2023Sept
Asset Allocation
Performance
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 Quarterly
Returns
As of Sep 21, 2023, the 2023Sept returned 18.39% Year-To-Date and 13.83% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | 8.51% | 9.93% |
| 2023Sept | -0.13% | 11.92% | 18.39% | 19.83% | 12.56% | 13.83% |
| Portfolio components: | ||||||
SOXX iShares PHLX Semiconductor ETF | -4.77% | 10.84% | 35.85% | 35.67% | 21.54% | 23.00% |
FNDF Schwab Fundamental International Large Company Index ETF | 3.51% | 9.33% | 13.96% | 24.75% | 5.08% | 4.86% |
VOO Vanguard S&P 500 ETF | 0.20% | 12.72% | 16.07% | 16.08% | 10.40% | 12.02% |
SCHD Schwab US Dividend Equity ETF | -0.53% | 4.93% | -1.48% | 6.73% | 9.83% | 11.19% |
QQQ Invesco QQQ | 0.32% | 19.42% | 37.50% | 27.11% | 15.58% | 17.60% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| FNDF | SOXX | SCHD | QQQ | VOO | |
|---|---|---|---|---|---|
| FNDF | 1.00 | 0.62 | 0.77 | 0.65 | 0.78 |
| SOXX | 0.62 | 1.00 | 0.65 | 0.82 | 0.77 |
| SCHD | 0.77 | 0.65 | 1.00 | 0.68 | 0.87 |
| QQQ | 0.65 | 0.82 | 0.68 | 1.00 | 0.90 |
| VOO | 0.78 | 0.77 | 0.87 | 0.90 | 1.00 |
Dividend yield
2023Sept granted a 2.18% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023Sept | 2.18% | 2.05% | 1.69% | 1.83% | 2.13% | 2.36% | 1.98% | 2.28% | 2.35% | 2.32% | 1.98% | 2.29% |
| Portfolio components: | ||||||||||||
SOXX iShares PHLX Semiconductor ETF | 0.97% | 1.26% | 0.65% | 0.83% | 1.28% | 1.44% | 0.96% | 1.16% | 1.40% | 1.72% | 1.32% | 1.41% |
FNDF Schwab Fundamental International Large Company Index ETF | 3.05% | 3.14% | 3.69% | 2.35% | 3.54% | 3.96% | 2.74% | 2.93% | 2.57% | 2.32% | 0.62% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.53% | 1.71% | 1.28% | 1.60% | 1.99% | 2.23% | 1.96% | 2.26% | 2.41% | 2.17% | 2.19% | 2.65% |
SCHD Schwab US Dividend Equity ETF | 4.49% | 3.48% | 2.96% | 3.46% | 3.39% | 3.60% | 3.18% | 3.59% | 3.81% | 3.47% | 3.34% | 3.98% |
QQQ Invesco QQQ | 0.59% | 0.81% | 0.43% | 0.56% | 0.76% | 0.94% | 0.87% | 1.11% | 1.05% | 1.51% | 1.10% | 1.39% |
Expense Ratio
The 2023Sept features an expense ratio of 0.15%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
SOXX iShares PHLX Semiconductor ETF | 0.99 | ||||
FNDF Schwab Fundamental International Large Company Index ETF | 1.33 | ||||
VOO Vanguard S&P 500 ETF | 0.85 | ||||
SCHD Schwab US Dividend Equity ETF | 0.36 | ||||
QQQ Invesco QQQ | 1.14 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the 2023Sept. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the 2023Sept is 31.95%, recorded on Mar 23, 2020. It took 84 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.95% | Feb 20, 2020 | 23 | Mar 23, 2020 | 84 | Jul 22, 2020 | 107 |
| -26.63% | Jan 5, 2022 | 194 | Oct 12, 2022 | — | — | — |
| -19.45% | Sep 21, 2018 | 65 | Dec 24, 2018 | 68 | Apr 3, 2019 | 133 |
| -13.42% | May 22, 2015 | 183 | Feb 11, 2016 | 76 | Jun 1, 2016 | 259 |
| -10.35% | Jan 29, 2018 | 9 | Feb 8, 2018 | 123 | Aug 6, 2018 | 132 |
Volatility Chart
The current 2023Sept volatility is 3.77%, 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.