FINC 699 Portfolio
2024 FINC 699 Project
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in FINC 699 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
The earliest data available for this chart is Nov 30, 2020, corresponding to the inception date of SOFI
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.42% | 2.28% | 9.95% | 25.31% | 14.08% | 10.95% |
| FINC 699 Portfolio | 16.06% | 8.15% | -2.28% | 33.39% | N/A | N/A |
| Portfolio components: | ||||||
AAPL Apple Inc | 19.39% | 4.28% | 31.11% | 21.49% | 35.37% | 25.92% |
META Meta Platforms, Inc. | 47.58% | 6.80% | 4.74% | 76.25% | 23.02% | 21.19% |
NVDA NVIDIA Corporation | 141.08% | 11.28% | 40.06% | 146.15% | 95.82% | 74.27% |
MSFT Microsoft Corporation | 11.54% | 2.30% | 0.90% | 27.87% | 25.98% | 26.94% |
AMD Advanced Micro Devices, Inc. | 0.78% | 12.12% | -27.66% | 35.73% | 36.48% | 43.06% |
SOFI SoFi Technologies, Inc. | -19.70% | 20.15% | -6.88% | -9.10% | N/A | N/A |
JPM JPMorgan Chase & Co. | 34.49% | 12.89% | 21.79% | 56.96% | 18.86% | 17.42% |
BMO Bank of Montreal | -12.32% | 3.58% | -6.17% | 2.20% | 8.81% | 5.12% |
HSBC HSBC Holdings plc | 16.82% | 8.92% | 22.12% | 27.82% | 9.19% | 3.54% |
PNC The PNC Financial Services Group, Inc. | 23.15% | 8.88% | 22.78% | 58.10% | 11.56% | 11.44% |
AMZN Amazon.com, Inc. | 17.48% | 6.31% | 0.52% | 29.24% | 15.01% | 26.47% |
LULU Lululemon Athletica Inc. | -49.25% | 9.94% | -42.44% | -35.80% | 7.05% | 20.56% |
TJX The TJX Companies, Inc. | 26.34% | 4.01% | 20.61% | 28.41% | 17.95% | 16.15% |
DIS The Walt Disney Company | 0.56% | 0.90% | -20.14% | 11.58% | -7.77% | 0.87% |
HD The Home Depot, Inc. | 8.37% | 4.31% | -1.27% | 13.51% | 12.96% | 17.73% |
Monthly Returns
The table below presents the monthly returns of FINC 699 Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.27% | 12.71% | 0.38% | -6.71% | 4.97% | 2.57% | -3.08% | 16.06% | |||||
| 2023 | 18.42% | 3.38% | 11.50% | 1.89% | 7.26% | 8.05% | 5.71% | -4.80% | -4.38% | -2.22% | 12.41% | 10.43% | 88.26% |
| 2022 | -10.16% | -3.55% | 0.77% | -16.39% | 0.18% | -14.94% | 14.50% | -4.96% | -14.67% | 5.72% | 10.13% | -10.98% | -40.12% |
| 2021 | 3.75% | -2.09% | -0.57% | 6.59% | 1.17% | 8.69% | 2.40% | 3.99% | -4.52% | 11.51% | 6.96% | -3.42% | 38.63% |
| 2020 | 5.15% | 5.15% |
Expense Ratio
FINC 699 Portfolio has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of FINC 699 Portfolio is 37, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AAPL Apple Inc | 1.01 | 1.56 | 1.19 | 1.36 | 2.99 |
META Meta Platforms, Inc. | 2.10 | 2.98 | 1.40 | 3.14 | 12.75 |
NVDA NVIDIA Corporation | 2.84 | 3.28 | 1.41 | 5.26 | 16.32 |
MSFT Microsoft Corporation | 1.40 | 1.89 | 1.24 | 1.80 | 5.87 |
AMD Advanced Micro Devices, Inc. | 0.83 | 1.41 | 1.18 | 0.93 | 2.22 |
SOFI SoFi Technologies, Inc. | -0.15 | 0.20 | 1.02 | -0.11 | -0.34 |
JPM JPMorgan Chase & Co. | 3.05 | 3.52 | 1.55 | 3.45 | 19.44 |
BMO Bank of Montreal | 0.13 | 0.31 | 1.04 | 0.08 | 0.35 |
HSBC HSBC Holdings plc | 1.24 | 1.57 | 1.23 | 1.93 | 5.98 |
PNC The PNC Financial Services Group, Inc. | 2.35 | 3.19 | 1.40 | 1.27 | 14.10 |
AMZN Amazon.com, Inc. | 1.13 | 1.66 | 1.21 | 0.90 | 4.99 |
LULU Lululemon Athletica Inc. | -0.88 | -1.12 | 0.84 | -0.57 | -1.14 |
TJX The TJX Companies, Inc. | 1.70 | 2.46 | 1.31 | 3.37 | 8.48 |
DIS The Walt Disney Company | 0.30 | 0.63 | 1.08 | 0.13 | 0.64 |
HD The Home Depot, Inc. | 0.70 | 1.12 | 1.13 | 0.47 | 1.52 |
Dividends
Dividend yield
FINC 699 Portfolio granted a 0.77% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| FINC 699 Portfolio | 0.77% | 0.66% | 0.60% | 0.44% | 0.41% | 0.86% | 1.07% | 0.88% | 1.01% | 1.15% | 1.10% | 1.18% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.43% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% | 1.67% | 2.10% |
META Meta Platforms, Inc. | 0.19% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NVDA NVIDIA Corporation | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.30% | 0.46% | 1.19% | 1.68% | 1.95% |
MSFT Microsoft Corporation | 0.72% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% | 2.59% |
AMD Advanced Micro Devices, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SOFI SoFi Technologies, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JPM JPMorgan Chase & Co. | 1.96% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
BMO Bank of Montreal | 5.29% | 4.34% | 4.64% | 3.16% | 4.11% | 3.97% | 4.52% | 3.42% | 3.56% | 4.53% | 3.94% | 4.31% |
HSBC HSBC Holdings plc | 6.86% | 6.54% | 4.33% | 3.62% | 0.00% | 6.52% | 6.20% | 4.94% | 6.35% | 6.33% | 5.19% | 4.35% |
PNC The PNC Financial Services Group, Inc. | 3.38% | 3.94% | 3.64% | 2.39% | 3.09% | 2.63% | 2.91% | 1.80% | 1.81% | 2.11% | 2.06% | 2.22% |
AMZN Amazon.com, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LULU Lululemon Athletica Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TJX The TJX Companies, Inc. | 1.21% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% | 0.86% |
DIS The Walt Disney Company | 0.83% | 0.33% | 0.00% | 0.00% | 0.00% | 1.22% | 1.57% | 1.51% | 1.43% | 1.30% | 1.22% | 1.13% |
HD The Home Depot, Inc. | 2.40% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% | 1.89% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the FINC 699 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 FINC 699 Portfolio was 47.26%, occurring on Oct 14, 2022. Recovery took 289 trading sessions.
The current FINC 699 Portfolio drawdown is 5.53%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -47.26% | Nov 22, 2021 | 226 | Oct 14, 2022 | 289 | Dec 8, 2023 | 515 |
| -15.68% | Jul 11, 2024 | 20 | Aug 7, 2024 | — | — | — |
| -12.55% | Feb 17, 2021 | 14 | Mar 8, 2021 | 60 | Jun 2, 2021 | 74 |
| -11.4% | Mar 8, 2024 | 30 | Apr 19, 2024 | 53 | Jul 8, 2024 | 83 |
| -6.82% | Sep 10, 2021 | 17 | Oct 4, 2021 | 10 | Oct 18, 2021 | 27 |
Volatility
Volatility Chart
The current FINC 699 Portfolio volatility is 7.87%, 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.
Diversification
Asset Correlations Table
| HSBC | SOFI | TJX | HD | JPM | PNC | LULU | BMO | AMD | DIS | META | AAPL | NVDA | AMZN | MSFT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HSBC | 1.00 | 0.20 | 0.31 | 0.22 | 0.53 | 0.52 | 0.23 | 0.56 | 0.23 | 0.34 | 0.25 | 0.20 | 0.24 | 0.20 | 0.19 |
| SOFI | 0.20 | 1.00 | 0.31 | 0.33 | 0.32 | 0.37 | 0.40 | 0.37 | 0.44 | 0.42 | 0.42 | 0.37 | 0.42 | 0.44 | 0.37 |
| TJX | 0.31 | 0.31 | 1.00 | 0.50 | 0.44 | 0.43 | 0.45 | 0.42 | 0.30 | 0.46 | 0.36 | 0.37 | 0.32 | 0.36 | 0.37 |
| HD | 0.22 | 0.33 | 0.50 | 1.00 | 0.37 | 0.43 | 0.46 | 0.41 | 0.34 | 0.40 | 0.34 | 0.41 | 0.35 | 0.41 | 0.43 |
| JPM | 0.53 | 0.32 | 0.44 | 0.37 | 1.00 | 0.74 | 0.29 | 0.64 | 0.27 | 0.46 | 0.28 | 0.31 | 0.30 | 0.27 | 0.26 |
| PNC | 0.52 | 0.37 | 0.43 | 0.43 | 0.74 | 1.00 | 0.29 | 0.67 | 0.27 | 0.49 | 0.25 | 0.28 | 0.26 | 0.27 | 0.26 |
| LULU | 0.23 | 0.40 | 0.45 | 0.46 | 0.29 | 0.29 | 1.00 | 0.34 | 0.45 | 0.42 | 0.44 | 0.45 | 0.49 | 0.51 | 0.50 |
| BMO | 0.56 | 0.37 | 0.42 | 0.41 | 0.64 | 0.67 | 0.34 | 1.00 | 0.32 | 0.51 | 0.33 | 0.34 | 0.35 | 0.33 | 0.31 |
| AMD | 0.23 | 0.44 | 0.30 | 0.34 | 0.27 | 0.27 | 0.45 | 0.32 | 1.00 | 0.35 | 0.53 | 0.52 | 0.75 | 0.56 | 0.59 |
| DIS | 0.34 | 0.42 | 0.46 | 0.40 | 0.46 | 0.49 | 0.42 | 0.51 | 0.35 | 1.00 | 0.43 | 0.40 | 0.39 | 0.45 | 0.41 |
| META | 0.25 | 0.42 | 0.36 | 0.34 | 0.28 | 0.25 | 0.44 | 0.33 | 0.53 | 0.43 | 1.00 | 0.53 | 0.58 | 0.61 | 0.62 |
| AAPL | 0.20 | 0.37 | 0.37 | 0.41 | 0.31 | 0.28 | 0.45 | 0.34 | 0.52 | 0.40 | 0.53 | 1.00 | 0.55 | 0.61 | 0.69 |
| NVDA | 0.24 | 0.42 | 0.32 | 0.35 | 0.30 | 0.26 | 0.49 | 0.35 | 0.75 | 0.39 | 0.58 | 0.55 | 1.00 | 0.59 | 0.64 |
| AMZN | 0.20 | 0.44 | 0.36 | 0.41 | 0.27 | 0.27 | 0.51 | 0.33 | 0.56 | 0.45 | 0.61 | 0.61 | 0.59 | 1.00 | 0.69 |
| MSFT | 0.19 | 0.37 | 0.37 | 0.43 | 0.26 | 0.26 | 0.50 | 0.31 | 0.59 | 0.41 | 0.62 | 0.69 | 0.64 | 0.69 | 1.00 |