Project FIRE
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | Total Bond Market | 8.33% |
GLDM SPDR Gold MiniShares Trust | Precious Metals, Gold | 4.17% |
JEPI JPMorgan Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 8.33% |
SCHD Schwab US Dividend Equity ETF | Large Cap Growth Equities, Dividend | 25% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 31.25% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 12.50% |
XMMO Invesco S&P MidCap Momentum ETF | Mid Cap Growth Equities | 10.42% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Project FIRE, 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
The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.45% | 2.91% | 14.05% | 35.64% | 14.13% | 11.39% |
| Project FIRE | 25.29% | 1.55% | 12.53% | 36.95% | N/A | N/A |
| Portfolio components: | ||||||
SCHD Schwab US Dividend Equity ETF | 17.07% | 1.30% | 10.97% | 29.98% | 12.79% | 11.62% |
JEPI JPMorgan Equity Premium Income ETF | 15.79% | 1.51% | 9.00% | 20.11% | N/A | N/A |
SPMO Invesco S&P 500® Momentum ETF | 47.88% | 3.07% | 21.15% | 60.08% | 20.54% | N/A |
TLT iShares 20+ Year Treasury Bond ETF | -5.24% | -2.92% | 1.77% | 7.41% | -5.76% | -0.27% |
XMMO Invesco S&P MidCap Momentum ETF | 45.98% | 6.32% | 13.38% | 63.75% | 18.22% | 16.12% |
AGG iShares Core U.S. Aggregate Bond ETF | 1.83% | -1.49% | 3.43% | 8.19% | -0.18% | 1.46% |
GLDM SPDR Gold MiniShares Trust | 25.93% | -2.11% | 10.27% | 33.44% | 11.97% | N/A |
Monthly Returns
The table below presents the monthly returns of Project FIRE, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.00% | 5.54% | 4.08% | -4.49% | 4.09% | 2.68% | 2.61% | 2.33% | 1.67% | -0.58% | 25.29% | ||
| 2023 | 2.51% | -3.68% | 1.39% | 0.96% | -3.75% | 4.36% | 1.95% | -0.18% | -3.26% | -2.73% | 7.63% | 6.12% | 11.04% |
| 2022 | -4.60% | -0.89% | 1.36% | -6.10% | 0.99% | -6.48% | 5.55% | -3.13% | -7.09% | 8.01% | 4.97% | -3.02% | -11.22% |
| 2021 | -0.59% | 0.20% | 2.92% | 3.20% | 0.70% | 2.79% | 1.75% | 2.24% | -3.71% | 4.98% | -1.45% | 3.17% | 17.10% |
| 2020 | 2.66% | 0.76% | 6.18% | 3.90% | -1.43% | -1.68% | 7.28% | 2.92% | 22.10% |
Expense Ratio
Project FIRE has an expense ratio of 0.15%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Project FIRE is 87, placing it in the top 13% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SCHD Schwab US Dividend Equity ETF | 2.64 | 3.81 | 1.47 | 2.92 | 14.57 |
JEPI JPMorgan Equity Premium Income ETF | 2.87 | 4.00 | 1.58 | 5.20 | 20.34 |
SPMO Invesco S&P 500® Momentum ETF | 3.44 | 4.42 | 1.61 | 4.62 | 19.25 |
TLT iShares 20+ Year Treasury Bond ETF | 0.48 | 0.77 | 1.09 | 0.16 | 1.18 |
XMMO Invesco S&P MidCap Momentum ETF | 3.24 | 4.36 | 1.54 | 4.34 | 22.33 |
AGG iShares Core U.S. Aggregate Bond ETF | 1.37 | 2.03 | 1.24 | 0.53 | 4.90 |
GLDM SPDR Gold MiniShares Trust | 2.34 | 3.08 | 1.41 | 5.09 | 15.13 |
Dividends
Dividend yield
Project FIRE provided a 2.41% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.41% | 2.85% | 3.02% | 1.78% | 2.10% | 1.75% | 1.69% | 1.42% | 1.88% | 1.45% | 1.32% | 1.35% |
| Portfolio components: | ||||||||||||
SCHD Schwab US Dividend Equity ETF | 3.38% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
JEPI JPMorgan Equity Premium Income ETF | 7.07% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPMO Invesco S&P 500® Momentum ETF | 0.44% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 0.00% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.06% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
XMMO Invesco S&P MidCap Momentum ETF | 0.30% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% | 1.24% | 1.31% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.64% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
GLDM SPDR Gold MiniShares Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Project FIRE. 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 Project FIRE was 19.84%, occurring on Sep 27, 2022. Recovery took 333 trading sessions.
The current Project FIRE drawdown is 0.66%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.84% | Jan 5, 2022 | 183 | Sep 27, 2022 | 333 | Jan 25, 2024 | 516 |
| -6.3% | Sep 3, 2020 | 14 | Sep 23, 2020 | 13 | Oct 12, 2020 | 27 |
| -5.5% | Oct 13, 2020 | 14 | Oct 30, 2020 | 4 | Nov 5, 2020 | 18 |
| -5.31% | Feb 16, 2021 | 13 | Mar 4, 2021 | 20 | Apr 1, 2021 | 33 |
| -5.16% | Jul 17, 2024 | 16 | Aug 7, 2024 | 8 | Aug 19, 2024 | 24 |
Volatility
Volatility Chart
The current Project FIRE volatility is 2.75%, 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.
Diversification
Asset Correlations Table
| GLDM | TLT | AGG | SPMO | SCHD | XMMO | JEPI | |
|---|---|---|---|---|---|---|---|
| GLDM | 1.00 | 0.28 | 0.37 | 0.14 | 0.14 | 0.14 | 0.13 |
| TLT | 0.28 | 1.00 | 0.90 | -0.01 | -0.06 | -0.00 | 0.04 |
| AGG | 0.37 | 0.90 | 1.00 | 0.13 | 0.09 | 0.13 | 0.18 |
| SPMO | 0.14 | -0.01 | 0.13 | 1.00 | 0.59 | 0.78 | 0.71 |
| SCHD | 0.14 | -0.06 | 0.09 | 0.59 | 1.00 | 0.71 | 0.79 |
| XMMO | 0.14 | -0.00 | 0.13 | 0.78 | 0.71 | 1.00 | 0.70 |
| JEPI | 0.13 | 0.04 | 0.18 | 0.71 | 0.79 | 0.70 | 1.00 |