PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Div
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 6.67%ARCC 6.67%FDUS 6.67%AGNC 6.67%BTI 6.67%MO 6.67%DVN 6.67%ENB 6.67%GLAD 6.67%GOGL 6.67%HTGC 6.67%KEY 6.67%OXLC 6.67%PDI 6.67%VZ 6.67%BondBondEquityEquity
PositionCategory/SectorWeight
AGNC
AGNC Investment Corp.
Real Estate
6.67%
ARCC
Ares Capital Corporation
Financial Services
6.67%
BTI
British American Tobacco p.l.c.
Consumer Defensive
6.67%
DVN
Devon Energy Corporation
Energy
6.67%
ENB
Enbridge Inc.
Energy
6.67%
FDUS
Fidus Investment Corporation
Financial Services
6.67%
GLAD
Gladstone Capital Corporation
Financial Services
6.67%
GOGL
Golden Ocean Group Limited
Industrials
6.67%
HTGC
Hercules Capital, Inc.
Financial Services
6.67%
KEY
KeyCorp
Financial Services
6.67%
MO
Altria Group, Inc.
Consumer Defensive
6.67%
OXLC
Oxford Lane Capital Corp.
Financial Services
6.67%
PDI
PIMCO Dynamic Income Fund
Financial Services
6.67%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
6.67%
VZ
Verizon Communications Inc.
Communication Services
6.67%

Performance

Performance Chart

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


0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.32%
12.91%
Div
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 25, 2012, corresponding to the inception date of PDI

Returns By Period

As of Dec 10, 2024, the Div returned 21.64% Year-To-Date and 9.91% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.90%0.96%12.91%31.46%14.06%11.73%
Div21.64%0.61%9.32%26.79%12.65%9.91%
ARCC
Ares Capital Corporation
19.21%3.44%8.39%21.80%13.70%14.11%
FDUS
Fidus Investment Corporation
18.24%6.73%11.94%22.70%19.41%15.58%
AGNC
AGNC Investment Corp.
12.97%1.45%7.75%24.47%0.71%3.82%
BTI
British American Tobacco p.l.c.
38.30%6.98%28.78%42.45%7.43%3.01%
MO
Altria Group, Inc.
47.50%3.35%25.20%47.48%10.80%7.80%
DVN
Devon Energy Corporation
-19.38%-8.64%-23.21%-15.70%15.21%-0.50%
ENB
Enbridge Inc.
26.12%1.58%22.62%30.09%9.11%4.96%
GLAD
Gladstone Capital Corporation
39.86%10.17%27.47%44.89%15.71%15.20%
GOGL
Golden Ocean Group Limited
4.71%-19.54%-27.11%16.54%23.89%0.15%
HTGC
Hercules Capital, Inc.
26.51%0.61%1.84%36.41%18.56%14.18%
KEY
KeyCorp
35.58%-1.21%38.77%47.24%3.85%7.44%
OXLC
Oxford Lane Capital Corp.
26.55%-2.22%3.30%27.09%8.59%7.31%
PDI
PIMCO Dynamic Income Fund
21.90%-1.58%6.43%23.14%1.65%7.87%
VZ
Verizon Communications Inc.
19.85%4.64%8.20%18.12%-1.79%4.40%
TLT
iShares 20+ Year Treasury Bond ETF
-1.91%1.46%4.95%2.92%-5.39%-0.50%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.90%1.90%5.16%-0.92%3.62%0.32%3.78%1.78%1.54%-2.30%4.75%21.64%
20237.16%-1.60%-6.51%1.11%-5.60%4.12%6.58%-3.65%-2.12%-4.43%9.92%4.45%8.03%
20224.21%2.64%1.56%-4.54%4.36%-10.92%6.31%-2.46%-12.95%9.78%3.94%-2.49%-3.17%
20211.66%8.66%5.28%6.22%4.11%1.97%-2.27%3.44%0.44%2.71%-2.09%3.97%39.23%
2020-1.03%-9.39%-26.55%20.37%-0.92%2.90%0.71%4.09%-1.85%-2.73%18.82%4.63%0.56%
20198.25%3.75%2.04%3.35%-6.11%4.97%0.85%-2.59%2.42%0.70%4.30%1.80%25.59%
20180.01%-6.50%0.25%1.13%2.99%2.41%4.22%0.12%-1.22%-4.62%-3.28%-7.48%-12.04%
20172.75%4.24%2.06%0.94%-4.02%1.31%0.72%0.49%1.84%-0.17%1.22%2.12%14.13%
2016-4.81%-2.22%10.01%6.35%-0.55%0.97%3.61%4.28%0.53%-2.01%5.37%3.11%26.43%
2015-0.76%5.51%-2.04%2.96%-2.38%-4.61%0.19%-3.27%-5.06%3.84%-0.56%-6.35%-12.50%
2014-0.93%3.79%3.14%0.49%4.20%3.35%-4.26%2.68%-5.37%1.69%-0.71%-2.90%4.68%
20137.06%1.55%5.09%1.58%-3.03%-0.86%2.10%-0.58%3.78%2.58%1.42%2.49%25.32%

Expense Ratio

Div has an expense ratio of 0.01%, 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 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Div 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 Div is 7070
Overall Rank
The Sharpe Ratio Rank of Div is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of Div is 7979
Sortino Ratio Rank
The Omega Ratio Rank of Div is 7878
Omega Ratio Rank
The Calmar Ratio Rank of Div is 3232
Calmar Ratio Rank
The Martin Ratio Rank of Div is 8888
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 Div, currently valued at 2.79, compared to the broader market-6.00-4.00-2.000.002.004.006.002.792.62
The chart of Sortino ratio for Div, currently valued at 3.77, compared to the broader market-6.00-4.00-2.000.002.004.006.003.773.48
The chart of Omega ratio for Div, currently valued at 1.51, compared to the broader market0.501.001.501.511.48
The chart of Calmar ratio for Div, currently valued at 2.62, compared to the broader market0.005.0010.0015.002.623.77
The chart of Martin ratio for Div, currently valued at 20.14, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.1416.74
Div
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ARCC
Ares Capital Corporation
2.002.781.373.2613.83
FDUS
Fidus Investment Corporation
1.942.981.353.7411.64
AGNC
AGNC Investment Corp.
1.251.781.230.735.98
BTI
British American Tobacco p.l.c.
2.403.391.441.079.85
MO
Altria Group, Inc.
2.653.841.522.5315.11
DVN
Devon Energy Corporation
-0.58-0.660.92-0.29-0.88
ENB
Enbridge Inc.
2.113.011.361.419.84
GLAD
Gladstone Capital Corporation
2.573.101.463.8110.49
GOGL
Golden Ocean Group Limited
0.510.931.110.231.17
HTGC
Hercules Capital, Inc.
1.722.061.352.066.41
KEY
KeyCorp
1.412.301.271.068.39
OXLC
Oxford Lane Capital Corp.
1.702.351.331.179.12
PDI
PIMCO Dynamic Income Fund
2.302.721.521.399.56
VZ
Verizon Communications Inc.
0.801.221.160.583.97
TLT
iShares 20+ Year Treasury Bond ETF
0.140.301.030.050.32

The current Div Sharpe ratio is 2.79. 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 1.87 to 2.71, 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 Div 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
2.79
2.62
Div
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Div provided a 8.99% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio8.99%9.79%10.99%7.77%7.96%7.39%8.46%6.53%7.20%8.18%7.94%7.17%
ARCC
Ares Capital Corporation
8.62%9.59%10.12%7.65%9.47%9.01%9.88%9.67%9.22%11.02%10.06%8.84%
FDUS
Fidus Investment Corporation
11.54%14.63%10.51%8.90%10.15%8.17%13.69%10.54%10.17%11.66%11.51%8.92%
AGNC
AGNC Investment Corp.
14.88%14.68%13.91%9.57%10.00%11.31%12.31%10.70%12.69%14.30%11.96%19.44%
BTI
British American Tobacco p.l.c.
7.72%9.57%7.40%7.98%7.22%6.35%8.52%4.18%3.79%4.21%4.55%4.04%
MO
Altria Group, Inc.
7.09%9.52%8.05%7.43%8.29%6.57%6.07%3.56%3.48%3.73%4.06%4.79%
DVN
Devon Energy Corporation
5.63%6.34%8.41%4.47%4.30%1.35%1.33%0.58%0.92%3.00%1.54%1.39%
ENB
Enbridge Inc.
6.30%7.29%6.78%6.86%7.54%5.57%6.69%4.73%3.78%4.41%2.47%2.82%
GLAD
Gladstone Capital Corporation
8.76%9.19%8.45%6.73%8.97%8.46%11.51%9.12%8.95%11.49%10.16%8.78%
GOGL
Golden Ocean Group Limited
9.46%5.12%27.04%17.20%1.08%5.60%7.32%0.00%0.00%0.00%15.34%8.47%
HTGC
Hercules Capital, Inc.
8.25%11.40%14.90%9.34%9.57%9.49%11.40%9.45%8.79%10.17%8.33%6.77%
KEY
KeyCorp
4.42%5.69%4.54%3.24%4.51%3.51%3.82%1.88%1.81%2.20%1.80%1.60%
OXLC
Oxford Lane Capital Corp.
19.27%18.83%17.75%10.58%22.51%19.85%16.70%17.91%22.84%24.10%16.72%12.69%
PDI
PIMCO Dynamic Income Fund
12.57%14.74%17.84%10.21%10.01%9.45%10.78%8.81%14.79%15.08%13.43%11.59%
VZ
Verizon Communications Inc.
6.31%6.96%6.53%4.85%4.21%3.95%4.22%4.39%4.26%4.79%4.57%4.22%
TLT
iShares 20+ Year Treasury Bond ETF
3.97%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

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
-1.47%
-0.61%
Div
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Div. 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 Div was 45.45%, occurring on Mar 23, 2020. Recovery took 200 trading sessions.

The current Div drawdown is 1.47%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.45%Jan 17, 202045Mar 23, 2020200Jan 6, 2021245
-30.77%Jul 1, 2014392Jan 20, 2016235Dec 22, 2016627
-21.63%Apr 21, 2022112Sep 29, 2022362Mar 11, 2024474
-20.72%Aug 22, 201886Dec 24, 2018217Nov 4, 2019303
-10.31%Jan 25, 201841Mar 23, 201884Jul 24, 2018125

Volatility

Volatility Chart

The current Div volatility is 1.96%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.96%
2.24%
Div
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.

TLTOXLCGOGLPDIVZMOBTIAGNCFDUSGLADDVNENBHTGCKEYARCC
TLT1.00-0.11-0.160.01-0.04-0.08-0.080.12-0.10-0.12-0.23-0.09-0.12-0.32-0.13
OXLC-0.111.000.170.240.130.130.150.210.200.250.230.240.290.260.28
GOGL-0.160.171.000.170.120.130.200.180.210.210.340.300.210.270.27
PDI0.010.240.171.000.180.200.200.280.220.210.220.260.260.220.28
VZ-0.040.130.120.181.000.390.310.240.200.180.180.280.200.270.24
MO-0.080.130.130.200.391.000.520.240.210.190.210.290.200.270.26
BTI-0.080.150.200.200.310.521.000.210.210.220.250.350.220.290.27
AGNC0.120.210.180.280.240.240.211.000.280.280.220.290.340.310.38
FDUS-0.100.200.210.220.200.210.210.281.000.400.260.270.390.340.41
GLAD-0.120.250.210.210.180.190.220.280.401.000.280.290.440.370.45
DVN-0.230.230.340.220.180.210.250.220.260.281.000.490.320.440.35
ENB-0.090.240.300.260.280.290.350.290.270.290.491.000.310.340.37
HTGC-0.120.290.210.260.200.200.220.340.390.440.320.311.000.400.54
KEY-0.320.260.270.220.270.270.290.310.340.370.440.340.401.000.44
ARCC-0.130.280.270.280.240.260.270.380.410.450.350.370.540.441.00
The correlation results are calculated based on daily price changes starting from May 29, 2012
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab