Efficient Frontier - equal weight

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Efficient Frontier - equal weight

Currency in USD · Last updated May 19, 2025

Asset Allocation

Position	Category/Sector	Target Weight
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%

Benchmark

Rebalance

Performance

Performance Chart

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

Returns By Period

As of May 19, 2025, the Efficient Frontier - equal weight returned 1.27% Year-To-Date and 16.98% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	1.30%	12.79%	1.49%	12.35%	15.37%	10.87%
Efficient Frontier - equal weight	1.27%	18.04%	3.86%	17.78%	18.75%	16.98%
Portfolio components:
SPYG SPDR Portfolio S&P 500 Growth ETF	2.57%	17.56%	6.07%	21.22%	17.67%	14.91%
XLG Invesco S&P 500® Top 50 ETF	-0.87%	14.45%	2.17%	15.51%	18.45%	14.67%
IWY iShares Russell Top 200 Growth ETF	-0.85%	16.60%	3.49%	17.23%	19.54%	17.05%
SCHG Schwab U.S. Large-Cap Growth ETF	-0.47%	16.97%	2.93%	17.51%	19.32%	15.88%
QQQ Invesco QQQ	2.16%	17.43%	5.35%	16.14%	18.94%	17.75%
XLK Technology Select Sector SPDR Fund	1.20%	21.79%	3.05%	11.66%	20.84%	19.86%
IGV iShares Expanded Tech-Software Sector ET	5.03%	21.45%	3.98%	24.79%	15.68%	18.11%

*Annualized

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.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	1.69%	-3.27%	-8.03%	2.22%	9.52%								1.27%
2024	2.78%	5.63%	1.32%	-4.72%	5.51%	7.48%	-1.77%	1.77%	2.70%	-0.39%	7.13%	-0.16%	30.00%
2023	8.69%	-1.00%	8.46%	0.65%	6.54%	6.19%	3.59%	-1.01%	-5.35%	-1.34%	11.41%	4.17%	47.68%
2022	-8.07%	-4.36%	3.97%	-12.38%	-2.02%	-7.93%	11.88%	-5.30%	-10.43%	5.55%	4.47%	-7.72%	-30.22%
2021	-0.70%	0.58%	1.50%	6.32%	-0.99%	6.33%	3.43%	4.06%	-5.58%	8.75%	0.70%	1.41%	28.05%
2020	3.25%	-6.77%	-9.19%	14.29%	6.79%	5.16%	6.54%	10.48%	-4.88%	-3.36%	10.26%	4.57%	39.96%
2019	8.34%	4.42%	3.11%	5.00%	-6.99%	7.03%	2.04%	-1.44%	0.47%	2.96%	4.82%	2.93%	36.85%
2018	7.65%	-1.60%	-3.08%	0.67%	4.78%	0.55%	2.77%	5.76%	0.66%	-8.38%	0.43%	-8.19%	0.65%
2017	3.91%	4.46%	1.58%	2.25%	3.30%	-0.94%	3.23%	2.04%	0.59%	4.52%	2.03%	0.67%	31.25%
2016	-5.81%	-0.89%	7.39%	-1.69%	3.42%	-0.95%	5.33%	0.53%	0.98%	-1.63%	1.16%	1.07%	8.58%
2015	-2.48%	7.17%	-2.16%	1.71%	1.66%	-2.18%	3.49%	-6.35%	-2.03%	9.79%	0.66%	-1.62%	6.77%
2014	-2.54%	4.78%	-0.91%	-0.39%	3.33%	2.44%	-0.28%	4.13%	-0.97%	2.59%	3.54%	-1.22%	15.11%

Expense Ratio

Efficient Frontier - equal weight has an expense ratio of 0.18%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

IGV

iShares Expanded Tech-Software Sector ET

XLG

Invesco S&P 500® Top 50 ETF

IWY

iShares Russell Top 200 Growth ETF

QQQ

Invesco QQQ

XLK

Technology Select Sector SPDR Fund

SPYG

SPDR Portfolio S&P 500 Growth ETF

SCHG

Schwab U.S. Large-Cap Growth ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Efficient Frontier - equal weight is 45, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
SPYG SPDR Portfolio S&P 500 Growth ETF	0.85	1.37	1.19	1.02	3.43
XLG Invesco S&P 500® Top 50 ETF	0.71	1.19	1.17	0.82	2.81
IWY iShares Russell Top 200 Growth ETF	0.69	1.16	1.16	0.80	2.58
SCHG Schwab U.S. Large-Cap Growth ETF	0.70	1.19	1.17	0.81	2.70
QQQ Invesco QQQ	0.64	1.12	1.16	0.78	2.53
XLK Technology Select Sector SPDR Fund	0.38	0.82	1.11	0.53	1.65
IGV iShares Expanded Tech-Software Sector ET	0.90	1.49	1.20	1.04	3.22

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Efficient Frontier - equal weight Sharpe ratios as of May 19, 2025 (values are recalculated daily):

1-Year: 0.71
5-Year: 0.83
10-Year: 0.78
All Time: 0.84

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Efficient Frontier - equal weight compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Efficient Frontier - equal weight provided a 0.49% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	0.49%	0.48%	0.72%	0.81%	0.51%	0.74%	0.96%	1.25%	1.12%	1.39%	1.35%	1.33%
Portfolio components:
SPYG SPDR Portfolio S&P 500 Growth ETF	0.60%	0.60%	1.15%	1.03%	0.62%	0.90%	1.36%	1.51%	1.41%	1.55%	1.57%	1.37%
XLG Invesco S&P 500® Top 50 ETF	0.73%	0.72%	0.97%	1.34%	0.94%	1.25%	1.58%	2.00%	1.85%	2.00%	2.09%	1.97%
IWY iShares Russell Top 200 Growth ETF	0.42%	0.42%	0.68%	0.88%	0.50%	0.71%	1.06%	1.32%	1.26%	1.51%	1.58%	1.44%
SCHG Schwab U.S. Large-Cap Growth ETF	0.41%	0.40%	0.46%	0.55%	0.42%	0.52%	0.82%	1.27%	1.01%	1.04%	1.22%	1.09%
QQQ Invesco QQQ	0.57%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%	1.41%
XLK Technology Select Sector SPDR Fund	0.66%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%	1.75%
IGV iShares Expanded Tech-Software Sector ET	0.00%	0.00%	0.42%	0.01%	0.00%	0.35%	0.02%	0.16%	0.09%	0.82%	0.22%	0.29%

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.

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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 33.75%, occurring on Oct 14, 2022. Recovery took 292 trading sessions.

The current Efficient Frontier - equal weight drawdown is 3.17%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-33.75%	Nov 22, 2021	226	Oct 14, 2022	292	Dec 13, 2023	518
-30.35%	Feb 20, 2020	23	Mar 23, 2020	53	Jun 8, 2020	76
-23.15%	Feb 19, 2025	35	Apr 8, 2025	—	—	—
-21.76%	Oct 2, 2018	58	Dec 24, 2018	68	Apr 3, 2019	126
-17.22%	Jul 8, 2011	31	Aug 19, 2011	113	Feb 1, 2012	144

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 7 assets, with an effective number of assets of 7.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	^GSPC	IGV	XLK	XLG	QQQ	IWY	SPYG	SCHG	Portfolio
^GSPC	1.00	0.81	0.89	0.96	0.90	0.93	0.95	0.95	0.94
IGV	0.81	1.00	0.86	0.80	0.86	0.84	0.85	0.87	0.91
XLK	0.89	0.86	1.00	0.92	0.96	0.94	0.93	0.94	0.97
XLG	0.96	0.80	0.92	1.00	0.93	0.96	0.96	0.95	0.95
QQQ	0.90	0.86	0.96	0.93	1.00	0.96	0.95	0.96	0.98
IWY	0.93	0.84	0.94	0.96	0.96	1.00	0.97	0.97	0.98
SPYG	0.95	0.85	0.93	0.96	0.95	0.97	1.00	0.98	0.98
SCHG	0.95	0.87	0.94	0.95	0.96	0.97	0.98	1.00	0.98
Portfolio	0.94	0.91	0.97	0.95	0.98	0.98	0.98	0.98	1.00

The correlation results are calculated based on daily price changes starting from Dec 14, 2009

Performance Analysis

Risk Analysis

Optimization

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Efficient Frontier - equal weight

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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