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Efficient Frontier - equal weight
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPYG 14.29%XLG 14.29%IWY 14.29%SCHG 14.29%QQQ 14.29%XLK 14.29%IGV 14.29%EquityEquity
PositionCategory/SectorWeight
IGV
iShares Expanded Tech-Software Sector ET
Technology Equities

14.29%

IWY
iShares Russell Top 200 Growth ETF
Large Cap Growth Equities

14.29%

QQQ
Invesco QQQ
Large Cap Blend Equities

14.29%

SCHG
Schwab U.S. Large-Cap Growth ETF
Large Cap Growth Equities

14.29%

SPYG
SPDR Portfolio S&P 500 Growth ETF
Large Cap Growth Equities

14.29%

XLG
Invesco S&P 500® Top 50 ETF
Large Cap Growth Equities

14.29%

XLK
Technology Select Sector SPDR Fund
Technology Equities

14.29%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Efficient Frontier - equal weight, 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


300.00%400.00%500.00%600.00%700.00%800.00%900.00%FebruaryMarchAprilMayJuneJuly
828.97%
390.52%
Efficient Frontier - equal weight
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG

Returns By Period

As of Jul 25, 2024, the Efficient Frontier - equal weight returned 15.01% Year-To-Date and 16.72% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
Efficient Frontier - equal weight15.01%-1.67%10.09%24.29%17.95%16.72%
SPYG
SPDR Portfolio S&P 500 Growth ETF
20.13%-1.50%15.02%25.80%15.52%14.46%
XLG
Invesco S&P 500® Top 50 ETF
19.81%-0.64%14.82%26.88%15.94%12.75%
IWY
iShares Russell Top 200 Growth ETF
18.75%-1.98%13.60%28.66%19.43%17.04%
SCHG
Schwab U.S. Large-Cap Growth ETF
18.78%-1.13%14.01%28.24%18.68%15.93%
QQQ
Invesco QQQ
13.48%-2.23%9.14%23.18%19.72%17.96%
XLK
Technology Select Sector SPDR Fund
12.54%-2.94%6.58%21.91%22.44%20.05%
IGV
iShares Expanded Tech-Software Sector ET
2.17%-1.20%-1.99%14.94%13.24%18.36%

Monthly Returns

The table below presents the monthly returns of Efficient Frontier - equal weight, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.78%5.63%1.32%-4.72%5.51%7.48%15.01%
20238.69%-1.00%8.41%0.65%6.54%6.15%3.59%-1.01%-5.35%-1.34%11.41%4.11%47.47%
2022-8.07%-4.36%3.93%-12.38%-2.02%-7.97%11.88%-5.30%-10.46%5.55%4.47%-7.77%-30.35%
2021-0.70%0.58%1.45%6.32%-0.99%6.28%3.43%4.06%-5.61%8.75%0.70%1.37%27.85%
20203.25%-6.77%-8.94%14.29%6.79%5.13%6.54%10.48%-4.93%-3.36%10.26%4.52%40.17%
20198.34%4.42%3.04%5.00%-6.99%6.98%2.04%-1.44%0.41%2.96%4.82%2.88%36.53%
20187.65%-1.60%-3.12%0.67%4.78%0.51%2.77%5.76%0.59%-8.38%0.43%-8.20%0.47%
20173.91%4.46%1.55%2.25%3.30%-0.97%3.23%2.04%0.53%4.52%2.03%0.59%30.96%
2016-5.81%-0.89%7.81%-1.69%3.42%-0.99%5.33%0.53%0.93%-1.63%1.16%1.01%8.85%
2015-2.48%7.17%-2.21%1.71%1.66%-2.21%3.49%-6.35%-2.08%9.79%0.66%-1.66%6.60%
2014-2.54%4.78%-0.94%-0.39%3.33%2.42%-0.28%4.13%-1.01%2.59%3.54%-1.24%14.98%
20133.86%0.82%3.28%1.55%2.46%-2.22%5.55%-1.46%3.73%4.33%3.18%2.95%31.55%

Expense Ratio

Efficient Frontier - equal weight has an expense ratio of 0.18%, 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.


Expense ratio chart for IGV: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for XLG: 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 IWY: 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 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 XLK: 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 SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Efficient Frontier - equal weight is 59, 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.


The Risk-Adjusted Performance Rank of Efficient Frontier - equal weight is 5959
Efficient Frontier - equal weight
The Sharpe Ratio Rank of Efficient Frontier - equal weight is 5656Sharpe Ratio Rank
The Sortino Ratio Rank of Efficient Frontier - equal weight is 4949Sortino Ratio Rank
The Omega Ratio Rank of Efficient Frontier - equal weight is 5656Omega Ratio Rank
The Calmar Ratio Rank of Efficient Frontier - equal weight is 6262Calmar Ratio Rank
The Martin Ratio Rank of Efficient Frontier - equal weight is 7373Martin 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.


Efficient Frontier - equal weight
Sharpe ratio
The chart of Sharpe ratio for Efficient Frontier - equal weight, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for Efficient Frontier - equal weight, currently valued at 2.14, compared to the broader market-2.000.002.004.006.002.14
Omega ratio
The chart of Omega ratio for Efficient Frontier - equal weight, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.28
Calmar ratio
The chart of Calmar ratio for Efficient Frontier - equal weight, currently valued at 1.73, compared to the broader market0.002.004.006.008.001.73
Martin ratio
The chart of Martin ratio for Efficient Frontier - equal weight, currently valued at 8.34, compared to the broader market0.0010.0020.0030.0040.008.34
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPYG
SPDR Portfolio S&P 500 Growth ETF
1.772.421.321.269.73
XLG
Invesco S&P 500® Top 50 ETF
2.002.741.352.3210.81
IWY
iShares Russell Top 200 Growth ETF
1.842.481.322.1010.64
SCHG
Schwab U.S. Large-Cap Growth ETF
1.822.461.321.9310.19
QQQ
Invesco QQQ
1.482.041.261.747.54
XLK
Technology Select Sector SPDR Fund
1.251.721.222.136.10
IGV
iShares Expanded Tech-Software Sector ET
0.791.111.150.603.09

Sharpe Ratio

The current Efficient Frontier - equal weight Sharpe ratio is 1.58. 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 1.23 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Efficient Frontier - equal weight 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 Ratio1.502.002.503.003.50FebruaryMarchAprilMayJuneJuly
1.58
1.66
Efficient Frontier - equal weight
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Efficient Frontier - equal weight granted a 0.61% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Efficient Frontier - equal weight0.61%0.72%0.81%0.51%0.74%0.96%1.25%1.12%1.42%1.35%1.33%1.30%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.79%1.15%1.03%0.62%0.90%1.37%1.51%1.41%1.55%1.57%1.37%1.42%
XLG
Invesco S&P 500® Top 50 ETF
0.80%0.97%1.34%0.94%1.25%1.58%2.00%1.85%2.00%2.09%1.97%1.97%
IWY
iShares Russell Top 200 Growth ETF
0.54%0.68%0.88%0.50%0.71%1.06%1.32%1.26%1.51%1.58%1.44%1.56%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.42%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.27%1.22%1.09%1.07%
QQQ
Invesco QQQ
0.62%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
XLK
Technology Select Sector SPDR Fund
0.70%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
IGV
iShares Expanded Tech-Software Sector ET
0.40%0.42%0.01%0.00%0.35%0.02%0.16%0.09%0.82%0.22%0.29%0.33%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-7.17%
-4.24%
Efficient Frontier - equal weight
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Efficient Frontier - equal weight. 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 Efficient Frontier - equal weight was 33.85%, occurring on Oct 14, 2022. Recovery took 292 trading sessions.

The current Efficient Frontier - equal weight drawdown is 7.17%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.85%Nov 22, 2021226Oct 14, 2022292Dec 13, 2023518
-30.4%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-21.77%Oct 2, 201858Dec 24, 201870Apr 5, 2019128
-17.22%Jul 8, 201131Aug 19, 2011113Feb 1, 2012144
-15.74%Apr 26, 201049Jul 2, 201074Oct 18, 2010123

Volatility

Volatility Chart

The current Efficient Frontier - equal weight volatility is 6.00%, 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%FebruaryMarchAprilMayJuneJuly
6.00%
3.80%
Efficient Frontier - equal weight
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.

IGVXLGXLKQQQIWYSPYGSCHG
IGV1.000.800.860.860.840.850.87
XLG0.801.000.920.920.950.950.95
XLK0.860.921.000.960.940.930.94
QQQ0.860.920.961.000.950.950.96
IWY0.840.950.940.951.000.970.97
SPYG0.850.950.930.950.971.000.98
SCHG0.870.950.940.960.970.981.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2009