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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

15.87%

BIV
Vanguard Intermediate-Term Bond ETF

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%

S&P 500

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


100.00%110.00%120.00%130.00%140.00%150.00%160.00%NovemberDecember2024FebruaryMarchApril
136.45%
146.70%
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


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%
Optimal2.10%-3.70%14.01%17.23%10.09%N/A
QQQ
Invesco QQQ
1.39%-7.11%17.38%31.84%17.69%17.83%
HEDJ
WisdomTree Europe Hedged Equity Fund
8.54%-3.00%22.75%19.22%12.61%12.72%
XLRE
Real Estate Select Sector SPDR Fund
-9.83%-7.09%11.47%-0.05%3.58%N/A
PGHY
Invesco Global Short Term High Yield Bond ETF
1.85%-0.71%9.61%10.23%2.32%3.13%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.60%0.41%2.64%5.21%1.91%1.26%
BIV
Vanguard Intermediate-Term Bond ETF
-3.08%-2.31%5.42%-0.65%0.39%1.67%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.80%3.64%1.71%
2023-3.02%-1.79%7.23%4.14%

Expense Ratio

The Optimal has a high expense ratio of 0.29%, indicating higher-than-average management fees. 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%0.58%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.13%
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.


Optimal
Sharpe ratio
The chart of Sharpe ratio for Optimal, currently valued at 1.97, compared to the broader market-1.000.001.002.003.004.001.97
Sortino ratio
The chart of Sortino ratio for Optimal, currently valued at 2.91, compared to the broader market-2.000.002.004.006.002.91
Omega ratio
The chart of Omega ratio for Optimal, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for Optimal, currently valued at 2.09, compared to the broader market0.002.004.006.008.002.09
Martin ratio
The chart of Martin ratio for Optimal, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.008.08
^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
QQQ
Invesco QQQ
1.902.671.321.389.67
HEDJ
WisdomTree Europe Hedged Equity Fund
1.522.221.271.805.54
XLRE
Real Estate Select Sector SPDR Fund
-0.060.041.01-0.03-0.18
PGHY
Invesco Global Short Term High Yield Bond ETF
1.932.971.351.9211.73
BIL
SPDR Barclays 1-3 Month T-Bill ETF
19.35166.3479.44241.162,555.57
BIV
Vanguard Intermediate-Term Bond ETF
-0.05-0.021.00-0.02-0.11

Sharpe Ratio

The current Optimal Sharpe ratio is 1.97. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.97

The Sharpe ratio of Optimal lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.97
1.66
Optimal
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimal granted a 3.53% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Optimal3.53%3.45%2.36%1.84%2.12%2.23%2.51%2.19%2.41%3.41%2.69%1.26%
QQQ
Invesco QQQ
0.64%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
HEDJ
WisdomTree Europe Hedged Equity Fund
3.05%3.31%2.83%2.08%2.65%1.82%2.73%2.27%2.54%9.44%5.83%1.85%
XLRE
Real Estate Select Sector SPDR Fund
3.72%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
8.22%7.87%5.12%5.18%5.45%5.32%5.45%5.52%6.26%4.60%4.41%1.90%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.13%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
3.42%3.09%2.41%3.42%2.95%2.75%2.88%2.69%2.38%3.02%3.96%4.22%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.01%
-5.46%
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 73 trading sessions.

The current Optimal drawdown is 4.01%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.61%Feb 20, 202022Mar 20, 202073Jul 6, 202095
-20.22%Jan 4, 2022197Oct 14, 2022184Jul 12, 2023381
-11.83%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-9.98%Dec 30, 201530Feb 11, 201647Apr 20, 201677
-7.03%Aug 1, 202363Oct 27, 202316Nov 20, 202379

Volatility

Volatility Chart

The current Optimal volatility is 2.02%, 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%NovemberDecember2024FebruaryMarchApril
2.02%
3.15%
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
BIL1.000.020.00-0.010.000.02
BIV0.021.000.130.210.02-0.10
PGHY0.000.131.000.250.270.28
XLRE-0.010.210.251.000.470.45
QQQ0.000.020.270.471.000.67
HEDJ0.02-0.100.280.450.671.00