AA1_Optimized
공분산이 낮은 자산군들을 배치한 자산배분 포트폴리오를 최적화하였음
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AA1_Optimized, 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
The earliest data available for this chart is May 11, 2020, corresponding to the inception date of SIXH
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
AA1_Optimized | 14.83% | 2.66% | 8.58% | 22.01% | N/A | N/A |
Portfolio components: | ||||||
WisdomTree U.S. Efficient Core Fund | 19.90% | 2.45% | 10.82% | 31.60% | 12.21% | N/A |
Vanguard FTSE Developed Markets ETF | 11.41% | 2.54% | 5.89% | 19.88% | 7.99% | 5.60% |
Vanguard FTSE Emerging Markets ETF | 11.11% | 1.56% | 8.94% | 17.12% | 5.00% | 3.36% |
iM DBi Managed Futures Strategy ETF | 10.94% | 0.82% | 0.09% | 3.99% | 7.14% | N/A |
6 Meridian Hedged Equity-Index Option Strategy ETF | 12.86% | 2.67% | 6.12% | 16.27% | N/A | N/A |
Vanguard Real Estate ETF | 13.46% | 6.74% | 16.06% | 26.86% | 4.90% | 7.25% |
abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 2.89% | 2.10% | 0.86% | -3.66% | 6.38% | N/A |
Monthly Returns
The table below presents the monthly returns of AA1_Optimized, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.16% | 2.94% | 2.67% | -2.35% | 3.35% | 1.95% | 1.71% | 2.09% | 14.83% | ||||
2023 | 5.68% | -3.85% | 1.72% | 1.10% | -1.69% | 4.23% | 2.78% | -2.27% | -3.41% | -2.60% | 7.12% | 4.07% | 12.82% |
2022 | -3.37% | -1.98% | 2.19% | -4.85% | -0.08% | -6.14% | 5.26% | -3.43% | -8.59% | 4.63% | 6.19% | -3.54% | -13.98% |
2021 | -0.09% | 1.91% | 2.80% | 4.05% | 1.84% | 1.66% | 1.30% | 1.71% | -3.70% | 4.46% | -2.04% | 3.61% | 18.59% |
2020 | 3.09% | 2.04% | 4.91% | 3.92% | -2.31% | -1.96% | 8.62% | 3.77% | 23.83% |
Expense Ratio
AA1_Optimized features an expense ratio of 0.29%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of AA1_Optimized is 53, 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.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
WisdomTree U.S. Efficient Core Fund | 2.33 | 3.14 | 1.40 | 1.33 | 14.33 |
Vanguard FTSE Developed Markets ETF | 1.49 | 2.09 | 1.26 | 1.19 | 8.88 |
Vanguard FTSE Emerging Markets ETF | 1.26 | 1.81 | 1.22 | 0.62 | 7.08 |
iM DBi Managed Futures Strategy ETF | 0.34 | 0.53 | 1.07 | 0.22 | 0.74 |
6 Meridian Hedged Equity-Index Option Strategy ETF | 2.27 | 3.37 | 1.47 | 3.87 | 20.24 |
Vanguard Real Estate ETF | 1.45 | 2.10 | 1.27 | 0.78 | 5.81 |
abrdn Bloomberg All Commodity Strategy K-1 Free ETF | -0.29 | -0.32 | 0.96 | -0.14 | -0.63 |
Dividends
Dividend yield
AA1_Optimized granted a 2.23% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
AA1_Optimized | 2.23% | 2.41% | 3.80% | 3.48% | 1.48% | 2.75% | 1.55% | 1.31% | 1.17% | 1.17% | 1.17% | 1.10% |
Portfolio components: | ||||||||||||
WisdomTree U.S. Efficient Core Fund | 1.06% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Vanguard FTSE Developed Markets ETF | 2.86% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
Vanguard FTSE Emerging Markets ETF | 2.66% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
iM DBi Managed Futures Strategy ETF | 4.12% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
6 Meridian Hedged Equity-Index Option Strategy ETF | 1.54% | 2.04% | 2.06% | 1.65% | 1.10% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Vanguard Real Estate ETF | 3.63% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 3.82% | 3.93% | 19.98% | 19.43% | 0.68% | 1.47% | 1.13% | 5.02% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the AA1_Optimized. 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 AA1_Optimized was 20.37%, occurring on Oct 14, 2022. Recovery took 345 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-20.37% | Dec 31, 2021 | 199 | Oct 14, 2022 | 345 | Mar 1, 2024 | 544 |
-6.36% | Sep 3, 2020 | 14 | Sep 23, 2020 | 33 | Nov 9, 2020 | 47 |
-6.05% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
-5.28% | Jun 9, 2020 | 3 | Jun 11, 2020 | 23 | Jul 15, 2020 | 26 |
-4.59% | Nov 17, 2021 | 10 | Dec 1, 2021 | 17 | Dec 27, 2021 | 27 |
Volatility
Volatility Chart
The current AA1_Optimized volatility is 3.34%, 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.
Diversification
Asset Correlations Table
DBMF | BCI | SIXH | VNQ | VWO | NTSX | VEA | |
---|---|---|---|---|---|---|---|
DBMF | 1.00 | 0.18 | 0.05 | -0.05 | 0.08 | 0.01 | 0.08 |
BCI | 0.18 | 1.00 | 0.23 | 0.19 | 0.37 | 0.25 | 0.39 |
SIXH | 0.05 | 0.23 | 1.00 | 0.46 | 0.34 | 0.44 | 0.50 |
VNQ | -0.05 | 0.19 | 0.46 | 1.00 | 0.45 | 0.68 | 0.63 |
VWO | 0.08 | 0.37 | 0.34 | 0.45 | 1.00 | 0.62 | 0.78 |
NTSX | 0.01 | 0.25 | 0.44 | 0.68 | 0.62 | 1.00 | 0.76 |
VEA | 0.08 | 0.39 | 0.50 | 0.63 | 0.78 | 0.76 | 1.00 |