High Quality Diversified
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in High Quality Diversified, 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
The earliest data available for this chart is Feb 18, 2021, corresponding to the inception date of QCON
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.82% | 3.20% | 14.94% | 35.92% | 14.22% | 11.43% |
| High Quality Diversified | 19.06% | 1.99% | 11.47% | 30.09% | N/A | N/A |
| Portfolio components: | ||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | 26.15% | 1.55% | 13.72% | 35.19% | 15.49% | 13.40% |
SPHQ Invesco S&P 500® Quality ETF | 27.88% | 1.48% | 14.47% | 36.21% | 16.37% | 13.64% |
QINT American Century Quality Diversified International ETF | 9.92% | -2.53% | 1.80% | 20.66% | 7.39% | N/A |
QCON American Century Quality Convertible Securities ETF | 14.66% | 3.74% | 11.87% | 23.83% | N/A | N/A |
XSHQ Invesco S&P SmallCap Quality ETF | 17.77% | 6.89% | 16.69% | 35.69% | 11.94% | N/A |
PSET Principal Quality ETF | 19.94% | 1.66% | 11.05% | 31.34% | 14.75% | N/A |
QDIV Global X S&P 500 Quality Dividend ETF | 16.32% | 1.08% | 10.15% | 26.75% | 10.28% | N/A |
Monthly Returns
The table below presents the monthly returns of High Quality Diversified, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.61% | 4.12% | 3.14% | -4.05% | 3.71% | 0.72% | 3.41% | 2.08% | 1.59% | -1.88% | 19.06% | ||
| 2023 | 5.91% | -1.90% | 1.84% | 0.01% | -1.30% | 6.60% | 3.56% | -1.49% | -4.03% | -3.19% | 7.50% | 5.49% | 19.67% |
| 2022 | -5.25% | -2.02% | 1.39% | -6.80% | 1.26% | -8.73% | 7.78% | -4.31% | -8.49% | 8.95% | 6.69% | -4.57% | -15.11% |
| 2021 | -2.23% | 3.59% | 3.02% | 1.23% | 1.64% | 1.35% | 2.14% | -3.79% | 5.03% | -1.49% | 4.46% | 15.55% |
Expense Ratio
High Quality Diversified has an expense ratio of 0.24%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of High Quality Diversified is 61, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
QUAL iShares Edge MSCI USA Quality Factor ETF | 2.95 | 4.06 | 1.55 | 4.90 | 18.75 |
SPHQ Invesco S&P 500® Quality ETF | 3.20 | 4.41 | 1.59 | 6.25 | 24.30 |
QINT American Century Quality Diversified International ETF | 1.70 | 2.35 | 1.30 | 1.43 | 10.27 |
QCON American Century Quality Convertible Securities ETF | 3.37 | 4.83 | 1.65 | 1.32 | 23.17 |
XSHQ Invesco S&P SmallCap Quality ETF | 1.83 | 2.72 | 1.32 | 3.16 | 10.55 |
PSET Principal Quality ETF | 2.20 | 2.99 | 1.39 | 3.32 | 12.31 |
QDIV Global X S&P 500 Quality Dividend ETF | 2.68 | 3.87 | 1.47 | 2.83 | 13.03 |
Dividends
Dividend yield
High Quality Diversified provided a 1.80% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.80% | 1.90% | 2.37% | 1.53% | 1.42% | 1.47% | 1.19% | 0.73% | 0.70% | 0.56% | 0.43% | 0.37% |
| Portfolio components: | ||||||||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.98% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
SPHQ Invesco S&P 500® Quality ETF | 1.13% | 1.43% | 1.85% | 1.19% | 1.56% | 1.50% | 1.86% | 1.57% | 1.68% | 2.29% | 1.66% | 1.99% |
QINT American Century Quality Diversified International ETF | 3.28% | 3.12% | 3.56% | 2.30% | 1.61% | 1.83% | 0.42% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QCON American Century Quality Convertible Securities ETF | 2.66% | 2.24% | 3.08% | 1.47% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XSHQ Invesco S&P SmallCap Quality ETF | 1.03% | 1.15% | 2.02% | 1.25% | 1.24% | 1.11% | 1.16% | 0.79% | 0.00% | 0.00% | 0.00% | 0.00% |
PSET Principal Quality ETF | 0.68% | 0.85% | 1.47% | 0.89% | 1.09% | 1.36% | 1.33% | 1.02% | 1.26% | 0.00% | 0.00% | 0.00% |
QDIV Global X S&P 500 Quality Dividend ETF | 2.82% | 3.26% | 3.02% | 2.44% | 3.06% | 2.85% | 1.55% | 0.00% | 0.00% | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the High Quality Diversified. 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 High Quality Diversified was 23.85%, occurring on Sep 30, 2022. Recovery took 303 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.85% | Jan 5, 2022 | 186 | Sep 30, 2022 | 303 | Dec 14, 2023 | 489 |
| -6.29% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
| -5.45% | Nov 17, 2021 | 10 | Dec 1, 2021 | 23 | Jan 4, 2022 | 33 |
| -5.12% | Apr 1, 2024 | 15 | Apr 19, 2024 | 18 | May 15, 2024 | 33 |
| -4.52% | Sep 7, 2021 | 20 | Oct 4, 2021 | 12 | Oct 20, 2021 | 32 |
Volatility
Volatility Chart
The current High Quality Diversified volatility is 3.32%, 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.
Diversification
Asset Correlations Table
| QDIV | QINT | XSHQ | QCON | PSET | QUAL | SPHQ | |
|---|---|---|---|---|---|---|---|
| QDIV | 1.00 | 0.69 | 0.80 | 0.64 | 0.65 | 0.70 | 0.75 |
| QINT | 0.69 | 1.00 | 0.69 | 0.72 | 0.71 | 0.75 | 0.76 |
| XSHQ | 0.80 | 0.69 | 1.00 | 0.73 | 0.66 | 0.71 | 0.73 |
| QCON | 0.64 | 0.72 | 0.73 | 1.00 | 0.74 | 0.82 | 0.80 |
| PSET | 0.65 | 0.71 | 0.66 | 0.74 | 1.00 | 0.91 | 0.88 |
| QUAL | 0.70 | 0.75 | 0.71 | 0.82 | 0.91 | 1.00 | 0.95 |
| SPHQ | 0.75 | 0.76 | 0.73 | 0.80 | 0.88 | 0.95 | 1.00 |