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Index Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ANGL 5%QQQ 75%SPY 20%BondBondEquityEquity
PositionCategory/SectorWeight
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
High Yield Bonds

5%

QQQ
Invesco QQQ
Large Cap Blend Equities

75%

SPY
SPDR S&P 500 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 Index Portfolio, 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


300.00%400.00%500.00%600.00%FebruaryMarchAprilMayJuneJuly
601.97%
308.29%
Index Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 11, 2012, corresponding to the inception date of ANGL

Returns By Period

As of Jul 17, 2024, the Index Portfolio returned 20.22% Year-To-Date and 17.12% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.16%2.10%17.92%22.68%13.47%10.97%
Index Portfolio17.22%0.01%14.41%27.05%19.28%16.78%
QQQ
Invesco QQQ
17.99%-0.55%14.72%28.75%21.20%18.45%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
3.07%1.03%2.50%10.18%4.88%5.77%
SPY
SPDR S&P 500 ETF
17.92%1.87%16.18%24.89%15.24%12.91%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.73%4.97%1.69%-4.19%5.69%5.55%17.22%
20239.44%-0.86%8.07%0.67%5.95%6.13%3.60%-1.44%-4.86%-2.02%10.24%5.26%46.59%
2022-7.82%-4.03%4.16%-12.22%-1.02%-8.66%11.52%-4.80%-9.98%4.70%5.47%-7.95%-28.96%
2021-0.01%0.47%2.21%5.56%-0.76%5.28%2.68%3.81%-5.23%7.32%1.27%1.88%26.66%
20202.27%-6.17%-8.63%14.17%6.12%5.22%7.05%9.61%-5.11%-2.74%10.87%4.56%40.33%
20198.65%2.99%3.36%5.03%-7.56%7.27%2.09%-1.74%1.10%3.74%3.83%3.62%36.33%
20187.72%-1.78%-3.68%0.51%4.73%0.97%2.92%5.00%-0.07%-7.96%0.07%-8.33%-1.24%
20174.30%4.13%1.58%2.29%3.24%-1.63%3.53%1.65%0.24%3.94%2.09%0.73%29.22%
2016-6.26%-1.06%6.78%-1.99%3.57%-1.44%6.17%0.94%1.73%-1.45%1.07%1.34%9.04%
2015-2.03%6.68%-2.06%1.73%1.95%-2.34%3.86%-6.47%-2.26%10.35%0.44%-1.67%7.26%
2014-2.15%4.92%-1.91%-0.03%3.94%2.78%0.59%4.65%-0.92%2.45%3.95%-1.89%17.19%
20133.06%0.55%3.13%2.37%3.15%-2.25%5.91%-0.97%4.31%4.76%3.29%2.78%34.22%

Expense Ratio

Index Portfolio has an expense ratio of 0.19%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for ANGL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Index Portfolio is 62, 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 Index Portfolio is 6262
Index Portfolio
The Sharpe Ratio Rank of Index Portfolio is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of Index Portfolio is 5656Sortino Ratio Rank
The Omega Ratio Rank of Index Portfolio is 5959Omega Ratio Rank
The Calmar Ratio Rank of Index Portfolio is 6565Calmar Ratio Rank
The Martin Ratio Rank of Index Portfolio is 7171Martin 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.


Index Portfolio
Sharpe ratio
The chart of Sharpe ratio for Index Portfolio, currently valued at 1.81, compared to the broader market-1.000.001.002.003.004.005.001.81
Sortino ratio
The chart of Sortino ratio for Index Portfolio, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Omega ratio
The chart of Omega ratio for Index Portfolio, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for Index Portfolio, currently valued at 1.98, compared to the broader market0.002.004.006.008.0010.001.98
Martin ratio
The chart of Martin ratio for Index Portfolio, currently valued at 8.40, compared to the broader market0.0010.0020.0030.0040.008.40
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.005.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.94, compared to the broader market-2.000.002.004.006.002.94
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.66, compared to the broader market0.002.004.006.008.0010.001.66
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.83, compared to the broader market0.0010.0020.0030.0040.007.83

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.692.311.291.948.04
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
1.642.521.300.717.41
SPY
SPDR S&P 500 ETF
2.253.151.402.178.75

Sharpe Ratio

The current Index Portfolio Sharpe ratio is 2.14. 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 1.63 to 2.48, 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 Index Portfolio 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.81
2.10
Index Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Index Portfolio granted a 0.99% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Index Portfolio0.99%1.01%1.17%0.76%0.95%1.17%1.39%1.25%1.49%1.44%1.77%1.43%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
ANGL
VanEck Vectors Fallen Angel High Yield Bond ETF
5.88%5.27%4.72%3.90%4.67%5.19%5.99%5.25%5.76%5.81%6.80%6.10%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.28%
-1.39%
Index Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Index Portfolio. 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 Index Portfolio was 32.18%, occurring on Oct 14, 2022. Recovery took 291 trading sessions.

The current Index Portfolio drawdown is 0.81%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.18%Dec 28, 2021202Oct 14, 2022291Dec 12, 2023493
-28.96%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-21.29%Oct 2, 201858Dec 24, 201871Apr 8, 2019129
-14.8%Nov 4, 201568Feb 11, 2016106Jul 14, 2016174
-13.01%Jul 21, 201526Aug 25, 201548Nov 2, 201574

Volatility

Volatility Chart

The current Index Portfolio volatility is 4.25%, 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%FebruaryMarchAprilMayJuneJuly
4.25%
2.59%
Index Portfolio
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.

ANGLQQQSPY
ANGL1.000.470.51
QQQ0.471.000.90
SPY0.510.901.00
The correlation results are calculated based on daily price changes starting from Apr 12, 2012