PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PortfoliosLab Trends Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AAPL 13.64%IJH 12.42%MSFT 11.76%VTI 10.62%VOO 9.91%NVDA 8.9%AMZN 8.24%QQQ 7.33%TSLA 7.26%VNQ 9.92%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology
13.64%
AMZN
Amazon.com, Inc.
Consumer Cyclical
8.24%
IJH
iShares Core S&P Mid-Cap ETF
Small Cap Growth Equities
12.42%
MSFT
Microsoft Corporation
Technology
11.76%
NVDA
NVIDIA Corporation
Technology
8.90%
QQQ
Invesco QQQ
Large Cap Blend Equities
7.33%
TSLA
Tesla, Inc.
Consumer Cyclical
7.26%
VNQ
Vanguard Real Estate ETF
REIT
9.92%
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities
9.91%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities
10.62%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PortfoliosLab Trends Portfolio, 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%JuneJulyAugustSeptemberOctoberNovember
21.03%
14.58%
PortfoliosLab Trends Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VOO

Returns By Period

As of Nov 29, 2024, the PortfoliosLab Trends Portfolio returned 37.26% Year-To-Date and 26.39% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
25.76%2.84%14.58%31.82%13.85%11.34%
PortfoliosLab Trends Portfolio37.26%4.06%21.03%43.28%30.76%26.39%
AAPL
Apple Inc
22.62%0.65%23.09%24.67%29.47%24.86%
IJH
iShares Core S&P Mid-Cap ETF
22.58%7.18%15.03%34.01%12.58%10.68%
MSFT
Microsoft Corporation
13.33%-1.88%2.39%12.49%23.98%26.12%
VTI
Vanguard Total Stock Market ETF
26.99%3.87%16.15%34.26%15.08%12.91%
VNQ
Vanguard Real Estate ETF
14.90%3.41%23.20%26.67%5.08%6.27%
VOO
Vanguard S&P 500 ETF
27.29%2.95%15.36%33.64%15.64%13.36%
NVDA
NVIDIA Corporation
173.35%-4.18%22.50%181.22%90.78%75.49%
AMZN
Amazon.com, Inc.
35.41%7.81%14.73%40.61%18.02%28.92%
QQQ
Invesco QQQ
23.92%1.03%12.24%30.52%20.60%18.02%
TSLA
Tesla, Inc.
33.97%28.27%86.19%36.35%72.41%36.03%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.38%7.41%2.48%-4.02%7.27%6.29%2.25%0.68%3.86%-1.23%37.26%
202314.08%2.03%7.07%-0.01%7.27%8.95%3.04%-1.44%-6.39%-2.48%11.39%4.53%57.23%
2022-7.80%-2.63%6.11%-12.82%-2.57%-9.30%15.01%-5.97%-10.76%4.27%4.77%-9.60%-30.06%
20211.25%-0.24%2.17%7.25%-1.35%6.93%2.20%4.82%-4.86%11.80%4.06%1.20%40.10%
20206.49%-4.84%-10.70%17.03%6.31%8.87%9.70%16.81%-6.42%-3.62%12.15%6.42%69.09%
20197.21%3.55%4.34%3.41%-9.49%9.29%2.72%-1.66%2.82%6.68%4.33%6.57%45.98%
20188.18%-1.30%-3.97%1.42%5.48%1.87%2.20%7.79%-1.15%-7.08%-1.79%-9.76%0.22%
20174.37%3.09%2.82%1.92%6.16%-0.23%2.52%2.87%0.01%6.11%1.77%-0.04%35.99%
2016-7.31%-0.69%9.97%-2.03%6.01%-0.60%7.91%0.53%2.58%-1.23%3.66%5.10%25.13%
2015-0.70%6.31%-2.48%5.01%1.84%-2.44%3.34%-4.40%0.02%9.16%3.05%-1.14%18.03%
2014-1.57%8.12%-1.26%0.84%3.13%3.08%-1.31%7.04%-3.17%3.34%4.72%-2.96%21.02%
20132.12%0.22%3.12%6.50%10.23%-0.62%6.26%1.86%4.41%4.06%2.35%2.16%51.42%

Expense Ratio

PortfoliosLab Trends Portfolio has an expense ratio of 0.04%, 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 IJH: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
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%
Expense ratio chart for VNQ: 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%
Expense ratio chart for VTI: 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%
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 rank of PortfoliosLab Trends Portfolio 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.


The Risk-Adjusted Performance Rank of PortfoliosLab Trends Portfolio is 6161
Overall Rank
The Sharpe Ratio Rank of PortfoliosLab Trends Portfolio is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of PortfoliosLab Trends Portfolio is 5757
Sortino Ratio Rank
The Omega Ratio Rank of PortfoliosLab Trends Portfolio is 6060
Omega Ratio Rank
The Calmar Ratio Rank of PortfoliosLab Trends Portfolio is 6464
Calmar Ratio Rank
The Martin Ratio Rank of PortfoliosLab Trends Portfolio is 6161
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.


Sharpe ratio
The chart of Sharpe ratio for PortfoliosLab Trends Portfolio, currently valued at 2.53, compared to the broader market0.002.004.006.002.532.59
The chart of Sortino ratio for PortfoliosLab Trends Portfolio, currently valued at 3.28, compared to the broader market-2.000.002.004.006.003.283.45
The chart of Omega ratio for PortfoliosLab Trends Portfolio, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.802.001.441.48
The chart of Calmar ratio for PortfoliosLab Trends Portfolio, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.743.74
The chart of Martin ratio for PortfoliosLab Trends Portfolio, currently valued at 15.16, compared to the broader market0.0010.0020.0030.0040.0050.0060.0015.1616.58
PortfoliosLab Trends Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
1.061.651.201.443.38
IJH
iShares Core S&P Mid-Cap ETF
2.143.001.373.6212.47
MSFT
Microsoft Corporation
0.580.871.110.731.71
VTI
Vanguard Total Stock Market ETF
2.743.641.504.0017.53
VNQ
Vanguard Real Estate ETF
1.692.351.301.066.11
VOO
Vanguard S&P 500 ETF
2.753.661.513.9718.00
NVDA
NVIDIA Corporation
3.513.671.476.7721.52
AMZN
Amazon.com, Inc.
1.452.071.261.776.69
QQQ
Invesco QQQ
1.752.341.322.248.13
TSLA
Tesla, Inc.
0.571.291.150.531.53

The current PortfoliosLab Trends Portfolio Sharpe ratio is 2.53. 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 1.89 to 2.74, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of PortfoliosLab Trends Portfolio 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.53
2.59
PortfoliosLab Trends Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

PortfoliosLab Trends Portfolio provided a 0.96% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.96%1.07%1.23%0.84%1.10%1.27%1.65%1.43%1.74%1.72%1.67%1.80%
AAPL
Apple Inc
0.42%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
IJH
iShares Core S&P Mid-Cap ETF
1.19%1.46%1.68%1.18%1.28%1.63%1.72%1.19%1.60%1.56%1.34%1.29%
MSFT
Microsoft Corporation
0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
VTI
Vanguard Total Stock Market ETF
1.25%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VNQ
Vanguard Real Estate ETF
3.70%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
AMZN
Amazon.com, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
TSLA
Tesla, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.57%
-0.38%
PortfoliosLab Trends Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PortfoliosLab Trends Portfolio. 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 PortfoliosLab Trends Portfolio was 34.57%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current PortfoliosLab Trends Portfolio drawdown is 0.57%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.57%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-33.2%Jan 4, 2022253Jan 5, 2023121Jun 30, 2023374
-24.46%Oct 2, 201858Dec 24, 2018144Jul 23, 2019202
-17.25%Dec 2, 201549Feb 11, 201637Apr 6, 201686
-16.36%Jul 25, 201120Aug 19, 2011107Jan 24, 2012127

Volatility

Volatility Chart

The current PortfoliosLab Trends Portfolio volatility is 5.36%, 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%8.00%JuneJulyAugustSeptemberOctoberNovember
5.36%
4.03%
PortfoliosLab Trends Portfolio
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.

TSLAVNQNVDAAAPLAMZNMSFTIJHVOOVTIQQQ
TSLA1.000.290.390.370.390.350.420.450.460.51
VNQ0.291.000.300.340.340.410.670.630.650.50
NVDA0.390.301.000.470.490.540.510.600.600.70
AAPL0.370.340.471.000.490.550.490.630.610.74
AMZN0.390.340.490.491.000.580.490.620.620.73
MSFT0.350.410.540.550.581.000.540.710.700.78
IJH0.420.670.510.490.490.541.000.880.910.74
VOO0.450.630.600.630.620.710.881.000.990.90
VTI0.460.650.600.610.620.700.910.991.000.89
QQQ0.510.500.700.740.730.780.740.900.891.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab