PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Taxed Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JPST 10%IWY 60%SMH 30%BondBondEquityEquity
PositionCategory/SectorWeight
IWY
iShares Russell Top 200 Growth ETF
Large Cap Growth Equities

60%

JPST
JPMorgan Ultra-Short Income ETF
Money Market, Actively Managed

10%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

30%

S&P 500

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 Quarterly


100.00%150.00%200.00%250.00%300.00%December2024FebruaryMarchAprilMay
282.87%
122.66%
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


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.18%5.60%17.48%26.33%13.16%10.99%
Taxed Portfolio18.13%6.97%24.68%44.37%24.14%N/A
SMH
VanEck Vectors Semiconductor ETF
31.67%10.36%42.48%73.77%38.59%29.69%
JPST
JPMorgan Ultra-Short Income ETF
2.07%0.53%3.09%5.69%2.49%N/A
IWY
iShares Russell Top 200 Growth ETF
14.09%6.43%19.62%37.51%20.28%17.24%

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
20243.67%8.32%2.95%-3.78%18.13%
202310.05%-0.47%8.01%-0.83%8.21%5.65%3.80%-1.12%-5.48%-1.75%11.13%5.43%49.77%
2022-7.92%-3.70%2.89%-11.88%0.62%-9.75%12.11%-5.96%-10.16%3.91%8.65%-7.51%-27.79%
20210.61%1.71%1.84%4.13%-0.06%5.28%2.40%3.20%-5.13%7.42%4.53%2.18%31.33%
20200.74%-5.21%-8.70%12.96%5.32%5.43%7.38%8.82%-3.54%-2.23%11.47%4.65%40.57%
20198.11%3.97%2.83%5.62%-8.66%7.78%3.09%-0.97%1.45%3.97%3.92%6.13%42.75%
20187.11%-1.51%-2.66%-1.76%5.79%-0.60%2.83%4.14%-0.09%-8.84%1.34%-6.69%-2.16%
20172.12%-1.64%3.17%2.29%2.10%5.24%1.28%0.74%16.22%

Expense Ratio

Taxed Portfolio has a high expense ratio of 0.24%, 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.


Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for IWY: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for JPST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Taxed Portfolio is 84, placing it in the top 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Taxed Portfolio is 8484
Taxed Portfolio
The Sharpe Ratio Rank of Taxed Portfolio is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of Taxed Portfolio is 8585Sortino Ratio Rank
The Omega Ratio Rank of Taxed Portfolio is 8484Omega Ratio Rank
The Calmar Ratio Rank of Taxed Portfolio is 8282Calmar Ratio Rank
The Martin Ratio Rank of Taxed Portfolio is 8686Martin 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.


Taxed Portfolio
Sharpe ratio
The chart of Sharpe ratio for Taxed Portfolio, currently valued at 2.72, compared to the broader market0.002.004.006.002.72
Sortino ratio
The chart of Sortino ratio for Taxed Portfolio, currently valued at 3.77, compared to the broader market-2.000.002.004.006.003.77
Omega ratio
The chart of Omega ratio for Taxed Portfolio, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.801.46
Calmar ratio
The chart of Calmar ratio for Taxed Portfolio, currently valued at 3.19, compared to the broader market0.002.004.006.008.0010.003.19
Martin ratio
The chart of Martin ratio for Taxed Portfolio, currently valued at 15.07, compared to the broader market0.0010.0020.0030.0040.0050.0015.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market0.002.004.006.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-2.000.002.004.006.003.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market0.002.004.006.008.0010.001.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market0.0010.0020.0030.0040.0050.009.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMH
VanEck Vectors Semiconductor ETF
2.773.651.444.8114.09
JPST
JPMorgan Ultra-Short Income ETF
10.5524.805.7220.12300.70
IWY
iShares Russell Top 200 Growth ETF
2.523.471.432.2414.38

Sharpe Ratio

The current Taxed Portfolio Sharpe ratio is 2.72. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.77 to 2.59, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

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 Ratio1.001.502.002.503.003.50December2024FebruaryMarchAprilMay
2.72
2.38
Taxed Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Taxed Portfolio granted a 1.00% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Taxed Portfolio1.00%1.06%1.42%0.68%0.98%2.70%2.12%1.71%1.39%2.23%1.56%1.87%
SMH
VanEck Vectors Semiconductor ETF
0.45%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
JPST
JPMorgan Ultra-Short Income ETF
5.16%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%0.00%
IWY
iShares Russell Top 200 Growth ETF
0.59%0.68%0.88%0.50%0.71%1.06%1.32%1.26%1.51%1.58%1.44%1.56%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.68%
-0.09%
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 33.91%, occurring on Oct 14, 2022. Recovery took 272 trading sessions.

The current Taxed Portfolio drawdown is 0.68%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.91%Dec 28, 2021202Oct 14, 2022272Nov 14, 2023474
-28.28%Feb 20, 202023Mar 23, 202052Jun 5, 202075
-19.62%Oct 4, 201856Dec 24, 201859Mar 21, 2019115
-10.24%Sep 3, 202014Sep 23, 202032Nov 6, 202046
-10.07%Apr 25, 201927Jun 3, 201927Jul 11, 201954

Volatility

Volatility Chart

The current Taxed Portfolio volatility is 5.47%, 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%7.00%December2024FebruaryMarchAprilMay
5.47%
3.36%
Taxed Portfolio
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.

JPSTSMHIWY
JPST1.000.050.08
SMH0.051.000.81
IWY0.080.811.00