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

Asset Allocation


QQQ 24%SOXX 23%XLV 13%IJR 12%XLU 10%INDA 8%IEFA 5%IEMG 5%EquityEquity
PositionCategory/SectorWeight
IEFA
iShares Core MSCI EAFE ETF
Foreign Large Cap Equities

5%

IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities

5%

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

12%

INDA
iShares MSCI India ETF
Asia Pacific Equities

8%

QQQ
Invesco QQQ
Large Cap Blend Equities

24%

SOXX
iShares PHLX Semiconductor ETF
Technology Equities

23%

XLU
Utilities Select Sector SPDR Fund
Utilities Equities

10%

XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities

13%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MY 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


200.00%250.00%300.00%350.00%400.00%450.00%500.00%550.00%2024FebruaryMarchAprilMayJune
546.65%
282.69%
MY ETF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 22, 2012, corresponding to the inception date of IEFA

Returns By Period

As of Jun 20, 2024, the MY ETF returned 15.83% Year-To-Date and 15.87% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.04%3.37%16.79%25.03%13.26%10.85%
MY ETF15.83%3.44%17.10%28.44%18.44%15.91%
QQQ
Invesco QQQ
18.64%6.45%19.21%34.78%21.70%18.99%
SOXX
iShares PHLX Semiconductor ETF
35.33%11.66%37.24%61.41%36.38%29.12%
XLU
Utilities Select Sector SPDR Fund
10.17%-5.04%11.80%6.75%5.74%8.25%
XLV
Health Care Select Sector SPDR Fund
7.38%-0.23%9.00%12.29%11.10%10.97%
INDA
iShares MSCI India ETF
13.73%4.32%15.26%28.85%11.32%7.94%
IJR
iShares Core S&P Small-Cap ETF
-1.70%-3.70%-1.27%9.24%8.19%8.18%
IEFA
iShares Core MSCI EAFE ETF
5.31%-2.23%6.25%11.02%6.59%4.50%
IEMG
iShares Core MSCI Emerging Markets ETF
7.57%-0.04%9.50%11.81%3.82%3.09%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.38%5.33%2.95%-3.45%5.88%15.83%
20237.70%-1.83%5.21%-0.81%3.71%5.65%3.89%-3.27%-4.61%-3.51%9.79%7.56%32.07%
2022-7.06%-2.23%3.03%-9.57%1.56%-9.05%9.88%-4.95%-9.53%4.94%9.10%-6.15%-20.61%
20211.53%2.14%3.19%2.48%1.38%2.88%1.45%3.36%-4.25%5.17%1.72%4.09%27.88%
2020-0.74%-6.65%-11.74%12.16%5.19%4.14%6.76%5.30%-2.11%-0.50%12.06%5.50%30.06%
20197.41%3.36%2.48%4.52%-7.95%7.45%1.05%-1.59%2.70%3.95%2.78%4.85%34.55%
20185.84%-2.81%-1.35%-0.76%4.01%-0.37%3.85%2.99%-1.20%-8.16%3.39%-6.82%-2.42%
20173.51%3.78%2.39%1.29%3.60%-1.02%3.54%1.50%1.83%4.39%1.42%-0.23%29.14%
2016-5.64%-0.50%7.95%-1.42%3.61%0.51%6.36%0.69%1.99%-2.25%2.07%2.24%15.92%
2015-1.03%5.37%-1.40%-0.41%3.50%-3.39%0.81%-6.42%-1.59%7.46%0.37%-1.04%1.47%
2014-1.83%5.25%1.52%-0.40%3.21%4.11%-2.13%4.83%-1.77%3.48%3.21%-0.42%20.32%
20135.01%0.76%3.39%2.72%1.11%-1.35%4.30%-3.24%5.78%4.43%1.86%2.79%30.81%

Expense Ratio

MY ETF has a high expense ratio of 0.26%, 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 INDA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
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 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%
Expense ratio chart for IEMG: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for XLU: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLV: 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%
Expense ratio chart for IJR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for IEFA: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of MY ETF is 59, 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 MY ETF is 5959
MY ETF
The Sharpe Ratio Rank of MY ETF is 5858Sharpe Ratio Rank
The Sortino Ratio Rank of MY ETF is 6161Sortino Ratio Rank
The Omega Ratio Rank of MY ETF is 5858Omega Ratio Rank
The Calmar Ratio Rank of MY ETF is 6565Calmar Ratio Rank
The Martin Ratio Rank of MY ETF is 5353Martin 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.


MY ETF
Sharpe ratio
The chart of Sharpe ratio for MY ETF, currently valued at 1.95, compared to the broader market0.002.004.006.001.95
Sortino ratio
The chart of Sortino ratio for MY ETF, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for MY ETF, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for MY ETF, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for MY ETF, currently valued at 6.71, compared to the broader market0.0010.0020.0030.0040.0050.006.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.006.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.000.002.004.006.003.07
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 1.73, compared to the broader market0.002.004.006.008.0010.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0010.0020.0030.0040.0050.008.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
2.092.861.362.379.88
SOXX
iShares PHLX Semiconductor ETF
2.062.741.333.258.26
XLU
Utilities Select Sector SPDR Fund
0.370.631.080.250.88
XLV
Health Care Select Sector SPDR Fund
1.181.731.211.043.82
INDA
iShares MSCI India ETF
2.152.721.432.3815.67
IJR
iShares Core S&P Small-Cap ETF
0.470.821.090.351.40
IEFA
iShares Core MSCI EAFE ETF
0.781.181.140.592.38
IEMG
iShares Core MSCI Emerging Markets ETF
0.671.041.120.321.86

Sharpe Ratio

The current MY ETF Sharpe ratio is 1.95. 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 1.42 to 2.40, 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 MY 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 Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
1.95
2.17
MY ETF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MY ETF granted a 1.24% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
MY ETF1.24%1.71%1.98%2.01%1.54%2.17%2.28%1.82%2.03%2.21%2.38%1.99%
QQQ
Invesco QQQ
0.44%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
SOXX
iShares PHLX Semiconductor ETF
1.28%2.35%3.76%1.91%2.43%3.70%4.11%2.70%3.23%3.86%4.69%3.55%
XLU
Utilities Select Sector SPDR Fund
2.37%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%
XLV
Health Care Select Sector SPDR Fund
1.14%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
INDA
iShares MSCI India ETF
0.00%0.16%0.00%6.44%0.27%0.99%0.94%1.09%0.90%1.19%0.63%0.40%
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%
IEFA
iShares Core MSCI EAFE ETF
3.13%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%
IEMG
iShares Core MSCI Emerging Markets ETF
2.76%2.89%2.71%3.06%1.87%3.14%2.74%2.33%2.26%2.51%2.29%1.75%

Drawdowns

Drawdowns Chart

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


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune00
MY ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MY 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 MY ETF was 32.62%, occurring on Mar 23, 2020. Recovery took 81 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.62%Feb 20, 202023Mar 23, 202081Jul 17, 2020104
-28.25%Jan 4, 2022197Oct 14, 2022292Dec 13, 2023489
-17.82%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-15.63%May 28, 2015180Feb 11, 201680Jun 7, 2016260
-10.24%Jan 29, 20189Feb 8, 2018104Jul 10, 2018113

Volatility

Volatility Chart

The current MY ETF 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.


2.50%3.00%3.50%4.00%4.50%5.00%2024FebruaryMarchAprilMayJune
3.27%
2.33%
MY 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.

XLUINDAXLVSOXXIJRIEMGQQQIEFA
XLU1.000.260.410.180.310.260.280.35
INDA0.261.000.420.450.470.700.490.61
XLV0.410.421.000.500.590.490.660.62
SOXX0.180.450.501.000.660.620.820.64
IJR0.310.470.590.661.000.600.670.71
IEMG0.260.700.490.620.601.000.660.78
QQQ0.280.490.660.820.670.661.000.70
IEFA0.350.610.620.640.710.780.701.00
The correlation results are calculated based on daily price changes starting from Oct 23, 2012