PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Diversified Dividend 5 year Balanced Safe vs High ...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


EDV 12.5%SGOL 12.5%IEP 12.5%TPVG 12.5%UTG 12.5%HQH 12.5%ENB 12.5%BUI 12.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BUI
BlackRock Utilities, Infrastructure & Power Opportunities Trust
Financial Services

12.50%

EDV
Vanguard Extended Duration Treasury ETF
Government Bonds

12.50%

ENB
Enbridge Inc.
Energy

12.50%

HQH
Tekla Healthcare Investors
Financial Services

12.50%

IEP
Icahn Enterprises L.P.
Industrials

12.50%

SGOL
Aberdeen Standard Physical Gold Shares ETF
Precious Metals, Gold

12.50%

TPVG
TriplePoint Venture Growth BDC Corp.
Financial Services

12.50%

UTG
Reaves Utility Income Trust
Financial Services

12.50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Diversified Dividend 5 year Balanced Safe vs High Yield, 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


40.00%60.00%80.00%100.00%120.00%140.00%160.00%180.00%NovemberDecember2024FebruaryMarchApril
67.73%
164.63%
Diversified Dividend 5 year Balanced Safe vs High Yield
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 6, 2014, corresponding to the inception date of TPVG

Returns By Period

As of Apr 20, 2024, the Diversified Dividend 5 year Balanced Safe vs High Yield returned -0.99% Year-To-Date and 5.49% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
Diversified Dividend 5 year Balanced Safe vs High Yield-0.99%-0.34%12.89%-10.92%4.06%5.47%
IEP
Icahn Enterprises L.P.
4.18%-0.12%7.72%-59.04%-13.14%-5.34%
TPVG
TriplePoint Venture Growth BDC Corp.
-8.83%3.04%9.03%-9.39%4.36%7.08%
UTG
Reaves Utility Income Trust
-1.07%-1.36%12.87%-1.77%1.51%7.18%
HQH
Tekla Healthcare Investors
-1.76%-4.47%12.78%-1.04%4.59%4.03%
ENB
Enbridge Inc.
-0.56%-1.66%14.77%-3.80%5.63%2.61%
SGOL
Aberdeen Standard Physical Gold Shares ETF
15.65%10.34%20.54%20.22%13.27%6.06%
BUI
BlackRock Utilities, Infrastructure & Power Opportunities Trust
-2.57%-1.96%9.51%-4.05%6.01%8.13%
EDV
Vanguard Extended Duration Treasury ETF
-12.79%-6.60%12.90%-17.30%-6.13%-0.19%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.13%0.62%0.29%
2023-5.56%-4.73%8.09%5.95%

Expense Ratio

The Diversified Dividend 5 year Balanced Safe vs High Yield has an expense ratio of 0.03% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.17%
0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

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.


Diversified Dividend 5 year Balanced Safe vs High Yield
Sharpe ratio
The chart of Sharpe ratio for Diversified Dividend 5 year Balanced Safe vs High Yield, currently valued at -0.82, compared to the broader market-1.000.001.002.003.004.00-0.82
Sortino ratio
The chart of Sortino ratio for Diversified Dividend 5 year Balanced Safe vs High Yield, currently valued at -1.08, compared to the broader market-2.000.002.004.006.00-1.08
Omega ratio
The chart of Omega ratio for Diversified Dividend 5 year Balanced Safe vs High Yield, currently valued at 0.87, compared to the broader market0.801.001.201.401.601.800.87
Calmar ratio
The chart of Calmar ratio for Diversified Dividend 5 year Balanced Safe vs High Yield, currently valued at -0.39, compared to the broader market0.002.004.006.008.00-0.39
Martin ratio
The chart of Martin ratio for Diversified Dividend 5 year Balanced Safe vs High Yield, currently valued at -0.92, compared to the broader market0.0010.0020.0030.0040.00-0.92
^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 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IEP
Icahn Enterprises L.P.
-0.84-1.230.81-0.91-1.12
TPVG
TriplePoint Venture Growth BDC Corp.
-0.29-0.180.97-0.23-0.72
UTG
Reaves Utility Income Trust
-0.18-0.160.98-0.11-0.45
HQH
Tekla Healthcare Investors
-0.10-0.031.00-0.04-0.24
ENB
Enbridge Inc.
-0.27-0.250.97-0.17-0.57
SGOL
Aberdeen Standard Physical Gold Shares ETF
1.632.501.291.594.35
BUI
BlackRock Utilities, Infrastructure & Power Opportunities Trust
-0.33-0.370.96-0.21-0.62
EDV
Vanguard Extended Duration Treasury ETF
-0.71-0.900.90-0.28-1.15

Sharpe Ratio

The current Diversified Dividend 5 year Balanced Safe vs High Yield Sharpe ratio is -0.82. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.82

The Sharpe ratio of Diversified Dividend 5 year Balanced Safe vs High Yield is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
-0.82
1.66
Diversified Dividend 5 year Balanced Safe vs High Yield
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Diversified Dividend 5 year Balanced Safe vs High Yield granted a 10.55% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Diversified Dividend 5 year Balanced Safe vs High Yield10.55%10.66%8.14%6.64%7.62%6.57%7.59%6.47%7.27%7.25%4.94%4.14%
IEP
Icahn Enterprises L.P.
29.41%34.90%15.79%16.13%15.79%13.01%12.26%11.32%10.01%9.79%6.52%4.11%
TPVG
TriplePoint Venture Growth BDC Corp.
16.84%14.73%14.73%7.96%11.70%10.03%13.89%11.14%12.00%11.82%8.06%0.00%
UTG
Reaves Utility Income Trust
8.81%8.53%8.07%6.35%6.59%5.69%6.86%6.21%9.42%7.14%5.36%6.67%
HQH
Tekla Healthcare Investors
10.49%9.66%9.50%8.44%7.96%8.22%10.73%8.76%9.78%11.96%7.05%6.41%
ENB
Enbridge Inc.
7.58%7.29%6.78%6.86%7.54%5.57%6.69%4.73%3.78%4.41%2.47%2.82%
SGOL
Aberdeen Standard Physical Gold Shares ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BUI
BlackRock Utilities, Infrastructure & Power Opportunities Trust
6.99%6.65%6.99%5.45%5.80%6.51%7.35%6.72%7.89%8.65%6.97%8.06%
EDV
Vanguard Extended Duration Treasury ETF
4.25%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%

Drawdowns

Drawdowns Chart

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


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-18.68%
-5.46%
Diversified Dividend 5 year Balanced Safe vs High Yield
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Diversified Dividend 5 year Balanced Safe vs High Yield. 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 Diversified Dividend 5 year Balanced Safe vs High Yield was 34.51%, occurring on Mar 18, 2020. Recovery took 92 trading sessions.

The current Diversified Dividend 5 year Balanced Safe vs High Yield drawdown is 18.68%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.51%Feb 24, 202018Mar 18, 202092Jul 29, 2020110
-29%Nov 10, 2021494Oct 27, 2023
-23.4%Feb 6, 2015240Jan 20, 2016267Feb 9, 2017507
-13.38%Aug 28, 201882Dec 24, 201824Jan 30, 2019106
-8.46%Sep 8, 2017119Feb 28, 201887Jul 3, 2018206

Volatility

Volatility Chart

The current Diversified Dividend 5 year Balanced Safe vs High Yield volatility is 3.02%, 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%NovemberDecember2024FebruaryMarchApril
3.02%
3.15%
Diversified Dividend 5 year Balanced Safe vs High Yield
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.

SGOLEDVIEPTPVGBUIHQHUTGENB
SGOL1.000.31-0.010.040.10-0.010.080.11
EDV0.311.00-0.15-0.05-0.00-0.110.04-0.09
IEP-0.01-0.151.000.270.190.320.220.29
TPVG0.04-0.050.271.000.250.290.270.29
BUI0.10-0.000.190.251.000.290.470.37
HQH-0.01-0.110.320.290.291.000.340.32
UTG0.080.040.220.270.470.341.000.41
ENB0.11-0.090.290.290.370.320.411.00