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TEST
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Risk-Adjusted Performance
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TEST

Last updated Sep 20, 2024

Asset Allocation

JGRO 33.33%SCHG 33.33%SPMO 33.33%EquityEquity
PositionCategory/SectorWeight
JGRO
JPMorgan Active Growth ETF		Large Cap Growth Equities, Actively Managed
33.33%
SCHG
Schwab U.S. Large-Cap Growth ETF		Large Cap Growth Equities
33.33%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
33.33%

Performance

Performance Chart

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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
10.53%
9.01%
TEST
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 9, 2022, corresponding to the inception date of JGRO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.79%2.08%9.01%29.79%13.85%11.12%
TEST29.66%1.49%10.54%45.19%N/AN/A
Portfolio components:
JGRO
JPMorgan Active Growth ETF		25.39%1.81%8.10%39.56%N/AN/A
SCHG
Schwab U.S. Large-Cap Growth ETF		25.06%1.30%11.27%40.18%20.22%16.38%
SPMO
Invesco S&P 500® Momentum ETF		38.65%1.35%12.27%56.00%19.02%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.96%9.01%2.79%-4.74%6.37%6.92%-1.75%2.70%29.66%
20235.59%-2.39%5.00%1.45%2.18%6.66%2.90%0.12%-4.00%-2.00%10.80%5.13%35.06%
2022-3.98%-8.57%7.95%3.76%-5.98%-7.55%

Expense Ratio

TEST has an expense ratio of 0.20%, 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.

JGRO
JPMorgan Active Growth ETF
Expense ratio chart for JGRO: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
SPMO
Invesco S&P 500® Momentum ETF
Expense ratio chart for SPMO: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
SCHG
Schwab U.S. Large-Cap Growth ETF
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 TEST is 73, 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 TEST is 7373
TEST
The Sharpe Ratio Rank of TEST is 7676Sharpe Ratio Rank
The Sortino Ratio Rank of TEST is 6868Sortino Ratio Rank
The Omega Ratio Rank of TEST is 7373Omega Ratio Rank
The Calmar Ratio Rank of TEST is 8585Calmar Ratio Rank
The Martin Ratio Rank of TEST is 6161Martin 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.

TEST
Sharpe ratio
The chart of Sharpe ratio for TEST, currently valued at 2.44, compared to the broader market-1.000.001.002.003.004.002.44
Sortino ratio
The chart of Sortino ratio for TEST, currently valued at 3.18, compared to the broader market-2.000.002.004.006.003.18
Omega ratio
The chart of Omega ratio for TEST, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.801.43
Calmar ratio
The chart of Calmar ratio for TEST, currently valued at 3.36, compared to the broader market0.002.004.006.008.003.36
Martin ratio
The chart of Martin ratio for TEST, currently valued at 12.90, compared to the broader market0.0010.0020.0030.0040.0012.90
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0040.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JGRO
JPMorgan Active Growth ETF		2.062.711.362.8510.50
SCHG
Schwab U.S. Large-Cap Growth ETF		2.182.841.383.0811.68
SPMO
Invesco S&P 500® Momentum ETF		3.013.891.524.1416.55

Sharpe Ratio

The current TEST Sharpe ratio is 2.44. 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 1.88 to 2.55, 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 TEST 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 Ratio1.502.002.503.003.50AprilMayJuneJulyAugustSeptember
2.44
2.23
TEST
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

TEST granted a 0.28% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
TEST0.28%0.75%0.79%0.32%0.60%0.74%0.78%0.59%1.07%0.53%0.36%0.36%
Portfolio components:
JGRO
JPMorgan Active Growth ETF		0.14%0.17%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHG
Schwab U.S. Large-Cap Growth ETF		0.32%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.27%1.22%1.09%1.07%
SPMO
Invesco S&P 500® Momentum ETF		0.40%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.74%
0
TEST
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the TEST. 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 TEST was 16.11%, occurring on Sep 30, 2022. Recovery took 167 trading sessions.

The current TEST drawdown is 1.74%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.11%Aug 17, 202232Sep 30, 2022167Jun 1, 2023199
-12.91%Jul 11, 202418Aug 5, 2024———
-8.27%Sep 15, 202330Oct 26, 202311Nov 10, 202341
-7.24%Mar 25, 202419Apr 19, 202418May 15, 202437
-3.61%Aug 1, 202313Aug 17, 20239Aug 30, 202322

Volatility

Volatility Chart

The current TEST volatility is 6.17%, 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%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
6.17%
4.31%
TEST
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.
SPMOSCHGJGRO
SPMO1.000.730.76
SCHG0.731.000.98
JGRO0.760.981.00
The correlation results are calculated based on daily price changes starting from Aug 10, 2022