Basket
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in Basket, 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
Returns
As of Sep 23, 2023, the Basket returned 15.14% Year-To-Date and 12.79% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.94% | 8.61% | 12.52% | 16.97% | 8.29% | 9.20% |
| Basket | -2.09% | 7.83% | 15.14% | 21.77% | 12.00% | 12.79% |
| Portfolio components: | ||||||
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | -3.50% | 2.02% | 8.11% | 16.84% | 11.49% | 12.69% |
QQQ Invesco QQQ | -1.54% | 16.25% | 35.00% | 30.79% | 15.06% | 16.39% |
SCHD Schwab US Dividend Equity ETF | -1.92% | 2.05% | -3.10% | 8.53% | 9.83% | 10.38% |
VIG Vanguard Dividend Appreciation ETF | -1.72% | 6.00% | 5.17% | 15.51% | 9.41% | 10.75% |
VOO Vanguard S&P 500 ETF | -1.79% | 9.44% | 13.90% | 18.91% | 10.15% | 11.12% |
VXUS Vanguard Total International Stock ETF | -0.48% | 2.75% | 6.91% | 19.88% | 2.93% | 2.57% |
XLK Technology Select Sector SPDR Fund | -2.34% | 14.00% | 32.97% | 34.11% | 18.46% | 19.03% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| VXUS | OMFL | SCHD | QQQ | XLK | VIG | VOO | |
|---|---|---|---|---|---|---|---|
| VXUS | 1.00 | 0.74 | 0.74 | 0.73 | 0.73 | 0.77 | 0.82 |
| OMFL | 0.74 | 1.00 | 0.84 | 0.69 | 0.69 | 0.83 | 0.84 |
| SCHD | 0.74 | 0.84 | 1.00 | 0.65 | 0.67 | 0.91 | 0.85 |
| QQQ | 0.73 | 0.69 | 0.65 | 1.00 | 0.97 | 0.78 | 0.91 |
| XLK | 0.73 | 0.69 | 0.67 | 0.97 | 1.00 | 0.80 | 0.91 |
| VIG | 0.77 | 0.83 | 0.91 | 0.78 | 0.80 | 1.00 | 0.93 |
| VOO | 0.82 | 0.84 | 0.85 | 0.91 | 0.91 | 0.93 | 1.00 |
Dividend yield
Basket granted a 1.71% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Basket | 1.71% | 1.81% | 1.41% | 1.62% | 1.90% | 2.13% | 1.69% | 1.90% | 1.99% | 1.99% | 1.85% | 2.17% |
| Portfolio components: | ||||||||||||
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 1.71% | 1.57% | 0.98% | 1.54% | 1.62% | 1.50% | 0.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QQQ Invesco QQQ | 0.61% | 0.81% | 0.43% | 0.56% | 0.76% | 0.94% | 0.87% | 1.11% | 1.05% | 1.51% | 1.10% | 1.39% |
SCHD Schwab US Dividend Equity ETF | 3.67% | 3.48% | 2.96% | 3.46% | 3.39% | 3.60% | 3.18% | 3.59% | 3.81% | 3.47% | 3.34% | 3.98% |
VIG Vanguard Dividend Appreciation ETF | 1.51% | 1.98% | 1.60% | 1.70% | 1.83% | 2.26% | 2.09% | 2.43% | 2.71% | 2.31% | 2.23% | 2.92% |
VOO Vanguard S&P 500 ETF | 1.56% | 1.71% | 1.28% | 1.60% | 1.99% | 2.23% | 1.96% | 2.26% | 2.41% | 2.17% | 2.19% | 2.65% |
VXUS Vanguard Total International Stock ETF | 3.06% | 3.15% | 3.25% | 2.32% | 3.40% | 3.64% | 3.23% | 3.56% | 3.54% | 4.37% | 3.58% | 4.04% |
XLK Technology Select Sector SPDR Fund | 0.85% | 1.04% | 0.66% | 0.94% | 1.20% | 1.68% | 1.46% | 1.89% | 1.97% | 1.96% | 1.95% | 2.03% |
Expense Ratio
The Basket features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
OMFL Invesco Russell 1000 Dynamic Multifactor ETF | 0.94 | ||||
QQQ Invesco QQQ | 1.18 | ||||
SCHD Schwab US Dividend Equity ETF | 0.42 | ||||
VIG Vanguard Dividend Appreciation ETF | 0.87 | ||||
VOO Vanguard S&P 500 ETF | 0.92 | ||||
VXUS Vanguard Total International Stock ETF | 0.96 | ||||
XLK Technology Select Sector SPDR Fund | 1.26 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Basket. 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 Basket is 32.10%, recorded on Mar 23, 2020. It took 93 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.1% | Feb 20, 2020 | 23 | Mar 23, 2020 | 93 | Aug 4, 2020 | 116 |
| -25.67% | Dec 30, 2021 | 198 | Oct 12, 2022 | 198 | Jul 28, 2023 | 396 |
| -19.18% | Oct 4, 2018 | 56 | Dec 24, 2018 | 68 | Apr 3, 2019 | 124 |
| -9.72% | Jan 29, 2018 | 9 | Feb 8, 2018 | 114 | Jul 24, 2018 | 123 |
| -9.32% | Sep 3, 2020 | 14 | Sep 23, 2020 | 33 | Nov 9, 2020 | 47 |
Volatility Chart
The current Basket volatility is 3.57%, 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.