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AJM Taxed
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ZROZ 22.15%ISCG 24.2%SPDW 22.5%VEA 22.15%XBI 9%BondBondEquityEquity
PositionCategory/SectorWeight
ISCG
iShares Morningstar Small-Cap Growth ETF
Small Cap Growth Equities

24.20%

SPDW
SPDR Portfolio World ex-US ETF
Foreign Large Cap Equities

22.50%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

22.15%

XBI
SPDR S&P Biotech ETF
Health & Biotech Equities

9%

ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund
Government Bonds

22.15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AJM Taxed, 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


200.00%250.00%300.00%350.00%400.00%NovemberDecember2024FebruaryMarchApril
217.67%
374.65%
AJM Taxed
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 4, 2009, corresponding to the inception date of ZROZ

Returns By Period

As of Apr 20, 2024, the AJM Taxed returned -4.39% Year-To-Date and 5.42% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
AJM Taxed-4.39%-6.06%16.34%1.42%3.45%5.47%
ISCG
iShares Morningstar Small-Cap Growth ETF
-2.44%-6.27%17.63%11.54%5.29%7.97%
SPDW
SPDR Portfolio World ex-US ETF
0.56%-4.20%15.71%6.84%5.66%4.36%
VEA
Vanguard FTSE Developed Markets ETF
0.49%-4.16%15.67%6.82%5.78%4.48%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund
-15.16%-7.41%12.11%-19.51%-6.72%-0.49%
XBI
SPDR S&P Biotech ETF
-7.23%-11.47%23.79%0.70%-0.91%7.03%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-2.67%3.42%2.17%
2023-6.60%-6.10%11.05%9.87%

Expense Ratio

The AJM Taxed features an expense ratio of 0.10%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.06%
0.50%1.00%1.50%2.00%0.05%
0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

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.


AJM Taxed
Sharpe ratio
The chart of Sharpe ratio for AJM Taxed, currently valued at 0.10, compared to the broader market-1.000.001.002.003.004.000.10
Sortino ratio
The chart of Sortino ratio for AJM Taxed, currently valued at 0.25, compared to the broader market-2.000.002.004.006.000.25
Omega ratio
The chart of Omega ratio for AJM Taxed, currently valued at 1.03, compared to the broader market0.801.001.201.401.601.801.03
Calmar ratio
The chart of Calmar ratio for AJM Taxed, currently valued at 0.04, compared to the broader market0.002.004.006.008.000.04
Martin ratio
The chart of Martin ratio for AJM Taxed, currently valued at 0.22, compared to the broader market0.0010.0020.0030.0040.000.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ISCG
iShares Morningstar Small-Cap Growth ETF
0.580.961.110.281.66
SPDW
SPDR Portfolio World ex-US ETF
0.570.891.110.411.71
VEA
Vanguard FTSE Developed Markets ETF
0.570.891.110.431.74
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund
-0.73-0.930.90-0.30-1.20
XBI
SPDR S&P Biotech ETF
0.020.241.030.010.05

Sharpe Ratio

The current AJM Taxed Sharpe ratio is 0.10. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.10

The Sharpe ratio of AJM Taxed is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.10
1.66
AJM Taxed
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

AJM Taxed granted a 2.49% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
AJM Taxed2.49%2.28%2.18%1.89%1.29%1.93%2.20%1.74%2.35%2.14%2.28%2.20%
ISCG
iShares Morningstar Small-Cap Growth ETF
0.74%0.77%0.92%0.62%0.10%0.27%0.40%0.52%1.19%0.64%0.56%0.53%
SPDW
SPDR Portfolio World ex-US ETF
2.73%2.75%3.12%3.04%1.87%3.13%3.07%1.86%3.11%2.79%3.51%2.36%
VEA
Vanguard FTSE Developed Markets ETF
3.42%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund
4.24%3.52%2.76%1.60%1.68%2.22%2.91%2.53%3.00%2.98%2.00%4.28%
XBI
SPDR S&P Biotech ETF
0.02%0.02%0.00%0.04%0.20%0.00%0.28%0.24%0.26%0.61%1.07%0.17%

Drawdowns

Drawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-21.56%
-5.46%
AJM Taxed
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the AJM Taxed. 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 AJM Taxed was 35.01%, occurring on Oct 20, 2022. The portfolio has not yet recovered.

The current AJM Taxed drawdown is 21.56%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.01%Nov 10, 2021238Oct 20, 2022
-25.84%Feb 20, 202020Mar 18, 202051Jun 1, 202071
-17.24%Apr 27, 2015202Feb 11, 2016134Aug 23, 2016336
-16.98%Aug 30, 201880Dec 24, 2018121Jun 19, 2019201
-12.89%May 2, 201169Aug 8, 201157Oct 27, 2011126

Volatility

Volatility Chart

The current AJM Taxed volatility is 3.54%, 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%NovemberDecember2024FebruaryMarchApril
3.54%
3.15%
AJM Taxed
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.

ZROZXBIISCGVEASPDW
ZROZ1.00-0.17-0.24-0.27-0.27
XBI-0.171.000.730.510.51
ISCG-0.240.731.000.710.72
VEA-0.270.510.711.000.98
SPDW-0.270.510.720.981.00