Maximum Quadratic Utility
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | Total Bond Market | 1.90% |
EFA iShares MSCI EAFE ETF | Foreign Large Cap Equities | 4% |
FDGRX Fidelity Growth Company Fund | Large Cap Growth Equities | 19.50% |
FTEC Fidelity MSCI Information Technology Index ETF | Technology Equities | 22.50% |
IWM iShares Russell 2000 ETF | Small Cap Growth Equities | 3.60% |
QQQ Invesco QQQ | Large Cap Blend Equities | 22.50% |
USD=X USD Cash | 0.50% | |
VNQ Vanguard Real Estate ETF | REIT | 3% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 11.50% |
VTI Vanguard Total Stock Market ETF | Large Cap Growth Equities | 11% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Maximum Quadratic Utility, 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 Oct 24, 2013, corresponding to the inception date of FTEC
Returns By Period
As of Oct 30, 2024, the Maximum Quadratic Utility returned 23.94% Year-To-Date and 14.61% 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 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
| Maximum Quadratic Utility | 23.94% | 2.68% | 18.75% | 44.79% | 17.02% | 14.61% |
| Portfolio components: | ||||||
AGG iShares Core U.S. Aggregate Bond ETF | 2.05% | -2.62% | 5.41% | 10.61% | -0.21% | 1.42% |
FTEC Fidelity MSCI Information Technology Index ETF | 26.96% | 4.44% | 23.84% | 51.72% | 22.58% | 19.94% |
QQQ Invesco QQQ | 22.66% | 2.76% | 18.15% | 44.21% | 20.49% | 17.59% |
FDGRX Fidelity Growth Company Fund | 32.99% | 4.63% | 20.60% | 51.39% | 15.57% | 12.70% |
VOO Vanguard S&P 500 ETF | 23.64% | 1.79% | 16.67% | 42.02% | 15.20% | 12.76% |
VTI Vanguard Total Stock Market ETF | 22.25% | 1.78% | 16.24% | 41.75% | 14.49% | 12.18% |
EFA iShares MSCI EAFE ETF | 8.33% | -4.40% | 5.64% | 23.96% | 6.29% | 5.08% |
IWM iShares Russell 2000 ETF | 11.45% | 0.64% | 13.89% | 37.64% | 8.47% | 7.79% |
VNQ Vanguard Real Estate ETF | 11.11% | -1.36% | 22.28% | 38.62% | 3.95% | 5.87% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Monthly Returns
The table below presents the monthly returns of Maximum Quadratic Utility, 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 | 1.49% | 5.60% | 2.22% | -4.72% | 6.27% | 5.26% | 0.03% | 1.48% | 2.17% | 23.94% | |||
| 2023 | 9.22% | -1.18% | 6.37% | 0.62% | 4.85% | 6.17% | 3.49% | -1.97% | -5.53% | -2.37% | 10.78% | 4.85% | 39.77% |
| 2022 | -7.96% | -3.45% | 3.47% | -11.36% | -1.52% | -8.57% | 11.14% | -4.54% | -10.22% | 6.39% | 5.46% | -8.47% | -28.22% |
| 2021 | 0.15% | 1.76% | 1.58% | 5.35% | -0.49% | 5.16% | 2.00% | 3.47% | -5.02% | 7.25% | 0.88% | -0.22% | 23.49% |
| 2020 | 1.90% | -6.45% | -10.62% | 14.06% | 6.92% | 5.39% | 6.23% | 9.48% | -4.17% | -2.88% | 12.12% | 3.02% | 36.92% |
| 2019 | 8.83% | 4.42% | 2.83% | 4.46% | -7.21% | 7.16% | 1.99% | -1.70% | 0.86% | 3.33% | 4.60% | 2.50% | 35.95% |
| 2018 | 6.98% | -2.02% | -2.60% | 0.32% | 4.78% | 0.49% | 2.32% | 5.34% | -0.30% | -8.67% | 0.09% | -9.53% | -4.16% |
| 2017 | 3.48% | 3.90% | 1.44% | 1.96% | 3.16% | -0.62% | 3.26% | 1.56% | 1.21% | 4.09% | 1.86% | -0.22% | 28.02% |
| 2016 | -6.80% | -0.98% | 7.32% | -1.62% | 3.40% | -1.34% | 6.16% | 0.78% | 1.54% | -1.99% | 2.12% | 0.58% | 8.71% |
| 2015 | -1.85% | 6.39% | -1.66% | 0.86% | 1.93% | -2.37% | 2.92% | -6.25% | -2.44% | 9.08% | 0.96% | -1.82% | 4.91% |
| 2014 | -1.86% | 5.16% | -1.25% | -0.70% | 3.12% | 2.86% | -0.84% | 4.38% | -1.80% | 2.93% | 3.26% | -0.70% | 15.14% |
| 2013 | -0.05% | 2.63% | 3.11% | 5.77% |
Expense Ratio
Maximum Quadratic Utility has an expense ratio of 0.25%, 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 Maximum Quadratic Utility is 27, 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 | |
|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 1.46 | 2.16 | 1.27 | 0.55 | 5.42 |
FTEC Fidelity MSCI Information Technology Index ETF | 1.87 | 2.44 | 1.34 | 2.49 | 9.01 |
QQQ Invesco QQQ | 1.97 | 2.62 | 1.36 | 2.44 | 8.91 |
FDGRX Fidelity Growth Company Fund | 2.14 | 2.80 | 1.39 | 1.35 | 10.37 |
VOO Vanguard S&P 500 ETF | 2.90 | 3.87 | 1.56 | 4.02 | 18.58 |
VTI Vanguard Total Stock Market ETF | 2.82 | 3.76 | 1.54 | 3.96 | 17.68 |
EFA iShares MSCI EAFE ETF | 1.57 | 2.22 | 1.28 | 1.94 | 8.96 |
IWM iShares Russell 2000 ETF | 1.59 | 2.30 | 1.28 | 1.16 | 8.68 |
VNQ Vanguard Real Estate ETF | 1.90 | 2.76 | 1.36 | 1.02 | 7.04 |
USD=X USD Cash | — | — | — | — | — |
Dividends
Dividend yield
Maximum Quadratic Utility provided a 0.90% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Maximum Quadratic Utility | 0.90% | 0.98% | 1.09% | 0.79% | 0.93% | 1.13% | 1.32% | 1.12% | 1.34% | 2.06% | 2.10% | 2.38% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.57% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
FTEC Fidelity MSCI Information Technology Index ETF | 0.62% | 0.77% | 0.93% | 0.63% | 0.83% | 1.03% | 1.20% | 0.96% | 1.25% | 1.27% | 1.09% | 0.18% |
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% |
FDGRX Fidelity Growth Company Fund | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.07% | 3.92% | 4.03% | 7.12% |
VOO Vanguard S&P 500 ETF | 1.27% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
VTI Vanguard Total Stock Market ETF | 1.30% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
EFA iShares MSCI EAFE ETF | 2.90% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% | 3.72% | 2.54% |
IWM iShares Russell 2000 ETF | 1.16% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% | 1.23% |
VNQ Vanguard Real Estate ETF | 3.82% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 Maximum Quadratic Utility. 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 Maximum Quadratic Utility was 33.22%, occurring on Oct 14, 2022. Recovery took 333 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.22% | Nov 22, 2021 | 235 | Oct 14, 2022 | 333 | Jan 24, 2024 | 568 |
| -31.13% | Feb 20, 2020 | 23 | Mar 23, 2020 | 57 | Jun 10, 2020 | 80 |
| -22.1% | Aug 30, 2018 | 83 | Dec 24, 2018 | 86 | Apr 23, 2019 | 169 |
| -15.61% | Dec 2, 2015 | 53 | Feb 11, 2016 | 108 | Jul 12, 2016 | 161 |
| -12.49% | Jul 21, 2015 | 26 | Aug 25, 2015 | 70 | Dec 1, 2015 | 96 |
Volatility
Volatility Chart
The current Maximum Quadratic Utility volatility is 3.39%, 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
| USD=X | AGG | VNQ | EFA | IWM | FDGRX | FTEC | QQQ | VOO | VTI | |
|---|---|---|---|---|---|---|---|---|---|---|
| USD=X | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| AGG | 0.00 | 1.00 | 0.21 | 0.02 | -0.04 | 0.01 | 0.00 | 0.02 | -0.02 | -0.02 |
| VNQ | 0.00 | 0.21 | 1.00 | 0.52 | 0.59 | 0.46 | 0.47 | 0.47 | 0.60 | 0.61 |
| EFA | 0.00 | 0.02 | 0.52 | 1.00 | 0.72 | 0.68 | 0.69 | 0.70 | 0.80 | 0.81 |
| IWM | 0.00 | -0.04 | 0.59 | 0.72 | 1.00 | 0.75 | 0.71 | 0.70 | 0.82 | 0.87 |
| FDGRX | 0.00 | 0.01 | 0.46 | 0.68 | 0.75 | 1.00 | 0.92 | 0.93 | 0.86 | 0.87 |
| FTEC | 0.00 | 0.00 | 0.47 | 0.69 | 0.71 | 0.92 | 1.00 | 0.96 | 0.89 | 0.88 |
| QQQ | 0.00 | 0.02 | 0.47 | 0.70 | 0.70 | 0.93 | 0.96 | 1.00 | 0.90 | 0.89 |
| VOO | 0.00 | -0.02 | 0.60 | 0.80 | 0.82 | 0.86 | 0.89 | 0.90 | 1.00 | 0.99 |
| VTI | 0.00 | -0.02 | 0.61 | 0.81 | 0.87 | 0.87 | 0.88 | 0.89 | 0.99 | 1.00 |