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20240810
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

20240810

Last updated Sep 18, 2024

Asset Allocation

GLD 5%PDBC 5%IBIT 5%VOO 30%QQQ 15%INDA 15%SMH 15%REET 10%CommodityCommodityCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
GLD
SPDR Gold Trust		Precious Metals, Gold
5%
IBIT
iShares Bitcoin Trust		Blockchain
5%
INDA
iShares MSCI India ETF		Asia Pacific Equities
15%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF		Commodities, Actively Managed
5%
QQQ
Invesco QQQ		Large Cap Blend Equities
15%
REET
iShares Global REIT ETF		REIT
10%
SMH
VanEck Vectors Semiconductor ETF		Technology Equities
15%
VNQI
Vanguard Global ex-U.S. Real Estate ETF		REIT
0%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 20240810, 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
9.97%
8.81%
20240810
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 11, 2024, corresponding to the inception date of IBIT

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.13%1.45%8.81%26.52%13.43%10.88%
20240810N/A0.98%9.97%N/AN/AN/A
Portfolio components:
VOO
Vanguard S&P 500 ETF		19.30%1.60%9.57%28.36%15.26%12.92%
QQQ
Invesco QQQ		15.96%-0.32%8.13%28.44%20.55%17.81%
INDA
iShares MSCI India ETF		18.75%2.82%15.60%28.32%14.66%7.74%
VNQI
Vanguard Global ex-U.S. Real Estate ETF		7.07%5.36%10.76%18.54%-1.37%1.80%
GLD
SPDR Gold Trust		24.15%2.31%18.79%32.30%10.97%7.34%
SMH
VanEck Vectors Semiconductor ETF		33.65%-5.27%7.31%59.63%34.14%27.98%
IBIT
iShares Bitcoin Trust		N/A0.21%-7.08%N/AN/AN/A
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF		-0.38%-1.19%-4.61%-9.83%8.75%N/A
REET
iShares Global REIT ETF		12.53%7.32%16.98%23.39%2.58%4.99%

Monthly Returns

The table below presents the monthly returns of 20240810, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.33%6.97%4.01%-3.65%5.58%3.65%0.92%0.82%20.93%

Expense Ratio

20240810 has an expense ratio of 0.27%, 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.

INDA
iShares MSCI India ETF
Expense ratio chart for INDA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
Expense ratio chart for PDBC: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
SMH
VanEck Vectors Semiconductor ETF
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%
IBIT
iShares Bitcoin Trust
Expense ratio chart for IBIT: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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%
REET
iShares Global REIT ETF
Expense ratio chart for REET: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
Expense ratio chart for VNQI: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of 20240810 is 76, placing it in the top 24% 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 20240810 is 7676
20240810
The Sharpe Ratio Rank of 20240810 is 7777Sharpe Ratio Rank
The Sortino Ratio Rank of 20240810 is 7777Sortino Ratio Rank
The Omega Ratio Rank of 20240810 is 7777Omega Ratio Rank
The Calmar Ratio Rank of 20240810 is 6565Calmar Ratio Rank
The Martin Ratio Rank of 20240810 is 8282Martin 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.

20240810
Sharpe ratio
No data
Sortino ratio
No data
Omega ratio
No data
Calmar ratio
No data
Martin ratio
No data
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.82, compared to the broader market-2.000.002.004.006.002.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.88, compared to the broader market0.002.004.006.008.001.88
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.08, compared to the broader market0.0010.0020.0030.0011.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF		2.263.031.412.4512.14
QQQ
Invesco QQQ		1.622.171.292.077.55
INDA
iShares MSCI India ETF		2.062.591.412.4316.49
VNQI
Vanguard Global ex-U.S. Real Estate ETF		1.151.741.210.504.87
GLD
SPDR Gold Trust		2.293.201.402.5613.75
SMH
VanEck Vectors Semiconductor ETF		1.782.311.312.427.60
IBIT
iShares Bitcoin Trust		—————
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF		-0.69-0.890.90-0.35-1.38
REET
iShares Global REIT ETF		1.331.951.240.694.71

Sharpe Ratio

There is not enough data available to calculate the Sharpe ratio for 20240810. We calculate this metric based on the past 12 months of trading data. Please check back later for updated information.

Chart placeholderNot enough data

Dividends

Dividend yield

20240810 granted a 1.00% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
202408101.00%1.18%1.88%4.42%1.06%2.32%2.08%1.83%2.00%1.96%1.42%1.23%
Portfolio components:
VOO
Vanguard S&P 500 ETF		1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
QQQ
Invesco QQQ		0.50%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
INDA
iShares MSCI India ETF		0.00%0.16%0.00%6.44%0.27%0.99%0.94%1.09%0.90%1.19%0.63%0.40%
VNQI
Vanguard Global ex-U.S. Real Estate ETF		3.49%3.74%0.57%6.48%0.93%7.58%4.62%3.86%5.18%2.86%4.11%3.27%
GLD
SPDR Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF		0.45%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
IBIT
iShares Bitcoin Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF		4.23%4.21%13.05%50.83%0.01%1.40%1.00%3.83%6.51%0.00%0.00%0.00%
REET
iShares Global REIT ETF		2.64%3.27%2.43%3.18%2.65%5.25%5.73%3.84%5.37%3.56%2.11%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.30%
-0.58%
20240810
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 20240810. 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 20240810 was 9.85%, occurring on Aug 5, 2024. The portfolio has not yet recovered.

The current 20240810 drawdown is 2.30%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.85%Jul 17, 202414Aug 5, 2024———
-5.33%Apr 12, 20246Apr 19, 202418May 15, 202424
-2.24%Jun 20, 20243Jun 24, 20247Jul 3, 202410
-2.19%Mar 8, 20246Mar 15, 20249Mar 28, 202415
-1.53%Jan 30, 20242Jan 31, 20242Feb 2, 20244

Volatility

Volatility Chart

The current 20240810 volatility is 4.79%, 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%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.79%
4.08%
20240810
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.
PDBCIBITGLDINDAREETSMHVNQIQQQVOO
PDBC1.000.140.350.150.010.170.170.160.18
IBIT0.141.000.130.200.320.280.280.290.32
GLD0.350.131.000.330.330.170.420.240.29
INDA0.150.200.331.000.340.390.460.450.46
REET0.010.320.330.341.000.270.800.400.56
SMH0.170.280.170.390.271.000.350.890.78
VNQI0.170.280.420.460.800.351.000.460.58
QQQ0.160.290.240.450.400.890.461.000.94
VOO0.180.320.290.460.560.780.580.941.00
The correlation results are calculated based on daily price changes starting from Jan 12, 2024