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ETFs

Last updated Dec 9, 2023

Asset Allocation


TLT 20%TMF 20%EDV 20%FALN 20%SPY 20%BondBondEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds20%
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged20%
EDV
Vanguard Extended Duration Treasury ETF
Government Bonds20%
FALN
iShares Fallen Angels USD Bond ETF
High Yield Bonds20%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities20%

Performance

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%JulyAugustSeptemberOctoberNovemberDecember
0.06%
122.30%
ETFs
Benchmark (^GSPC)
Portfolio components

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

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
ETFs0.48%9.79%-4.59%-6.85%-0.01%N/A
TLT
iShares 20+ Year Treasury Bond ETF
-2.06%5.89%-5.54%-10.46%-2.28%1.48%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-25.15%16.42%-26.05%-43.83%-20.41%-6.68%
SPY
SPDR S&P 500 ETF
21.67%5.25%7.82%17.97%13.69%11.83%
EDV
Vanguard Extended Duration Treasury ETF
-3.96%8.49%-7.89%-15.49%-3.56%1.96%
FALN
iShares Fallen Angels USD Bond ETF
10.72%3.47%6.30%9.98%5.86%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-3.60%1.84%-2.24%-3.87%-9.46%-6.56%13.20%

Sharpe Ratio

The current ETFs Sharpe ratio is -0.47. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.00-0.47

The Sharpe ratio of ETFs is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.47
1.25
ETFs
Benchmark (^GSPC)
Portfolio components

Dividend yield

ETFs granted a 3.10% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
ETFs3.10%2.57%1.61%2.83%2.59%2.74%2.84%2.70%1.78%1.53%2.03%2.48%
TLT
iShares 20+ Year Treasury Bond ETF
3.48%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%2.68%
TMF
Direxion Daily 20-Year Treasury Bull 3X
0.32%0.16%0.01%0.42%0.09%0.15%0.04%0.00%0.00%0.00%0.06%0.02%
SPY
SPDR S&P 500 ETF
1.41%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%
EDV
Vanguard Extended Duration Treasury ETF
4.93%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%7.54%
FALN
iShares Fallen Angels USD Bond ETF
5.37%5.08%3.40%5.14%5.35%5.97%6.98%3.55%0.00%0.00%0.00%0.00%

Expense Ratio

The ETFs has a high expense ratio of 0.33%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


1.09%
0.00%2.15%
0.25%
0.00%2.15%
0.15%
0.00%2.15%
0.09%
0.00%2.15%
0.06%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
TLT
iShares 20+ Year Treasury Bond ETF
-0.58
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.82
SPY
SPDR S&P 500 ETF
1.38
EDV
Vanguard Extended Duration Treasury ETF
-0.62
FALN
iShares Fallen Angels USD Bond ETF
1.38

Asset Correlations Table

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

FALNSPYEDVTMFTLT
FALN1.000.630.130.120.12
SPY0.631.00-0.15-0.16-0.16
EDV0.13-0.151.000.990.99
TMF0.12-0.160.991.001.00
TLT0.12-0.160.991.001.00

Drawdowns Chart

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


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.06%
-4.01%
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 49.56%, occurring on Oct 19, 2023. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.56%Aug 7, 2020806Oct 19, 2023
-24.64%Mar 10, 20207Mar 18, 202083Jul 16, 202090
-16.2%Jul 11, 2016111Dec 14, 2016569Mar 22, 2019680
-8.19%Sep 5, 201948Nov 11, 201951Jan 27, 202099
-3.35%Jul 5, 20195Jul 11, 201915Aug 1, 201920

Volatility Chart

The current ETFs volatility is 5.94%, 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%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.94%
2.77%
ETFs
Benchmark (^GSPC)
Portfolio components
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