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Asset Allocation


TLT 20%TMF 20%EDV 20%FALN 20%SPY 20%BondBondEquityEquity
PositionCategory/SectorWeight
EDV
Vanguard Extended Duration Treasury ETF
Government Bonds

20%

FALN
iShares Fallen Angels USD Bond ETF
High Yield Bonds

20%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

20%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

20%

TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in ETFs, 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%50.00%100.00%150.00%FebruaryMarchAprilMayJuneJuly
5.11%
165.79%
ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 17, 2016, corresponding to the inception date of FALN

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
ETFs-2.68%-0.79%2.41%-2.03%-2.29%N/A
TLT
iShares 20+ Year Treasury Bond ETF
-4.15%-0.79%0.73%-5.07%-4.46%0.30%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-21.06%-3.73%-7.12%-31.19%-25.77%-10.12%
SPY
SPDR S&P 500 ETF
16.23%0.82%14.52%23.11%14.69%12.74%
EDV
Vanguard Extended Duration Treasury ETF
-6.97%-1.52%0.39%-9.56%-6.72%-0.14%
FALN
iShares Fallen Angels USD Bond ETF
4.01%1.21%3.42%11.65%5.11%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.30%-1.47%1.64%-8.17%4.01%2.16%-2.68%
20239.97%-6.37%5.74%0.35%-3.60%1.94%-2.24%-3.87%-9.36%-6.76%13.16%11.18%7.29%
2022-5.95%-2.84%-4.83%-12.50%-2.36%-4.51%5.07%-6.11%-11.18%-4.79%9.07%-4.29%-38.22%
2021-4.08%-5.25%-3.78%3.62%0.12%5.47%4.59%0.30%-4.26%4.08%2.27%-1.12%1.15%
20208.42%5.21%1.24%6.15%-0.27%0.95%7.32%-3.94%-0.45%-3.84%4.95%0.11%27.96%
20192.96%-0.49%6.38%-1.18%5.53%2.60%0.73%12.03%-3.02%-0.99%0.33%-2.36%23.78%
2018-2.00%-4.70%2.44%-2.26%2.44%0.80%-0.69%2.05%-2.87%-5.10%1.66%4.13%-4.51%
20171.45%2.59%-0.69%2.01%2.42%0.91%-0.11%3.75%-2.01%0.47%1.33%2.32%15.27%
20163.23%3.43%-0.64%-1.53%-5.00%-7.52%0.68%-7.61%

Expense Ratio

ETFs features an expense ratio of 0.33%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for FALN: 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%
Expense ratio chart for TLT: 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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for EDV: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ETFs is 2, indicating that it is in the bottom 2% 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 ETFs is 22
ETFs
The Sharpe Ratio Rank of ETFs is 22Sharpe Ratio Rank
The Sortino Ratio Rank of ETFs is 22Sortino Ratio Rank
The Omega Ratio Rank of ETFs is 22Omega Ratio Rank
The Calmar Ratio Rank of ETFs is 22Calmar Ratio Rank
The Martin Ratio Rank of ETFs is 22Martin 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.


ETFs
Sharpe ratio
The chart of Sharpe ratio for ETFs, currently valued at -0.18, compared to the broader market-1.000.001.002.003.004.00-0.18
Sortino ratio
The chart of Sortino ratio for ETFs, currently valued at -0.13, compared to the broader market-2.000.002.004.006.00-0.13
Omega ratio
The chart of Omega ratio for ETFs, currently valued at 0.99, compared to the broader market0.801.001.201.401.601.800.99
Calmar ratio
The chart of Calmar ratio for ETFs, currently valued at -0.07, compared to the broader market0.002.004.006.008.0010.00-0.07
Martin ratio
The chart of Martin ratio for ETFs, currently valued at -0.39, compared to the broader market0.0010.0020.0030.0040.00-0.39
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TLT
iShares 20+ Year Treasury Bond ETF
-0.37-0.400.95-0.13-0.74
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.67-0.780.91-0.37-1.13
SPY
SPDR S&P 500 ETF
1.982.801.351.917.70
EDV
Vanguard Extended Duration Treasury ETF
-0.46-0.510.94-0.18-0.88
FALN
iShares Fallen Angels USD Bond ETF
1.943.001.370.898.90

Sharpe Ratio

The current ETFs Sharpe ratio is -0.18. 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 1.31 to 2.05, 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 ETFs 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 Ratio-1.000.001.002.003.00FebruaryMarchAprilMayJuneJuly
-0.18
1.82
ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ETFs granted a 3.72% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
ETFs3.72%3.30%2.86%1.64%3.19%2.76%3.01%2.91%2.70%1.78%1.53%2.13%
TLT
iShares 20+ Year Treasury Bond ETF
3.83%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.49%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
SPY
SPDR S&P 500 ETF
1.25%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
EDV
Vanguard Extended Duration Treasury ETF
4.09%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%
FALN
iShares Fallen Angels USD Bond ETF
5.96%5.37%5.08%3.40%5.14%5.35%5.97%6.98%3.55%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-40.00%-30.00%-20.00%-10.00%0.00%FebruaryMarchAprilMayJuneJuly
-37.56%
-2.86%
ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ETFs. 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 ETFs was 49.40%, occurring on Oct 19, 2023. The portfolio has not yet recovered.

The current ETFs drawdown is 37.56%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.4%Dec 6, 2021471Oct 19, 2023
-24.64%Mar 10, 20207Mar 18, 202083Jul 16, 202090
-17.64%Aug 7, 2020154Mar 18, 2021181Dec 3, 2021335
-16.2%Jul 11, 2016111Dec 14, 2016569Mar 22, 2019680
-8.15%Sep 5, 201948Nov 11, 201951Jan 27, 202099

Volatility

Volatility Chart

The current ETFs volatility is 4.94%, 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%FebruaryMarchAprilMayJuneJuly
4.94%
2.76%
ETFs
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.

SPYFALNEDVTLTTMF
SPY1.000.63-0.13-0.13-0.13
FALN0.631.000.160.160.16
EDV-0.130.161.000.990.99
TLT-0.130.160.991.001.00
TMF-0.130.160.991.001.00
The correlation results are calculated based on daily price changes starting from Jun 20, 2016