PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2024

Last updated Nov 13, 2024

Asset Allocation

AGG 20%QQQM 20%VOO 20%SCHD 20%BDEC 10%BOCT 10%BondBondEquityEquity
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF		Total Bond Market
20%
BDEC
Innovator U.S. Equity Buffer ETF - December		Volatility Hedged Equity
10%
BOCT
Innovator U.S. Equity Buffer ETF - October		Volatility Hedged Equity
10%
QQQM
Invesco NASDAQ 100 ETF		Large Cap Growth Equities
20%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
20%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2024, 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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.37%
12.76%
2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 13, 2020, corresponding to the inception date of QQQM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
202416.99%1.23%9.37%24.27%N/AN/A
Portfolio components:
QQQM
Invesco NASDAQ 100 ETF		25.73%2.97%13.49%33.97%N/AN/A
AGG
iShares Core U.S. Aggregate Bond ETF		1.81%-1.42%2.72%6.82%-0.18%1.45%
VOO
Vanguard S&P 500 ETF		26.94%2.23%13.51%35.06%15.77%13.41%
BDEC
Innovator U.S. Equity Buffer ETF - December		14.09%0.84%5.97%19.69%N/AN/A
BOCT
Innovator U.S. Equity Buffer ETF - October		13.06%1.45%6.00%18.00%11.13%N/A
SCHD
Schwab US Dividend Equity ETF		17.47%1.12%10.72%27.61%12.74%11.66%

Monthly Returns

The table below presents the monthly returns of 2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.96%2.74%2.33%-3.34%3.59%2.46%1.74%1.72%1.59%-0.83%16.99%
20235.49%-2.08%3.65%0.63%0.74%4.68%2.75%-1.22%-4.22%-2.28%7.70%4.64%21.64%
2022-4.32%-2.42%2.16%-7.31%0.86%-6.38%6.85%-3.35%-7.57%5.63%5.32%-4.57%-15.41%
2021-0.68%1.90%3.48%3.18%0.76%1.91%1.50%1.95%-3.06%4.42%-0.14%3.09%19.66%
2020-5.06%8.77%2.84%6.21%

Expense Ratio

2024 has an expense ratio of 0.22%, 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.

BDEC
Innovator U.S. Equity Buffer ETF - December
Expense ratio chart for BDEC: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
BOCT
Innovator U.S. Equity Buffer ETF - October
Expense ratio chart for BOCT: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
QQQM
Invesco NASDAQ 100 ETF
Expense ratio chart for QQQM: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
AGG
iShares Core U.S. Aggregate Bond ETF
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of 2024 is 86, placing it in the top 14% 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 2024 is 8686
Combined Rank
The Sharpe Ratio Rank of 2024 is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of 2024 is 8888Sortino Ratio Rank
The Omega Ratio Rank of 2024 is 8787Omega Ratio Rank
The Calmar Ratio Rank of 2024 is 8787Calmar Ratio Rank
The Martin Ratio Rank of 2024 is 8585Martin 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.

2024
Sharpe ratio
The chart of Sharpe ratio for 2024, currently valued at 3.12, compared to the broader market0.002.004.006.003.12
Sortino ratio
The chart of Sortino ratio for 2024, currently valued at 4.44, compared to the broader market-2.000.002.004.006.004.44
Omega ratio
The chart of Omega ratio for 2024, currently valued at 1.60, compared to the broader market0.801.001.201.401.601.802.001.60
Calmar ratio
The chart of Calmar ratio for 2024, currently valued at 5.30, compared to the broader market0.005.0010.0015.005.30
Martin ratio
The chart of Martin ratio for 2024, currently valued at 21.21, compared to the broader market0.0010.0020.0030.0040.0050.0060.0021.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQM
Invesco NASDAQ 100 ETF		2.132.811.382.729.92
AGG
iShares Core U.S. Aggregate Bond ETF		1.372.021.240.564.85
VOO
Vanguard S&P 500 ETF		3.084.091.584.4620.36
BDEC
Innovator U.S. Equity Buffer ETF - December		3.465.041.785.3730.24
BOCT
Innovator U.S. Equity Buffer ETF - October		3.505.241.857.2639.55
SCHD
Schwab US Dividend Equity ETF		2.703.891.483.7114.94

Sharpe Ratio

The current 2024 Sharpe ratio is 3.09. 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 2.06 to 2.97, 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 2024 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.12
2.91
2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2024 provided a 1.84% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.84%1.75%1.66%1.24%1.40%1.53%1.62%1.35%1.46%1.51%1.38%1.33%
Portfolio components:
QQQM
Invesco NASDAQ 100 ETF		0.64%0.65%0.83%0.40%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGG
iShares Core U.S. Aggregate Bond ETF		3.96%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%
VOO
Vanguard S&P 500 ETF		1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
BDEC
Innovator U.S. Equity Buffer ETF - December		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BOCT
Innovator U.S. Equity Buffer ETF - October		0.00%0.00%0.00%0.00%0.00%0.20%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF		3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.33%
-0.27%
2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2024. 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 2024 was 20.90%, occurring on Oct 14, 2022. Recovery took 292 trading sessions.

The current 2024 drawdown is 0.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.9%Dec 28, 2021202Oct 14, 2022292Dec 13, 2023494
-5.06%Oct 14, 202013Oct 30, 20204Nov 5, 202017
-5%Jul 17, 202416Aug 7, 20248Aug 19, 202424
-4.32%Apr 1, 202415Apr 19, 202418May 15, 202433
-3.39%Sep 7, 202120Oct 4, 202112Oct 20, 202132

Volatility

Volatility Chart

The current 2024 volatility is 2.42%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.42%
3.75%
2024
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.
AGGSCHDQQQMBOCTBDECVOO
AGG1.000.100.190.160.170.17
SCHD0.101.000.550.730.750.78
QQQM0.190.551.000.870.880.92
BOCT0.160.730.871.000.940.94
BDEC0.170.750.880.941.000.95
VOO0.170.780.920.940.951.00
The correlation results are calculated based on daily price changes starting from Oct 14, 2020