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20240810
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
20240810-0.76%9.01%-2.04%11.72%N/AN/A
VOO
Vanguard S&P 500 ETF
-3.41%7.59%-5.06%9.79%15.86%12.42%
QQQ
Invesco QQQ
-4.41%9.37%-4.80%11.06%17.35%17.24%
INDA
iShares MSCI India ETF
-0.47%3.70%-2.93%2.72%16.63%7.14%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
9.53%9.97%4.86%8.32%2.63%1.02%
GLD
SPDR Gold Trust
26.73%4.96%23.75%40.30%14.04%10.19%
SMH
VanEck Vectors Semiconductor ETF
-7.75%13.86%-13.48%0.49%27.69%24.45%
IBIT
iShares Bitcoin Trust
10.57%29.86%34.26%69.64%N/AN/A
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
-1.77%2.00%-1.93%-5.14%15.82%2.64%
REET
iShares Global REIT ETF
2.70%9.14%-3.33%10.24%7.53%3.49%
*Annualized

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
20251.80%-2.76%-2.97%1.06%2.25%-0.76%
20241.33%6.97%4.01%-3.65%5.58%3.65%0.92%0.82%2.43%-1.25%4.76%-1.97%25.63%

Expense Ratio

20240810 has an expense ratio of 0.27%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 20240810 is 53, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of 20240810 is 5353
Overall Rank
The Sharpe Ratio Rank of 20240810 is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of 20240810 is 5151
Sortino Ratio Rank
The Omega Ratio Rank of 20240810 is 4949
Omega Ratio Rank
The Calmar Ratio Rank of 20240810 is 5858
Calmar Ratio Rank
The Martin Ratio Rank of 20240810 is 5454
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
0.520.891.130.572.18
QQQ
Invesco QQQ
0.450.811.110.511.65
INDA
iShares MSCI India ETF
0.150.251.030.090.19
VNQI
Vanguard Global ex-U.S. Real Estate ETF
0.520.831.100.491.01
GLD
SPDR Gold Trust
2.393.301.425.3314.20
SMH
VanEck Vectors Semiconductor ETF
0.050.351.050.050.11
IBIT
iShares Bitcoin Trust
1.211.831.222.244.90
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
-0.34-0.370.96-0.42-0.86
REET
iShares Global REIT ETF
0.580.961.130.581.73

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

20240810 Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.61
  • All Time: 1.01

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 20240810 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

20240810 provided a 1.26% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.26%1.22%1.18%1.70%4.34%0.95%1.65%1.80%1.61%1.88%1.63%1.25%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
QQQ
Invesco QQQ
0.61%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%
INDA
iShares MSCI India ETF
0.76%0.76%0.16%0.00%6.44%0.27%1.00%0.94%1.09%0.91%1.19%0.63%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
4.71%5.16%3.74%0.57%6.48%0.93%7.58%4.62%3.86%5.18%2.86%4.11%
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
0.48%0.44%0.60%1.18%0.51%0.69%1.50%1.88%1.43%0.80%2.14%1.16%
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
4.51%4.43%4.21%13.04%50.83%0.01%1.40%1.00%3.83%6.50%0.00%0.00%
REET
iShares Global REIT ETF
3.53%3.63%3.27%2.42%3.18%2.64%5.25%5.73%3.84%5.37%3.56%2.12%

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.


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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 17.14%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current 20240810 drawdown is 4.73%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-17.14%Dec 17, 202476Apr 8, 2025
-9.85%Jul 17, 202414Aug 5, 202435Sep 24, 202449
-5.33%Apr 12, 20246Apr 19, 202418May 15, 202424
-2.86%Oct 15, 202415Nov 4, 20242Nov 6, 202417
-2.34%Nov 12, 20244Nov 15, 20245Nov 22, 20249

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 9 assets, with an effective number of assets of 5.71, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCPDBCGLDIBITINDAREETVNQISMHQQQVOOPortfolio
^GSPC1.000.160.140.370.430.540.490.800.941.000.92
PDBC0.161.000.380.140.110.070.190.180.150.170.24
GLD0.140.381.000.110.270.220.370.120.120.150.25
IBIT0.370.140.111.000.230.270.270.310.360.370.53
INDA0.430.110.270.231.000.330.450.350.410.430.54
REET0.540.070.220.270.331.000.750.270.370.540.51
VNQI0.490.190.370.270.450.751.000.340.390.500.53
SMH0.800.180.120.310.350.270.341.000.880.790.88
QQQ0.940.150.120.360.410.370.390.881.000.940.92
VOO1.000.170.150.370.430.540.500.790.941.000.92
Portfolio0.920.240.250.530.540.510.530.880.920.921.00
The correlation results are calculated based on daily price changes starting from Jan 12, 2024