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modcon6
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


EMNT 20%BND 20%DFAT 30%QQQM 20%IVV 10%BondBondEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market

20%

DFAT
Dimensional U.S. Targeted Value ETF
Large Cap Blend Equities, Actively Managed

30%

EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
Total Bond Market, Actively Managed

20%

IVV
iShares Core S&P 500 ETF
Large Cap Growth Equities

10%

QQQM
Invesco NASDAQ 100 ETF
Large Cap Growth Equities

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in modcon6, 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


10.00%15.00%20.00%25.00%30.00%2024FebruaryMarchAprilMayJune
17.59%
28.03%
modcon6
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 14, 2021, corresponding to the inception date of DFAT

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.22%2.70%14.58%25.29%13.38%10.79%
modcon65.12%0.68%5.25%16.22%N/AN/A
DFAT
Dimensional U.S. Targeted Value ETF
-0.31%-2.43%-0.52%18.33%N/AN/A
QQQM
Invesco NASDAQ 100 ETF
16.14%3.65%16.50%31.78%N/AN/A
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
2.88%0.42%2.98%6.18%N/AN/A
BND
Vanguard Total Bond Market ETF
0.12%1.55%0.38%3.12%-0.06%1.38%
IVV
iShares Core S&P 500 ETF
14.94%2.84%15.38%27.16%15.23%12.81%

Monthly Returns

The table below presents the monthly returns of modcon6, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.40%2.14%2.42%-3.51%3.78%5.12%
20236.52%-1.09%0.88%-0.17%0.56%5.02%3.34%-1.59%-3.24%-2.47%6.66%5.97%21.56%
2022-3.95%-0.61%0.46%-6.22%0.98%-6.18%6.85%-2.66%-6.84%5.49%4.30%-4.41%-13.17%
20210.24%0.64%1.91%-2.41%3.70%-0.31%2.17%5.97%

Expense Ratio

modcon6 has a high expense ratio of 0.20%, 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.


Expense ratio chart for DFAT: current value at 0.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.34%
Expense ratio chart for EMNT: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%
Expense ratio chart for QQQM: 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 BND: 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 IVV: 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 modcon6 is 46, 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 modcon6 is 4646
modcon6
The Sharpe Ratio Rank of modcon6 is 4141Sharpe Ratio Rank
The Sortino Ratio Rank of modcon6 is 4545Sortino Ratio Rank
The Omega Ratio Rank of modcon6 is 4242Omega Ratio Rank
The Calmar Ratio Rank of modcon6 is 5959Calmar Ratio Rank
The Martin Ratio Rank of modcon6 is 4444Martin 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.


modcon6
Sharpe ratio
The chart of Sharpe ratio for modcon6, currently valued at 1.71, compared to the broader market0.002.004.001.71
Sortino ratio
The chart of Sortino ratio for modcon6, currently valued at 2.52, compared to the broader market-2.000.002.004.006.002.52
Omega ratio
The chart of Omega ratio for modcon6, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for modcon6, currently valued at 1.92, compared to the broader market0.002.004.006.008.0010.001.92
Martin ratio
The chart of Martin ratio for modcon6, currently valued at 6.00, compared to the broader market0.0010.0020.0030.0040.0050.006.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.0050.008.08

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DFAT
Dimensional U.S. Targeted Value ETF
0.951.461.171.233.21
QQQM
Invesco NASDAQ 100 ETF
1.942.681.332.219.21
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
5.428.275.878.50133.37
BND
Vanguard Total Bond Market ETF
0.520.791.090.201.45
IVV
iShares Core S&P 500 ETF
2.333.281.412.269.11

Sharpe Ratio

The current modcon6 Sharpe ratio is 1.71. 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 1.51 to 2.35, 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 modcon6 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.71
2.16
modcon6
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

modcon6 granted a 2.36% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
modcon62.36%2.22%1.81%1.10%0.92%0.77%0.78%0.68%0.70%0.74%0.74%0.74%
DFAT
Dimensional U.S. Targeted Value ETF
1.33%1.34%1.34%1.13%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQM
Invesco NASDAQ 100 ETF
0.66%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EMNT
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
5.14%4.62%2.79%0.83%1.44%0.13%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.37%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
IVV
iShares Core S&P 500 ETF
1.32%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%1.80%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.30%
-0.71%
modcon6
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the modcon6. 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 modcon6 was 18.09%, occurring on Sep 30, 2022. Recovery took 298 trading sessions.

The current modcon6 drawdown is 0.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.09%Nov 8, 2021226Sep 30, 2022298Dec 7, 2023524
-4.24%Apr 1, 202415Apr 19, 202418May 15, 202433
-2.66%Sep 3, 202112Sep 21, 202121Oct 20, 202133
-2.63%Jul 13, 20215Jul 19, 20218Jul 29, 202113
-2.58%Dec 28, 202313Jan 17, 20248Jan 29, 202421

Volatility

Volatility Chart

The current modcon6 volatility is 2.01%, 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%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.01%
2.39%
modcon6
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.

EMNTBNDDFATQQQMIVV
EMNT1.000.450.060.050.07
BND0.451.000.100.190.18
DFAT0.060.101.000.640.79
QQQM0.050.190.641.000.94
IVV0.070.180.790.941.00
The correlation results are calculated based on daily price changes starting from Jun 15, 2021