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Quality

Last updated Nov 13, 2024

Asset Allocation

QUAL 11.11%VIG 11.11%VDC 11.11%VTI 11.11%SPHQ 11.11%QGRW 11.11%SCHD 11.11%COWG 11.11%NTSX 11.11%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
COWG
Pacer US Large Cap Cash Cows Growth Leaders ETF		Large Cap Blend Equities
11.11%
NTSX
WisdomTree U.S. Efficient Core Fund		Diversified Portfolio, Actively Managed
11.11%
QGRW
WisdomTree U.S. Quality Growth Fund		Large Cap Growth Equities
11.11%
QUAL
iShares Edge MSCI USA Quality Factor ETF		Large Cap Growth Equities
11.11%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
11.11%
SPHQ
Invesco S&P 500® Quality ETF		Large Cap Blend Equities
11.11%
VDC
Vanguard Consumer Staples ETF		Consumer Staples Equities
11.11%
VIG
Vanguard Dividend Appreciation ETF		Large Cap Growth Equities, Dividend
11.11%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Quality, 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%JuneJulyAugustSeptemberOctoberNovember
14.58%
14.06%
Quality
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 23, 2022, corresponding to the inception date of COWG

Returns By Period

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%
Quality25.17%2.23%13.14%33.10%N/AN/A
Portfolio components:
QUAL
iShares Edge MSCI USA Quality Factor ETF		26.02%0.48%11.31%32.93%15.42%13.39%
VIG
Vanguard Dividend Appreciation ETF		19.89%0.13%10.80%27.17%12.86%11.90%
VDC
Vanguard Consumer Staples ETF		14.87%-0.47%5.81%19.67%9.38%8.53%
VTI
Vanguard Total Stock Market ETF		26.21%2.78%13.59%35.35%15.34%12.90%
SPHQ
Invesco S&P 500® Quality ETF		27.59%0.38%12.13%33.92%16.35%13.61%
QGRW
WisdomTree U.S. Quality Growth Fund		33.82%4.57%16.49%42.12%N/AN/A
SCHD
Schwab US Dividend Equity ETF		17.07%0.77%10.34%27.17%12.79%11.62%
NTSX
WisdomTree U.S. Efficient Core Fund		22.64%1.31%12.33%31.76%12.12%N/A
COWG
Pacer US Large Cap Cash Cows Growth Leaders ETF		38.15%9.76%24.73%47.55%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.62%4.59%2.97%-4.13%4.51%3.01%1.74%3.02%1.73%-0.93%25.17%
20235.05%-2.40%3.86%1.10%-0.46%5.87%3.47%-1.44%-4.81%-2.51%8.34%4.88%22.01%
2022-0.36%-0.36%

Expense Ratio

Quality has an expense ratio of 0.17%, 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.

COWG
Pacer US Large Cap Cash Cows Growth Leaders ETF
Expense ratio chart for COWG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
QGRW
WisdomTree U.S. Quality Growth Fund
Expense ratio chart for QGRW: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
NTSX
WisdomTree U.S. Efficient Core Fund
Expense ratio chart for NTSX: 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%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
SPHQ
Invesco S&P 500® Quality ETF
Expense ratio chart for SPHQ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
VDC
Vanguard Consumer Staples ETF
Expense ratio chart for VDC: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VIG
Vanguard Dividend Appreciation ETF
Expense ratio chart for VIG: 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%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: 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%
VTI
Vanguard Total Stock Market ETF
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Quality is 85, placing it in the top 15% 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 Quality is 8585
Combined Rank
The Sharpe Ratio Rank of Quality is 8585Sharpe Ratio Rank
The Sortino Ratio Rank of Quality is 8585Sortino Ratio Rank
The Omega Ratio Rank of Quality is 8484Omega Ratio Rank
The Calmar Ratio Rank of Quality is 8888Calmar Ratio Rank
The Martin Ratio Rank of Quality is 8686Martin 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.

Quality
Sharpe ratio
The chart of Sharpe ratio for Quality, currently valued at 3.16, compared to the broader market0.002.004.006.003.16
Sortino ratio
The chart of Sortino ratio for Quality, currently valued at 4.35, compared to the broader market-2.000.002.004.006.004.35
Omega ratio
The chart of Omega ratio for Quality, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.59
Calmar ratio
The chart of Calmar ratio for Quality, currently valued at 5.26, compared to the broader market0.005.0010.0015.005.26
Martin ratio
The chart of Martin ratio for Quality, currently valued at 21.58, compared to the broader market0.0010.0020.0030.0040.0050.0060.0021.58
^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
QUAL
iShares Edge MSCI USA Quality Factor ETF		2.793.841.524.5917.58
VIG
Vanguard Dividend Appreciation ETF		2.924.101.545.7319.13
VDC
Vanguard Consumer Staples ETF		2.173.111.382.7314.33
VTI
Vanguard Total Stock Market ETF		3.044.051.574.4619.72
SPHQ
Invesco S&P 500® Quality ETF		3.004.151.555.8222.62
QGRW
WisdomTree U.S. Quality Growth Fund		2.393.081.433.1011.57
SCHD
Schwab US Dividend Equity ETF		2.643.811.473.3514.57
NTSX
WisdomTree U.S. Efficient Core Fund		2.753.771.495.2718.24
COWG
Pacer US Large Cap Cash Cows Growth Leaders ETF		3.013.911.524.5919.40

Sharpe Ratio

The current Quality Sharpe ratio is 3.16. 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 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Quality 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
3.16
2.90
Quality
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Quality provided a 1.39% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.39%1.54%1.58%1.21%1.40%1.50%1.60%1.34%1.44%1.53%1.25%1.21%
Portfolio components:
QUAL
iShares Edge MSCI USA Quality Factor ETF		0.98%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
VIG
Vanguard Dividend Appreciation ETF		1.70%1.88%1.96%1.55%1.63%1.71%2.08%1.88%2.14%2.34%1.95%1.84%
VDC
Vanguard Consumer Staples ETF		2.56%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%
VTI
Vanguard Total Stock Market ETF		1.26%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
SPHQ
Invesco S&P 500® Quality ETF		1.13%1.43%1.85%1.19%1.56%1.50%1.86%1.57%1.68%2.29%1.66%1.99%
QGRW
WisdomTree U.S. Quality Growth Fund		0.08%0.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF		3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
NTSX
WisdomTree U.S. Efficient Core Fund		1.05%1.21%1.36%0.82%0.92%1.53%0.62%0.00%0.00%0.00%0.00%0.00%
COWG
Pacer US Large Cap Cash Cows Growth Leaders ETF		0.37%0.47%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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.32%
-0.29%
Quality
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Quality. 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 Quality was 10.08%, occurring on Oct 27, 2023. Recovery took 30 trading sessions.

The current Quality drawdown is 0.32%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.08%Aug 1, 202363Oct 27, 202330Dec 11, 202393
-7.01%Feb 3, 202326Mar 13, 202333Apr 28, 202359
-6.77%Jul 17, 202414Aug 5, 202410Aug 19, 202424
-5.4%Mar 22, 202420Apr 19, 202418May 15, 202438
-3.6%Sep 3, 20244Sep 6, 20246Sep 16, 202410

Volatility

Volatility Chart

The current Quality volatility is 3.27%, 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%JuneJulyAugustSeptemberOctoberNovember
3.27%
3.86%
Quality
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.
VDCSCHDQGRWCOWGNTSXVIGSPHQQUALVTI
VDC1.000.620.280.370.460.660.480.450.48
SCHD0.621.000.470.650.650.860.700.670.75
QGRW0.280.471.000.870.840.710.860.910.89
COWG0.370.650.871.000.830.810.900.910.92
NTSX0.460.650.840.831.000.820.870.890.90
VIG0.660.860.710.810.821.000.900.880.91
SPHQ0.480.700.860.900.870.901.000.960.94
QUAL0.450.670.910.910.890.880.961.000.96
VTI0.480.750.890.920.900.910.940.961.00
The correlation results are calculated based on daily price changes starting from Dec 27, 2022