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High Quality Diversified
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


QCON 14.29%QUAL 14.29%SPHQ 14.29%QINT 14.29%XSHQ 14.29%PSET 14.29%QDIV 14.29%BondBondEquityEquity
PositionCategory/SectorWeight
PSET
Principal Quality ETF
Large Cap Growth Equities

14.29%

QCON
American Century Quality Convertible Securities ETF
Corporate Bonds, Actively Managed

14.29%

QDIV
Global X S&P 500 Quality Dividend ETF
Large Cap Blend Equities, Dividend

14.29%

QINT
American Century Quality Diversified International ETF
Foreign Large Cap Equities

14.29%

QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities

14.29%

SPHQ
Invesco S&P 500® Quality ETF
Large Cap Blend Equities

14.29%

XSHQ
Invesco S&P SmallCap Quality ETF
Small Cap Growth Equities

14.29%

S&P 500

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


0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%NovemberDecember2024FebruaryMarchApril
20.28%
26.91%
High Quality Diversified
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 18, 2021, corresponding to the inception date of QCON

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
High Quality Diversified2.47%-4.51%14.96%15.73%N/AN/A
QUAL
iShares Edge MSCI USA Quality Factor ETF
5.28%-6.09%18.27%25.38%12.88%12.41%
SPHQ
Invesco S&P 500® Quality ETF
6.38%-5.10%16.13%21.93%13.58%12.62%
QINT
American Century Quality Diversified International ETF
2.52%-3.66%16.63%10.21%6.63%N/A
QCON
American Century Quality Convertible Securities ETF
-0.84%-3.08%7.94%5.35%N/AN/A
XSHQ
Invesco S&P SmallCap Quality ETF
-1.99%-3.32%14.98%19.21%8.84%N/A
PSET
Principal Quality ETF
2.66%-7.43%18.03%21.04%14.25%N/A
QDIV
Global X S&P 500 Quality Dividend ETF
3.04%-2.72%12.43%7.46%8.29%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.60%4.12%3.14%
2023-4.03%-3.19%7.50%5.49%

Expense Ratio

The High Quality Diversified has a high expense ratio of 0.24%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.39%
0.50%1.00%1.50%2.00%0.29%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

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.


High Quality Diversified
Sharpe ratio
The chart of Sharpe ratio for High Quality Diversified, currently valued at 1.42, compared to the broader market-1.000.001.002.003.004.001.42
Sortino ratio
The chart of Sortino ratio for High Quality Diversified, currently valued at 2.11, compared to the broader market-2.000.002.004.006.002.11
Omega ratio
The chart of Omega ratio for High Quality Diversified, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for High Quality Diversified, currently valued at 1.23, compared to the broader market0.002.004.006.008.001.23
Martin ratio
The chart of Martin ratio for High Quality Diversified, currently valued at 5.35, compared to the broader market0.0010.0020.0030.0040.005.35
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.992.881.351.6710.73
SPHQ
Invesco S&P 500® Quality ETF
1.862.691.322.0110.12
QINT
American Century Quality Diversified International ETF
0.851.291.150.553.01
QCON
American Century Quality Convertible Securities ETF
0.691.011.120.251.87
XSHQ
Invesco S&P SmallCap Quality ETF
0.981.571.180.924.15
PSET
Principal Quality ETF
1.542.231.261.467.21
QDIV
Global X S&P 500 Quality Dividend ETF
0.630.981.110.591.89

Sharpe Ratio

The current High Quality Diversified Sharpe ratio is 1.42. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.42

The Sharpe ratio of High Quality Diversified lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.42
1.66
High Quality Diversified
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High Quality Diversified granted a 1.90% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
High Quality Diversified1.90%1.90%2.37%1.53%1.42%1.46%1.19%0.73%0.70%0.56%0.43%0.37%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.17%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
1.35%1.42%1.85%1.19%1.55%1.51%1.85%1.57%1.67%2.29%1.66%1.99%
QINT
American Century Quality Diversified International ETF
3.05%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
2.51%2.23%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
1.18%1.15%2.02%1.25%1.24%1.11%1.16%0.78%0.00%0.00%0.00%0.00%
PSET
Principal Quality ETF
0.85%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
3.19%3.26%3.02%2.44%3.06%2.84%1.56%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.16%
-5.46%
High Quality Diversified
Benchmark (^GSPC)
Portfolio components

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.

The current High Quality Diversified drawdown is 5.16%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.85%Jan 5, 2022186Sep 30, 2022303Dec 14, 2023489
-5.45%Nov 17, 202110Dec 1, 202123Jan 4, 202233
-5.16%Apr 1, 202415Apr 19, 2024
-4.52%Sep 7, 202120Oct 4, 202112Oct 20, 202132
-4.44%Feb 25, 20216Mar 4, 20215Mar 11, 202111

Volatility

Volatility Chart

The current High Quality Diversified volatility is 2.82%, 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%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.82%
3.15%
High Quality Diversified
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.

QINTQDIVXSHQQCONPSETQUALSPHQ
QINT1.000.710.690.740.700.750.77
QDIV0.711.000.810.660.680.740.79
XSHQ0.690.811.000.750.660.730.75
QCON0.740.660.751.000.750.830.82
PSET0.700.680.660.751.000.910.87
QUAL0.750.740.730.830.911.000.96
SPHQ0.770.790.750.820.870.961.00