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Maximum Quadratic Utility

Last updated Feb 24, 2024

Asset Allocation


AGG 1.9%FTEC 22.5%QQQ 22.5%FDGRX 19.5%VOO 11.5%VTI 11%EFA 4%IWM 3.6%VNQ 3%BondBondCurrencyCurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF
Total Bond Market

1.90%

USD=X
USD Cash

0.50%

FTEC
Fidelity MSCI Information Technology Index ETF
Technology Equities

22.50%

QQQ
Invesco QQQ
Large Cap Blend Equities

22.50%

FDGRX
Fidelity Growth Company Fund
Large Cap Growth Equities

19.50%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

11.50%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

11%

EFA
iShares MSCI EAFE ETF
Foreign Large Cap Equities

4%

IWM
iShares Russell 2000 ETF
Small Cap Growth Equities

3.60%

VNQ
Vanguard Real Estate ETF
REIT

3%

S&P 500

Performance

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


150.00%200.00%250.00%300.00%350.00%SeptemberOctoberNovemberDecember2024February
359.43%
190.45%
Maximum Quadratic Utility
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 24, 2013, corresponding to the inception date of FTEC

Returns

As of Feb 24, 2024, the Maximum Quadratic Utility returned 6.43% Year-To-Date and 14.93% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Maximum Quadratic Utility6.43%3.40%18.68%39.33%17.42%14.87%
AGG
iShares Core U.S. Aggregate Bond ETF
-1.63%-0.45%3.29%3.53%0.44%1.36%
FTEC
Fidelity MSCI Information Technology Index ETF
6.19%1.97%21.47%48.33%21.95%19.08%
QQQ
Invesco QQQ
6.66%3.06%20.46%50.69%20.32%17.39%
FDGRX
Fidelity Growth Company Fund
11.00%5.95%23.13%50.41%20.72%16.63%
VOO
Vanguard S&P 500 ETF
6.86%4.14%16.40%30.22%14.11%12.23%
VTI
Vanguard Total Stock Market ETF
6.23%4.08%16.20%28.34%13.25%11.54%
EFA
iShares MSCI EAFE ETF
2.72%3.13%11.59%15.60%6.51%4.26%
IWM
iShares Russell 2000 ETF
-0.41%2.00%9.55%8.19%6.12%6.60%
VNQ
Vanguard Real Estate ETF
-4.02%-0.15%7.11%3.31%3.79%5.86%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.49%
20233.49%-1.97%-5.53%-2.37%10.78%5.62%

Sharpe Ratio

The current Maximum Quadratic Utility Sharpe ratio is 2.56. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.56

The Sharpe ratio of Maximum Quadratic Utility lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Chart placeholderNot enough data

Dividend yield

Maximum Quadratic Utility granted a 1.62% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Maximum Quadratic Utility1.62%1.73%2.49%2.87%2.65%1.88%2.56%2.04%2.54%2.06%2.10%2.38%
AGG
iShares Core U.S. Aggregate Bond ETF
3.24%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
0.73%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
0.58%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
3.45%3.83%7.20%10.67%8.86%3.84%6.38%4.73%6.23%3.92%4.03%7.12%
VOO
Vanguard S&P 500 ETF
1.36%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
1.35%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
1.35%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
4.12%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%

Expense Ratio

The Maximum Quadratic Utility has a high expense ratio of 0.25%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.79%
0.00%2.15%
0.32%
0.00%2.15%
0.20%
0.00%2.15%
0.19%
0.00%2.15%
0.12%
0.00%2.15%
0.08%
0.00%2.15%
0.05%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
Maximum Quadratic Utility
AGG
iShares Core U.S. Aggregate Bond ETF
0.45
FTEC
Fidelity MSCI Information Technology Index ETF
2.66
QQQ
Invesco QQQ
2.99
FDGRX
Fidelity Growth Company Fund
2.78
VOO
Vanguard S&P 500 ETF
2.39
VTI
Vanguard Total Stock Market ETF
2.15
EFA
iShares MSCI EAFE ETF
1.07
IWM
iShares Russell 2000 ETF
0.39
VNQ
Vanguard Real Estate ETF
0.12
USD=X
USD Cash

Asset Correlations Table

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

USD=XAGGVNQEFAIWMFDGRXFTECQQQVOOVTI
USD=X0.000.000.000.000.000.000.000.000.000.00
AGG0.001.000.190.00-0.06-0.00-0.010.01-0.04-0.04
VNQ0.000.191.000.520.590.470.480.480.610.62
EFA0.000.000.521.000.720.680.700.700.800.81
IWM0.00-0.060.590.721.000.770.730.710.830.88
FDGRX0.00-0.000.470.680.771.000.910.930.860.87
FTEC0.00-0.010.480.700.730.911.000.960.890.89
QQQ0.000.010.480.700.710.930.961.000.900.89
VOO0.00-0.040.610.800.830.860.890.901.000.99
VTI0.00-0.040.620.810.880.870.890.890.991.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-0.12%
0
Maximum Quadratic Utility
Benchmark (^GSPC)
Portfolio components

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 32.00%, occurring on Oct 14, 2022. Recovery took 306 trading sessions.

The current Maximum Quadratic Utility drawdown is 0.12%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32%Nov 22, 2021235Oct 14, 2022306Dec 18, 2023541
-31.13%Feb 20, 202023Mar 23, 202057Jun 10, 202080
-22.1%Aug 30, 201883Dec 24, 201879Apr 12, 2019162
-15.56%Dec 2, 201553Feb 11, 2016108Jul 12, 2016161
-12.49%Jul 21, 201526Aug 25, 201570Dec 1, 201596

Volatility Chart

The current Maximum Quadratic Utility volatility is 4.96%, 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%SeptemberOctoberNovemberDecember2024February
4.96%
3.90%
Maximum Quadratic Utility
Benchmark (^GSPC)
Portfolio components
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