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2023Sept
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2023Sept, 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.


200.00%250.00%300.00%350.00%400.00%December2025FebruaryMarchAprilMay
380.08%
240.93%
2023Sept
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 15, 2013, corresponding to the inception date of FNDF

Returns By Period

As of May 9, 2025, the 2023Sept returned -2.95% Year-To-Date and 13.64% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
2023Sept-2.95%13.78%-5.74%6.71%16.32%13.64%
SOXX
iShares PHLX Semiconductor ETF
-10.91%23.82%-17.51%-11.84%20.12%21.07%
FNDF
Schwab Fundamental International Large Company Index ETF
12.89%16.25%6.98%9.26%14.96%6.08%
VOO
Vanguard S&P 500 ETF
-3.28%13.71%-4.52%10.70%15.89%12.40%
SCHD
Schwab US Dividend Equity ETF
-4.79%6.00%-9.18%2.30%12.67%10.38%
QQQ
Invesco QQQ
-4.34%17.36%-4.62%11.64%17.57%17.21%
*Annualized

Monthly Returns

The table below presents the monthly returns of 2023Sept, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.30%-0.47%-4.48%-1.88%1.70%-2.95%
20240.98%4.67%3.30%-4.21%4.87%3.00%1.43%1.64%1.60%-1.46%4.12%-2.64%18.21%
20237.53%-1.70%4.39%-0.09%2.14%6.06%3.96%-2.03%-4.65%-3.13%9.35%6.12%30.38%
2022-5.47%-2.80%3.04%-9.09%1.77%-9.42%8.75%-4.62%-9.55%7.19%7.85%-5.92%-19.04%
2021-0.09%3.54%4.71%3.71%1.40%2.29%1.55%2.77%-4.31%6.02%0.39%4.22%29.09%
2020-0.46%-7.59%-11.18%12.72%5.19%3.11%5.74%7.28%-3.53%-1.63%13.06%4.18%26.67%
20197.84%3.58%2.33%4.83%-8.27%7.69%1.76%-1.80%2.60%3.03%3.31%3.57%33.79%
20186.36%-3.34%-2.71%-0.47%3.44%0.09%3.62%2.94%0.33%-7.65%1.69%-8.06%-4.77%
20172.43%3.42%1.36%1.12%3.04%-0.97%2.88%0.92%2.06%3.83%2.54%1.07%26.31%
2016-5.01%-0.35%7.00%-0.89%2.65%0.00%5.08%0.82%1.25%-1.48%2.63%2.11%14.13%
2015-2.67%6.40%-2.18%1.29%1.87%-3.27%1.56%-6.10%-2.09%9.35%0.44%-1.63%1.99%
2014-3.21%4.94%0.47%0.62%2.67%2.48%-1.25%3.94%-1.13%1.78%3.44%-1.27%13.96%

Expense Ratio

2023Sept has an expense ratio of 0.15%, 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 2023Sept is 21, meaning it’s performing worse than 79% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of 2023Sept is 2121
Overall Rank
The Sharpe Ratio Rank of 2023Sept is 1818
Sharpe Ratio Rank
The Sortino Ratio Rank of 2023Sept is 1919
Sortino Ratio Rank
The Omega Ratio Rank of 2023Sept is 2121
Omega Ratio Rank
The Calmar Ratio Rank of 2023Sept is 2323
Calmar Ratio Rank
The Martin Ratio Rank of 2023Sept is 2525
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SOXX
iShares PHLX Semiconductor ETF
-0.28-0.140.98-0.30-0.69
FNDF
Schwab Fundamental International Large Company Index ETF
0.540.861.120.661.93
VOO
Vanguard S&P 500 ETF
0.560.921.130.582.25
SCHD
Schwab US Dividend Equity ETF
0.140.351.050.170.57
QQQ
Invesco QQQ
0.470.811.110.511.67

The current 2023Sept Sharpe ratio is 0.34. 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 0.44 to 0.96, 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 2023Sept 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.34
0.48
2023Sept
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2023Sept provided a 2.04% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.04%1.93%1.92%2.02%1.62%1.71%1.95%2.10%1.73%1.95%1.96%1.92%
SOXX
iShares PHLX Semiconductor ETF
0.77%0.67%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%
FNDF
Schwab Fundamental International Large Company Index ETF
3.56%4.01%3.41%3.10%3.54%2.17%3.20%3.47%2.32%2.42%2.08%1.83%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
SCHD
Schwab US Dividend Equity ETF
4.03%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%
QQQ
Invesco QQQ
0.61%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%

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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-7.53%
-7.82%
2023Sept
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2023Sept. 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 2023Sept was 31.95%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.

The current 2023Sept drawdown is 7.53%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.95%Feb 20, 202023Mar 23, 202084Jul 22, 2020107
-26.63%Jan 5, 2022194Oct 12, 2022292Dec 11, 2023486
-19.45%Sep 21, 201865Dec 24, 201868Apr 3, 2019133
-18.73%Feb 20, 202534Apr 8, 2025
-13.42%May 22, 2015183Feb 11, 201676Jun 1, 2016259

Volatility

Volatility Chart

The current 2023Sept volatility is 11.53%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
11.53%
11.21%
2023Sept
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 4.28, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCFNDFSOXXSCHDQQQVOOPortfolio
^GSPC1.000.760.770.840.911.000.98
FNDF0.761.000.600.750.640.770.79
SOXX0.770.601.000.610.830.770.86
SCHD0.840.750.611.000.640.840.84
QQQ0.910.640.830.641.000.900.93
VOO1.000.770.770.840.901.000.98
Portfolio0.980.790.860.840.930.981.00
The correlation results are calculated based on daily price changes starting from Aug 16, 2013