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

MODCONS3 MOD

Last updated Nov 13, 2024

Asset Allocation

SRLN 15%EMNT 10%IAU 5%JQUA 30%MOAT 20%JEPI 20%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		Total Bond Market, Actively Managed
10%
IAU
iShares Gold Trust		Precious Metals, Gold
5%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
20%
JQUA
JPMorgan U.S. Quality Factor ETF		Large Cap Growth Equities
30%
MOAT
VanEck Vectors Morningstar Wide Moat ETF		Large Cap Blend Equities
20%
SRLN
SPDR Blackstone Senior Loan ETF		High Yield Bonds
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MODCONS3 MOD, 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
8.55%
12.73%
MODCONS3 MOD
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		25.45%2.91%14.05%35.64%14.13%11.39%
MODCONS3 MOD16.10%0.83%8.55%22.66%N/AN/A
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		23.73%1.80%12.41%31.83%15.97%N/A
MOAT
VanEck Vectors Morningstar Wide Moat ETF		14.76%0.10%8.56%28.71%14.21%13.37%
JEPI
JPMorgan Equity Premium Income ETF		15.79%1.08%8.72%19.22%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.08%0.35%2.74%6.01%N/AN/A
IAU
iShares Gold Trust		25.75%-2.04%8.75%32.01%11.92%7.91%
SRLN
SPDR Blackstone Senior Loan ETF		7.45%0.74%4.20%9.73%4.57%3.88%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.78%3.05%2.54%-2.88%1.88%1.01%2.44%2.81%1.64%-0.69%16.10%
20235.02%-1.98%2.99%1.30%-0.41%4.21%2.43%-0.82%-3.12%-1.52%5.78%3.91%18.74%
2022-3.17%-1.26%2.25%-4.55%-0.44%-4.81%5.38%-2.83%-6.52%5.64%5.51%-2.80%-8.28%
2021-1.09%1.91%3.88%3.01%1.45%1.22%1.87%1.45%-3.29%3.60%-1.22%4.11%17.97%
20202.74%0.52%3.89%3.68%-2.08%-1.78%7.69%2.80%18.45%

Expense Ratio

MODCONS3 MOD features an expense ratio of 0.35%, 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%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of MODCONS3 MOD is 92, placing it in the top 8% 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 MOD is 9292
Combined Rank
The Sharpe Ratio Rank of MODCONS3 MOD is 9090Sharpe Ratio Rank
The Sortino Ratio Rank of MODCONS3 MOD is 9191Sortino Ratio Rank
The Omega Ratio Rank of MODCONS3 MOD is 9292Omega Ratio Rank
The Calmar Ratio Rank of MODCONS3 MOD is 9595Calmar Ratio Rank
The Martin Ratio Rank of MODCONS3 MOD is 9191Martin 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 MOD
Sharpe ratio
The chart of Sharpe ratio for MODCONS3 MOD, currently valued at 3.35, compared to the broader market0.002.004.006.003.35
Sortino ratio
The chart of Sortino ratio for MODCONS3 MOD, currently valued at 4.70, compared to the broader market-2.000.002.004.006.004.70
Omega ratio
The chart of Omega ratio for MODCONS3 MOD, currently valued at 1.65, compared to the broader market0.801.001.201.401.601.802.001.65
Calmar ratio
The chart of Calmar ratio for MODCONS3 MOD, currently valued at 7.13, compared to the broader market0.005.0010.0015.007.13
Martin ratio
The chart of Martin ratio for MODCONS3 MOD, currently valued at 24.08, compared to the broader market0.0010.0020.0030.0040.0050.0060.0024.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JQUA
JPMorgan U.S. Quality Factor ETF		3.024.181.555.4118.45
MOAT
VanEck Vectors Morningstar Wide Moat ETF		2.663.671.482.9214.19
JEPI
JPMorgan Equity Premium Income ETF		2.874.001.585.2020.34
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund		5.087.864.598.35125.78
IAU
iShares Gold Trust		2.313.051.405.0114.95
SRLN
SPDR Blackstone Senior Loan ETF		5.248.012.517.3060.37

Sharpe Ratio

The current MODCONS3 MOD Sharpe ratio is 3.35. 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 2.07 to 2.97, 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 MOD 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
3.35
2.90
MODCONS3 MOD
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MODCONS3 MOD provided a 3.75% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.75%3.94%4.20%2.68%2.76%1.58%1.74%0.93%0.83%1.09%0.82%0.44%
Portfolio components:
JQUA
JPMorgan U.S. Quality Factor ETF		1.15%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		0.75%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		7.07%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%

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
-0.35%
-0.29%
MODCONS3 MOD
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MODCONS3 MOD. 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 MOD was 15.57%, occurring on Oct 14, 2022. Recovery took 164 trading sessions.

The current MODCONS3 MOD drawdown is 0.35%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.57%Dec 30, 2021200Oct 14, 2022164Jun 12, 2023364
-6.61%Aug 1, 202363Oct 27, 202323Nov 30, 202386
-5.3%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.03%Oct 13, 202014Oct 30, 20206Nov 9, 202020
-5.02%Jun 9, 202014Jun 26, 202016Jul 21, 202030

Volatility

Volatility Chart

The current MODCONS3 MOD volatility is 1.88%, 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
1.88%
3.86%
MODCONS3 MOD
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.
EMNTIAUSRLNJEPIMOATJQUA
EMNT1.000.260.080.050.070.06
IAU0.261.000.210.130.170.16
SRLN0.080.211.000.500.610.60
JEPI0.050.130.501.000.770.85
MOAT0.070.170.610.771.000.90
JQUA0.060.160.600.850.901.00
The correlation results are calculated based on daily price changes starting from May 22, 2020