Efficient Frontier - equal weight
Asset Allocation
| Position | Category/Sector | 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% |
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
The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG
Returns By Period
As of Aug 28, 2024, the Efficient Frontier - equal weight returned 19.04% Year-To-Date and 16.89% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.95% | 3.05% | 10.78% | 26.90% | 14.03% | 10.90% |
| Efficient Frontier - equal weight | 19.04% | 3.21% | 10.08% | 32.63% | 19.59% | 16.89% |
| Portfolio components: | ||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | 24.77% | 3.98% | 13.64% | 33.50% | 17.01% | 14.69% |
XLG Invesco S&P 500® Top 50 ETF | 23.96% | 3.42% | 13.57% | 34.09% | 17.53% | 12.96% |
IWY iShares Russell Top 200 Growth ETF | 22.88% | 3.77% | 12.24% | 36.28% | 20.76% | 17.23% |
SCHG Schwab U.S. Large-Cap Growth ETF | 23.05% | 3.66% | 12.50% | 36.98% | 20.12% | 16.09% |
QQQ Invesco QQQ | 16.76% | 2.98% | 9.27% | 30.89% | 21.34% | 17.94% |
XLK Technology Select Sector SPDR Fund | 15.99% | 2.87% | 8.55% | 31.82% | 24.11% | 20.25% |
IGV iShares Expanded Tech-Software Sector ET | 6.40% | 1.83% | 0.90% | 24.19% | 15.54% | 18.51% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.78% | 5.63% | 1.32% | -4.72% | 5.51% | 7.48% | -1.77% | 19.04% | |||||
| 2023 | 8.69% | -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% |
| 2020 | 3.25% | -6.77% | -8.94% | 14.29% | 6.79% | 5.13% | 6.54% | 10.48% | -4.93% | -3.36% | 10.26% | 4.52% | 40.17% |
| 2019 | 8.34% | 4.42% | 3.04% | 5.00% | -6.99% | 6.98% | 2.04% | -1.44% | 0.41% | 2.96% | 4.82% | 2.88% | 36.53% |
| 2018 | 7.65% | -1.60% | -3.12% | 0.67% | 4.78% | 0.51% | 2.77% | 5.76% | 0.59% | -8.38% | 0.43% | -8.20% | 0.47% |
| 2017 | 3.91% | 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% |
| 2013 | 3.86% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Efficient Frontier - equal weight is 48, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SPYG SPDR Portfolio S&P 500 Growth ETF | 2.10 | 2.81 | 1.38 | 1.64 | 10.13 |
XLG Invesco S&P 500® Top 50 ETF | 2.38 | 3.16 | 1.43 | 2.95 | 11.67 |
IWY iShares Russell Top 200 Growth ETF | 2.18 | 2.85 | 1.38 | 2.65 | 10.33 |
SCHG Schwab U.S. Large-Cap Growth ETF | 2.24 | 2.94 | 1.40 | 2.51 | 11.48 |
QQQ Invesco QQQ | 1.85 | 2.48 | 1.32 | 2.31 | 8.82 |
XLK Technology Select Sector SPDR Fund | 1.60 | 2.15 | 1.28 | 1.94 | 7.20 |
IGV iShares Expanded Tech-Software Sector ET | 1.22 | 1.61 | 1.22 | 0.95 | 4.72 |
Dividends
Dividend yield
Efficient Frontier - equal weight granted a 0.59% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Efficient Frontier - equal weight | 0.59% | 0.72% | 0.81% | 0.51% | 0.74% | 0.96% | 1.25% | 1.12% | 1.42% | 1.35% | 1.33% | 1.30% |
| Portfolio components: | ||||||||||||
SPYG SPDR Portfolio S&P 500 Growth ETF | 0.76% | 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 | 0.77% | 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 | 0.53% | 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 | 0.41% | 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 | 0.61% | 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 | 0.68% | 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 | 0.38% | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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 3.92%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.85% | Nov 22, 2021 | 226 | Oct 14, 2022 | 292 | Dec 13, 2023 | 518 |
| -30.4% | Feb 20, 2020 | 23 | Mar 23, 2020 | 53 | Jun 8, 2020 | 76 |
| -21.77% | Oct 2, 2018 | 58 | Dec 24, 2018 | 70 | Apr 5, 2019 | 128 |
| -17.22% | Jul 8, 2011 | 31 | Aug 19, 2011 | 113 | Feb 1, 2012 | 144 |
| -15.74% | Apr 26, 2010 | 49 | Jul 2, 2010 | 74 | Oct 18, 2010 | 123 |
Volatility
Volatility Chart
The current Efficient Frontier - equal weight volatility is 7.84%, 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.
Diversification
Asset Correlations Table
| IGV | XLG | XLK | QQQ | IWY | SPYG | SCHG | |
|---|---|---|---|---|---|---|---|
| IGV | 1.00 | 0.80 | 0.86 | 0.86 | 0.84 | 0.85 | 0.87 |
| XLG | 0.80 | 1.00 | 0.92 | 0.92 | 0.95 | 0.95 | 0.95 |
| XLK | 0.86 | 0.92 | 1.00 | 0.96 | 0.94 | 0.93 | 0.94 |
| QQQ | 0.86 | 0.92 | 0.96 | 1.00 | 0.95 | 0.95 | 0.96 |
| IWY | 0.84 | 0.95 | 0.94 | 0.95 | 1.00 | 0.97 | 0.97 |
| SPYG | 0.85 | 0.95 | 0.93 | 0.95 | 0.97 | 1.00 | 0.98 |
| SCHG | 0.87 | 0.95 | 0.94 | 0.96 | 0.97 | 0.98 | 1.00 |