PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Top Performers YTD ETF Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


USO 6.7%QQQ 6.7%TUR 6.7%EWJ 6.7%XLC 6.7%XLV 6.7%AMLP 6.7%SMH 6.7%QUAL 6.7%IJK 6.7%KIE 6.6%MTUM 6.6%IVW 6.6%EGPT 6.6%GREK 6.6%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
AMLP
Alerian MLP ETF
MLPs
6.70%
EGPT
VanEck Vectors Egypt Index ETF
Emerging Markets Equities
6.60%
EWJ
iShares MSCI Japan ETF
Japan Equities
6.70%
GREK
Global X MSCI Greece ETF
Emerging Markets Equities
6.60%
IJK
iShares S&P MidCap 400 Growth ETF
Mid Cap Growth Equities
6.70%
IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities
6.60%
KIE
SPDR S&P Insurance ETF
Financials Equities
6.60%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
Large Cap Growth Equities
6.60%
QQQ
Invesco QQQ
Large Cap Blend Equities
6.70%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities
6.70%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities
6.70%
TUR
iShares MSCI Turkey ETF
Emerging Markets Equities
6.70%
USO
United States Oil Fund LP
Oil & Gas
6.70%
XLC
Communication Services Select Sector SPDR Fund
Large Cap Growth Equities
6.70%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities
6.70%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Top Performers YTD ETF 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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.27%
9.66%
Top Performers YTD ETF Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
25.25%0.08%9.66%25.65%13.17%11.11%
Top Performers YTD ETF Portfolio20.07%-0.77%3.27%19.98%N/AN/A
QQQ
Invesco QQQ
28.44%3.54%10.65%28.86%20.62%18.39%
TUR
iShares MSCI Turkey ETF
11.69%-1.36%-15.42%8.92%8.75%-1.41%
EWJ
iShares MSCI Japan ETF
6.06%-0.62%1.53%7.42%4.06%5.48%
XLC
Communication Services Select Sector SPDR Fund
36.34%1.40%15.93%36.44%13.82%N/A
XLV
Health Care Select Sector SPDR Fund
3.35%-3.32%-4.89%4.39%8.01%9.00%
AMLP
Alerian MLP ETF
22.23%-3.39%5.05%22.54%11.66%2.49%
SMH
VanEck Vectors Semiconductor ETF
42.52%1.88%-2.56%43.83%29.94%27.69%
KIE
SPDR S&P Insurance ETF
26.82%-6.97%12.26%27.72%12.00%11.73%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
34.82%-1.98%9.32%35.27%12.18%13.16%
QUAL
iShares Edge MSCI USA Quality Factor ETF
24.15%-0.78%6.10%24.60%13.98%12.95%
IVW
iShares S&P 500 Growth ETF
38.91%4.37%13.95%39.00%17.54%15.20%
EGPT
VanEck Vectors Egypt Index ETF
-11.22%0.00%0.00%-11.82%N/AN/A
USO
United States Oil Fund LP
9.62%-1.60%-8.33%6.36%-6.50%-7.91%
GREK
Global X MSCI Greece ETF
9.24%4.53%1.08%8.99%8.61%1.24%
IJK
iShares S&P MidCap 400 Growth ETF
16.70%-6.13%3.83%16.38%10.07%9.64%
*Annualized

Monthly Returns

The table below presents the monthly returns of Top Performers YTD ETF Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.59%6.49%0.86%-2.62%3.92%2.63%1.03%0.19%0.62%-1.86%4.71%20.07%
2023-0.44%-0.44%

Expense Ratio

Top Performers YTD ETF Portfolio features an expense ratio of 0.41%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for EGPT: current value at 0.98% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.98%
Expense ratio chart for AMLP: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for USO: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
Expense ratio chart for TUR: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for GREK: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for EWJ: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
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 KIE: 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 IJK: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for IVW: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for MTUM: 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 XLC: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLV: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Top Performers YTD ETF Portfolio is 20, meaning it’s performing worse than 80% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Top Performers YTD ETF Portfolio is 2020
Overall Rank
The Sharpe Ratio Rank of Top Performers YTD ETF Portfolio is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of Top Performers YTD ETF Portfolio is 1010
Sortino Ratio Rank
The Omega Ratio Rank of Top Performers YTD ETF Portfolio is 1414
Omega Ratio Rank
The Calmar Ratio Rank of Top Performers YTD ETF Portfolio is 4848
Calmar Ratio Rank
The Martin Ratio Rank of Top Performers YTD ETF Portfolio is 1313
Martin 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.


Sharpe ratio
No data
The chart of Sortino ratio for Top Performers YTD ETF Portfolio, currently valued at 2.28, compared to the broader market-6.00-4.00-2.000.002.004.006.002.282.76
The chart of Omega ratio for Top Performers YTD ETF Portfolio, currently valued at 1.31, compared to the broader market0.400.600.801.001.201.401.601.801.311.39
Top Performers YTD ETF Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.632.181.292.147.71
TUR
iShares MSCI Turkey ETF
0.260.531.060.140.52
EWJ
iShares MSCI Japan ETF
0.440.711.090.641.80
XLC
Communication Services Select Sector SPDR Fund
2.383.101.432.4819.51
XLV
Health Care Select Sector SPDR Fund
0.450.691.090.381.29
AMLP
Alerian MLP ETF
1.602.251.282.638.79
SMH
VanEck Vectors Semiconductor ETF
1.261.771.231.774.40
KIE
SPDR S&P Insurance ETF
1.922.571.342.819.51
MTUM
iShares Edge MSCI USA Momentum Factor ETF
1.872.551.331.9110.92
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.912.641.353.2011.70
IVW
iShares S&P 500 Growth ETF
2.242.901.413.0712.07
EGPT
VanEck Vectors Egypt Index ETF
-0.250.87
USO
United States Oil Fund LP
0.220.491.060.060.69
GREK
Global X MSCI Greece ETF
0.410.661.090.191.46
IJK
iShares S&P MidCap 400 Growth ETF
1.021.491.181.605.09

There is not enough data available to calculate the Sharpe ratio for Top Performers YTD ETF Portfolio. We calculate this metric based on the past 12 months of trading data. Please check back later for updated information.


Chart placeholderNot enough data

Dividends

Dividend yield

Top Performers YTD ETF Portfolio provided a 1.45% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.45%2.18%1.78%1.68%1.77%2.27%2.13%1.72%1.79%1.96%1.46%1.37%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
TUR
iShares MSCI Turkey ETF
1.81%4.43%1.97%4.22%0.87%3.29%4.05%2.63%2.89%3.04%1.63%2.34%
EWJ
iShares MSCI Japan ETF
2.37%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%
XLC
Communication Services Select Sector SPDR Fund
0.72%0.82%1.11%0.74%0.68%0.81%0.64%0.00%0.00%0.00%0.00%0.00%
XLV
Health Care Select Sector SPDR Fund
1.65%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%1.52%
AMLP
Alerian MLP ETF
7.74%7.86%7.70%8.55%12.31%9.12%9.30%7.97%8.09%9.84%6.45%6.00%
SMH
VanEck Vectors Semiconductor ETF
0.00%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
KIE
SPDR S&P Insurance ETF
1.48%1.45%1.90%1.95%1.85%1.76%1.83%1.56%1.55%1.65%1.81%1.38%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.74%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%1.02%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.05%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
IVW
iShares S&P 500 Growth ETF
0.42%1.03%0.89%0.46%0.82%1.63%1.28%1.30%1.51%1.51%1.37%1.45%
EGPT
VanEck Vectors Egypt Index ETF
0.15%6.02%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USO
United States Oil Fund LP
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GREK
Global X MSCI Greece ETF
2.16%2.61%2.82%2.16%2.62%2.25%2.41%2.13%1.95%1.52%0.97%0.12%
IJK
iShares S&P MidCap 400 Growth ETF
0.78%1.13%1.08%0.50%0.70%1.09%1.13%0.93%1.15%1.12%0.91%0.88%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.57%
-1.91%
Top Performers YTD ETF Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top Performers YTD ETF 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 Top Performers YTD ETF Portfolio was 8.70%, occurring on Aug 5, 2024. Recovery took 67 trading sessions.

The current Top Performers YTD ETF Portfolio drawdown is 2.57%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.7%Jul 17, 202414Aug 5, 202467Nov 7, 202481
-4.86%Mar 5, 202433Apr 19, 202418May 15, 202451
-3.83%Dec 5, 202411Dec 19, 2024
-2.35%Nov 11, 20245Nov 15, 20247Nov 26, 202412
-1.71%May 22, 20249Jun 4, 20244Jun 10, 202413

Volatility

Volatility Chart

The current Top Performers YTD ETF Portfolio volatility is 3.38%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.38%
3.82%
Top Performers YTD ETF 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.

EGPTUSOTURAMLPKIEGREKXLVEWJXLCSMHIJKIVWQQQMTUMQUAL
EGPT1.00-0.000.150.100.030.050.020.020.010.020.08-0.000.010.040.04
USO-0.001.00-0.050.24-0.020.02-0.170.01-0.010.060.030.020.010.040.01
TUR0.15-0.051.000.160.230.280.230.240.200.200.310.220.240.230.24
AMLP0.100.240.161.000.380.200.230.350.300.150.410.190.190.280.30
KIE0.03-0.020.230.381.000.220.450.290.250.080.590.180.170.330.35
GREK0.050.020.280.200.221.000.280.420.290.370.430.360.370.400.42
XLV0.02-0.170.230.230.450.281.000.340.340.190.490.320.320.360.51
EWJ0.020.010.240.350.290.420.341.000.540.500.570.560.580.530.62
XLC0.01-0.010.200.300.250.290.340.541.000.500.580.720.720.620.72
SMH0.020.060.200.150.080.370.190.500.501.000.570.850.870.820.79
IJK0.080.030.310.410.590.430.490.570.580.571.000.620.640.710.77
IVW-0.000.020.220.190.180.360.320.560.720.850.621.000.980.880.91
QQQ0.010.010.240.190.170.370.320.580.720.870.640.981.000.870.90
MTUM0.040.040.230.280.330.400.360.530.620.820.710.880.871.000.89
QUAL0.040.010.240.300.350.420.510.620.720.790.770.910.900.891.00
The correlation results are calculated based on daily price changes starting from Dec 22, 2023
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab