%2.16%3.62%4.35%2.23%-0.08%24.32%

Expense Ratio

etf has a high expense ratio of 0.41%, 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 LIT: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for BOTZ: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for QCLN: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for PAVE: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%
Expense ratio chart for SOXX: 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 RHS: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VHT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VPU: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of etf is 5, indicating that it is in the bottom 5% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of etf is 55
etf
The Sharpe Ratio Rank of etf is 55Sharpe Ratio Rank
The Sortino Ratio Rank of etf is 55Sortino Ratio Rank
The Omega Ratio Rank of etf is 44Omega Ratio Rank
The Calmar Ratio Rank of etf is 55Calmar Ratio Rank
The Martin Ratio Rank of etf is 44Martin 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.


etf
Sharpe ratio
The chart of Sharpe ratio for etf, currently valued at 0.31, compared to the broader market0.002.004.006.000.31
Sortino ratio
The chart of Sortino ratio for etf, currently valued at 0.54, compared to the broader market-2.000.002.004.006.000.54
Omega ratio
The chart of Omega ratio for etf, currently valued at 1.06, compared to the broader market0.801.001.201.401.601.801.06
Calmar ratio
The chart of Calmar ratio for etf, currently valued at 0.20, compared to the broader market0.002.004.006.008.0010.000.20
Martin ratio
The chart of Martin ratio for etf, currently valued at 0.60, compared to the broader market0.0010.0020.0030.0040.0050.000.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.19, compared to the broader market0.002.004.006.002.19
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.75, compared to the broader market0.002.004.006.008.0010.001.75
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.21, compared to the broader market0.0010.0020.0030.0040.0050.008.21

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SOXX
iShares PHLX Semiconductor ETF
1.942.601.313.087.83
VGT
Vanguard Information Technology ETF
1.892.561.322.607.38
VHT
Vanguard Health Care ETF
1.001.471.180.732.84
BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
0.310.571.070.140.58
QCLN
First Trust NASDAQ Clean Edge Green Energy Index Fund
-0.90-1.300.86-0.48-0.99
PAVE
Global X US Infrastructure Development ETF
1.562.171.261.885.72
VPU
Vanguard Utilities ETF
0.480.781.090.331.12
RHS
Invesco S&P 500® Equal Weight Consumer Staples ETF
-0.42-0.520.94-0.26-0.62
LIT
Global X Lithium & Battery Tech ETF
-1.39-2.130.78-0.65-1.32

Sharpe Ratio

The current etf Sharpe ratio is 0.35. 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 1.41 to 2.40, 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 etf 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 Ratio-0.500.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.31
2.19
etf
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

etf granted a 1.29% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
etf1.29%1.49%1.52%1.04%1.23%1.76%2.02%1.57%1.60%1.41%1.49%1.31%
SOXX
iShares PHLX Semiconductor ETF
1.32%2.35%3.76%1.91%2.43%3.70%4.11%2.70%3.23%3.86%4.69%3.55%
VGT
Vanguard Information Technology ETF
0.62%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
VHT
Vanguard Health Care ETF
1.30%1.36%1.33%1.14%1.21%1.89%1.38%1.31%1.45%1.22%1.02%1.12%
BOTZ
Global X Robotics & Artificial Intelligence Thematic ETF
0.18%0.20%0.23%0.16%0.19%0.83%1.44%0.01%0.06%0.00%0.00%0.00%
QCLN
First Trust NASDAQ Clean Edge Green Energy Index Fund
0.77%0.76%0.33%0.01%0.30%0.85%1.03%0.45%1.24%0.72%0.79%0.41%
PAVE
Global X US Infrastructure Development ETF
0.63%0.68%0.84%0.48%0.44%0.67%0.78%0.30%0.00%0.00%0.00%0.00%
VPU
Vanguard Utilities ETF
3.13%3.49%2.98%2.70%3.17%2.83%3.23%3.18%3.19%3.63%3.02%3.76%
RHS
Invesco S&P 500® Equal Weight Consumer Staples ETF
2.25%2.78%2.31%2.07%2.14%2.12%2.43%1.90%1.76%1.78%1.74%1.54%
LIT
Global X Lithium & Battery Tech ETF
1.41%1.11%0.99%0.22%0.40%1.85%2.52%3.26%2.15%0.24%1.07%0.32%

Drawdowns

Drawdowns Chart

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


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-4.42%
-0.25%
etf
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the etf. 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 etf was 35.68%, occurring on Mar 23, 2020. Recovery took 74 trading sessions.

The current etf drawdown is 3.20%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.68%Feb 21, 202022Mar 23, 202074Jul 8, 202096
-27.42%Nov 9, 2021235Oct 14, 2022
-20.2%Jan 29, 2018229Dec 24, 201877Apr 16, 2019306
-11%Feb 16, 202115Mar 8, 202167Jun 11, 202182
-9.52%May 6, 201919May 31, 201936Jul 23, 201955

Volatility

Volatility Chart

The current etf volatility is 3.58%, 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%5.00%5.50%2024FebruaryMarchAprilMayJune
3.58%
2.37%
etf
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.

VPURHSLITVHTQCLNSOXXPAVEBOTZVGT
VPU1.000.600.190.440.230.170.340.240.27
RHS0.601.000.290.540.280.280.480.340.36
LIT0.190.291.000.450.700.590.580.660.59
VHT0.440.540.451.000.510.530.590.610.65
QCLN0.230.280.700.511.000.710.630.700.69
SOXX0.170.280.590.530.711.000.630.760.87
PAVE0.340.480.580.590.630.631.000.680.62
BOTZ0.240.340.660.610.700.760.681.000.79
VGT0.270.360.590.650.690.870.620.791.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2017