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Taxed Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Taxed Portfolio, 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 Every 3 months.


100.00%150.00%200.00%250.00%300.00%December2025FebruaryMarchAprilMay
281.65%
137.81%
Taxed Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 19, 2017, corresponding to the inception date of JPST

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
Taxed Portfolio-6.14%16.77%-6.62%9.63%18.87%N/A
SMH
VanEck Vectors Semiconductor ETF
-8.35%23.34%-14.59%0.69%27.53%24.32%
JPST
JPMorgan Ultra-Short Income ETF
1.67%0.44%2.37%5.36%3.06%N/A
IWY
iShares Russell Top 200 Growth ETF
-7.11%16.43%-5.62%12.33%18.17%16.44%
IGM
iShares Expanded Tech Sector ETF
-5.67%20.61%-5.82%13.14%18.30%19.08%
*Annualized

Monthly Returns

The table below presents the monthly returns of Taxed Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.38%-3.43%-7.81%1.22%2.75%-6.14%
20243.64%7.82%2.62%-3.93%7.26%6.97%-2.56%1.09%2.24%-0.69%4.17%1.24%33.34%
20239.96%-0.71%8.12%-0.45%8.09%5.52%3.91%-1.04%-5.42%-1.68%11.12%5.33%49.99%
2022-7.92%-3.96%2.94%-12.06%-0.08%-9.27%11.86%-5.63%-10.13%4.00%7.41%-7.66%-28.98%
20210.20%1.71%1.63%4.70%-0.39%5.47%2.46%3.28%-5.20%7.14%3.42%1.81%28.94%
20201.53%-5.45%-8.66%13.35%5.70%5.24%7.06%9.06%-4.03%-2.42%10.88%4.28%39.80%
20198.31%3.91%3.05%5.51%-8.10%7.37%2.93%-1.23%1.05%3.61%4.02%4.05%39.08%
20187.37%-1.15%-2.78%-0.96%5.66%-0.25%2.56%4.76%-0.05%-8.78%0.85%-7.22%-1.27%
20172.16%-1.58%3.26%2.17%1.68%5.44%1.37%0.32%15.65%

Expense Ratio

Taxed Portfolio has an expense ratio of 0.28%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Taxed Portfolio is 22, meaning it’s performing worse than 78% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Taxed Portfolio is 2222
Overall Rank
The Sharpe Ratio Rank of Taxed Portfolio is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of Taxed Portfolio is 2222
Sortino Ratio Rank
The Omega Ratio Rank of Taxed Portfolio is 2222
Omega Ratio Rank
The Calmar Ratio Rank of Taxed Portfolio is 2626
Calmar Ratio Rank
The Martin Ratio Rank of Taxed Portfolio is 2121
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 ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMH
VanEck Vectors Semiconductor ETF
0.020.301.040.000.01
JPST
JPMorgan Ultra-Short Income ETF
8.8517.474.1018.14129.66
IWY
iShares Russell Top 200 Growth ETF
0.500.841.120.531.72
IGM
iShares Expanded Tech Sector ETF
0.460.811.110.491.59

The current Taxed Portfolio Sharpe ratio is 0.37. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 0.44 to 0.96, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Taxed Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.37
0.48
Taxed Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Taxed Portfolio provided a 0.86% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.86%0.86%1.04%0.96%0.46%0.70%1.20%1.36%1.13%1.10%1.38%1.13%
SMH
VanEck Vectors Semiconductor ETF
0.48%0.44%0.60%1.18%0.51%0.69%1.50%1.88%1.43%0.80%2.14%1.16%
JPST
JPMorgan Ultra-Short Income ETF
4.91%5.16%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%
IWY
iShares Russell Top 200 Growth ETF
0.45%0.42%0.68%0.88%0.50%0.71%1.06%1.32%1.26%1.51%1.58%1.44%
IGM
iShares Expanded Tech Sector ETF
0.24%0.22%0.52%0.53%0.16%0.32%0.50%0.57%0.57%0.90%0.79%0.88%

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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-10.45%
-7.82%
Taxed Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Taxed Portfolio. 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 Taxed Portfolio was 33.98%, occurring on Oct 14, 2022. Recovery took 276 trading sessions.

The current Taxed Portfolio drawdown is 10.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.98%Dec 28, 2021202Oct 14, 2022276Nov 20, 2023478
-28.07%Feb 20, 202023Mar 23, 202052Jun 5, 202075
-23.32%Jan 24, 202552Apr 8, 2025
-20.36%Oct 2, 201858Dec 24, 201859Mar 21, 2019117
-14.8%Jul 11, 202420Aug 7, 202465Nov 7, 202485

Volatility

Volatility Chart

The current Taxed Portfolio volatility is 13.51%, 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.


0.00%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
13.51%
11.21%
Taxed Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 2.94, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

^GSPCJPSTSMHIWYIGMPortfolio
^GSPC1.000.060.790.930.900.91
JPST0.061.000.050.070.060.07
SMH0.790.051.000.810.870.92
IWY0.930.070.811.000.970.97
IGM0.900.060.870.971.000.98
Portfolio0.910.070.920.970.981.00
The correlation results are calculated based on daily price changes starting from May 22, 2017