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All ETFs

Last updated Feb 24, 2024

1. S&P500: IVV 2. NASDAQ: QQQ, QQQM 3. Mid-Cap: VO 4. Growth: VUG, SPYG 5. Europe: VGK 6. China: CNYA, MCHI 7. India: FLIN 8. Long-Term Inv Grd Bond: VCLT 9. Collateralized loan obligation: AAA, JAAA

Asset Allocation


VCLT 10%AAA 10%CNYA 10%MCHI 10%IVV 10%QQQ 10%VUG 10%VGK 10%FLIN 10%VO 10%BondBondEquityEquity
PositionCategory/SectorWeight
VCLT
Vanguard Long-Term Corporate Bond ETF
Corporate Bonds

10%

AAA
AAF First Priority CLO Bond ETF
Corporate Bonds, Actively Managed

10%

CNYA
iShares MSCI China A ETF
China Equities

10%

MCHI
iShares MSCI China ETF
China Equities

10%

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

10%

QQQ
Invesco QQQ
Large Cap Blend Equities

10%

VUG
Vanguard Growth ETF
Large Cap Growth Equities

10%

VGK
Vanguard FTSE Europe ETF
Europe Equities

10%

FLIN
Franklin FTSE India ETF
Asia Pacific Equities

10%

VO
Vanguard Mid-Cap ETF
Mid Cap Growth Equities

10%

S&P 500

Performance

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


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
9.98%
15.51%
All ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2020, corresponding to the inception date of AAA

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%
All ETFs2.95%3.21%9.98%16.55%N/AN/A
CNYA
iShares MSCI China A ETF
0.23%4.48%-4.02%-16.24%1.14%N/A
MCHI
iShares MSCI China ETF
-2.06%3.74%-6.57%-13.59%-6.45%0.87%
IVV
iShares Core S&P 500 ETF
6.85%4.08%16.35%30.24%14.65%12.73%
QQQ
Invesco QQQ
6.66%2.45%20.46%50.69%21.21%18.14%
VUG
Vanguard Growth ETF
8.99%4.77%21.60%47.95%18.29%14.78%
VGK
Vanguard FTSE Europe ETF
1.55%3.35%10.38%13.94%7.64%4.27%
FLIN
Franklin FTSE India ETF
5.99%5.74%19.10%35.60%12.71%N/A
VO
Vanguard Mid-Cap ETF
2.38%3.16%11.71%13.04%10.04%9.38%
VCLT
Vanguard Long-Term Corporate Bond ETF
-3.07%-1.13%5.97%6.15%1.25%3.10%
AAA
AAF First Priority CLO Bond ETF
1.29%0.63%4.67%8.43%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.32%
20233.83%-3.26%-3.40%-2.73%7.34%3.83%

Sharpe Ratio

The current All ETFs Sharpe ratio is 1.44. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.44

The Sharpe ratio of All ETFs is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.44
2.23
All ETFs
Benchmark (^GSPC)
Portfolio components

Dividend yield

All ETFs granted a 2.65% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All ETFs2.65%2.65%2.08%1.48%1.26%1.58%2.12%1.43%1.68%1.67%1.70%1.52%
CNYA
iShares MSCI China A ETF
4.22%4.23%2.69%1.11%1.06%1.21%3.92%0.97%1.38%0.00%0.00%0.00%
MCHI
iShares MSCI China ETF
3.57%3.49%2.14%1.03%1.03%1.44%1.58%1.54%1.64%2.76%2.35%2.37%
IVV
iShares Core S&P 500 ETF
1.35%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%1.80%
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%
VUG
Vanguard Growth ETF
0.53%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%
VGK
Vanguard FTSE Europe ETF
3.10%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
FLIN
Franklin FTSE India ETF
0.69%0.73%0.73%2.27%0.68%0.90%0.92%0.00%0.00%0.00%0.00%0.00%
VO
Vanguard Mid-Cap ETF
1.48%1.52%1.60%1.12%1.45%1.48%1.82%1.35%1.45%1.47%1.29%1.17%
VCLT
Vanguard Long-Term Corporate Bond ETF
4.88%4.67%4.44%3.07%3.16%3.81%4.55%4.01%4.33%4.68%4.29%4.83%
AAA
AAF First Priority CLO Bond ETF
6.08%6.11%2.78%1.05%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The All ETFs has a high expense ratio of 0.21%, 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.


0.60%
0.00%2.15%
0.59%
0.00%2.15%
0.25%
0.00%2.15%
0.20%
0.00%2.15%
0.19%
0.00%2.15%
0.08%
0.00%2.15%
0.04%
0.00%2.15%
0.04%
0.00%2.15%
0.04%
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
All ETFs
1.44
CNYA
iShares MSCI China A ETF
-1.05
MCHI
iShares MSCI China ETF
-0.64
IVV
iShares Core S&P 500 ETF
2.39
QQQ
Invesco QQQ
2.99
VUG
Vanguard Growth ETF
2.92
VGK
Vanguard FTSE Europe ETF
0.86
FLIN
Franklin FTSE India ETF
2.99
VO
Vanguard Mid-Cap ETF
0.86
VCLT
Vanguard Long-Term Corporate Bond ETF
0.47
AAA
AAF First Priority CLO Bond ETF
4.78

Asset Correlations Table

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

AAAVCLTCNYAMCHIFLINVGKVOQQQVUGIVV
AAA1.000.00-0.040.010.010.000.00-0.05-0.04-0.04
VCLT0.001.000.090.130.190.260.300.320.330.29
CNYA-0.040.091.000.760.310.430.370.360.350.36
MCHI0.010.130.761.000.400.500.460.470.460.43
FLIN0.010.190.310.401.000.630.570.520.530.58
VGK0.000.260.430.500.631.000.780.660.680.77
VO0.000.300.370.460.570.781.000.810.840.93
QQQ-0.050.320.360.470.520.660.811.000.990.92
VUG-0.040.330.350.460.530.680.840.991.000.93
IVV-0.040.290.360.430.580.770.930.920.931.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-4.49%
0
All ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All ETFs. 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 All ETFs was 26.85%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current All ETFs drawdown is 4.49%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.85%Nov 9, 2021235Oct 14, 2022
-6.98%Feb 18, 202113Mar 8, 202159Jun 1, 202172
-4.97%Oct 13, 202014Oct 30, 20204Nov 5, 202018
-4.56%Sep 8, 202119Oct 4, 202115Oct 25, 202134
-3.73%Sep 16, 20207Sep 24, 20207Oct 5, 202014

Volatility Chart

The current All ETFs volatility is 3.01%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
3.01%
3.90%
All ETFs
Benchmark (^GSPC)
Portfolio components
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