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Last updated Sep 23, 2023

Asset Allocation


OMFL 20%VOO 20%XLK 20%QQQ 10%SCHD 10%VIG 10%VXUS 10%EquityEquity
PositionCategory/SectorWeight
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
Small Cap Blend Equities20%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities20%
XLK
Technology Select Sector SPDR Fund
Technology Equities20%
QQQ
Invesco QQQ
Large Cap Blend Equities10%
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend10%
VIG
Vanguard Dividend Appreciation ETF
Large Cap Growth Equities, Dividend10%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities10%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
7.97%
8.78%
Basket
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 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%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

VXUSOMFLSCHDQQQXLKVIGVOO
VXUS1.000.740.740.730.730.770.82
OMFL0.741.000.840.690.690.830.84
SCHD0.740.841.000.650.670.910.85
QQQ0.730.690.651.000.970.780.91
XLK0.730.690.670.971.000.800.91
VIG0.770.830.910.780.801.000.93
VOO0.820.840.850.910.910.931.00

Sharpe Ratio

The current Basket Sharpe ratio is 1.09. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.09

The Sharpe ratio of Basket lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
1.09
0.81
Basket
Benchmark (^GSPC)
Portfolio components

Dividend yield

Basket granted a 1.71% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Basket1.71%1.81%1.41%1.62%1.90%2.13%1.69%1.90%1.99%1.99%1.85%2.17%
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.


0.29%
0.00%2.15%
0.20%
0.00%2.15%
0.13%
0.00%2.15%
0.07%
0.00%2.15%
0.06%
0.00%2.15%
0.03%
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
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.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-6.73%
-9.93%
Basket
Benchmark (^GSPC)
Portfolio components

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, 202023Mar 23, 202093Aug 4, 2020116
-25.67%Dec 30, 2021198Oct 12, 2022198Jul 28, 2023396
-19.18%Oct 4, 201856Dec 24, 201868Apr 3, 2019124
-9.72%Jan 29, 20189Feb 8, 2018114Jul 24, 2018123
-9.32%Sep 3, 202014Sep 23, 202033Nov 9, 202047

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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.57%
3.41%
Basket
Benchmark (^GSPC)
Portfolio components