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ABC
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

ABC

Last updated Aug 27, 2024

Asset Allocation

SCHD 12.5%VYM 12.5%DIA 12.5%VIG 12.5%VT 12.5%VOO 12.5%VGT 12.5%QQQM 12.5%EquityEquity
PositionCategory/SectorWeight
DIA
SPDR Dow Jones Industrial Average ETF		Large Cap Growth Equities
12.50%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
12.50%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
12.50%
VGT
Vanguard Information Technology ETF		Technology Equities
12.50%
VIG
Vanguard Dividend Appreciation ETF		Large Cap Growth Equities, Dividend
12.50%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
12.50%
VT
Vanguard Total World Stock ETF		Large Cap Growth Equities
12.50%
VYM
Vanguard High Dividend Yield ETF		Dividend, Large Cap Value Equities
12.50%

S&P 500

Performance

Performance Chart

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

40.00%45.00%50.00%55.00%60.00%65.00%MarchAprilMayJuneJulyAugust
64.95%
59.94%
ABC
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 13, 2020, corresponding to the inception date of QQQM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.76%2.89%10.80%27.49%14.28%10.89%
ABC15.21%2.34%10.01%25.15%N/AN/A
Portfolio components:
SCHD
Schwab US Dividend Equity ETF		11.87%1.39%9.83%17.70%13.66%11.49%
VYM
Vanguard High Dividend Yield ETF		14.43%1.96%10.80%21.53%11.67%9.84%
DIA
SPDR Dow Jones Industrial Average ETF		10.62%1.74%6.76%21.49%11.80%11.56%
VIG
Vanguard Dividend Appreciation ETF		14.70%2.80%9.65%22.17%12.75%11.75%
VT
Vanguard Total World Stock ETF		14.61%2.92%9.72%23.75%12.35%8.82%
VOO
Vanguard S&P 500 ETF		18.79%3.01%11.37%28.55%16.13%12.93%
VGT
Vanguard Information Technology ETF		19.14%2.31%11.91%34.50%23.46%20.33%
QQQM
Invesco NASDAQ 100 ETF		16.49%2.67%8.97%30.57%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.11%3.77%3.04%-4.36%4.38%2.75%2.44%15.21%
20235.58%-2.35%3.67%1.07%0.04%5.86%3.48%-2.01%-4.47%-2.28%8.95%5.15%24.06%
2022-4.77%-2.96%3.06%-7.56%0.72%-7.92%8.03%-3.94%-9.18%9.17%6.32%-5.18%-15.31%
2021-0.99%2.85%4.85%3.99%1.23%1.85%1.88%2.53%-4.55%6.31%-0.91%4.71%25.90%
2020-6.86%11.81%3.94%8.24%

Expense Ratio

ABC has an expense ratio of 0.09%, 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.

DIA
SPDR Dow Jones Industrial Average ETF
Expense ratio chart for DIA: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%
QQQM
Invesco NASDAQ 100 ETF
Expense ratio chart for QQQM: 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%
VGT
Vanguard Information Technology ETF
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%
VT
Vanguard Total World Stock ETF
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
SCHD
Schwab US Dividend Equity ETF
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%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: 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%
VIG
Vanguard Dividend Appreciation ETF
Expense ratio chart for VIG: 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%
VOO
Vanguard S&P 500 ETF
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 ABC is 70, 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 ABC is 7070
ABC
The Sharpe Ratio Rank of ABC is 7171Sharpe Ratio Rank
The Sortino Ratio Rank of ABC is 7272Sortino Ratio Rank
The Omega Ratio Rank of ABC is 7272Omega Ratio Rank
The Calmar Ratio Rank of ABC is 7272Calmar Ratio Rank
The Martin Ratio Rank of ABC 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.

ABC
Sharpe ratio
The chart of Sharpe ratio for ABC, currently valued at 2.28, compared to the broader market-1.000.001.002.003.004.002.28
Sortino ratio
The chart of Sortino ratio for ABC, currently valued at 3.15, compared to the broader market-2.000.002.004.003.15
Omega ratio
The chart of Omega ratio for ABC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ABC, currently valued at 2.57, compared to the broader market0.002.004.006.008.002.57
Martin ratio
The chart of Martin ratio for ABC, currently valued at 10.31, compared to the broader market0.005.0010.0015.0020.0025.0030.0010.31
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.28, compared to the broader market-1.000.001.002.003.004.002.28
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.09, compared to the broader market-2.000.002.004.003.09
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.00, compared to the broader market0.002.004.006.008.002.00
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.55, compared to the broader market0.005.0010.0015.0020.0025.0030.0010.55
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHD
Schwab US Dividend Equity ETF		1.612.341.281.436.07
VYM
Vanguard High Dividend Yield ETF		2.102.961.372.308.71
DIA
SPDR Dow Jones Industrial Average ETF		2.183.021.402.659.65
VIG
Vanguard Dividend Appreciation ETF		2.353.291.432.4410.15
VT
Vanguard Total World Stock ETF		2.112.931.381.719.54
VOO
Vanguard S&P 500 ETF		2.433.291.442.6011.51
VGT
Vanguard Information Technology ETF		1.832.411.322.428.40
QQQM
Invesco NASDAQ 100 ETF		1.892.531.332.379.09

Sharpe Ratio

The current ABC Sharpe ratio is 2.28. 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 1.79 to 2.40, 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 ABC 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 Ratio1.502.002.503.00MarchAprilMayJuneJulyAugust
2.28
2.28
ABC
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ABC granted a 1.75% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
ABC1.75%1.89%1.99%1.60%1.75%1.89%2.08%1.77%1.99%2.09%1.85%1.77%
Portfolio components:
SCHD
Schwab US Dividend Equity ETF		3.39%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
VYM
Vanguard High Dividend Yield ETF		2.83%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
DIA
SPDR Dow Jones Industrial Average ETF		1.60%1.81%1.91%1.58%1.87%2.09%2.24%1.97%2.26%2.33%2.02%2.08%
VIG
Vanguard Dividend Appreciation ETF		1.73%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
VT
Vanguard Total World Stock ETF		1.89%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
VOO
Vanguard S&P 500 ETF		1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VGT
Vanguard Information Technology ETF		0.64%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
QQQM
Invesco NASDAQ 100 ETF		0.66%0.65%0.83%0.40%0.16%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.

-8.00%-6.00%-4.00%-2.00%0.00%MarchAprilMayJuneJulyAugust
-0.38%
-0.89%
ABC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ABC. 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 ABC was 23.52%, occurring on Sep 30, 2022. Recovery took 294 trading sessions.

The current ABC drawdown is 0.38%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.52%Jan 5, 2022186Sep 30, 2022294Dec 1, 2023480
-7.64%Jul 17, 202414Aug 5, 2024———
-6.87%Oct 14, 202011Oct 28, 20208Nov 9, 202019
-5.45%Apr 1, 202415Apr 19, 202418May 15, 202433
-4.95%Sep 7, 202120Oct 4, 202112Oct 20, 202132

Volatility

Volatility Chart

The current ABC volatility is 5.57%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%MarchAprilMayJuneJulyAugust
5.57%
5.88%
ABC
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.
VGTQQQMSCHDVYMDIAVIGVTVOO
VGT1.000.970.570.570.700.760.860.91
QQQM0.971.000.570.570.700.750.870.92
SCHD0.570.571.000.970.900.880.800.79
VYM0.570.570.971.000.910.900.810.80
DIA0.700.700.900.911.000.940.870.89
VIG0.760.750.880.900.941.000.880.92
VT0.860.870.800.810.870.881.000.96
VOO0.910.920.790.800.890.920.961.00
The correlation results are calculated based on daily price changes starting from Oct 14, 2020