PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Tech 60 40 10yr

Last updated Dec 9, 2023

Asset Allocation


QQQ 60%^TNX 40%EquityEquity
PositionCategory/SectorWeight
QQQ
Invesco QQQ
Large Cap Blend Equities60%
^TNX
Treasury Yield 10 Years
40%

Performance

The chart shows the growth of an initial investment of $10,000 in Tech 60 40 10yr, 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


200.00%250.00%300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
486.63%
257.80%
Tech 60 40 10yr
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 10, 1999, corresponding to the inception date of QQQ

Returns

As of Dec 9, 2023, the Tech 60 40 10yr returned 33.12% Year-To-Date and 15.82% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Tech 60 40 10yr33.12%-1.03%12.73%33.10%21.80%15.81%
QQQ
Invesco QQQ
47.92%5.16%10.94%39.10%20.28%17.41%
^TNX
Treasury Yield 10 Years
9.44%-6.15%13.35%21.60%8.31%4.27%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20236.90%5.77%3.78%0.43%1.76%1.39%1.87%

Sharpe Ratio

The current Tech 60 40 10yr Sharpe ratio is 2.29. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.002.29

The Sharpe ratio of Tech 60 40 10yr is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
2.29
1.25
Tech 60 40 10yr
Benchmark (^GSPC)
Portfolio components

Dividend yield

Tech 60 40 10yr granted a 0.33% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Tech 60 40 10yr0.33%0.48%0.26%0.33%0.45%0.55%0.50%0.63%0.59%0.84%0.61%0.75%
QQQ
Invesco QQQ
0.55%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%1.26%
^TNX
Treasury Yield 10 Years
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Tech 60 40 10yr features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.20%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
QQQ
Invesco QQQ
2.18
^TNX
Treasury Yield 10 Years
0.81

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

QQQ^TNX
QQQ1.000.21
^TNX0.211.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.51%
-4.01%
Tech 60 40 10yr
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Tech 60 40 10yr. 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 Tech 60 40 10yr was 70.60%, occurring on Oct 9, 2002. Recovery took 3631 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-70.6%Mar 27, 2000637Oct 9, 20023631Mar 13, 20174268
-42.69%Oct 4, 2018363Mar 16, 2020205Jan 6, 2021568
-11.63%Feb 17, 202212Mar 7, 20227Mar 16, 202219
-11.55%Apr 20, 202225May 24, 202274Sep 9, 202299
-9.86%Nov 24, 20217Dec 3, 202120Jan 3, 202227

Volatility Chart

The current Tech 60 40 10yr volatility is 3.41%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.41%
2.77%
Tech 60 40 10yr
Benchmark (^GSPC)
Portfolio components
0 comments