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

Asset Allocation


TQQQ 30%VGT 30%VOO 20%SCHD 20%EquityEquity
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

20%

TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged

30%

VGT
Vanguard Information Technology ETF
Technology Equities

30%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Aggressive, 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%20.00%2024FebruaryMarchAprilMayJune
23.71%
14.58%
Aggressive
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Jun 15, 2024, the Aggressive returned 22.65% Year-To-Date and 25.20% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.00%3.44%15.71%24.40%13.41%10.85%
Aggressive22.65%7.62%23.71%40.40%27.72%25.11%
TQQQ
ProShares UltraPro QQQ
46.82%17.84%48.73%84.47%37.65%38.31%
VGT
Vanguard Information Technology ETF
20.00%8.80%20.36%32.84%23.68%21.10%
VOO
Vanguard S&P 500 ETF
14.60%2.53%15.41%25.00%15.07%12.79%
SCHD
Schwab US Dividend Equity ETF
1.65%-4.11%2.43%8.56%11.44%10.52%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.11%7.30%2.74%-7.68%9.11%22.65%
202314.32%-2.10%12.81%0.06%8.86%10.09%5.55%-3.27%-8.59%-4.10%16.98%8.85%72.56%
2022-11.57%-6.21%4.88%-17.12%-1.69%-12.79%18.15%-8.65%-16.47%8.63%7.77%-12.12%-42.67%
2021-0.74%1.79%3.78%8.55%-1.21%8.66%4.13%5.96%-8.77%12.11%2.17%3.56%45.89%
20203.25%-11.14%-19.03%23.20%10.33%8.51%10.84%17.41%-9.82%-4.83%18.62%7.80%56.47%
201913.32%6.37%5.53%8.39%-13.09%12.16%3.54%-3.63%2.14%5.60%6.83%5.97%63.76%
201812.53%-3.80%-6.32%-0.29%8.16%0.80%4.68%9.19%-0.13%-13.06%-0.07%-12.83%-4.68%
20176.21%7.16%2.63%3.38%5.51%-3.31%5.74%2.57%0.78%7.56%3.47%1.08%51.50%
2016-9.45%-1.74%10.86%-4.23%5.89%-2.36%10.41%1.65%2.68%-2.23%1.89%2.03%14.39%
2015-4.32%11.28%-3.83%2.26%3.02%-4.59%5.29%-10.81%-3.23%18.02%0.93%-3.19%7.86%
2014-4.21%7.73%-2.16%-0.37%5.77%4.58%0.46%7.51%-1.63%3.43%7.04%-3.05%26.87%
20135.13%1.02%5.18%3.26%5.31%-4.00%9.68%-1.95%7.23%7.40%5.42%5.04%59.93%

Expense Ratio

Aggressive has a high expense ratio of 0.33%, 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 TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
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 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 Aggressive is 51, 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 Aggressive is 5151
Aggressive
The Sharpe Ratio Rank of Aggressive is 5252Sharpe Ratio Rank
The Sortino Ratio Rank of Aggressive is 4646Sortino Ratio Rank
The Omega Ratio Rank of Aggressive is 4747Omega Ratio Rank
The Calmar Ratio Rank of Aggressive is 5353Calmar Ratio Rank
The Martin Ratio Rank of Aggressive is 5858Martin 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.


Aggressive
Sharpe ratio
The chart of Sharpe ratio for Aggressive, currently valued at 1.82, compared to the broader market0.002.004.001.82
Sortino ratio
The chart of Sortino ratio for Aggressive, currently valued at 2.45, compared to the broader market-2.000.002.004.006.002.45
Omega ratio
The chart of Omega ratio for Aggressive, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for Aggressive, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.001.63
Martin ratio
The chart of Martin ratio for Aggressive, currently valued at 7.20, compared to the broader market0.0010.0020.0030.0040.0050.007.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
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 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.10, compared to the broader market0.0010.0020.0030.0040.0050.008.10

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TQQQ
ProShares UltraPro QQQ
1.862.351.291.357.78
VGT
Vanguard Information Technology ETF
1.862.541.312.567.24
VOO
Vanguard S&P 500 ETF
2.303.261.402.259.00
SCHD
Schwab US Dividend Equity ETF
0.901.351.160.752.83

Sharpe Ratio

The current Aggressive Sharpe ratio is 1.82. 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 1.40 to 2.33, 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 Aggressive 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
1.82
2.14
Aggressive
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Aggressive granted a 1.43% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Aggressive1.43%1.56%1.46%1.00%1.19%1.32%1.45%1.18%1.37%1.40%1.24%1.18%
TQQQ
ProShares UltraPro QQQ
0.95%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
VGT
Vanguard Information Technology ETF
0.62%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

Drawdowns Chart

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune0
-0.04%
Aggressive
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Aggressive. 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 Aggressive was 46.84%, occurring on Oct 14, 2022. Recovery took 316 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.84%Dec 28, 2021202Oct 14, 2022316Jan 19, 2024518
-45.86%Feb 20, 202023Mar 23, 202074Jul 8, 202097
-31.42%Oct 4, 201856Dec 24, 201871Apr 8, 2019127
-22.13%Dec 2, 201549Feb 11, 2016110Jul 20, 2016159
-20.89%Jul 21, 201526Aug 25, 201548Nov 2, 201574

Volatility

Volatility Chart

The current Aggressive volatility is 4.59%, 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%3.00%4.00%5.00%6.00%7.00%8.00%2024FebruaryMarchAprilMayJune
4.59%
2.26%
Aggressive
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.

SCHDVGTTQQQVOO
SCHD1.000.690.680.87
VGT0.691.000.960.89
TQQQ0.680.961.000.90
VOO0.870.890.901.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011