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option_1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


QQQ 40%SCHG 30%XLV 30%EquityEquity
PositionCategory/SectorWeight
QQQ
Invesco QQQ
Large Cap Blend Equities
40%
SCHG
Schwab U.S. Large-Cap Growth ETF
Large Cap Growth Equities
30%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities
30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in option_1, 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%15.00%MayJuneJulyAugustSeptemberOctober
15.46%
15.83%
option_1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG

Returns By Period

As of Oct 30, 2024, the option_1 returned 20.93% Year-To-Date and 15.50% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
option_120.93%0.79%15.85%38.64%18.29%15.50%
QQQ
Invesco QQQ
22.66%2.48%19.01%43.53%21.13%18.30%
SCHG
Schwab U.S. Large-Cap Growth ETF
29.73%2.98%21.15%50.51%20.41%16.54%
XLV
Health Care Select Sector SPDR Fund
10.04%-3.65%6.37%21.04%11.30%10.02%

Monthly Returns

The table below presents the monthly returns of option_1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.39%5.13%1.82%-4.44%5.01%5.25%-0.16%2.52%1.26%20.93%
20236.69%-1.81%7.11%1.56%3.74%5.87%2.93%-1.09%-4.51%-2.26%9.33%4.87%36.33%
2022-8.24%-3.28%5.00%-10.87%-0.98%-6.59%9.85%-5.32%-8.12%5.82%4.84%-6.56%-23.89%
20210.31%-0.57%2.35%5.84%-0.43%5.10%3.62%3.54%-5.54%7.36%0.01%3.46%27.26%
20201.25%-6.36%-7.30%14.17%5.76%3.04%6.89%8.13%-4.14%-3.16%9.89%4.44%34.65%
20197.74%2.51%2.53%2.74%-5.89%7.13%1.01%-1.23%0.43%4.25%4.49%3.42%32.41%
20187.62%-2.70%-3.25%0.70%3.51%1.33%3.87%5.12%0.96%-8.01%2.65%-8.86%1.51%
20173.80%4.90%0.86%2.23%2.50%0.44%2.67%1.67%0.48%2.52%2.57%0.40%27.99%
2016-7.19%-0.70%5.61%-0.52%3.00%-0.96%5.82%-0.46%0.95%-3.33%1.61%0.93%4.13%
2015-0.84%6.12%-1.00%0.39%2.74%-1.55%3.59%-6.92%-3.63%9.35%0.23%-0.84%6.84%
2014-1.22%5.48%-1.66%-0.30%3.67%2.57%0.23%4.74%-0.65%3.49%3.79%-1.45%19.93%
20134.81%0.67%4.23%2.39%2.82%-1.73%6.39%-1.75%4.15%4.68%3.72%2.14%37.35%

Expense Ratio

option_1 has an expense ratio of 0.13%, 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for XLV: 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%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of option_1 is 56, 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 option_1 is 5656
Combined Rank
The Sharpe Ratio Rank of option_1 is 5555Sharpe Ratio Rank
The Sortino Ratio Rank of option_1 is 5353Sortino Ratio Rank
The Omega Ratio Rank of option_1 is 5656Omega Ratio Rank
The Calmar Ratio Rank of option_1 is 6666Calmar Ratio Rank
The Martin Ratio Rank of option_1 is 5252Martin 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.


option_1
Sharpe ratio
The chart of Sharpe ratio for option_1, currently valued at 3.07, compared to the broader market0.002.004.006.003.07
Sortino ratio
The chart of Sortino ratio for option_1, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for option_1, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.802.001.56
Calmar ratio
The chart of Calmar ratio for option_1, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.74
Martin ratio
The chart of Martin ratio for option_1, currently valued at 18.64, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
2.673.421.473.3812.40
SCHG
Schwab U.S. Large-Cap Growth ETF
3.204.021.573.8817.26
XLV
Health Care Select Sector SPDR Fund
2.112.891.392.0110.51

Sharpe Ratio

The current option_1 Sharpe ratio is 3.07. 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 2.49 to 3.44, 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 option_1 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.07
3.43
option_1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

option_1 provided a 0.83% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
option_10.83%0.86%0.93%0.70%0.82%1.19%1.22%1.08%1.21%1.19%1.29%1.18%
QQQ
Invesco QQQ
0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%
XLV
Health Care Select Sector SPDR Fund
1.53%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.81%
-0.54%
option_1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the option_1. 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 option_1 was 29.29%, occurring on Mar 23, 2020. Recovery took 52 trading sessions.

The current option_1 drawdown is 0.81%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.29%Feb 20, 202023Mar 23, 202052Jun 5, 202075
-28.04%Dec 28, 2021200Oct 12, 2022294Dec 13, 2023494
-20.11%Oct 2, 201858Dec 24, 201884Apr 26, 2019142
-16.15%Jul 21, 2015143Feb 11, 2016115Jul 27, 2016258
-16.06%Jul 8, 201122Aug 8, 2011117Jan 25, 2012139

Volatility

Volatility Chart

The current option_1 volatility is 3.18%, 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%7.00%MayJuneJulyAugustSeptemberOctober
3.18%
2.71%
option_1
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.

XLVQQQSCHG
XLV1.000.660.71
QQQ0.661.000.96
SCHG0.710.961.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2009