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Q3SMHXLKSCHG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SMH 50%XLK 33.3%SCHG 16.7%EquityEquity
PositionCategory/SectorWeight
SCHG
Schwab U.S. Large-Cap Growth ETF
Large Cap Growth Equities
16.70%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities
50%
XLK
Technology Select Sector SPDR Fund
Technology Equities
33.30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Q3SMHXLKSCHG, 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%15.00%JuneJulyAugustSeptemberOctoberNovember
10.51%
12.73%
Q3SMHXLKSCHG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG

Returns By Period

As of Nov 13, 2024, the Q3SMHXLKSCHG returned 35.75% Year-To-Date and 24.20% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.45%2.91%14.05%35.64%14.13%11.39%
Q3SMHXLKSCHG35.75%-0.79%10.51%46.01%28.13%24.20%
SMH
VanEck Vectors Semiconductor ETF
44.03%-3.61%7.68%57.29%33.43%28.85%
XLK
Technology Select Sector SPDR Fund
23.33%1.00%11.25%30.69%23.29%20.55%
SCHG
Schwab U.S. Large-Cap Growth ETF
34.42%4.28%17.22%42.10%20.72%16.81%

Monthly Returns

The table below presents the monthly returns of Q3SMHXLKSCHG, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.48%9.80%3.80%-5.00%9.54%7.96%-3.89%-0.17%1.73%-1.36%35.75%
202313.15%0.43%9.97%-2.82%12.24%5.89%4.20%-2.04%-6.64%-2.32%13.88%6.93%63.62%
2022-9.18%-3.63%2.20%-13.28%2.42%-12.83%14.84%-7.72%-12.51%4.39%12.82%-8.54%-30.83%
20211.48%3.75%1.36%2.87%0.65%5.97%2.02%3.30%-5.53%7.60%7.22%2.49%37.83%
20200.44%-5.61%-10.22%14.11%6.30%7.13%7.58%8.30%-2.79%-1.94%15.17%5.69%49.53%
20199.14%6.33%3.46%7.55%-11.75%10.19%4.61%-1.82%2.64%5.34%4.66%8.51%58.39%
20187.98%-0.59%-2.71%-3.29%8.00%-1.95%2.70%4.47%-1.04%-10.18%1.22%-7.34%-4.33%
20173.73%3.52%3.01%1.04%5.63%-3.33%4.36%2.75%3.14%7.12%0.28%0.55%36.32%
2016-5.75%0.50%8.70%-4.12%6.16%-0.55%8.90%2.61%3.31%-1.54%2.56%2.13%24.09%
2015-3.12%7.77%-2.75%1.03%4.80%-6.05%-0.78%-5.34%-0.74%9.22%1.75%-1.21%3.37%
2014-2.75%5.33%2.28%-0.94%3.68%4.38%-0.33%4.79%-1.01%1.34%6.11%-0.48%24.30%
20134.50%1.55%2.03%3.01%3.10%-2.08%3.35%-2.48%5.19%4.07%1.54%4.75%32.15%

Expense Ratio

Q3SMHXLKSCHG has an expense ratio of 0.22%, 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 SMH: 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 XLK: 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%
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 Q3SMHXLKSCHG is 20, indicating that it is in the bottom 20% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Q3SMHXLKSCHG is 2020
Combined Rank
The Sharpe Ratio Rank of Q3SMHXLKSCHG is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of Q3SMHXLKSCHG is 1515Sortino Ratio Rank
The Omega Ratio Rank of Q3SMHXLKSCHG is 1818Omega Ratio Rank
The Calmar Ratio Rank of Q3SMHXLKSCHG is 3333Calmar Ratio Rank
The Martin Ratio Rank of Q3SMHXLKSCHG is 1414Martin 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.


Q3SMHXLKSCHG
Sharpe ratio
The chart of Sharpe ratio for Q3SMHXLKSCHG, currently valued at 1.84, compared to the broader market0.002.004.006.001.84
Sortino ratio
The chart of Sortino ratio for Q3SMHXLKSCHG, currently valued at 2.38, compared to the broader market-2.000.002.004.006.002.38
Omega ratio
The chart of Omega ratio for Q3SMHXLKSCHG, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.802.001.32
Calmar ratio
The chart of Calmar ratio for Q3SMHXLKSCHG, currently valued at 2.42, compared to the broader market0.005.0010.0015.002.42
Martin ratio
The chart of Martin ratio for Q3SMHXLKSCHG, currently valued at 7.43, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.43
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMH
VanEck Vectors Semiconductor ETF
1.782.291.302.466.77
XLK
Technology Select Sector SPDR Fund
1.502.021.271.926.63
SCHG
Schwab U.S. Large-Cap Growth ETF
2.643.391.483.6114.40

Sharpe Ratio

The current Q3SMHXLKSCHG Sharpe ratio is 1.84. 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 2.07 to 2.97, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Q3SMHXLKSCHG 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.84
2.90
Q3SMHXLKSCHG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Q3SMHXLKSCHG provided a 0.49% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.49%0.63%1.62%0.80%1.08%3.52%2.62%2.05%1.56%2.94%1.92%2.30%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
XLK
Technology Select Sector SPDR Fund
0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

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.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.67%
-0.29%
Q3SMHXLKSCHG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Q3SMHXLKSCHG. 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 Q3SMHXLKSCHG was 39.72%, occurring on Oct 14, 2022. Recovery took 185 trading sessions.

The current Q3SMHXLKSCHG drawdown is 4.67%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.72%Dec 28, 2021202Oct 14, 2022185Jul 13, 2023387
-32.17%Feb 20, 202022Mar 20, 202055Jun 9, 202077
-22.91%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-20.58%May 13, 201169Aug 19, 2011103Jan 18, 2012172
-20.2%Jul 11, 202420Aug 7, 2024

Volatility

Volatility Chart

The current Q3SMHXLKSCHG volatility is 7.39%, 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%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
7.39%
3.86%
Q3SMHXLKSCHG
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.

SMHSCHGXLK
SMH1.000.790.84
SCHG0.791.000.94
XLK0.840.941.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2009