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 every 3 months.
The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -12.30% | -8.99% | -11.89% | 3.84% | 13.06% | 9.34% |
| AA1_Optimized | -3.26% | -5.28% | -5.56% | 5.61% | N/A | N/A |
| Portfolio components: | ||||||
NTSX WisdomTree U.S. Efficient Core Fund | -10.03% | -8.28% | -10.26% | 5.83% | 9.85% | N/A |
VEA Vanguard FTSE Developed Markets ETF | 6.11% | -2.96% | 0.52% | 8.92% | 11.35% | 5.01% |
VWO Vanguard FTSE Emerging Markets ETF | -1.47% | -5.72% | -6.42% | 9.43% | 7.49% | 2.68% |
DBMF iM DBi Managed Futures Strategy ETF | -3.34% | -0.64% | -4.84% | -9.24% | 4.83% | N/A |
VNQ Vanguard Real Estate ETF | -3.57% | -4.84% | -9.27% | 12.09% | 7.12% | 4.42% |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 4.61% | -2.41% | 5.85% | 4.09% | 13.17% | N/A |
JEPI JPMorgan Equity Premium Income ETF | -6.69% | -7.04% | -8.20% | 2.43% | N/A | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.66% | 0.71% | -1.77% | -4.75% | -3.26% | ||||||||
| 2024 | -0.23% | 2.73% | 2.73% | -2.10% | 3.21% | 1.55% | 1.47% | 1.96% | 3.07% | -2.81% | 2.48% | -3.01% | 11.31% |
| 2023 | 5.49% | -3.94% | 1.67% | 1.01% | -2.15% | 4.45% | 3.10% | -2.49% | -3.32% | -2.45% | 6.44% | 3.71% | 11.32% |
| 2022 | -2.70% | -1.37% | 2.60% | -4.25% | -0.21% | -5.91% | 4.89% | -3.30% | -8.56% | 3.82% | 6.48% | -3.41% | -12.34% |
| 2021 | -0.01% | 2.28% | 2.42% | 4.30% | 1.80% | 1.52% | 1.10% | 1.41% | -3.09% | 4.36% | -2.54% | 3.72% | 18.34% |
| 2020 | 2.87% | 2.13% | 5.35% | 3.96% | -2.40% | -1.58% | 8.66% | 4.19% | 25.15% |
Expense Ratio
AA1_Optimized has an expense ratio of 0.24%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of AA1_Optimized is 55, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
NTSX WisdomTree U.S. Efficient Core Fund | 0.28 | 0.51 | 1.07 | 0.31 | 1.32 |
VEA Vanguard FTSE Developed Markets ETF | 0.52 | 0.85 | 1.11 | 0.66 | 1.99 |
VWO Vanguard FTSE Emerging Markets ETF | 0.51 | 0.84 | 1.11 | 0.47 | 1.64 |
DBMF iM DBi Managed Futures Strategy ETF | -0.83 | -1.05 | 0.87 | -0.53 | -0.97 |
VNQ Vanguard Real Estate ETF | 0.70 | 1.05 | 1.14 | 0.49 | 2.45 |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 0.37 | 0.61 | 1.08 | 0.20 | 0.90 |
JEPI JPMorgan Equity Premium Income ETF | 0.16 | 0.32 | 1.05 | 0.17 | 0.81 |
Dividends
Dividend yield
AA1_Optimized provided a 3.53% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.53% | 3.35% | 3.28% | 5.79% | 5.01% | 1.99% | 2.82% | 1.71% | 1.69% | 1.32% | 1.32% | 1.34% |
| Portfolio components: | ||||||||||||
NTSX WisdomTree U.S. Efficient Core Fund | 1.33% | 1.14% | 1.21% | 1.36% | 0.82% | 0.92% | 1.53% | 0.62% | 0.00% | 0.00% | 0.00% | 0.00% |
VEA Vanguard FTSE Developed Markets ETF | 3.09% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
VWO Vanguard FTSE Emerging Markets ETF | 3.27% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% |
DBMF iM DBi Managed Futures Strategy ETF | 6.07% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VNQ Vanguard Real Estate ETF | 4.27% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
BCI abrdn Bloomberg All Commodity Strategy K-1 Free ETF | 3.15% | 3.30% | 3.93% | 19.98% | 19.43% | 0.68% | 1.47% | 1.13% | 5.02% | 0.00% | 0.00% | 0.00% |
JEPI JPMorgan Equity Premium Income ETF | 8.22% | 7.33% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 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 18.58%, occurring on Oct 14, 2022. Recovery took 345 trading sessions.
The current AA1_Optimized drawdown is 8.15%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -18.58% | Dec 31, 2021 | 199 | Oct 14, 2022 | 345 | Mar 1, 2024 | 544 |
| -12.88% | Feb 21, 2025 | 33 | Apr 8, 2025 | — | — | — |
| -6.29% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
| -6.14% | Sep 3, 2020 | 14 | Sep 23, 2020 | 33 | Nov 9, 2020 | 47 |
| -4.98% | Jun 9, 2020 | 3 | Jun 11, 2020 | 16 | Jul 6, 2020 | 19 |
Volatility
Volatility Chart
The current AA1_Optimized volatility is 9.97%, 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
Diversification Metrics
Number of Effective Assets
The portfolio contains 7 assets, with an effective number of assets of 5.71, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| DBMF | BCI | VNQ | VWO | JEPI | NTSX | VEA | |
|---|---|---|---|---|---|---|---|
| DBMF | 1.00 | 0.20 | -0.03 | 0.11 | 0.08 | 0.05 | 0.11 |
| BCI | 0.20 | 1.00 | 0.18 | 0.37 | 0.22 | 0.23 | 0.37 |
| VNQ | -0.03 | 0.18 | 1.00 | 0.44 | 0.72 | 0.66 | 0.61 |
| VWO | 0.11 | 0.37 | 0.44 | 1.00 | 0.45 | 0.60 | 0.77 |
| JEPI | 0.08 | 0.22 | 0.72 | 0.45 | 1.00 | 0.75 | 0.67 |
| NTSX | 0.05 | 0.23 | 0.66 | 0.60 | 0.75 | 1.00 | 0.74 |
| VEA | 0.11 | 0.37 | 0.61 | 0.77 | 0.67 | 0.74 | 1.00 |