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Duh2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JEPI 30%USA 25%ARCC 20%VOO 15%VYM 10%EquityEquity
PositionCategory/SectorTarget Weight
ARCC
Ares Capital Corporation
Financial Services
20%
JEPI
JPMorgan Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income
30%
USA
Liberty All-Star Equity Fund
Financial Services
25%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
15%
VYM
Vanguard High Dividend Yield ETF
Dividend, Large Cap Value Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Duh2, 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.


-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember
7.33%
6.23%
Duh2
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


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.00%-2.50%6.76%23.31%12.57%11.09%
Duh20.00%-2.73%7.33%18.92%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF
0.00%-4.59%5.77%11.53%N/AN/A
USA
Liberty All-Star Equity Fund
0.00%-4.12%6.57%22.66%11.47%12.43%
VYM
Vanguard High Dividend Yield ETF
0.00%-4.27%8.65%16.57%9.73%9.77%
ARCC
Ares Capital Corporation
0.00%1.25%9.29%19.78%13.70%13.70%
VOO
Vanguard S&P 500 ETF
0.00%-2.21%7.42%26.29%14.64%13.16%
*Annualized

Monthly Returns

The table below presents the monthly returns of Duh2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.44%2.36%4.31%-3.01%2.91%0.64%1.98%2.15%1.78%-0.41%5.32%18.69%
20235.68%-1.59%0.44%1.20%-0.87%5.05%3.82%-2.35%-2.65%-1.88%6.36%3.43%17.29%
2022-2.44%-2.71%4.20%-6.42%-0.99%-6.58%7.59%-3.11%-9.80%10.38%4.75%-4.98%-11.56%
20210.17%4.29%5.11%5.14%1.68%3.47%0.17%1.26%-0.99%3.62%-1.98%4.77%29.82%
20203.07%0.73%3.87%4.15%-2.26%-2.06%12.87%3.96%26.15%

Expense Ratio

Duh2 has an expense ratio of 0.12%, 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 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%
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VOO: 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 rank of Duh2 is 73, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Duh2 is 7373
Overall Rank
The Sharpe Ratio Rank of Duh2 is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of Duh2 is 7171
Sortino Ratio Rank
The Omega Ratio Rank of Duh2 is 7373
Omega Ratio Rank
The Calmar Ratio Rank of Duh2 is 7373
Calmar Ratio Rank
The Martin Ratio Rank of Duh2 is 7878
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Duh2, currently valued at 2.00, compared to the broader market-1.000.001.002.003.004.002.001.84
The chart of Sortino ratio for Duh2, currently valued at 2.70, compared to the broader market-2.000.002.004.002.702.48
The chart of Omega ratio for Duh2, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.371.34
The chart of Calmar ratio for Duh2, currently valued at 3.20, compared to the broader market0.002.004.006.008.0010.003.202.75
The chart of Martin ratio for Duh2, currently valued at 13.35, compared to the broader market0.0010.0020.0030.0040.0013.3511.85
Duh2
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF
1.552.111.302.469.38
USA
Liberty All-Star Equity Fund
1.542.141.271.509.34
VYM
Vanguard High Dividend Yield ETF
1.602.281.292.909.08
ARCC
Ares Capital Corporation
1.702.381.312.8411.75
VOO
Vanguard S&P 500 ETF
2.032.711.383.0213.33

The current Duh2 Sharpe ratio is 1.99. 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 1.20 to 2.01, 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 Duh2 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 Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember
2.00
1.84
Duh2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Duh2 provided a 6.75% dividend yield over the last twelve months.


TTM2023202220212020201920182017201620152014
Portfolio6.75%7.36%9.11%6.38%6.50%4.86%5.83%4.73%4.79%5.26%4.22%
JEPI
JPMorgan Equity Premium Income ETF
6.64%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%
USA
Liberty All-Star Equity Fund
10.16%9.56%12.11%9.67%9.26%9.88%12.81%9.01%9.43%9.66%6.61%
VYM
Vanguard High Dividend Yield ETF
2.75%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%
ARCC
Ares Capital Corporation
8.77%9.59%10.12%7.65%9.47%9.01%9.88%9.67%9.22%11.02%10.06%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

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%AugustSeptemberOctoberNovemberDecember
-2.88%
-3.43%
Duh2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Duh2. 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 Duh2 was 20.11%, occurring on Sep 30, 2022. Recovery took 199 trading sessions.

The current Duh2 drawdown is 2.64%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.11%Apr 21, 2022113Sep 30, 2022199Jul 19, 2023312
-9.32%Jan 13, 202237Mar 8, 202230Apr 20, 202267
-8.85%Jul 20, 202371Oct 27, 202331Dec 12, 2023102
-7.39%Jun 9, 202014Jun 26, 202026Aug 4, 202040
-6.45%Sep 3, 202015Sep 24, 202030Nov 5, 202045

Volatility

Volatility Chart

The current Duh2 volatility is 3.25%, 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%AugustSeptemberOctoberNovemberDecember
3.25%
4.15%
Duh2
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.

ARCCUSAJEPIVYMVOO
ARCC1.000.460.480.580.53
USA0.461.000.650.660.77
JEPI0.480.651.000.820.81
VYM0.580.660.821.000.80
VOO0.530.770.810.801.00
The correlation results are calculated based on daily price changes starting from May 22, 2020
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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