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MyPF
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MyPF

Last updated Jul 25, 2024

Asset Allocation

AVUV 27.5%AVDV 27.5%JPGL.L 18%AVES 10%IMOM 6%QMOM 6%AVEM 5%EquityEquity
PositionCategory/SectorWeight
AVDV
Avantis International Small Cap Value ETF		Foreign Small & Mid Cap Equities, Actively Managed

27.50%

AVEM
Avantis Emerging Markets Equity ETF		Foreign Large Cap Equities

5%

AVES
Avantis Emerging Markets Value ETF		Emerging Markets Equities, Actively Managed

10%

AVUV
Avantis U.S. Small Cap Value ETF		Small Cap Value Equities, Actively Managed

27.50%

IMOM
Alpha Architect International Quantitative Momentum ETF		Foreign Large Cap Equities

6%

JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		Global Equities

18%

QMOM
Alpha Architect U.S. Quantitative Momentum ETF		All Cap Equities

6%

S&P 500

Performance

Performance Chart

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

10.00%15.00%20.00%25.00%30.00%FebruaryMarchAprilMayJuneJuly
17.79%
25.34%
MyPF
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 30, 2021, corresponding to the inception date of AVES

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
MyPF8.55%3.68%9.34%15.41%N/AN/A
Portfolio components:
AVUV
Avantis U.S. Small Cap Value ETF		9.60%10.21%10.86%20.54%N/AN/A
AVDV
Avantis International Small Cap Value ETF		7.48%2.18%8.94%13.29%N/AN/A
IMOM
Alpha Architect International Quantitative Momentum ETF		4.21%0.33%1.22%9.41%3.30%N/A
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		15.83%-0.60%12.31%25.93%12.15%N/A
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		8.82%2.73%8.70%12.86%8.97%N/A
AVES
Avantis Emerging Markets Value ETF		5.37%-1.05%8.53%9.77%N/AN/A
AVEM
Avantis Emerging Markets Equity ETF		6.77%-2.02%9.74%10.10%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.17%3.02%4.37%-3.20%4.49%-1.82%8.55%
20237.53%-2.38%-1.86%0.36%-4.29%6.74%5.73%-3.42%-2.96%-3.94%8.20%7.55%16.99%
2022-3.78%0.08%1.37%-5.43%1.96%-10.57%6.58%-2.63%-10.07%8.28%8.76%-3.32%-10.56%
20212.96%-3.45%4.33%3.71%

Expense Ratio

MyPF features an expense ratio of 0.32%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

IMOM
Alpha Architect International Quantitative Momentum ETF
Expense ratio chart for IMOM: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
AVDV
Avantis International Small Cap Value ETF
Expense ratio chart for AVDV: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
AVES
Avantis Emerging Markets Value ETF
Expense ratio chart for AVES: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
AVEM
Avantis Emerging Markets Equity ETF
Expense ratio chart for AVEM: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
AVUV
Avantis U.S. Small Cap Value ETF
Expense ratio chart for AVUV: 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%
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
Expense ratio chart for JPGL.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of MyPF is 31, 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 MyPF is 3131
MyPF
The Sharpe Ratio Rank of MyPF is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of MyPF is 2727Sortino Ratio Rank
The Omega Ratio Rank of MyPF is 2626Omega Ratio Rank
The Calmar Ratio Rank of MyPF is 3939Calmar Ratio Rank
The Martin Ratio Rank of MyPF is 3737Martin 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.

MyPF
Sharpe ratio
The chart of Sharpe ratio for MyPF, currently valued at 1.30, compared to the broader market-1.000.001.002.003.004.001.30
Sortino ratio
The chart of Sortino ratio for MyPF, currently valued at 1.93, compared to the broader market-2.000.002.004.006.001.93
Omega ratio
The chart of Omega ratio for MyPF, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for MyPF, currently valued at 1.24, compared to the broader market0.002.004.006.008.001.24
Martin ratio
The chart of Martin ratio for MyPF, currently valued at 5.14, compared to the broader market0.0010.0020.0030.0040.005.14
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AVUV
Avantis U.S. Small Cap Value ETF		1.031.631.191.574.03
AVDV
Avantis International Small Cap Value ETF		1.131.671.201.104.90
IMOM
Alpha Architect International Quantitative Momentum ETF		0.731.141.130.352.79
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		1.281.861.220.955.92
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		1.422.131.261.265.81
AVES
Avantis Emerging Markets Value ETF		0.881.311.160.724.22
AVEM
Avantis Emerging Markets Equity ETF		0.851.281.150.613.96

Sharpe Ratio

The current MyPF Sharpe ratio is 1.15. 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 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of MyPF 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 Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.30
1.58
MyPF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MyPF granted a 2.03% dividend yield in the last twelve months.

TTM202320222021202020192018201720162015
MyPF2.03%2.14%2.32%1.29%0.91%0.29%0.05%0.07%0.05%0.00%
Portfolio components:
AVUV
Avantis U.S. Small Cap Value ETF		1.57%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF		3.14%3.29%3.17%2.39%1.67%0.37%0.00%0.00%0.00%0.00%
IMOM
Alpha Architect International Quantitative Momentum ETF		2.83%2.95%6.06%1.27%0.59%1.17%0.78%1.11%0.54%0.01%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		0.75%0.87%1.59%0.12%0.08%0.01%0.05%0.13%0.34%0.01%
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVES
Avantis Emerging Markets Value ETF		3.76%3.96%3.70%0.62%0.00%0.00%0.00%0.00%0.00%0.00%
AVEM
Avantis Emerging Markets Equity ETF		2.87%3.06%2.77%2.61%1.60%0.34%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.44%
-4.73%
MyPF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MyPF. 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 MyPF was 23.71%, occurring on Sep 26, 2022. Recovery took 314 trading sessions.

The current MyPF drawdown is 2.53%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.71%Nov 9, 2021229Sep 26, 2022314Dec 14, 2023543
-4.76%Apr 1, 202413Apr 17, 202416May 9, 202429
-4.04%Dec 28, 202314Jan 17, 202418Feb 12, 202432
-3.94%May 21, 202418Jun 14, 202419Jul 11, 202437
-2.62%Jul 17, 20246Jul 24, 2024———

Volatility

Volatility Chart

The current MyPF volatility is 3.50%, 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%FebruaryMarchAprilMayJuneJuly
3.50%
3.80%
MyPF
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.
JPGL.LQMOMAVUVAVEMAVESIMOMAVDV
JPGL.L1.000.410.500.470.480.540.62
QMOM0.411.000.790.580.580.680.69
AVUV0.500.791.000.620.610.640.77
AVEM0.470.580.621.000.960.700.78
AVES0.480.580.610.961.000.710.79
IMOM0.540.680.640.700.711.000.86
AVDV0.620.690.770.780.790.861.00
The correlation results are calculated based on daily price changes starting from Oct 1, 2021