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

Asset Allocation


USFR 20%SGOL 10%FNGS 25%BBLU 20%SMH 15%QQQM 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
BBLU
Ea Bridgeway Blue Chip ETF
Large Cap Growth Equities
20%
FNGS
MicroSectors FANG+ ETN
Large Cap Growth Equities
25%
QQQM
Invesco NASDAQ 100 ETF
Large Cap Growth Equities
10%
SGOL
Aberdeen Standard Physical Gold Shares ETF
Precious Metals, Gold
10%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities
15%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
Government Bonds
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Large Cap, 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 every 3 months.


40.00%60.00%80.00%100.00%120.00%AugustSeptemberOctoberNovemberDecember2025
107.04%
58.43%
Large Cap
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 17, 2022, corresponding to the inception date of BBLU

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.93%-3.71%3.77%21.81%12.17%11.26%
Large Cap0.12%-2.05%3.64%34.22%N/AN/A
BBLU
Ea Bridgeway Blue Chip ETF
-0.92%-2.96%5.64%25.70%N/AN/A
FNGS
MicroSectors FANG+ ETN
-0.80%-3.44%11.18%50.17%30.83%N/A
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
0.16%0.42%2.52%5.42%2.63%2.47%
SGOL
Aberdeen Standard Physical Gold Shares ETF
2.51%1.58%11.36%31.22%11.53%7.89%
QQQM
Invesco NASDAQ 100 ETF
-0.76%-4.24%2.85%24.68%N/AN/A
SMH
VanEck Vectors Semiconductor ETF
2.07%-0.49%-9.54%43.55%28.78%26.53%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.92%7.43%3.12%-2.71%6.07%6.14%-1.22%0.05%2.20%0.47%3.58%2.08%34.00%
202310.24%0.33%7.75%-0.73%8.46%5.13%3.34%-1.62%-4.83%-1.05%9.55%4.89%48.42%
20221.31%8.49%-5.40%3.97%

Expense Ratio

Large Cap 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 FNGS: 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 SMH: 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 SGOL: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
Expense ratio chart for BBLU: 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 USFR: 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 QQQM: 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 Large Cap is 58, 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 Large Cap is 5858
Overall Rank
The Sharpe Ratio Rank of Large Cap is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of Large Cap is 6363
Sortino Ratio Rank
The Omega Ratio Rank of Large Cap is 6464
Omega Ratio Rank
The Calmar Ratio Rank of Large Cap is 5353
Calmar Ratio Rank
The Martin Ratio Rank of Large Cap is 4545
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 Large Cap, currently valued at 1.86, compared to the broader market-1.000.001.002.003.004.001.861.77
The chart of Sortino ratio for Large Cap, currently valued at 2.45, compared to the broader market-2.000.002.004.002.452.37
The chart of Omega ratio for Large Cap, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.331.32
The chart of Calmar ratio for Large Cap, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.002.462.65
The chart of Martin ratio for Large Cap, currently valued at 8.49, compared to the broader market0.0010.0020.0030.0040.008.4911.13
Large Cap
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BBLU
Ea Bridgeway Blue Chip ETF
2.082.841.382.8212.06
FNGS
MicroSectors FANG+ ETN
1.992.541.332.899.28
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
16.4457.5214.4992.34793.05
SGOL
Aberdeen Standard Physical Gold Shares ETF
2.162.821.373.9910.97
QQQM
Invesco NASDAQ 100 ETF
1.441.951.261.916.77
SMH
VanEck Vectors Semiconductor ETF
1.261.771.221.774.31

The current Large Cap Sharpe ratio is 1.86. 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 1.22 to 1.93, 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 Large Cap 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 Ratio1.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
1.86
1.77
Large Cap
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Large Cap provided a 1.44% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.44%1.44%1.51%7.03%0.12%0.20%0.64%0.61%0.42%0.18%0.32%0.17%
BBLU
Ea Bridgeway Blue Chip ETF
1.40%1.39%1.68%32.07%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FNGS
MicroSectors FANG+ ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
5.16%5.17%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%0.00%0.00%
SGOL
Aberdeen Standard Physical Gold Shares ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQM
Invesco NASDAQ 100 ETF
0.61%0.61%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF
0.43%0.44%0.60%1.18%0.51%0.69%1.50%1.88%1.43%0.80%2.14%1.16%

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.


-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.48%
-4.32%
Large Cap
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Large Cap. 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 Large Cap was 14.19%, occurring on Aug 7, 2024. Recovery took 65 trading sessions.

The current Large Cap drawdown is 3.48%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.19%Jul 11, 202420Aug 7, 202465Nov 7, 202485
-9.22%Jul 19, 202371Oct 26, 202313Nov 14, 202384
-7.76%Dec 2, 202218Dec 28, 202215Jan 20, 202333
-7.04%Apr 12, 20246Apr 19, 202417May 14, 202423
-5.9%Feb 3, 202325Mar 10, 20239Mar 23, 202334

Volatility

Volatility Chart

The current Large Cap volatility is 6.04%, 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%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
6.04%
4.66%
Large Cap
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.

USFRSGOLBBLUSMHFNGSQQQM
USFR1.000.00-0.03-0.02-0.04-0.04
SGOL0.001.000.130.130.130.14
BBLU-0.030.131.000.730.760.86
SMH-0.020.130.731.000.800.87
FNGS-0.040.130.760.801.000.92
QQQM-0.040.140.860.870.921.00
The correlation results are calculated based on daily price changes starting from Oct 18, 2022
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 © 2025 PortfoliosLab