LONG
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in LONG, 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
The earliest data available for this chart is Nov 7, 2014, corresponding to the inception date of PDBC
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
LONG | 16.44% | 2.55% | 8.76% | 28.33% | 13.03% | N/A |
Portfolio components: | ||||||
Vanguard Total Stock Market ETF | 19.49% | 2.68% | 9.27% | 33.25% | 14.85% | 12.63% |
Vanguard Growth ETF | 22.83% | 1.98% | 10.13% | 40.34% | 18.64% | 15.45% |
Vanguard Real Estate ETF | 13.01% | 5.45% | 17.07% | 31.80% | 4.78% | 7.29% |
Vanguard Total Bond Market ETF | 4.86% | 1.49% | 5.70% | 10.70% | 0.37% | 1.83% |
SPDR Portfolio High Yield Bond ETF | 8.29% | 2.02% | 6.42% | 15.65% | 4.84% | 4.62% |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 0.83% | 1.59% | -2.26% | -7.54% | 8.98% | N/A |
Monthly Returns
The table below presents the monthly returns of LONG, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.76% | 4.01% | 2.54% | -3.74% | 4.18% | 3.20% | 1.26% | 2.02% | 16.44% | ||||
2023 | 6.96% | -2.58% | 3.18% | 0.81% | 0.35% | 5.55% | 3.40% | -1.48% | -4.27% | -2.25% | 8.46% | 4.56% | 24.10% |
2022 | -5.33% | -1.96% | 3.29% | -7.63% | -0.47% | -7.50% | 8.46% | -3.94% | -8.82% | 5.62% | 4.60% | -5.41% | -19.08% |
2021 | -0.19% | 2.69% | 2.46% | 5.25% | 0.30% | 3.16% | 2.06% | 2.24% | -3.48% | 5.93% | -1.43% | 3.53% | 24.50% |
2020 | 0.20% | -6.24% | -12.62% | 10.65% | 5.19% | 2.82% | 5.51% | 6.03% | -3.34% | -2.04% | 9.76% | 3.96% | 18.76% |
2019 | 7.90% | 2.85% | 1.95% | 3.08% | -4.97% | 5.54% | 1.30% | -0.99% | 1.17% | 1.82% | 2.64% | 2.66% | 27.33% |
2018 | 3.75% | -3.46% | -1.09% | 0.54% | 2.77% | 0.71% | 2.10% | 3.04% | 0.21% | -6.34% | 0.67% | -6.95% | -4.67% |
2017 | 1.72% | 3.09% | -0.11% | 0.99% | 1.04% | 0.50% | 1.92% | 0.45% | 1.58% | 1.86% | 2.26% | 1.08% | 17.62% |
2016 | -4.62% | 0.10% | 6.33% | 0.89% | 1.59% | 1.16% | 2.99% | -0.13% | 0.44% | -2.19% | 2.01% | 2.13% | 10.83% |
2015 | -1.21% | 4.04% | -1.72% | 0.91% | 0.59% | -1.67% | 1.26% | -5.01% | -2.05% | 6.46% | -0.23% | -2.06% | -1.19% |
2014 | 1.12% | -0.74% | 0.36% |
Expense Ratio
LONG 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of LONG is 61, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
Vanguard Total Stock Market ETF | 2.35 | 3.15 | 1.42 | 2.19 | 14.43 |
Vanguard Growth ETF | 2.16 | 2.82 | 1.38 | 2.00 | 11.02 |
Vanguard Real Estate ETF | 1.42 | 2.06 | 1.26 | 0.76 | 5.70 |
Vanguard Total Bond Market ETF | 1.65 | 2.42 | 1.29 | 0.58 | 6.84 |
SPDR Portfolio High Yield Bond ETF | 2.88 | 4.52 | 1.58 | 1.90 | 22.17 |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | -0.56 | -0.70 | 0.92 | -0.29 | -1.26 |
Dividends
Dividend yield
LONG granted a 2.00% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
LONG | 2.00% | 2.22% | 2.92% | 5.23% | 1.72% | 2.06% | 2.23% | 2.20% | 2.59% | 2.05% | 1.90% | 1.97% |
Portfolio components: | ||||||||||||
Vanguard Total Stock Market ETF | 1.02% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
Vanguard Growth ETF | 0.40% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% | 1.21% | 1.19% |
Vanguard Real Estate ETF | 3.64% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
Vanguard Total Bond Market ETF | 3.37% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% | 2.78% |
SPDR Portfolio High Yield Bond ETF | 7.68% | 7.30% | 6.47% | 5.14% | 5.63% | 5.73% | 4.09% | 4.41% | 4.27% | 4.29% | 3.98% | 4.41% |
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 4.18% | 4.21% | 13.05% | 50.83% | 0.01% | 1.40% | 1.00% | 3.83% | 6.51% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the LONG. 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 LONG was 30.75%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current LONG drawdown is 0.19%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-30.75% | Feb 20, 2020 | 23 | Mar 23, 2020 | 94 | Aug 5, 2020 | 117 |
-23.43% | Dec 28, 2021 | 202 | Oct 14, 2022 | 300 | Dec 26, 2023 | 502 |
-16.7% | Oct 2, 2018 | 58 | Dec 24, 2018 | 67 | Apr 2, 2019 | 125 |
-13.65% | May 19, 2015 | 186 | Feb 11, 2016 | 79 | Jun 6, 2016 | 265 |
-8.27% | Jan 29, 2018 | 9 | Feb 8, 2018 | 103 | Jul 9, 2018 | 112 |
Volatility
Volatility Chart
The current LONG volatility is 3.68%, 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.
Diversification
Asset Correlations Table
BND | PDBC | SPHY | VNQ | VUG | VTI | |
---|---|---|---|---|---|---|
BND | 1.00 | -0.08 | 0.25 | 0.21 | 0.02 | -0.03 |
PDBC | -0.08 | 1.00 | 0.21 | 0.14 | 0.23 | 0.31 |
SPHY | 0.25 | 0.21 | 1.00 | 0.42 | 0.49 | 0.51 |
VNQ | 0.21 | 0.14 | 0.42 | 1.00 | 0.54 | 0.62 |
VUG | 0.02 | 0.23 | 0.49 | 0.54 | 1.00 | 0.93 |
VTI | -0.03 | 0.31 | 0.51 | 0.62 | 0.93 | 1.00 |