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D5fdT68s_$_36.78%
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

D5fdT68s_$_36.78%

Last updated Nov 13, 2024

Asset Allocation

TLT 15%BTC-USD 15%ETH-USD 10%^NDX 35%GOOGL 5%MSFT 5%JPM 5%MCD 5%VNQ 5%BondBondCryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
^NDX
NASDAQ 100
35%
BTC-USD
Bitcoin
15%
ETH-USD
Ethereum
10%
GOOGL
Alphabet Inc.		Communication Services
5%
JPM
JPMorgan Chase & Co.		Financial Services
5%
MCD
McDonald's Corporation		Consumer Cyclical
5%
MSFT
Microsoft Corporation		Technology
5%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
15%
VNQ
Vanguard Real Estate ETF		REIT
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in D5fdT68s_$_36.78%, 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%15.00%JuneJulyAugustSeptemberOctoberNovember
14.15%
12.76%
D5fdT68s_$_36.78%
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 7, 2015, corresponding to the inception date of ETH-USD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
D5fdT68s_$_36.78%34.50%8.91%14.15%48.91%33.04%N/A
Portfolio components:
GOOGL
Alphabet Inc.		28.37%8.44%3.95%34.20%21.88%20.55%
MSFT
Microsoft Corporation		13.69%1.45%0.68%15.70%24.31%25.99%
JPM
JPMorgan Chase & Co.		45.16%8.89%20.72%66.34%16.56%18.13%
MCD
McDonald's Corporation		2.11%-4.03%9.92%12.18%11.48%14.89%
^NDX
NASDAQ 100		25.02%2.92%13.12%33.04%20.40%17.45%
VNQ
Vanguard Real Estate ETF		10.24%-0.79%13.68%24.63%4.30%6.08%
BTC-USD
Bitcoin		114.32%37.15%36.69%154.90%60.55%72.52%
ETH-USD
Ethereum		39.94%21.44%5.12%61.32%77.63%N/A
TLT
iShares 20+ Year Treasury Bond ETF		-6.14%-3.91%-0.56%4.03%-5.90%-0.37%

Monthly Returns

The table below presents the monthly returns of D5fdT68s_$_36.78%, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.57%13.35%5.33%-7.31%7.48%1.30%0.14%-1.99%2.95%-0.06%34.50%
202315.70%-1.29%10.77%2.09%1.74%5.30%0.89%-4.45%-3.52%3.33%10.39%7.76%58.19%
2022-10.34%-0.44%3.02%-12.47%-5.59%-13.41%14.83%-6.76%-9.70%5.25%0.10%-6.42%-37.28%
20219.72%7.46%12.19%8.52%-5.17%0.30%6.64%8.36%-6.16%15.89%0.06%-5.01%63.09%
202011.47%-1.47%-14.54%19.28%5.51%1.72%12.91%8.58%-6.66%3.41%20.11%15.28%96.87%
20191.80%5.12%4.22%9.22%14.68%13.01%-1.25%-1.04%-0.82%3.52%-2.64%-0.30%53.73%
20184.30%-5.25%-11.88%12.05%-2.98%-4.42%4.94%-2.18%-2.65%-6.50%-8.23%-4.64%-26.01%
20175.77%11.55%36.71%11.78%40.15%10.18%1.21%18.15%-4.47%10.75%17.75%17.29%386.48%
201610.85%41.08%40.90%-2.81%9.96%3.10%2.65%-0.96%2.49%-0.56%-0.89%6.26%164.94%
2015-11.20%-1.80%14.32%3.51%3.29%6.60%

Expense Ratio

D5fdT68s_$_36.78% has an expense ratio of 0.03%, 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.

VNQ
Vanguard Real Estate ETF
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of D5fdT68s_$_36.78% is 8, indicating that it is in the bottom 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of D5fdT68s_$_36.78% is 88
Combined Rank
The Sharpe Ratio Rank of D5fdT68s_$_36.78% is 99Sharpe Ratio Rank
The Sortino Ratio Rank of D5fdT68s_$_36.78% is 99Sortino Ratio Rank
The Omega Ratio Rank of D5fdT68s_$_36.78% is 77Omega Ratio Rank
The Calmar Ratio Rank of D5fdT68s_$_36.78% is 66Calmar Ratio Rank
The Martin Ratio Rank of D5fdT68s_$_36.78% is 1111Martin 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.

D5fdT68s_$_36.78%
Sharpe ratio
The chart of Sharpe ratio for D5fdT68s_$_36.78%, currently valued at 1.08, compared to the broader market0.002.004.006.001.08
Sortino ratio
The chart of Sortino ratio for D5fdT68s_$_36.78%, currently valued at 1.60, compared to the broader market-2.000.002.004.006.001.60
Omega ratio
The chart of Omega ratio for D5fdT68s_$_36.78%, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.802.001.17
Calmar ratio
The chart of Calmar ratio for D5fdT68s_$_36.78%, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.54
Martin ratio
The chart of Martin ratio for D5fdT68s_$_36.78%, currently valued at 5.21, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GOOGL
Alphabet Inc.		2.132.861.381.055.90
MSFT
Microsoft Corporation		0.440.691.090.111.22
JPM
JPMorgan Chase & Co.		1.712.391.351.6811.59
MCD
McDonald's Corporation		0.210.421.050.030.48
^NDX
NASDAQ 100		1.351.841.250.555.71
VNQ
Vanguard Real Estate ETF		1.171.641.210.185.03
BTC-USD
Bitcoin		1.071.781.170.914.39
ETH-USD
Ethereum		-0.34-0.090.990.00-0.83
TLT
iShares 20+ Year Treasury Bond ETF		-0.40-0.450.950.14-1.24

Sharpe Ratio

The current D5fdT68s_$_36.78% Sharpe ratio is 1.23. 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 2.06 to 2.97, 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 D5fdT68s_$_36.78% 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.08
2.91
D5fdT68s_$_36.78%
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

D5fdT68s_$_36.78% provided a 1.06% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.06%0.97%0.91%0.60%0.73%0.81%0.96%0.88%1.00%0.98%1.00%1.11%
Portfolio components:
GOOGL
Alphabet Inc.		0.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSFT
Microsoft Corporation		0.71%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
JPM
JPMorgan Chase & Co.		1.91%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
MCD
McDonald's Corporation		2.25%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%
^NDX
NASDAQ 100		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VNQ
Vanguard Real Estate ETF		3.85%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF		4.10%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

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%JuneJulyAugustSeptemberOctoberNovember
-0.68%
-0.27%
D5fdT68s_$_36.78%
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the D5fdT68s_$_36.78%. 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 D5fdT68s_$_36.78% was 44.87%, occurring on Nov 9, 2022. Recovery took 475 trading sessions.

The current D5fdT68s_$_36.78% drawdown is 0.85%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.87%Nov 9, 2021366Nov 9, 2022475Feb 27, 2024841
-37.92%Dec 19, 2017372Dec 25, 2018179Jun 22, 2019551
-33.68%Feb 15, 202033Mar 18, 2020114Jul 10, 2020147
-18.11%Mar 14, 20167Mar 20, 201684Jun 12, 201691
-16.95%Jun 14, 201733Jul 16, 201729Aug 14, 201762

Volatility

Volatility Chart

The current D5fdT68s_$_36.78% volatility is 6.31%, 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%JuneJulyAugustSeptemberOctoberNovember
6.31%
3.75%
D5fdT68s_$_36.78%
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.
TLTETH-USDBTC-USDMCDVNQJPMGOOGLMSFT^NDX
TLT1.000.01-0.00-0.020.09-0.30-0.09-0.07-0.08
ETH-USD0.011.000.640.060.080.080.130.120.15
BTC-USD-0.000.641.000.070.100.080.120.120.15
MCD-0.020.060.071.000.410.290.280.340.35
VNQ0.090.080.100.411.000.330.330.370.43
JPM-0.300.080.080.290.331.000.330.330.41
GOOGL-0.090.130.120.280.330.331.000.650.73
MSFT-0.070.120.120.340.370.330.651.000.79
^NDX-0.080.150.150.350.430.410.730.791.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2015