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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 Equities

20%

QQQ
Invesco QQQ
Large Cap Blend Equities

10%

SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

10%

VIG
Vanguard Dividend Appreciation ETF
Large Cap Growth Equities, Dividend

10%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

20%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

10%

XLK
Technology Select Sector SPDR Fund
Technology Equities

20%

S&P 500

Performance

Performance Chart

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


80.00%100.00%120.00%140.00%160.00%FebruaryMarchAprilMayJuneJuly
150.95%
115.15%
Basket
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 10, 2017, corresponding to the inception date of OMFL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
Basket10.69%-0.19%9.41%16.82%15.45%N/A
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
0.01%-3.24%2.81%3.35%12.72%N/A
QQQ
Invesco QQQ
17.70%0.25%13.82%28.63%20.85%18.40%
SCHD
Schwab US Dividend Equity ETF
8.51%4.93%7.37%11.67%12.05%11.15%
VIG
Vanguard Dividend Appreciation ETF
10.97%1.91%9.39%14.74%11.69%11.36%
VOO
Vanguard S&P 500 ETF
16.29%0.91%13.99%22.69%14.76%12.82%
VXUS
Vanguard Total International Stock ETF
6.89%1.95%9.75%9.92%6.25%4.17%
XLK
Technology Select Sector SPDR Fund
15.14%-3.13%9.79%26.15%23.06%20.32%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.44%4.20%3.28%-4.72%4.86%2.51%10.69%
20237.60%-2.04%4.65%1.26%1.01%5.96%3.26%-2.20%-5.14%-2.36%9.66%5.26%29.09%
2022-5.60%-3.56%3.32%-7.90%0.65%-8.60%8.38%-4.32%-9.27%8.00%6.63%-5.48%-18.38%
2021-0.25%2.65%4.09%4.60%0.79%2.36%1.84%2.88%-4.65%6.40%-0.27%4.65%27.59%
2020-0.34%-7.75%-10.77%12.57%5.57%1.71%4.97%7.66%-3.68%-1.91%13.20%4.73%25.51%
20197.27%4.29%2.62%4.20%-6.67%7.17%1.72%-1.35%2.51%2.27%3.70%3.42%34.99%
20185.64%-3.07%-2.39%0.03%3.05%0.41%3.31%3.42%0.75%-6.82%1.17%-8.46%-3.92%
20172.13%1.43%3.60%

Expense Ratio

Basket has an expense ratio of 0.13%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for OMFL: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
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 XLK: 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 VXUS: 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VIG: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Basket is 36, 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 Basket is 3636
Basket
The Sharpe Ratio Rank of Basket is 3333Sharpe Ratio Rank
The Sortino Ratio Rank of Basket is 3131Sortino Ratio Rank
The Omega Ratio Rank of Basket is 3131Omega Ratio Rank
The Calmar Ratio Rank of Basket is 5151Calmar Ratio Rank
The Martin Ratio Rank of Basket is 3535Martin 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.


Basket
Sharpe ratio
The chart of Sharpe ratio for Basket, currently valued at 1.47, compared to the broader market-1.000.001.002.003.004.001.47
Sortino ratio
The chart of Sortino ratio for Basket, currently valued at 2.10, compared to the broader market-2.000.002.004.006.002.10
Omega ratio
The chart of Omega ratio for Basket, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
The chart of Calmar ratio for Basket, currently valued at 1.58, compared to the broader market0.002.004.006.008.001.58
Martin ratio
The chart of Martin ratio for Basket, currently valued at 4.98, compared to the broader market0.0010.0020.0030.0040.004.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, 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 ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
0.270.471.060.270.70
QQQ
Invesco QQQ
1.832.501.312.099.17
SCHD
Schwab US Dividend Equity ETF
1.111.661.190.933.43
VIG
Vanguard Dividend Appreciation ETF
1.622.331.291.574.96
VOO
Vanguard S&P 500 ETF
2.062.901.362.008.00
VXUS
Vanguard Total International Stock ETF
0.861.281.150.562.42
XLK
Technology Select Sector SPDR Fund
1.472.001.262.416.94

Sharpe Ratio

The current Basket Sharpe ratio is 1.35. 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 1.31 to 2.07, 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 Basket 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.47
1.99
Basket
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Basket granted a 1.61% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Basket1.61%1.64%1.78%1.35%1.54%1.76%1.93%1.50%1.65%1.69%1.66%1.51%
OMFL
Invesco Russell 1000 Dynamic Multifactor ETF
1.57%1.37%1.55%0.95%1.48%1.53%1.39%0.32%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
SCHD
Schwab US Dividend Equity ETF
3.49%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
VIG
Vanguard Dividend Appreciation ETF
1.79%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
VOO
Vanguard S&P 500 ETF
1.31%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VXUS
Vanguard Total International Stock ETF
3.02%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
XLK
Technology Select Sector SPDR Fund
0.69%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.74%
-1.97%
Basket
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Basket. 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 Basket was 32.10%, occurring on Mar 23, 2020. Recovery took 93 trading sessions.

The current Basket drawdown is 3.08%.


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
-10.91%Aug 1, 202363Oct 27, 202324Dec 1, 202387
-9.72%Jan 29, 20189Feb 8, 2018114Jul 24, 2018123

Volatility

Volatility Chart

The current Basket volatility is 2.82%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.82%
2.94%
Basket
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.

VXUSSCHDOMFLXLKQQQVIGVOO
VXUS1.000.730.740.710.720.760.81
SCHD0.731.000.840.640.630.900.83
OMFL0.740.841.000.670.670.820.83
XLK0.710.640.671.000.970.780.90
QQQ0.720.630.670.971.000.760.91
VIG0.760.900.820.780.761.000.93
VOO0.810.830.830.900.910.931.00
The correlation results are calculated based on daily price changes starting from Nov 13, 2017