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40+40+20+BTC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 18%SHY 18%IAU 18%BTC-USD 10%QQQ 18%NOBL 18%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin

10%

IAU
iShares Gold Trust
Precious Metals, Gold

18%

NOBL
ProShares S&P 500 Dividend Aristocrats ETF
Large Cap Growth Equities, Dividend

18%

QQQ
Invesco QQQ
Large Cap Blend Equities

18%

SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

18%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

18%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 40+40+20+BTC, 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%300.00%400.00%500.00%600.00%700.00%FebruaryMarchAprilMayJuneJuly
659.67%
225.25%
40+40+20+BTC
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 10, 2013, corresponding to the inception date of NOBL

Returns By Period

As of Jul 22, 2024, the 40+40+20+BTC returned 12.55% Year-To-Date and 16.95% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
40+40+20+BTC12.55%1.23%13.71%20.86%14.90%16.95%
QQQ
Invesco QQQ
16.39%-0.87%13.16%27.39%20.47%18.18%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
4.98%1.79%6.10%4.90%9.36%10.23%
TLT
iShares 20+ Year Treasury Bond ETF
-4.15%-0.79%0.73%-5.07%-4.45%0.38%
SHY
iShares 1-3 Year Treasury Bond ETF
1.77%0.68%1.78%4.64%1.04%1.07%
IAU
iShares Gold Trust
16.12%3.26%18.05%21.93%10.92%6.15%
BTC-USD
Bitcoin
57.84%4.08%60.57%124.07%46.49%60.17%

Monthly Returns

The table below presents the monthly returns of 40+40+20+BTC, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.28%5.49%4.86%-3.85%3.32%0.67%12.55%
20239.03%-2.40%7.37%1.02%-1.22%3.35%0.75%-2.47%-3.95%2.27%6.41%5.34%27.51%
2022-5.11%0.58%1.01%-6.90%-2.47%-6.36%5.26%-4.48%-6.16%1.70%3.50%-2.70%-20.79%
2021-0.14%2.54%5.32%2.81%-1.75%-0.15%3.91%2.49%-4.09%7.32%-0.59%-0.73%17.67%
20205.34%-2.27%-4.76%9.51%3.47%1.61%7.35%2.09%-2.90%1.18%8.79%9.79%45.18%
20192.49%2.14%2.60%3.80%6.65%10.23%0.02%2.72%-1.40%2.46%-1.34%0.73%35.21%
2018-0.86%-1.95%-2.98%2.63%-1.12%-1.64%2.89%0.12%-1.12%-2.96%-2.49%-1.34%-10.48%
20172.24%4.47%-0.79%4.04%9.89%1.44%2.82%8.64%-2.02%6.01%9.78%7.63%68.49%
2016-0.98%4.48%1.60%1.12%1.84%6.09%1.68%-1.45%0.58%-0.91%-1.54%3.75%17.16%
2015-0.75%0.88%-1.15%-0.80%0.10%-0.44%1.72%-3.77%-0.46%7.00%1.32%1.43%4.84%
20141.60%-0.66%-2.05%0.43%4.96%1.98%-1.70%0.76%-3.04%-0.03%3.12%-1.06%4.09%
20138.33%64.93%-16.02%50.05%

Expense Ratio

40+40+20+BTC has an expense ratio of 0.20%, 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.


Expense ratio chart for NOBL: 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 IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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 TLT: 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%
Expense ratio chart for SHY: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of 40+40+20+BTC is 84, placing it in the top 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of 40+40+20+BTC is 8484
40+40+20+BTC
The Sharpe Ratio Rank of 40+40+20+BTC is 9696Sharpe Ratio Rank
The Sortino Ratio Rank of 40+40+20+BTC is 9797Sortino Ratio Rank
The Omega Ratio Rank of 40+40+20+BTC is 9696Omega Ratio Rank
The Calmar Ratio Rank of 40+40+20+BTC is 3333Calmar Ratio Rank
The Martin Ratio Rank of 40+40+20+BTC is 9797Martin 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.


40+40+20+BTC
Sharpe ratio
The chart of Sharpe ratio for 40+40+20+BTC, currently valued at 3.52, compared to the broader market-1.000.001.002.003.004.003.52
Sortino ratio
The chart of Sortino ratio for 40+40+20+BTC, currently valued at 5.06, compared to the broader market-2.000.002.004.006.005.06
Omega ratio
The chart of Omega ratio for 40+40+20+BTC, currently valued at 1.57, compared to the broader market0.801.001.201.401.601.801.57
Calmar ratio
The chart of Calmar ratio for 40+40+20+BTC, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.001.02
Martin ratio
The chart of Martin ratio for 40+40+20+BTC, currently valued at 26.58, compared to the broader market0.0010.0020.0030.0040.0026.58
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
2.713.631.482.0322.67
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.153.091.390.689.02
TLT
iShares 20+ Year Treasury Bond ETF
0.821.251.140.061.96
SHY
iShares 1-3 Year Treasury Bond ETF
2.844.511.600.3417.72
IAU
iShares Gold Trust
2.483.251.441.8214.84
BTC-USD
Bitcoin
2.482.931.311.4914.11

Sharpe Ratio

The current 40+40+20+BTC Sharpe ratio is 3.52. 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 1.31 to 2.05, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of 40+40+20+BTC 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 Ratio1.002.003.004.005.00FebruaryMarchAprilMayJuneJuly
3.52
1.82
40+40+20+BTC
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

40+40+20+BTC granted a 1.82% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
40+40+20+BTC1.82%1.64%1.21%0.73%0.92%1.26%1.37%1.08%1.17%1.11%1.09%0.87%
QQQ
Invesco QQQ
0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.13%2.09%1.94%1.89%2.14%1.89%2.37%1.74%2.13%2.02%1.59%0.30%
TLT
iShares 20+ Year Treasury Bond ETF
3.83%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
SHY
iShares 1-3 Year Treasury Bond ETF
3.55%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%
IAU
iShares Gold 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%
BTC-USD
Bitcoin
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.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.43%
-2.86%
40+40+20+BTC
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 40+40+20+BTC. 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 40+40+20+BTC was 26.89%, occurring on Oct 20, 2022. Recovery took 495 trading sessions.

The current 40+40+20+BTC drawdown is 1.43%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.89%Nov 10, 2021345Oct 20, 2022495Feb 27, 2024840
-26.72%Dec 5, 201314Dec 18, 2013898Jun 3, 2016912
-21.21%Dec 17, 2017374Dec 25, 2018176Jun 19, 2019550
-16.3%Feb 24, 202024Mar 18, 202042Apr 29, 202066
-7.54%Nov 30, 20132Dec 1, 20133Dec 4, 20135

Volatility

Volatility Chart

The current 40+40+20+BTC volatility is 2.29%, 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%FebruaryMarchAprilMayJuneJuly
2.29%
2.76%
40+40+20+BTC
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.

BTC-USDIAUQQQNOBLSHYTLT
BTC-USD1.000.070.120.070.00-0.01
IAU0.071.00-0.010.010.370.30
QQQ0.12-0.011.000.58-0.07-0.11
NOBL0.070.010.581.00-0.08-0.15
SHY0.000.37-0.07-0.081.000.58
TLT-0.010.30-0.11-0.150.581.00
The correlation results are calculated based on daily price changes starting from Oct 11, 2013