PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
My portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


PPA 14.29%SLYV 14.29%DGS 14.29%QUAL 14.29%INFL 14.29%VEA 14.29%VTI 14.29%EquityEquity
PositionCategory/SectorWeight
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
Asia Pacific Equities

14.29%

INFL
Horizon Kinetics Inflation Beneficiaries ETF
Global Equities, Actively Managed

14.29%

PPA
Invesco Aerospace & Defense ETF
Industrials Equities, Aerospace & Defense

14.29%

QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities

14.29%

SLYV
SPDR S&P 600 Small Cap Value ETF
Small Cap Value Equities

14.29%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

14.29%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

14.29%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in My portfolio, 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%20.00%NovemberDecember2024FebruaryMarchApril
17.82%
19.36%
My portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 12, 2021, corresponding to the inception date of INFL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
My portfolio3.68%-1.42%17.83%16.30%N/AN/A
PPA
Invesco Aerospace & Defense ETF
9.12%0.06%24.81%24.54%11.54%13.31%
SLYV
SPDR S&P 600 Small Cap Value ETF
-4.35%-1.43%17.66%8.50%7.01%7.67%
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
0.50%-1.32%13.84%14.01%5.58%4.67%
QUAL
iShares Edge MSCI USA Quality Factor ETF
7.40%-4.20%19.84%27.71%13.20%12.77%
INFL
Horizon Kinetics Inflation Beneficiaries ETF
4.30%2.38%9.91%6.21%N/AN/A
VEA
Vanguard FTSE Developed Markets ETF
2.62%-2.14%17.47%8.86%6.43%4.75%
VTI
Vanguard Total Stock Market ETF
6.01%-3.06%20.57%24.07%12.72%11.99%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.67%4.21%3.68%
2023-4.38%-2.67%7.99%6.00%

Expense Ratio

The My portfolio has a high expense ratio of 0.35%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for INFL: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for DGS: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for PPA: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
Expense ratio chart for SLYV: 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%
Expense ratio chart for QUAL: 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%
Expense ratio chart for VEA: 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%
Expense ratio chart for VTI: 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 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.


My portfolio
Sharpe ratio
The chart of Sharpe ratio for My portfolio, currently valued at 1.38, compared to the broader market-1.000.001.002.003.004.005.001.38
Sortino ratio
The chart of Sortino ratio for My portfolio, currently valued at 2.03, compared to the broader market0.002.004.006.002.03
Omega ratio
The chart of Omega ratio for My portfolio, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.801.24
Calmar ratio
The chart of Calmar ratio for My portfolio, currently valued at 1.55, compared to the broader market0.002.004.006.008.001.55
Martin ratio
The chart of Martin ratio for My portfolio, currently valued at 4.78, compared to the broader market0.0010.0020.0030.0040.0050.004.78
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PPA
Invesco Aerospace & Defense ETF
1.882.791.322.849.25
SLYV
SPDR S&P 600 Small Cap Value ETF
0.400.761.080.371.20
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
1.111.651.201.093.71
QUAL
iShares Edge MSCI USA Quality Factor ETF
2.193.151.381.8511.67
INFL
Horizon Kinetics Inflation Beneficiaries ETF
0.490.751.090.461.68
VEA
Vanguard FTSE Developed Markets ETF
0.711.091.130.552.19
VTI
Vanguard Total Stock Market ETF
1.982.851.341.547.69

Sharpe Ratio

The current My portfolio Sharpe ratio is 1.38. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.38

The Sharpe ratio of My portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.38
1.92
My portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

My portfolio granted a 2.14% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
My portfolio2.14%2.11%2.21%1.86%1.55%1.85%2.10%2.18%2.03%2.54%2.59%1.61%
PPA
Invesco Aerospace & Defense ETF
0.62%0.67%0.83%0.59%0.88%0.95%0.90%0.67%1.70%1.41%0.62%1.26%
SLYV
SPDR S&P 600 Small Cap Value ETF
2.28%2.11%1.47%1.94%1.40%1.66%2.14%5.53%2.18%6.55%7.50%1.58%
DGS
WisdomTree Emerging Markets SmallCap Divdend Fund
4.40%4.55%5.34%3.98%3.69%3.95%4.24%2.81%3.42%3.28%3.20%3.45%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.15%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
INFL
Horizon Kinetics Inflation Beneficiaries ETF
1.77%1.60%1.65%0.91%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
VTI
Vanguard Total Stock Market ETF
1.41%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.41%
-3.50%
My portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the My portfolio. 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 My portfolio was 21.48%, occurring on Sep 30, 2022. Recovery took 202 trading sessions.

The current My portfolio drawdown is 2.41%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.48%Nov 9, 2021225Sep 30, 2022202Jul 24, 2023427
-10.57%Aug 1, 202363Oct 27, 202332Dec 13, 202395
-4.34%Jan 21, 20217Jan 29, 20215Feb 5, 202112
-4.18%Sep 3, 202111Sep 20, 202122Oct 20, 202133
-4.15%Jun 9, 202128Jul 19, 202117Aug 11, 202145

Volatility

Volatility Chart

The current My portfolio volatility is 3.30%, 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%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.30%
3.58%
My portfolio
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.

DGSPPAINFLSLYVQUALVEAVTI
DGS1.000.520.670.560.620.800.66
PPA0.521.000.700.770.710.670.76
INFL0.670.701.000.730.660.770.72
SLYV0.560.770.731.000.690.720.78
QUAL0.620.710.660.691.000.780.97
VEA0.800.670.770.720.781.000.83
VTI0.660.760.720.780.970.831.00