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Asset Allocation


ANGL 11.11%O 11.11%MO 11.11%KO 11.11%SPY 11.11%QQQ 11.11%QYLD 11.11%SCHD 11.11%XYLD 11.11%BondBondEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
High Yield Bonds

11.11%

KO
The Coca-Cola Company
Consumer Defensive

11.11%

MO
Altria Group, Inc.
Consumer Defensive

11.11%

O
Realty Income Corporation
Real Estate

11.11%

QQQ
Invesco QQQ
Large Cap Blend Equities

11.11%

QYLD
Global X NASDAQ 100 Covered Call ETF
Derivative Income

11.11%

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

11.11%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

11.11%

XYLD
Global X S&P 500 Covered Call ETF
Long-Short

11.11%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Brokerage, 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%2024FebruaryMarchAprilMayJune
8.11%
15.10%
Brokerage
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 12, 2013, corresponding to the inception date of QYLD

Returns By Period

As of Jun 15, 2024, the Brokerage returned 7.46% Year-To-Date and 9.87% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.87%2.33%15.10%22.72%13.49%10.85%
Brokerage7.46%0.27%8.11%11.24%9.30%9.87%
O
Realty Income Corporation
-4.79%-2.68%-4.15%-7.73%-1.09%7.10%
MO
Altria Group, Inc.
14.77%-1.22%13.52%9.75%5.52%7.10%
KO
The Coca-Cola Company
7.82%-0.15%8.43%5.43%7.33%7.72%
SPY
SPDR S&P 500 ETF
14.55%2.45%16.01%24.41%15.27%12.82%
QQQ
Invesco QQQ
17.17%5.80%18.67%30.28%22.12%18.90%
QYLD
Global X NASDAQ 100 Covered Call ETF
7.86%1.79%8.70%12.73%7.16%7.47%
XYLD
Global X S&P 500 Covered Call ETF
6.88%1.10%7.56%8.07%6.20%6.25%
SCHD
Schwab US Dividend Equity ETF
1.65%-4.19%2.57%8.53%11.60%10.65%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
1.60%-0.43%1.64%9.45%4.83%5.58%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.51%1.70%3.37%-1.92%2.64%7.46%
20234.09%-1.75%2.83%1.45%-1.28%3.40%2.42%-2.45%-4.45%-1.97%6.86%3.42%12.63%
2022-2.32%-1.67%3.12%-3.61%-1.25%-6.53%6.33%-3.84%-8.53%7.08%4.11%-2.49%-10.41%
2021-1.88%2.14%6.22%2.40%0.93%1.08%2.25%2.47%-4.83%4.83%-1.68%5.58%20.67%
20201.00%-7.89%-13.65%8.52%3.25%2.35%5.05%4.98%-2.99%-2.66%9.16%3.73%8.64%
20195.47%2.02%3.83%1.54%-4.82%4.46%1.57%-0.33%0.96%3.32%2.22%1.89%24.05%
20182.25%-4.42%-1.25%-0.91%2.26%1.00%3.61%2.03%0.98%-1.74%-0.09%-6.51%-3.23%
20172.54%2.92%-0.07%0.92%1.75%-0.15%0.58%0.36%0.88%1.40%2.35%1.86%16.40%
2016-1.84%1.51%5.72%-0.84%1.49%3.64%1.93%-0.73%0.33%-1.30%-0.20%2.55%12.66%
20151.03%3.29%-2.30%-0.11%0.78%-2.33%4.17%-5.11%0.43%7.61%-0.29%-0.03%6.74%
2014-2.28%4.24%-0.48%2.52%2.06%2.12%-1.87%4.02%-0.39%2.38%2.66%-0.94%14.66%
20133.16%3.16%

Expense Ratio

Brokerage has a high expense ratio of 0.21%, 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 QYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for XYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for ANGL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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 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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Brokerage is 31, 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 Brokerage is 3131
Brokerage
The Sharpe Ratio Rank of Brokerage is 3232Sharpe Ratio Rank
The Sortino Ratio Rank of Brokerage is 3131Sortino Ratio Rank
The Omega Ratio Rank of Brokerage is 3434Omega Ratio Rank
The Calmar Ratio Rank of Brokerage is 3535Calmar Ratio Rank
The Martin Ratio Rank of Brokerage is 2222Martin 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.


Brokerage
Sharpe ratio
The chart of Sharpe ratio for Brokerage, currently valued at 1.44, compared to the broader market0.002.004.001.44
Sortino ratio
The chart of Sortino ratio for Brokerage, currently valued at 2.05, compared to the broader market-2.000.002.004.006.002.05
Omega ratio
The chart of Omega ratio for Brokerage, 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 Brokerage, currently valued at 1.14, compared to the broader market0.002.004.006.008.0010.001.14
Martin ratio
The chart of Martin ratio for Brokerage, currently valued at 3.59, compared to the broader market0.0010.0020.0030.0040.0050.003.59
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.14, compared to the broader market0.002.004.002.14
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
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 1.71, compared to the broader market0.002.004.006.008.0010.001.71
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.02, compared to the broader market0.0010.0020.0030.0040.0050.008.02

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
O
Realty Income Corporation
-0.38-0.410.95-0.22-0.59
MO
Altria Group, Inc.
0.600.891.130.481.74
KO
The Coca-Cola Company
0.530.821.100.401.19
SPY
SPDR S&P 500 ETF
2.303.251.412.228.96
QQQ
Invesco QQQ
2.032.791.352.309.57
QYLD
Global X NASDAQ 100 Covered Call ETF
1.582.151.331.345.75
XYLD
Global X S&P 500 Covered Call ETF
1.341.831.280.844.04
SCHD
Schwab US Dividend Equity ETF
0.901.351.160.752.83
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
1.642.531.300.737.59

Sharpe Ratio

The current Brokerage Sharpe ratio is 1.44. 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 1.39 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 Brokerage 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.44
2.14
Brokerage
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Brokerage granted a 5.53% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Brokerage5.53%5.67%5.86%4.93%4.98%4.38%5.01%3.79%3.90%4.12%4.35%3.02%
O
Realty Income Corporation
5.77%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
MO
Altria Group, Inc.
8.84%9.52%8.05%7.43%8.29%6.57%6.07%3.56%3.48%3.73%4.06%4.79%
KO
The Coca-Cola Company
3.02%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%2.71%
SPY
SPDR S&P 500 ETF
1.24%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
QQQ
Invesco QQQ
0.55%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.60%11.78%13.26%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%0.00%
XYLD
Global X S&P 500 Covered Call ETF
9.44%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.23%4.65%4.14%2.49%
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%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
5.85%5.27%4.72%3.90%4.67%5.19%5.99%5.25%5.76%5.81%6.80%6.10%

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%2024FebruaryMarchAprilMayJune
-0.28%
-0.04%
Brokerage
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Brokerage. 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 Brokerage was 32.57%, occurring on Mar 23, 2020. Recovery took 165 trading sessions.

The current Brokerage drawdown is 0.28%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.57%Feb 21, 202022Mar 23, 2020165Nov 13, 2020187
-18.29%Jan 5, 2022186Sep 30, 2022306Dec 19, 2023492
-13.33%Nov 8, 201831Dec 24, 201855Mar 15, 201986
-9.22%Jan 29, 20189Feb 8, 2018122Aug 3, 2018131
-8.95%Mar 3, 2015123Aug 25, 201538Oct 19, 2015161

Volatility

Volatility Chart

The current Brokerage volatility is 1.95%, 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%2024FebruaryMarchAprilMayJune
1.95%
2.26%
Brokerage
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.

OMOKOANGLQYLDXYLDQQQSCHDSPY
O1.000.330.430.290.240.290.280.410.37
MO0.331.000.480.220.220.310.250.530.38
KO0.430.481.000.280.310.380.350.580.48
ANGL0.290.220.281.000.460.450.520.500.57
QYLD0.240.220.310.461.000.700.830.590.77
XYLD0.290.310.380.450.701.000.740.710.81
QQQ0.280.250.350.520.830.741.000.670.90
SCHD0.410.530.580.500.590.710.671.000.86
SPY0.370.380.480.570.770.810.900.861.00
The correlation results are calculated based on daily price changes starting from Dec 13, 2013