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2-12

Last updated Feb 24, 2024

Asset Allocation


VOO 30%ACWI 22%QQQ 15%TOK 12%SOXX 10%FNGS 7%JPXN 4%EquityEquity
PositionCategory/SectorWeight
VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

30%

ACWI
iShares MSCI ACWI ETF
Large Cap Growth Equities

22%

QQQ
Invesco QQQ
Large Cap Blend Equities

15%

TOK
iShares MSCI Kokusai ETF
Large Cap Growth Equities

12%

SOXX
iShares PHLX Semiconductor ETF
Technology Equities

10%

FNGS
MicroSectors FANG+ ETN
Large Cap Growth Equities

7%

JPXN
iShares JPX-Nikkei 400 ETF
Japan Equities

4%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 2-12, 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


30.00%40.00%50.00%60.00%70.00%80.00%90.00%SeptemberOctoberNovemberDecember2024February
92.17%
64.47%
2-12
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 13, 2019, corresponding to the inception date of FNGS

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
2-127.14%4.47%19.00%37.19%N/AN/A
VOO
Vanguard S&P 500 ETF
6.86%4.14%16.40%30.22%14.66%12.76%
ACWI
iShares MSCI ACWI ETF
4.91%3.78%14.08%23.51%10.53%8.61%
TOK
iShares MSCI Kokusai ETF
5.48%3.82%15.44%25.32%12.41%9.86%
FNGS
MicroSectors FANG+ ETN
14.89%8.92%33.17%84.90%N/AN/A
JPXN
iShares JPX-Nikkei 400 ETF
6.77%5.16%15.57%25.19%6.42%5.65%
QQQ
Invesco QQQ
6.66%3.06%20.46%50.69%21.21%18.14%
SOXX
iShares PHLX Semiconductor ETF
10.48%6.47%31.77%58.14%29.39%25.15%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.46%
20233.64%-2.36%-4.90%-2.74%10.31%5.70%

Sharpe Ratio

The current 2-12 Sharpe ratio is 2.59. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.59

The Sharpe ratio of 2-12 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 Ratio0.501.001.502.002.50SeptemberOctoberNovemberDecember2024February
2.59
2.23
2-12
Benchmark (^GSPC)
Portfolio components

Dividend yield

2-12 granted a 1.28% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
2-121.28%1.36%1.63%1.18%1.18%1.64%1.78%1.55%1.74%1.88%1.79%1.57%
VOO
Vanguard S&P 500 ETF
1.36%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
ACWI
iShares MSCI ACWI ETF
1.79%1.88%1.79%1.71%1.43%2.33%2.25%1.94%2.19%2.56%2.26%1.89%
TOK
iShares MSCI Kokusai ETF
1.85%1.95%3.55%1.66%1.52%2.12%2.74%2.60%2.56%3.02%2.64%2.38%
FNGS
MicroSectors FANG+ ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPXN
iShares JPX-Nikkei 400 ETF
2.41%2.58%1.47%2.63%1.27%1.92%1.60%1.50%2.07%1.32%1.42%1.18%
QQQ
Invesco QQQ
0.58%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
SOXX
iShares PHLX Semiconductor ETF
0.71%0.78%1.26%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%

Expense Ratio

The 2-12 has a high expense ratio of 0.25%, 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.


0.58%
0.00%2.15%
0.48%
0.00%2.15%
0.46%
0.00%2.15%
0.32%
0.00%2.15%
0.25%
0.00%2.15%
0.20%
0.00%2.15%
0.03%
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
^GSPC
S&P 500
2.23
2-12
2.59
VOO
Vanguard S&P 500 ETF
2.39
ACWI
iShares MSCI ACWI ETF
1.85
TOK
iShares MSCI Kokusai ETF
1.98
FNGS
MicroSectors FANG+ ETN
3.47
JPXN
iShares JPX-Nikkei 400 ETF
1.70
QQQ
Invesco QQQ
2.99
SOXX
iShares PHLX Semiconductor ETF
2.20

Asset Correlations Table

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

JPXNFNGSSOXXQQQTOKVOOACWI
JPXN1.000.540.580.590.720.670.76
FNGS0.541.000.780.910.760.780.78
SOXX0.580.781.000.860.790.800.80
QQQ0.590.910.861.000.870.910.87
TOK0.720.760.790.871.000.960.97
VOO0.670.780.800.910.961.000.97
ACWI0.760.780.800.870.970.971.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-0.11%
0
2-12
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2-12. 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 2-12 was 32.04%, occurring on Mar 23, 2020. Recovery took 76 trading sessions.

The current 2-12 drawdown is 0.11%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.04%Feb 20, 202023Mar 23, 202076Jul 10, 202099
-30.27%Dec 28, 2021202Oct 14, 2022291Dec 12, 2023493
-9.34%Sep 3, 202014Sep 23, 202033Nov 9, 202047
-6.77%Feb 17, 202114Mar 8, 202119Apr 5, 202133
-6.07%Sep 7, 202120Oct 4, 202115Oct 25, 202135

Volatility Chart

The current 2-12 volatility is 4.40%, 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%SeptemberOctoberNovemberDecember2024February
4.40%
3.90%
2-12
Benchmark (^GSPC)
Portfolio components
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