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457b
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

457b

Last updated Sep 21, 2024

Asset Allocation

FSPGX 26.32%QQQM 26.32%VINIX 26.17%VIEIX 13.69%FSSNX 7.5%EquityEquity
PositionCategory/SectorWeight
FSPGX
Fidelity Large Cap Growth Index Fund		Large Cap Growth Equities
26.32%
FSSNX
Fidelity Small Cap Index Fund		Small Cap Blend Equities
7.50%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
26.32%
VIEIX
Vanguard Extended Market Index Fund Institutional Shares		Mid Cap Blend Equities
13.69%
VINIX
Vanguard Institutional Index Fund Institutional Shares		Large Cap Blend Equities
26.17%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 457b, 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%AprilMayJuneJulyAugustSeptember
8.95%
8.95%
457b
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 13, 2020, corresponding to the inception date of QQQM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
457b18.88%2.53%8.95%35.14%N/AN/A
Portfolio components:
VINIX
Vanguard Institutional Index Fund Institutional Shares		20.75%2.49%9.67%33.89%15.61%13.20%
VIEIX
Vanguard Extended Market Index Fund Institutional Shares		11.17%3.67%5.85%28.98%10.29%9.49%
FSPGX
Fidelity Large Cap Growth Index Fund		23.42%2.51%10.13%40.61%19.37%N/A
FSSNX
Fidelity Small Cap Index Fund		11.05%3.74%8.28%27.34%8.96%8.91%
QQQM
Invesco NASDAQ 100 ETF		18.25%1.62%8.35%35.66%N/AN/A

Monthly Returns

The table below presents the monthly returns of 457b, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.96%5.83%2.36%-4.75%5.40%4.33%1.04%1.38%18.88%
20238.87%-1.39%4.54%0.36%3.39%6.91%4.02%-2.01%-5.10%-2.84%10.34%6.13%37.03%
2022-8.01%-2.98%3.38%-11.19%-1.25%-8.52%11.09%-4.07%-9.84%6.71%4.79%-7.28%-26.26%
20210.41%1.99%1.95%5.45%-0.57%4.56%1.79%3.34%-4.98%7.26%-0.47%2.26%24.87%
2020-7.64%12.34%5.21%9.17%

Expense Ratio

457b has an expense ratio of 0.07%, 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.

QQQM
Invesco NASDAQ 100 ETF
Expense ratio chart for QQQM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
VIEIX
Vanguard Extended Market Index Fund Institutional Shares
Expense ratio chart for VIEIX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
VINIX
Vanguard Institutional Index Fund Institutional Shares
Expense ratio chart for VINIX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
FSPGX
Fidelity Large Cap Growth Index Fund
Expense ratio chart for FSPGX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
FSSNX
Fidelity Small Cap Index Fund
Expense ratio chart for FSSNX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 457b is 42, 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 457b is 4242
457b
The Sharpe Ratio Rank of 457b is 4242Sharpe Ratio Rank
The Sortino Ratio Rank of 457b is 3838Sortino Ratio Rank
The Omega Ratio Rank of 457b is 4343Omega Ratio Rank
The Calmar Ratio Rank of 457b is 4747Calmar Ratio Rank
The Martin Ratio Rank of 457b is 4242Martin 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.

457b
Sharpe ratio
The chart of Sharpe ratio for 457b, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.002.10
Sortino ratio
The chart of Sortino ratio for 457b, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for 457b, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for 457b, currently valued at 2.01, compared to the broader market0.002.004.006.008.0010.002.01
Martin ratio
The chart of Martin ratio for 457b, currently valued at 11.86, compared to the broader market0.0010.0020.0030.0040.0011.86
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VINIX
Vanguard Institutional Index Fund Institutional Shares		2.463.291.442.7015.42
VIEIX
Vanguard Extended Market Index Fund Institutional Shares		1.401.981.240.827.59
FSPGX
Fidelity Large Cap Growth Index Fund		2.212.871.392.4311.02
FSSNX
Fidelity Small Cap Index Fund		1.171.751.200.816.21
QQQM
Invesco NASDAQ 100 ETF		1.872.481.332.418.85

Sharpe Ratio

The current 457b Sharpe ratio is 2.10. 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 1.91 to 2.59, 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 457b 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.10
2.32
457b
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

457b granted a 1.16% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
457b1.16%1.42%1.58%2.39%1.53%1.42%1.66%1.25%1.06%1.17%1.04%0.85%
Portfolio components:
VINIX
Vanguard Institutional Index Fund Institutional Shares		2.51%2.97%3.38%4.77%3.06%2.85%2.43%1.82%2.36%2.45%1.88%1.85%
VIEIX
Vanguard Extended Market Index Fund Institutional Shares		1.20%1.27%1.16%1.14%1.08%1.31%1.67%1.27%1.45%1.37%1.34%1.15%
FSPGX
Fidelity Large Cap Growth Index Fund		0.45%0.73%0.86%2.22%1.76%1.04%1.47%1.22%0.29%0.00%0.00%0.00%
FSSNX
Fidelity Small Cap Index Fund		1.11%1.43%1.26%3.92%0.94%2.96%5.39%3.67%2.27%4.53%4.80%2.82%
QQQM
Invesco NASDAQ 100 ETF		0.53%0.65%0.83%0.40%0.16%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.90%
-0.19%
457b
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 457b. 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 457b was 30.47%, occurring on Oct 14, 2022. Recovery took 300 trading sessions.

The current 457b drawdown is 0.90%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.47%Nov 22, 2021226Oct 14, 2022300Dec 26, 2023526
-10.61%Jul 17, 202414Aug 5, 2024———
-7.68%Feb 16, 202113Mar 4, 202124Apr 8, 202137
-7.64%Oct 14, 202013Oct 30, 20204Nov 5, 202017
-6.45%Apr 1, 202415Apr 19, 202418May 15, 202433

Volatility

Volatility Chart

The current 457b volatility is 5.48%, 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%7.00%8.00%AprilMayJuneJulyAugustSeptember
5.48%
4.31%
457b
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.
FSSNXQQQMVIEIXFSPGXVINIX
FSSNX1.000.690.970.710.80
QQQM0.691.000.780.990.92
VIEIX0.970.781.000.800.85
FSPGX0.710.990.801.000.94
VINIX0.800.920.850.941.00
The correlation results are calculated based on daily price changes starting from Oct 14, 2020