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AVENUE REC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IEI 36%JPST 6%SPY 23%IOO 20%AOR 15%BondBondEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AOR
iShares Core Growth Allocation ETF
Diversified Portfolio

15%

IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds

36%

IOO
iShares Global 100 ETF
Large Cap Growth Equities

20%

JPST
JPMorgan Ultra-Short Income ETF
Money Market, Actively Managed

6%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

23%

S&P 500

Performance

Performance Chart

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


60.00%80.00%100.00%120.00%140.00%FebruaryMarchAprilMayJuneJuly
71.57%
131.13%
AVENUE REC
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 19, 2017, corresponding to the inception date of JPST

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
AVENUE REC9.44%0.32%9.01%14.04%8.12%N/A
JPST
JPMorgan Ultra-Short Income ETF
3.14%0.53%2.84%6.12%2.57%N/A
IEI
iShares 3-7 Year Treasury Bond ETF
0.90%0.70%1.55%3.77%0.12%1.17%
AOR
iShares Core Growth Allocation ETF
7.63%0.72%8.46%12.05%6.68%6.02%
SPY
SPDR S&P 500 ETF
16.23%0.41%14.52%23.11%14.88%12.74%
IOO
iShares Global 100 ETF
20.83%-0.84%18.58%26.83%16.39%11.64%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.92%2.06%2.07%-2.47%3.53%2.27%9.44%
20234.37%-2.36%3.56%1.57%-0.34%2.67%1.67%-0.99%-2.99%-1.30%5.81%3.32%15.57%
2022-2.76%-1.75%0.27%-5.25%0.53%-4.47%5.08%-3.45%-6.20%3.57%4.51%-3.12%-13.02%
2021-0.37%0.77%1.65%2.77%0.69%1.07%1.53%1.39%-2.78%2.99%-0.39%2.21%12.01%
20200.68%-3.42%-5.20%6.21%2.49%1.64%2.96%3.68%-2.31%-1.59%5.86%2.31%13.37%
20194.08%1.55%1.71%2.08%-2.57%3.87%0.36%-0.06%1.03%1.46%1.50%1.77%17.94%
20182.32%-2.35%-0.89%0.05%1.07%0.09%1.92%1.44%0.00%-3.45%1.02%-3.26%-2.22%
20170.52%0.09%1.31%0.54%0.76%1.36%1.10%0.64%6.50%

Expense Ratio

AVENUE REC has an expense ratio of 0.20%, 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 IOO: 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 AOR: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for JPST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for IEI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of AVENUE REC is 72, 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 AVENUE REC is 7272
AVENUE REC
The Sharpe Ratio Rank of AVENUE REC is 7777Sharpe Ratio Rank
The Sortino Ratio Rank of AVENUE REC is 8484Sortino Ratio Rank
The Omega Ratio Rank of AVENUE REC is 8282Omega Ratio Rank
The Calmar Ratio Rank of AVENUE REC is 5252Calmar Ratio Rank
The Martin Ratio Rank of AVENUE REC is 6666Martin 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.


AVENUE REC
Sharpe ratio
The chart of Sharpe ratio for AVENUE REC, currently valued at 1.98, compared to the broader market-1.000.001.002.003.004.005.001.98
Sortino ratio
The chart of Sortino ratio for AVENUE REC, currently valued at 2.95, compared to the broader market-2.000.002.004.006.002.95
Omega ratio
The chart of Omega ratio for AVENUE REC, 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 AVENUE REC, currently valued at 1.49, compared to the broader market0.002.004.006.008.0010.001.49
Martin ratio
The chart of Martin ratio for AVENUE REC, currently valued at 7.32, compared to the broader market0.0010.0020.0030.0040.007.32
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.005.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JPST
JPMorgan Ultra-Short Income ETF
12.5536.038.0076.83507.08
IEI
iShares 3-7 Year Treasury Bond ETF
0.701.061.120.252.37
AOR
iShares Core Growth Allocation ETF
1.422.081.260.844.27
SPY
SPDR S&P 500 ETF
1.982.801.351.917.70
IOO
iShares Global 100 ETF
2.153.051.382.889.80

Sharpe Ratio

The current AVENUE REC Sharpe ratio is 2.42. 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 1.63 to 2.48, 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 AVENUE REC 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
1.98
1.82
AVENUE REC
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

AVENUE REC granted a 2.22% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
AVENUE REC2.22%2.13%1.70%1.14%1.42%2.07%2.18%2.14%1.82%1.87%1.89%1.46%
JPST
JPMorgan Ultra-Short Income ETF
5.22%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%0.00%
IEI
iShares 3-7 Year Treasury Bond ETF
2.84%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%
AOR
iShares Core Growth Allocation ETF
2.46%2.50%2.12%1.64%1.89%2.56%2.49%4.51%2.16%2.12%2.11%1.92%
SPY
SPDR S&P 500 ETF
1.25%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
IOO
iShares Global 100 ETF
1.13%1.49%2.00%1.53%1.49%2.02%2.54%2.23%2.75%2.89%3.52%2.37%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.67%
-2.86%
AVENUE REC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the AVENUE REC. 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 AVENUE REC was 17.52%, occurring on Oct 14, 2022. Recovery took 300 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.52%Dec 28, 2021202Oct 14, 2022300Dec 26, 2023502
-16.24%Feb 13, 202027Mar 23, 202053Jun 8, 202080
-8.58%Aug 30, 201880Dec 24, 201853Mar 13, 2019133
-5.57%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147
-5.27%Sep 3, 202014Sep 23, 202038Nov 16, 202052

Volatility

Volatility Chart

The current AVENUE REC volatility is 1.67%, 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
1.67%
2.76%
AVENUE REC
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.

JPSTIEIIOOAORSPY
JPST1.000.350.060.120.06
IEI0.351.00-0.080.07-0.09
IOO0.06-0.081.000.900.95
AOR0.120.070.901.000.91
SPY0.06-0.090.950.911.00
The correlation results are calculated based on daily price changes starting from May 22, 2017