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Denari_2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


FLOT 50%IAU 10%URA 15%SMH 5%MSFT 5%AAPL 5%NVDA 5%GOOG 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology
5%
FLOT
iShares Floating Rate Bond ETF
Corporate Bonds
50%
GOOG
Alphabet Inc.
Communication Services
5%
IAU
iShares Gold Trust
Precious Metals, Gold
10%
MSFT
Microsoft Corporation
Technology
5%
NVDA
NVIDIA Corporation
Technology
5%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities
5%
URA
Global X Uranium ETF
Commodity Producers Equities
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Denari_2023, 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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
11.77%
15.83%
Denari_2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 27, 2014, corresponding to the inception date of GOOG

Returns By Period

As of Oct 30, 2024, the Denari_2023 returned 21.21% Year-To-Date and 12.88% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Denari_202321.21%3.48%11.77%29.69%18.31%12.88%
IAU
iShares Gold Trust
34.15%4.53%20.92%38.56%12.74%8.78%
FLOT
iShares Floating Rate Bond ETF
5.49%0.53%2.95%6.57%2.97%2.31%
URA
Global X Uranium ETF
15.01%9.35%10.70%31.11%27.91%6.66%
SMH
VanEck Vectors Semiconductor ETF
46.92%3.71%20.01%87.35%35.34%29.33%
MSFT
Microsoft Corporation
15.50%0.92%11.35%29.02%25.92%26.89%
AAPL
Apple Inc
21.83%2.58%37.53%37.92%31.28%25.64%
NVDA
NVIDIA Corporation
185.29%16.35%63.51%243.27%95.48%77.28%
GOOG
Alphabet Inc.
21.73%3.54%4.20%36.43%22.26%19.98%

Monthly Returns

The table below presents the monthly returns of Denari_2023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.24%1.39%3.48%0.11%5.40%0.88%-0.36%-0.84%2.63%21.21%
20236.99%-0.78%3.91%0.97%4.08%2.96%2.50%1.03%0.10%0.45%4.63%1.70%32.22%
2022-3.77%2.38%2.44%-6.08%-1.31%-5.06%6.03%-1.03%-6.29%1.32%5.21%-3.29%-9.95%
2021-0.40%3.15%1.24%3.17%2.88%1.56%0.27%2.47%-0.17%5.32%1.30%-0.20%22.45%
20200.21%-1.33%-5.18%9.27%3.45%2.41%4.30%5.27%-3.65%-0.83%3.47%6.36%25.31%
20193.74%1.15%2.23%1.06%-3.77%4.20%0.29%0.06%1.29%2.23%1.30%3.06%17.90%
20182.43%-1.60%-1.76%1.17%2.16%-1.11%1.54%1.65%0.51%-4.07%-0.88%-2.60%-2.77%
20176.80%0.26%-0.43%-1.46%2.91%-0.74%3.20%0.91%-0.53%1.10%2.69%1.33%16.93%
2016-2.29%0.67%4.66%-0.52%0.88%0.89%3.05%0.60%0.81%-0.91%1.17%3.31%12.84%
2015-1.43%3.00%-2.19%3.40%-0.64%-4.18%-1.50%-0.33%-1.42%4.66%-0.48%0.60%-0.86%
2014-2.12%0.62%0.89%-0.02%1.92%-3.06%-1.49%2.93%-2.03%-2.49%

Expense Ratio

Denari_2023 has an expense ratio of 0.25%, 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 URA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for SMH: 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 IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for FLOT: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Denari_2023 is 49, 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 Denari_2023 is 4949
Combined Rank
The Sharpe Ratio Rank of Denari_2023 is 5151Sharpe Ratio Rank
The Sortino Ratio Rank of Denari_2023 is 5252Sortino Ratio Rank
The Omega Ratio Rank of Denari_2023 is 5454Omega Ratio Rank
The Calmar Ratio Rank of Denari_2023 is 6565Calmar Ratio Rank
The Martin Ratio Rank of Denari_2023 is 2626Martin 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.


Denari_2023
Sharpe ratio
The chart of Sharpe ratio for Denari_2023, currently valued at 3.01, compared to the broader market0.002.004.006.003.01
Sortino ratio
The chart of Sortino ratio for Denari_2023, currently valued at 4.07, compared to the broader market-2.000.002.004.006.004.07
Omega ratio
The chart of Omega ratio for Denari_2023, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for Denari_2023, currently valued at 3.72, compared to the broader market0.005.0010.003.72
Martin ratio
The chart of Martin ratio for Denari_2023, currently valued at 12.83, compared to the broader market0.0010.0020.0030.0040.0050.0060.0012.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IAU
iShares Gold Trust
2.683.611.465.5317.31
FLOT
iShares Floating Rate Bond ETF
8.2415.114.7314.85164.49
URA
Global X Uranium ETF
0.931.461.171.112.79
SMH
VanEck Vectors Semiconductor ETF
2.542.991.413.509.92
MSFT
Microsoft Corporation
1.692.261.292.065.37
AAPL
Apple Inc
1.762.521.322.395.67
NVDA
NVIDIA Corporation
4.844.431.589.2029.13
GOOG
Alphabet Inc.
1.512.031.281.754.55

Sharpe Ratio

The current Denari_2023 Sharpe ratio is 3.01. 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 2.49 to 3.44, 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 Denari_2023 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.01
3.43
Denari_2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Denari_2023 provided a 3.86% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Denari_20233.86%3.84%1.36%1.20%1.03%2.06%1.65%1.36%1.90%1.04%1.27%0.81%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FLOT
iShares Floating Rate Bond ETF
5.93%5.66%2.06%0.43%1.25%2.78%2.41%1.46%0.97%0.53%0.44%0.47%
URA
Global X Uranium ETF
5.36%6.07%0.76%5.84%1.69%1.66%0.44%2.03%7.28%1.96%4.28%0.54%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
MSFT
Microsoft Corporation
0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
AAPL
Apple Inc
0.42%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
GOOG
Alphabet Inc.
0.23%0.00%0.00%0.00%0.00%0.00%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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.19%
-0.54%
Denari_2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Denari_2023. 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 Denari_2023 was 19.99%, occurring on Mar 18, 2020. Recovery took 44 trading sessions.

The current Denari_2023 drawdown is 0.19%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.99%Feb 20, 202020Mar 18, 202044May 20, 202064
-17.02%Nov 10, 2021234Oct 14, 2022153May 25, 2023387
-10.59%Apr 29, 201583Aug 25, 2015197Jun 7, 2016280
-10.01%Oct 4, 201856Dec 24, 201869Apr 4, 2019125
-8.18%Jul 11, 202418Aug 5, 202449Oct 14, 202467

Volatility

Volatility Chart

The current Denari_2023 volatility is 2.14%, 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%6.00%MayJuneJulyAugustSeptemberOctober
2.14%
2.71%
Denari_2023
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.

IAUFLOTURAAAPLGOOGNVDAMSFTSMH
IAU1.000.050.21-0.000.02-0.00-0.000.00
FLOT0.051.000.130.080.080.050.070.08
URA0.210.131.000.330.340.340.350.42
AAPL-0.000.080.331.000.580.520.620.60
GOOG0.020.080.340.581.000.520.680.57
NVDA-0.000.050.340.520.521.000.580.80
MSFT-0.000.070.350.620.680.581.000.64
SMH0.000.080.420.600.570.800.641.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014