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Optimal
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


PGHY 17.09%BIL 15.87%BIV 4.7%QQQ 33%HEDJ 22%XLRE 7.34%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds
15.87%
BIV
Vanguard Intermediate-Term Bond ETF
Total Bond Market
4.70%
HEDJ
WisdomTree Europe Hedged Equity Fund
Europe Equities
22%
PGHY
Invesco Global Short Term High Yield Bond ETF
High Yield Bonds
17.09%
QQQ
Invesco QQQ
Large Cap Blend Equities
33%
XLRE
Real Estate Select Sector SPDR Fund
REIT
7.34%

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.01%
10.26%
Optimal
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 8, 2015, corresponding to the inception date of XLRE

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
26.63%1.18%10.44%27.03%13.30%11.23%
Optimal13.95%1.39%5.01%13.83%10.25%N/A
QQQ
Invesco QQQ
30.18%4.78%10.66%29.82%20.77%18.54%
HEDJ
WisdomTree Europe Hedged Equity Fund
5.79%2.06%-2.75%5.69%7.45%7.99%
XLRE
Real Estate Select Sector SPDR Fund
4.76%-8.29%9.28%4.86%4.55%N/A
PGHY
Invesco Global Short Term High Yield Bond ETF
8.97%-0.33%4.84%8.75%3.41%4.20%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.10%0.37%2.50%5.17%2.34%1.61%
BIV
Vanguard Intermediate-Term Bond ETF
1.33%-1.38%1.61%1.57%-0.05%1.72%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.80%3.64%1.71%-3.13%3.38%1.85%0.04%1.59%1.57%-1.59%2.46%13.95%
20237.16%0.17%3.79%0.52%1.62%4.13%2.02%-1.29%-3.02%-1.79%7.23%4.14%26.92%
2022-4.35%-3.84%1.81%-5.31%-0.28%-5.79%6.76%-3.77%-6.15%3.57%5.10%-4.64%-16.64%
20210.06%0.33%3.00%3.05%0.35%2.82%1.75%2.17%-3.47%3.95%-0.19%2.39%17.20%
20200.55%-4.36%-9.19%8.42%3.99%3.77%3.03%4.52%-2.09%-2.41%7.32%2.35%15.47%
20195.72%2.16%2.50%3.00%-3.99%4.21%1.08%-0.65%1.20%1.74%1.83%1.87%22.37%
20183.55%-1.89%-1.28%1.02%2.16%0.52%1.99%1.49%-0.44%-4.27%0.48%-4.51%-1.51%
20171.90%2.80%1.87%1.74%1.55%-1.32%1.46%0.76%0.90%2.19%0.20%-0.05%14.84%
2016-3.61%-1.08%4.41%-0.75%2.36%-0.74%4.17%0.48%0.76%-0.60%-0.38%2.48%7.45%
20153.73%0.97%-2.42%2.20%

Expense Ratio

Optimal features an expense ratio of 0.29%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for HEDJ: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for PGHY: 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 BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for BIV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Optimal is 43, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Optimal is 4343
Overall Rank
The Sharpe Ratio Rank of Optimal is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of Optimal is 4343
Sortino Ratio Rank
The Omega Ratio Rank of Optimal is 4444
Omega Ratio Rank
The Calmar Ratio Rank of Optimal is 4242
Calmar Ratio Rank
The Martin Ratio Rank of Optimal is 4444
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Optimal, currently valued at 1.64, compared to the broader market-6.00-4.00-2.000.002.004.001.642.16
The chart of Sortino ratio for Optimal, currently valued at 2.26, compared to the broader market-6.00-4.00-2.000.002.004.006.002.262.87
The chart of Omega ratio for Optimal, currently valued at 1.30, compared to the broader market0.501.001.501.301.40
The chart of Calmar ratio for Optimal, currently valued at 2.36, compared to the broader market0.002.004.006.008.0010.0012.002.363.19
The chart of Martin ratio for Optimal, currently valued at 9.48, compared to the broader market0.0010.0020.0030.0040.0050.009.4813.87
Optimal
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.712.271.312.268.12
HEDJ
WisdomTree Europe Hedged Equity Fund
0.450.701.090.491.15
XLRE
Real Estate Select Sector SPDR Fund
0.350.571.070.221.24
PGHY
Invesco Global Short Term High Yield Bond ETF
1.922.771.364.5917.03
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.46267.90155.67475.184,361.57
BIV
Vanguard Intermediate-Term Bond ETF
0.280.431.050.120.77

The current Optimal Sharpe ratio is 1.64. 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 1.40 to 2.28, 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 Optimal 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.64
2.16
Optimal
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimal provided a 3.28% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio3.28%3.45%2.36%1.84%2.11%2.23%2.51%2.19%2.51%3.41%2.69%1.26%
QQQ
Invesco QQQ
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
HEDJ
WisdomTree Europe Hedged Equity Fund
2.66%3.31%2.83%2.08%2.65%1.82%2.73%2.27%2.97%9.44%5.83%1.85%
XLRE
Real Estate Select Sector SPDR Fund
3.44%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
PGHY
Invesco Global Short Term High Yield Bond ETF
7.46%7.86%5.12%5.18%5.45%5.33%5.45%5.52%6.26%4.59%4.40%1.90%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.03%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
BIV
Vanguard Intermediate-Term Bond ETF
3.80%3.10%2.41%3.42%2.96%2.75%2.87%2.69%2.38%3.02%3.96%4.21%

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%JulyAugustSeptemberOctoberNovemberDecember
-1.04%
-0.82%
Optimal
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Optimal. 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 Optimal was 22.61%, occurring on Mar 20, 2020. Recovery took 77 trading sessions.

The current Optimal drawdown is 1.04%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.61%Feb 20, 202022Mar 20, 202077Jul 10, 202099
-20.71%Jan 4, 2022197Oct 14, 2022196Jul 28, 2023393
-11.83%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.37%Dec 2, 201549Feb 11, 2016108Jul 18, 2016157
-7.03%Aug 1, 202363Oct 27, 202316Nov 20, 202379

Volatility

Volatility Chart

The current Optimal volatility is 2.68%, 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%JulyAugustSeptemberOctoberNovemberDecember
2.68%
3.96%
Optimal
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.

BILBIVPGHYXLREQQQHEDJ
BIL1.000.030.010.000.000.01
BIV0.031.000.160.230.03-0.09
PGHY0.010.161.000.260.270.28
XLRE0.000.230.261.000.450.44
QQQ0.000.030.270.451.000.66
HEDJ0.01-0.090.280.440.661.00
The correlation results are calculated based on daily price changes starting from Oct 9, 2015
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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