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MODCONS3 MODM+
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

MODCONS3 MODM+

Last updated Nov 15, 2024

Asset Allocation

BIL 15%SRLN 10%GLDM 5%JQUA 15%JEPI 15%IVV 15%MOAT 10%COWZ 10%CALF 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
15%
CALF
Pacer US Small Cap Cash Cows 100 ETF		Small Cap Blend Equities
5%
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%
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
5%
IAU
iShares Gold Trust		Precious Metals, Gold
0%
IVV
iShares Core S&P 500 ETF		Large Cap Growth Equities
15%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
15%
JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities
15%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend 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 MODM+, 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%JuneJulyAugustSeptemberOctoberNovember
7.79%
12.31%
MODCONS3 MODM+
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
MODCONS3 MODM+15.14%0.94%7.80%21.07%N/AN/A
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		22.78%1.66%11.80%30.79%15.65%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF		13.67%-0.62%7.69%26.06%13.68%13.25%
JEPI
JPMorgan Equity Premium Income ETF		15.42%1.00%8.34%18.87%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.11%0.31%2.73%6.00%N/AN/A
IAU
iShares Gold Trust		24.16%-3.62%7.76%30.69%11.67%7.82%
SRLN
SPDR Blackstone Senior Loan ETF		7.42%0.71%4.20%9.73%4.55%3.86%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.57%0.37%2.53%5.27%2.26%1.55%
IVV
iShares Core S&P 500 ETF		26.09%2.36%13.01%33.86%15.60%13.32%
COWZ
Pacer US Cash Cows 100 ETF		16.23%2.62%7.62%22.30%16.68%N/A
CALF
Pacer US Small Cap Cash Cows 100 ETF		-1.73%0.71%0.77%9.78%14.24%N/A
GLDM
SPDR Gold MiniShares Trust		24.30%-3.62%7.82%30.82%11.71%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.57%3.08%3.06%-2.95%2.24%0.57%2.88%1.75%1.51%-0.75%15.14%
20235.04%-2.07%2.14%0.90%-0.80%4.70%2.97%-0.79%-2.82%-1.51%5.57%3.87%18.06%
2022-2.81%-0.68%2.17%-4.45%0.19%-5.90%5.71%-2.66%-6.57%6.53%5.03%-3.35%-7.64%
20210.00%2.19%4.79%2.95%1.59%0.94%1.53%1.68%-3.05%3.49%-0.96%3.85%20.42%
20202.68%1.21%3.96%3.86%-2.13%-1.62%8.30%3.16%20.70%

Expense Ratio

MODCONS3 MODM+ 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%
CALF
Pacer US Small Cap Cash Cows 100 ETF
Expense ratio chart for CALF: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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%
GLDM
SPDR Gold MiniShares Trust
Expense ratio chart for GLDM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
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 MODM+ is 82, placing it in the top 18% 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 MODM+ is 8282
Combined Rank
The Sharpe Ratio Rank of MODCONS3 MODM+ is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of MODCONS3 MODM+ is 8080Sortino Ratio Rank
The Omega Ratio Rank of MODCONS3 MODM+ is 8181Omega Ratio Rank
The Calmar Ratio Rank of MODCONS3 MODM+ is 8989Calmar Ratio Rank
The Martin Ratio Rank of MODCONS3 MODM+ 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 MODM+
Sharpe ratio
The chart of Sharpe ratio for MODCONS3 MODM+, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for MODCONS3 MODM+, currently valued at 3.90, compared to the broader market-2.000.002.004.006.003.90
Omega ratio
The chart of Omega ratio for MODCONS3 MODM+, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for MODCONS3 MODM+, currently valued at 5.21, compared to the broader market0.005.0010.0015.005.21
Martin ratio
The chart of Martin ratio for MODCONS3 MODM+, currently valued at 19.87, compared to the broader market0.0010.0020.0030.0040.0050.0019.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JQUA
JPMorgan U.S. Quality Factor ETF		2.753.811.504.8816.62
MOAT
VanEck Vectors Morningstar Wide Moat ETF		2.353.211.423.7512.21
JEPI
JPMorgan Equity Premium Income ETF		2.703.761.544.8719.06
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.017.774.508.25124.26
IAU
iShares Gold Trust		2.062.761.363.8112.77
SRLN
SPDR Blackstone Senior Loan ETF		5.127.802.467.1158.35
BIL
SPDR Barclays 1-3 Month T-Bill ETF		20.33273.01158.62482.854,446.78
IVV
iShares Core S&P 500 ETF		2.823.771.534.0618.37
COWZ
Pacer US Cash Cows 100 ETF		1.702.461.293.037.20
CALF
Pacer US Small Cap Cash Cows 100 ETF		0.480.851.100.731.67
GLDM
SPDR Gold MiniShares Trust		2.082.791.363.8512.92

Sharpe Ratio

The current MODCONS3 MODM+ Sharpe ratio is 2.78. 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 1.86 to 2.73, 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 MODCONS3 MODM+ 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.78
2.66
MODCONS3 MODM+
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MODCONS3 MODM+ provided a 3.39% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.39%3.58%3.38%2.20%2.30%1.77%1.81%1.16%0.84%1.00%0.77%0.54%
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		1.16%1.22%1.59%1.32%1.44%1.67%2.10%0.39%0.00%0.00%0.00%0.00%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		0.76%0.86%1.25%1.08%1.45%1.31%1.79%1.07%1.17%2.13%1.34%0.79%
JEPI
JPMorgan Equity Premium Income ETF		7.09%8.40%11.67%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		5.18%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		8.85%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		5.15%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%2.21%1.75%2.01%2.27%1.83%1.80%
COWZ
Pacer US Cash Cows 100 ETF		1.83%1.92%1.96%1.48%2.54%1.96%1.67%1.94%0.13%0.00%0.00%0.00%
CALF
Pacer US Small Cap Cash Cows 100 ETF		1.05%1.18%0.85%2.63%0.82%0.99%1.39%0.70%0.00%0.00%0.00%0.00%
GLDM
SPDR Gold MiniShares 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%

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%JuneJulyAugustSeptemberOctoberNovember
-0.97%
-0.87%
MODCONS3 MODM+
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MODCONS3 MODM+. 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 MODM+ was 14.91%, occurring on Sep 30, 2022. Recovery took 177 trading sessions.

The current MODCONS3 MODM+ drawdown is 0.97%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.91%Jan 5, 2022186Sep 30, 2022177Jun 15, 2023363
-6.16%Aug 1, 202363Oct 27, 202323Nov 30, 202386
-5.9%Jun 9, 202014Jun 26, 202017Jul 22, 202031
-5.63%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.17%Oct 13, 202014Oct 30, 20206Nov 9, 202020

Volatility

Volatility Chart

The current MODCONS3 MODM+ volatility is 2.23%, 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%JuneJulyAugustSeptemberOctoberNovember
2.23%
3.81%
MODCONS3 MODM+
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.
BILEMNTGLDMIAUSRLNCALFJEPICOWZIVVMOATJQUA
BIL1.000.270.030.020.030.01-0.02-0.010.010.010.02
EMNT0.271.000.260.260.080.030.050.020.050.070.06
GLDM0.030.261.001.000.210.120.130.160.150.170.15
IAU0.020.261.001.000.210.120.130.160.150.170.16
SRLN0.030.080.210.211.000.520.500.560.620.610.60
CALF0.010.030.120.120.521.000.580.870.700.770.71
JEPI-0.020.050.130.130.500.581.000.690.810.770.85
COWZ-0.010.020.160.160.560.870.691.000.750.800.77
IVV0.010.050.150.150.620.700.810.751.000.890.97
MOAT0.010.070.170.170.610.770.770.800.891.000.90
JQUA0.020.060.150.160.600.710.850.770.970.901.00
The correlation results are calculated based on daily price changes starting from May 22, 2020