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Compare

Last updated Jul 22, 2024

Asset Allocation

QQQ 35.1%SPY 33.38%DIA 31.52%EquityEquity
PositionCategory/SectorWeight
DIA
SPDR Dow Jones Industrial Average ETF		Large Cap Growth Equities

31.52%

QQQ
Invesco QQQ		Large Cap Blend Equities

35.10%

SPY
SPDR S&P 500 ETF		Large Cap Growth Equities

33.38%

S&P 500

Transactions

DateTypeSymbolQuantityPrice
Jun 29, 2023BuyInvesco QQQ819$0.00
Jun 29, 2023BuySPDR Dow Jones Industrial Average ETF876$0.00
Jun 29, 2023BuySPDR S&P 500 ETF682$0.00

1–3 of 3

Performance

Performance Chart

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

10.00%15.00%20.00%25.00%30.00%FebruaryMarchAprilMayJuneJuly
25.22%
26.93%
Compare
Benchmark (^GSPC)
Portfolio components

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		16.48%1.67%14.21%21.98%13.13%10.91%
Compare13.32%1.27%11.09%20.84%N/AN/A
Portfolio components:
QQQ
Invesco QQQ		17.70%0.25%13.82%28.63%20.85%18.40%
DIA
SPDR Dow Jones Industrial Average ETF		8.06%3.15%7.38%16.05%10.42%11.43%
SPY
SPDR S&P 500 ETF		16.23%0.82%13.94%22.56%14.88%12.74%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.54%4.25%2.02%-4.44%4.60%3.55%13.32%
20231.17%3.51%-1.76%-4.67%-1.86%9.63%4.72%10.51%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

QQQ
Invesco QQQ
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%
DIA
SPDR Dow Jones Industrial Average ETF
Expense ratio chart for DIA: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%
SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Compare is 60, 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 Compare is 6060
Compare
The Sharpe Ratio Rank of Compare is 5858Sharpe Ratio Rank
The Sortino Ratio Rank of Compare is 5656Sortino Ratio Rank
The Omega Ratio Rank of Compare is 5858Omega Ratio Rank
The Calmar Ratio Rank of Compare is 6868Calmar Ratio Rank
The Martin Ratio Rank of Compare is 5858Martin 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.

Compare
Sharpe ratio
The chart of Sharpe ratio for Compare, currently valued at 1.86, compared to the broader market-1.000.001.002.003.004.001.86
Sortino ratio
The chart of Sortino ratio for Compare, currently valued at 2.61, compared to the broader market-2.000.002.004.006.002.61
Omega ratio
The chart of Omega ratio for Compare, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for Compare, currently valued at 2.20, compared to the broader market0.002.004.006.008.0010.002.20
Martin ratio
The chart of Martin ratio for Compare, currently valued at 7.32, compared to the broader market0.0010.0020.0030.0040.007.32
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ		1.832.501.312.679.17
DIA
SPDR Dow Jones Industrial Average ETF		1.692.431.301.955.97
SPY
SPDR S&P 500 ETF		2.062.901.362.327.96

Sharpe Ratio

The current Compare Sharpe ratio is 1.71. 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 1.33 to 2.10, 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 Compare 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 Ratio1.802.002.202.40Tue 02Thu 04Sat 06Mon 08Wed 10Fri 12Jul 14Tue 16Thu 18Sat 20Mon 22
1.86
1.99
Compare
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.53%
-1.97%
Compare
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Compare. 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 Compare was 9.71%, occurring on Oct 27, 2023. Recovery took 18 trading sessions.

The current Compare drawdown is 2.95%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.71%Aug 1, 202363Oct 27, 202318Nov 22, 202381
-5.58%Mar 22, 202420Apr 19, 202418May 15, 202438
-2.95%Jul 17, 20243Jul 19, 2024———
-2.27%May 22, 20246May 30, 20245Jun 6, 202411
-2.11%Dec 29, 20234Jan 4, 202410Jan 19, 202414

Volatility

Volatility Chart

The current Compare volatility is 2.97%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.97%
2.94%
Compare
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.
DIAQQQSPY
DIA1.000.590.79
QQQ0.591.000.91
SPY0.790.911.00
The correlation results are calculated based on daily price changes starting from Jun 29, 2023