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

Asset Allocation


BEP 7.14%BNS 7.14%BCE 7.14%GAIN 7.14%EPD 7.14%GSK 7.14%NGG 7.14%SMH 7.14%MGK 7.14%VXUS 7.14%O 7.14%ARCC 7.14%CSCO 7.14%JNJ 7.14%EquityEquity
PositionCategory/SectorWeight
ARCC
Ares Capital Corporation
Financial Services

7.14%

BCE
BCE Inc.
Communication Services

7.14%

BEP
Brookfield Renewable Partners L.P.
Utilities

7.14%

BNS
The Bank of Nova Scotia
Financial Services

7.14%

CSCO
Cisco Systems, Inc.
Technology

7.14%

EPD
Enterprise Products Partners L.P.
Energy

7.14%

GAIN
Gladstone Investment Corporation
Financial Services

7.14%

GSK
GlaxoSmithKline plc
Healthcare

7.14%

JNJ
Johnson & Johnson
Healthcare

7.14%

MGK
Vanguard Mega Cap Growth ETF
Large Cap Blend Equities

7.14%

NGG
National Grid plc
Utilities

7.14%

O
Realty Income Corporation
Real Estate

7.14%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

7.14%

VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities

7.14%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in My holding, 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
12.24%
19.37%
My holding
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 28, 2011, corresponding to the inception date of VXUS

Returns By Period

As of Apr 24, 2024, the My holding returned 1.19% Year-To-Date and 10.46% of annualized return in the last 10 years.


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 holding1.19%-1.96%12.24%8.26%10.21%10.46%
BEP
Brookfield Renewable Partners L.P.
-16.28%-5.83%-2.39%-27.68%10.39%9.76%
BNS
The Bank of Nova Scotia
0.29%-4.35%19.37%1.01%3.02%2.73%
BCE
BCE Inc.
-13.76%-1.33%-7.95%-24.97%0.12%2.70%
GAIN
Gladstone Investment Corporation
2.79%3.71%22.18%23.82%13.46%16.76%
EPD
Enterprise Products Partners L.P.
11.81%0.17%8.95%16.17%7.88%4.63%
GSK
GlaxoSmithKline plc
12.37%-2.62%16.89%17.08%4.90%1.91%
NGG
National Grid plc
-1.69%-1.71%13.91%-0.87%10.12%5.74%
SMH
VanEck Vectors Semiconductor ETF
18.83%-8.72%44.90%69.27%31.87%28.47%
MGK
Vanguard Mega Cap Growth ETF
6.01%-4.92%20.47%35.55%16.97%15.50%
VXUS
Vanguard Total International Stock ETF
2.26%-1.65%15.74%8.74%5.37%4.25%
O
Realty Income Corporation
-5.67%3.01%10.82%-9.09%-0.26%7.29%
ARCC
Ares Capital Corporation
5.99%3.75%14.52%23.86%13.94%12.04%
CSCO
Cisco Systems, Inc.
-2.82%-2.14%-7.39%5.13%0.00%11.14%
JNJ
Johnson & Johnson
-4.58%-3.65%-0.31%-6.53%4.03%6.94%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.11%0.51%2.93%
2023-4.08%-2.74%8.08%4.45%

Expense Ratio

The My holding has an expense ratio of 0.04% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

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 holding
Sharpe ratio
The chart of Sharpe ratio for My holding, currently valued at 0.77, compared to the broader market-1.000.001.002.003.004.005.000.77
Sortino ratio
The chart of Sortino ratio for My holding, currently valued at 1.18, compared to the broader market0.002.004.006.001.18
Omega ratio
The chart of Omega ratio for My holding, currently valued at 1.14, compared to the broader market0.801.001.201.401.601.801.14
Calmar ratio
The chart of Calmar ratio for My holding, currently valued at 0.65, compared to the broader market0.002.004.006.008.000.65
Martin ratio
The chart of Martin ratio for My holding, currently valued at 2.29, compared to the broader market0.0010.0020.0030.0040.0050.002.29
^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
BEP
Brookfield Renewable Partners L.P.
-0.79-1.100.88-0.50-1.33
BNS
The Bank of Nova Scotia
0.020.161.020.010.04
BCE
BCE Inc.
-1.47-2.040.76-0.66-1.62
GAIN
Gladstone Investment Corporation
1.251.911.231.565.44
EPD
Enterprise Products Partners L.P.
1.582.201.273.138.50
GSK
GlaxoSmithKline plc
0.941.491.180.653.82
NGG
National Grid plc
-0.070.031.00-0.06-0.14
SMH
VanEck Vectors Semiconductor ETF
2.423.291.393.0112.88
MGK
Vanguard Mega Cap Growth ETF
2.193.021.371.4812.24
VXUS
Vanguard Total International Stock ETF
0.711.091.130.492.12
O
Realty Income Corporation
-0.48-0.560.93-0.27-0.76
ARCC
Ares Capital Corporation
1.932.741.362.0015.25
CSCO
Cisco Systems, Inc.
0.320.511.080.240.63
JNJ
Johnson & Johnson
-0.40-0.470.94-0.32-0.74

Sharpe Ratio

The current My holding Sharpe ratio is 0.77. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.77

The Sharpe ratio of My holding is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.77
1.92
My holding
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

My holding granted a 5.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
My holding5.59%5.51%5.09%4.05%4.74%4.69%5.34%5.99%4.91%5.44%5.12%4.72%
BEP
Brookfield Renewable Partners L.P.
6.31%5.14%5.05%3.39%2.68%6.08%7.57%5.36%7.87%8.33%6.95%10.75%
BNS
The Bank of Nova Scotia
6.72%6.41%6.40%4.03%4.95%3.53%5.10%3.74%3.98%6.61%4.11%2.82%
BCE
BCE Inc.
8.68%7.30%6.37%5.32%5.78%5.15%5.81%4.63%4.81%5.18%4.83%5.20%
GAIN
Gladstone Investment Corporation
15.01%16.57%9.08%5.34%9.22%7.42%9.68%7.77%8.87%9.68%11.00%7.30%
EPD
Enterprise Products Partners L.P.
6.94%7.51%7.79%8.20%9.09%6.23%6.97%6.29%5.88%5.90%3.96%4.07%
GSK
GlaxoSmithKline plc
3.52%3.75%4.72%4.93%5.53%4.35%5.53%5.80%6.89%5.94%6.18%4.49%
NGG
National Grid plc
5.29%5.20%5.18%4.75%5.32%4.94%6.44%24.15%5.07%4.73%7.86%4.82%
SMH
VanEck Vectors Semiconductor ETF
0.50%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
MGK
Vanguard Mega Cap Growth ETF
0.48%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%
VXUS
Vanguard Total International Stock ETF
3.36%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
O
Realty Income Corporation
5.75%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
ARCC
Ares Capital Corporation
9.26%9.59%10.10%7.60%9.41%8.94%9.78%9.57%9.12%10.90%9.93%8.67%
CSCO
Cisco Systems, Inc.
3.25%3.07%3.17%2.32%3.20%2.88%2.95%2.95%3.28%3.02%2.66%2.27%
JNJ
Johnson & Johnson
3.18%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%

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
-3.26%
-3.50%
My holding
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the My holding. 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 holding was 37.98%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.

The current My holding drawdown is 3.26%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.98%Feb 21, 202022Mar 23, 2020172Nov 24, 2020194
-23.73%Mar 31, 2022135Oct 12, 2022310Jan 8, 2024445
-15.2%Apr 29, 2015184Jan 20, 201648Mar 30, 2016232
-14.03%May 2, 201169Aug 8, 201157Oct 27, 2011126
-13.38%Aug 30, 201880Dec 24, 201828Feb 5, 2019108

Volatility

Volatility Chart

The current My holding volatility is 3.24%, 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
3.24%
3.58%
My holding
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.

BEPEPDOGAINJNJNGGGSKARCCBCECSCOSMHBNSMGKVXUS
BEP1.000.230.260.210.190.270.220.270.350.230.260.360.330.38
EPD0.231.000.220.270.210.220.230.360.320.310.320.410.370.43
O0.260.221.000.280.320.390.270.340.350.280.230.280.360.36
GAIN0.210.270.281.000.230.220.240.480.300.310.340.390.400.42
JNJ0.190.210.320.231.000.330.430.250.350.410.310.320.440.43
NGG0.270.220.390.220.331.000.460.290.410.270.250.350.350.47
GSK0.220.230.270.240.430.461.000.290.370.340.310.360.410.50
ARCC0.270.360.340.480.250.290.291.000.330.370.400.470.470.50
BCE0.350.320.350.300.350.410.370.331.000.350.320.570.410.54
CSCO0.230.310.280.310.410.270.340.370.351.000.580.430.630.57
SMH0.260.320.230.340.310.250.310.400.320.581.000.460.790.68
BNS0.360.410.280.390.320.350.360.470.570.430.461.000.510.69
MGK0.330.370.360.400.440.350.410.470.410.630.790.511.000.76
VXUS0.380.430.360.420.430.470.500.500.540.570.680.690.761.00