Asset Allocation
Find the right asset allocation for PortfoliosLab REIT - Mortgage Stock List
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in PortfoliosLab REIT - Mortgage Stock List, 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.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -0.17% | 8.39% | 8.57% | 24.06% | 18.94% | 12.24% | 13.54% |
Portfolio PortfoliosLab REIT - Mortgage Stock List | 0.83% | 3.25% | 0.34% | -1.20% | 5.45% | 4.52% | — | — |
| Portfolio components: | ||||||||
ABR Arbor Realty Trust, Inc. | 1.96% | -7.37% | -28.48% | -30.37% | -42.45% | -18.47% | -12.08% | 7.94% |
ACR ACRES Commercial Realty Corp. | 0.67% | -16.70% | -22.16% | -28.47% | -6.89% | 26.07% | -0.49% | -6.13% |
ACRE Ares Commercial Real Estate Corporation | 0.22% | -3.75% | -0.26% | -7.58% | 8.41% | -11.85% | -9.67% | 1.22% |
ADAM Adamas Trust, Inc | 1.11% | 37.10% | 72.44% | 73.87% | 105.72% | 19.86% | 4.23% | 4.54% |
AGNC AGNC Investment Corp. | 0.78% | 2.43% | 2.35% | 4.08% | 28.97% | 16.54% | 4.24% | 6.33% |
AOMR Angel Oak Mortgage, Inc. | -0.12% | 4.55% | 5.77% | 4.55% | 7.62% | 17.24% | -2.80% | — |
ARI Apollo Commercial Real Estate Finance, Inc. | 1.03% | -1.37% | 14.60% | 13.46% | 22.16% | 10.54% | 4.00% | 7.52% |
ARR ARMOUR Residential REIT, Inc. | 0.48% | 3.21% | 2.82% | 4.53% | 20.14% | 2.67% | -7.09% | -3.83% |
BXMT Blackstone Mortgage Trust, Inc. | 1.46% | 0.72% | -3.07% | -5.60% | 3.30% | 7.73% | -0.89% | 5.02% |
CHMI Cherry Hill Mortgage Investment Corporation | -1.27% | -3.32% | -4.91% | -4.25% | -5.51% | -7.48% | -12.58% | -5.20% |
Monthly Returns
Based on dividend-adjusted daily data since Dec 8, 2021, PortfoliosLab REIT - Mortgage Stock List's average daily return is 0.00%, while the average monthly return is +0.08%. At this rate, an investment would double in approximately 72.2 years.
Historically, 47% of months were positive and 53% were negative. The best month was Jan 2023 with a return of +18.5%, while the worst month was Sep 2022 at -21.7%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 4 months.
On a daily basis, PortfoliosLab REIT - Mortgage Stock List closed higher 51% of trading days. The best single day was Oct 4, 2022 with a return of +7.8%, while the worst single day was Jun 13, 2022 at -9.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.14% | -2.42% | -3.32% | 6.31% | -2.76% | 1.73% | 0.34% | ||||||
| 2025 | 2.59% | 4.48% | -3.20% | -6.96% | 0.00% | 3.88% | -0.59% | 6.70% | -3.10% | -3.08% | 4.02% | -0.42% | 3.48% |
| 2024 | -4.26% | -1.49% | 5.72% | -6.41% | 3.05% | 1.17% | 7.20% | 0.30% | 1.53% | -5.57% | 3.03% | -4.23% | -1.05% |
| 2023 | 18.52% | -6.90% | -8.35% | -0.11% | -2.82% | 12.32% | 4.65% | -2.03% | -4.67% | -9.82% | 13.10% | 8.61% | 19.38% |
| 2022 | -0.31% | -5.49% | 3.81% | -7.46% | 2.87% | -10.90% | 13.40% | -7.50% | -21.67% | 15.60% | 4.97% | -8.24% | -24.08% |
| 2021 | -2.23% | -2.23% |
Benchmark Metrics
PortfoliosLab REIT - Mortgage Stock List has an annualized alpha of -8.89%, beta of 0.84, and R2 of 0.41 versus S&P 500 Index. Calculated based on daily prices since December 08, 2021.
- This portfolio participated in 130.09% of S&P 500 Index downside but only 81.06% of its upside - more exposed to losses than it benefited from rallies.
- R2 of 0.41 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -8.89%
- Beta
- 0.84
- R²
- 0.41
- Upside Capture
- 81.06%
- Downside Capture
- 130.09%
Expense Ratio
PortfoliosLab REIT - Mortgage Stock List has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
PortfoliosLab REIT - Mortgage Stock List ranks 6 for risk / return — in the bottom 6% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for PortfoliosLab REIT - Mortgage Stock List and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.31 | 1.94 | -1.63 |
| Sortino ratioReturn per unit of downside risk | 0.56 | 2.65 | -2.08 |
| Omega ratioGain probability vs. loss probability | 1.06 | 1.35 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 0.39 | 2.66 | -2.27 |
| Martin ratioReturn relative to average drawdown | 0.87 | 11.86 | -10.99 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
ABR Arbor Realty Trust, Inc. | 7 | -1.03 | -1.42 | 0.82 | -0.78 | -1.46 |
ACR ACRES Commercial Realty Corp. | 32 | -0.23 | -0.12 | 0.98 | -0.21 | -0.51 |
ACRE Ares Commercial Real Estate Corporation | 50 | 0.22 | 0.63 | 1.07 | 0.48 | 0.97 |
ADAM Adamas Trust, Inc | 94 | 2.32 | 4.13 | 1.53 | 6.23 | 19.77 |
AGNC AGNC Investment Corp. | 76 | 1.49 | 2.08 | 1.26 | 1.56 | 4.44 |
AOMR Angel Oak Mortgage, Inc. | 50 | 0.32 | 0.58 | 1.07 | 0.49 | 0.99 |
ARI Apollo Commercial Real Estate Finance, Inc. | 74 | 1.17 | 1.79 | 1.21 | 2.22 | 4.97 |
ARR ARMOUR Residential REIT, Inc. | 65 | 0.85 | 1.22 | 1.16 | 1.20 | 3.33 |
BXMT Blackstone Mortgage Trust, Inc. | 45 | 0.15 | 0.37 | 1.04 | 0.28 | 0.60 |
CHMI Cherry Hill Mortgage Investment Corporation | 33 | -0.18 | -0.03 | 1.00 | -0.22 | -0.53 |
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Dividends
Dividend yield
PortfoliosLab REIT - Mortgage Stock List provided a 15.83% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 15.83% | 12.75% | 12.93% | 13.01% | 14.86% | 8.39% | 8.70% | 8.29% | 9.29% | 8.05% | 8.89% | 10.45% |
| Portfolio components: | ||||||||||||
ABR Arbor Realty Trust, Inc. | 20.58% | 17.14% | 12.42% | 11.07% | 11.68% | 7.53% | 8.67% | 7.94% | 11.22% | 8.33% | 8.31% | 8.11% |
ACR ACRES Commercial Realty Corp. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 8.04% | 4.74% | 2.13% | 15.73% | 18.34% |
ACRE Ares Commercial Real Estate Corporation | 12.99% | 12.55% | 16.98% | 13.13% | 13.61% | 9.63% | 11.08% | 8.33% | 8.90% | 8.37% | 7.57% | 8.74% |
ADAM Adamas Trust, Inc | 35.33% | 11.78% | 13.20% | 14.07% | 15.62% | 10.75% | 6.10% | 12.84% | 13.58% | 12.97% | 14.55% | 19.14% |
AGNC AGNC Investment Corp. | 13.87% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
AOMR Angel Oak Mortgage, Inc. | 15.15% | 14.87% | 13.79% | 12.08% | 35.31% | 2.93% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ARI Apollo Commercial Real Estate Finance, Inc. | 9.23% | 10.33% | 13.86% | 11.93% | 13.01% | 10.64% | 12.98% | 10.06% | 11.04% | 9.97% | 11.07% | 10.33% |
ARR ARMOUR Residential REIT, Inc. | 17.18% | 16.28% | 15.27% | 25.88% | 21.31% | 12.23% | 11.12% | 12.09% | 11.12% | 8.86% | 13.92% | 17.88% |
BXMT Blackstone Mortgage Trust, Inc. | 10.39% | 9.83% | 12.52% | 11.66% | 11.71% | 8.10% | 9.01% | 6.66% | 7.78% | 7.71% | 8.25% | 8.52% |
CHMI Cherry Hill Mortgage Investment Corporation | 19.31% | 19.61% | 22.73% | 17.82% | 18.62% | 13.06% | 13.24% | 12.20% | 12.03% | 10.89% | 11.60% | 15.23% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the PortfoliosLab REIT - Mortgage Stock List. 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 PortfoliosLab REIT - Mortgage Stock List was 35.63%, occurring on Oct 10, 2022. The portfolio has not yet recovered.
The current PortfoliosLab REIT - Mortgage Stock List drawdown is 9.88%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -35.63%Oct 2022 | 9mo 1d | — | 4y 5moJan 2022 - now |
2021 pullback2021 | -7.23%Dec 2021 | 11d | 22d | 1mo 3dDec 2021 - Jan 2022 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 36 assets, with an effective number of assets of 36.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | All Time | |
|---|---|---|---|
Diversification Ratio | 1.74 | 1.54 | 1.47 |
The portfolio has a diversification ratio of 1.47, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
PortfoliosLab REIT - Mortgage Stock List correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.47 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (All Time) Calculated using the full available price history since Dec 8, 2021 | 0.61 |
Benchmark Correlations
Correlation vs. S&P 500 Index. RITM has the highest benchmark correlation at 0.61, while LOAN has the lowest at 0.13.
Asset Correlations Table
Find what PortfoliosLab REIT - Mortgage Stock List is missing
See which holdings overlap, where PortfoliosLab REIT - Mortgage Stock List is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification