PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
MODCONS3 MODmm
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

MODCONS3 MODmm

Last updated Sep 21, 2024

Asset Allocation

BIL 15%SRLN 10%IAU 5%JEPI 20%JQUA 10%MOAT 10%IVV 10%COWZ 10%QQQM 10%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
15%
COWZ
Pacer US Cash Cows 100 ETF		All Cap Equities
10%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		Total Bond Market, Actively Managed
0%
IAU
iShares Gold Trust		Precious Metals, Gold
5%
IVV
iShares Core S&P 500 ETF		Large Cap Growth Equities
10%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
20%
JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities
10%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend Equities
10%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
10%
SRLN
SPDR Blackstone Senior Loan ETF		High Yield Bonds
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MODCONS3 MODmm, 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%AprilMayJuneJulyAugustSeptember
6.61%
8.95%
MODCONS3 MODmm
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 13, 2020, corresponding to the inception date of QQQM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
MODCONS3 MODmm13.10%1.65%6.61%21.31%N/AN/A
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		18.11%1.98%7.13%30.62%15.47%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF		12.02%2.04%7.36%25.37%14.89%13.24%
JEPI
JPMorgan Equity Premium Income ETF		12.73%2.69%6.72%17.65%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		4.49%0.62%3.03%6.32%N/AN/A
IAU
iShares Gold Trust		26.88%4.34%20.99%36.27%11.39%7.73%
SRLN
SPDR Blackstone Senior Loan ETF		5.61%0.98%4.12%9.03%4.20%3.70%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		3.89%0.48%2.67%5.39%2.18%1.48%
IVV
iShares Core S&P 500 ETF		20.71%1.60%9.69%33.58%15.63%13.18%
COWZ
Pacer US Cash Cows 100 ETF		11.44%1.47%1.01%18.66%16.99%N/A
QQQM
Invesco NASDAQ 100 ETF		18.25%-0.01%8.35%35.74%N/AN/A

Monthly Returns

The table below presents the monthly returns of MODCONS3 MODmm, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.73%3.07%2.90%-2.72%2.49%1.19%2.08%2.00%13.10%
20235.11%-1.92%3.03%1.05%-0.05%4.28%2.73%-0.69%-2.93%-1.29%5.56%3.48%19.44%
2022-3.04%-0.95%2.52%-4.94%-0.04%-5.62%5.75%-2.74%-6.51%5.69%4.98%-3.38%-8.99%
2021-0.38%1.43%4.31%3.08%1.27%1.26%1.84%1.81%-3.19%3.79%-0.79%3.67%19.38%
2020-4.49%7.68%3.09%6.02%

Expense Ratio

MODCONS3 MODmm features an expense ratio of 0.30%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SRLN
SPDR Blackstone Senior Loan ETF
Expense ratio chart for SRLN: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
COWZ
Pacer US Cash Cows 100 ETF
Expense ratio chart for COWZ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
MOAT
VanEck Vectors Morningstar Wide Moat ETF
Expense ratio chart for MOAT: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
JEPI
JPMorgan Equity Premium Income ETF
Expense ratio chart for JEPI: 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%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
Expense ratio chart for EMNT: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
IAU
iShares Gold Trust
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
QQQM
Invesco NASDAQ 100 ETF
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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
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%
JQUA
JPMorgan U.S. Quality Factor ETF
Expense ratio chart for JQUA: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
IVV
iShares Core S&P 500 ETF
Expense ratio chart for IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of MODCONS3 MODmm is 80, placing it in the top 20% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of MODCONS3 MODmm is 8080
MODCONS3 MODmm
The Sharpe Ratio Rank of MODCONS3 MODmm is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of MODCONS3 MODmm is 7777Sortino Ratio Rank
The Omega Ratio Rank of MODCONS3 MODmm is 8080Omega Ratio Rank
The Calmar Ratio Rank of MODCONS3 MODmm is 8383Calmar Ratio Rank
The Martin Ratio Rank of MODCONS3 MODmm is 8585Martin 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.

MODCONS3 MODmm
Sharpe ratio
The chart of Sharpe ratio for MODCONS3 MODmm, currently valued at 2.49, compared to the broader market-1.000.001.002.003.004.002.49
Sortino ratio
The chart of Sortino ratio for MODCONS3 MODmm, currently valued at 3.46, compared to the broader market-2.000.002.004.006.003.46
Omega ratio
The chart of Omega ratio for MODCONS3 MODmm, currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for MODCONS3 MODmm, currently valued at 3.31, compared to the broader market0.002.004.006.008.0010.003.31
Martin ratio
The chart of Martin ratio for MODCONS3 MODmm, currently valued at 17.06, compared to the broader market0.0010.0020.0030.0040.0017.06
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JQUA
JPMorgan U.S. Quality Factor ETF		2.403.311.433.2414.07
MOAT
VanEck Vectors Morningstar Wide Moat ETF		1.772.481.321.549.15
JEPI
JPMorgan Equity Premium Income ETF		2.002.751.382.3913.45
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.368.255.378.70133.14
IAU
iShares Gold Trust		2.433.381.423.0514.88
SRLN
SPDR Blackstone Senior Loan ETF		4.306.402.126.3744.57
BIL
SPDR Barclays 1-3 Month T-Bill ETF		20.93487.90488.90500.977,952.72
IVV
iShares Core S&P 500 ETF		2.483.321.452.7015.49
COWZ
Pacer US Cash Cows 100 ETF		1.211.811.212.075.13
QQQM
Invesco NASDAQ 100 ETF		1.872.481.332.418.85

Sharpe Ratio

The current MODCONS3 MODmm Sharpe ratio is 2.49. 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 1.91 to 2.59, 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 MODCONS3 MODmm 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.49
2.32
MODCONS3 MODmm
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MODCONS3 MODmm granted a 3.59% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
MODCONS3 MODmm3.59%3.87%3.84%2.31%2.41%1.54%1.52%1.02%0.74%0.88%0.68%0.45%
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		0.89%1.22%1.60%1.32%1.44%1.67%2.10%0.40%0.00%0.00%0.00%0.00%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.77%0.86%1.25%1.08%1.46%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
JEPI
JPMorgan Equity Premium Income ETF		7.09%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.20%4.62%2.79%0.83%1.44%0.13%0.00%0.00%0.00%0.00%0.00%0.00%
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SRLN
SPDR Blackstone Senior Loan ETF		8.97%8.44%5.72%4.45%4.91%5.39%4.98%4.01%3.94%4.43%3.66%1.91%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.22%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
IVV
iShares Core S&P 500 ETF		1.25%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%1.80%
COWZ
Pacer US Cash Cows 100 ETF		1.47%1.92%1.96%1.48%2.54%1.96%1.67%1.95%0.13%0.00%0.00%0.00%
QQQM
Invesco NASDAQ 100 ETF		0.53%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.13%
-0.19%
MODCONS3 MODmm
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MODCONS3 MODmm. 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 MODCONS3 MODmm was 15.24%, occurring on Sep 30, 2022. Recovery took 175 trading sessions.

The current MODCONS3 MODmm drawdown is 0.13%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.24%Dec 30, 2021190Sep 30, 2022175Jun 13, 2023365
-6.01%Aug 1, 202363Oct 27, 202319Nov 24, 202382
-4.49%Oct 14, 202013Oct 30, 20204Nov 5, 202017
-4.41%Jul 17, 202414Aug 5, 202410Aug 19, 202424
-3.5%Sep 7, 202118Sep 30, 202117Oct 25, 202135

Volatility

Volatility Chart

The current MODCONS3 MODmm volatility is 2.44%, 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%AprilMayJuneJulyAugustSeptember
2.44%
4.31%
MODCONS3 MODmm
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.
BILEMNTIAUSRLNCOWZJEPIQQQMMOATIVVJQUA
BIL1.000.290.020.03-0.02-0.020.010.010.010.01
EMNT0.291.000.280.110.030.060.040.090.060.07
IAU0.020.281.000.210.180.140.130.180.150.16
SRLN0.030.110.211.000.570.500.540.610.620.61
COWZ-0.020.030.180.571.000.690.560.790.750.77
JEPI-0.020.060.140.500.691.000.650.780.810.85
QQQM0.010.040.130.540.560.651.000.790.920.88
MOAT0.010.090.180.610.790.780.791.000.900.90
IVV0.010.060.150.620.750.810.920.901.000.97
JQUA0.010.070.160.610.770.850.880.900.971.00
The correlation results are calculated based on daily price changes starting from Oct 14, 2020