PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
P1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


QQQ 70%AOM 30%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
AOM
iShares Core Moderate Allocation ETF
Diversified Portfolio

30%

QQQ
Invesco QQQ
Large Cap Blend Equities

70%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in P1, 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


400.00%500.00%600.00%700.00%800.00%900.00%NovemberDecember2024FebruaryMarchApril
832.32%
452.56%
P1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 11, 2008, corresponding to the inception date of AOM

Returns By Period

As of Apr 20, 2024, the P1 returned 0.92% Year-To-Date and 13.79% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
P10.92%-5.88%15.28%23.96%13.65%13.80%
AOM
iShares Core Moderate Allocation ETF
-0.30%-2.99%10.24%6.52%3.82%4.12%
QQQ
Invesco QQQ
1.39%-7.11%17.38%31.84%17.69%17.84%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.29%4.04%1.46%
2023-4.52%-2.00%9.38%5.17%

Expense Ratio

The P1 has a high expense ratio of 0.22%, 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.


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

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.


P1
Sharpe ratio
The chart of Sharpe ratio for P1, currently valued at 1.80, compared to the broader market-1.000.001.002.003.004.001.80
Sortino ratio
The chart of Sortino ratio for P1, currently valued at 2.60, compared to the broader market-2.000.002.004.006.002.60
Omega ratio
The chart of Omega ratio for P1, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for P1, currently valued at 1.25, compared to the broader market0.002.004.006.008.001.25
Martin ratio
The chart of Martin ratio for P1, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.008.08
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AOM
iShares Core Moderate Allocation ETF
0.961.441.170.472.81
QQQ
Invesco QQQ
1.902.671.321.389.67

Sharpe Ratio

The current P1 Sharpe ratio is 1.80. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.80

The Sharpe ratio of P1 lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.80
1.66
P1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

P1 granted a 1.31% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
P11.31%1.27%1.24%0.77%0.99%1.32%1.40%1.58%1.33%1.28%1.61%1.27%
AOM
iShares Core Moderate Allocation ETF
2.88%2.79%2.27%1.56%2.02%2.66%2.53%3.31%1.98%1.98%2.08%1.87%
QQQ
Invesco QQQ
0.64%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.88%
-5.46%
P1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the P1. 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 P1 was 30.62%, occurring on Oct 14, 2022. Recovery took 294 trading sessions.

The current P1 drawdown is 5.88%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.62%Dec 28, 2021202Oct 14, 2022294Dec 15, 2023496
-24.83%Feb 20, 202022Mar 20, 202053Jun 5, 202075
-18.05%Aug 30, 201880Dec 24, 201868Apr 3, 2019148
-16.63%Jan 6, 200943Mar 9, 200920Apr 6, 200963
-13.01%Jul 25, 201120Aug 19, 2011104Jan 19, 2012124

Volatility

Volatility Chart

The current P1 volatility is 3.35%, 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%NovemberDecember2024FebruaryMarchApril
3.35%
3.15%
P1
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.

AOMQQQ
AOM1.000.75
QQQ0.751.00