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Nasdaq-100 Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


QQQ 100%EquityEquity
PositionCategory/SectorWeight
QQQ
Invesco QQQ
Large Cap Blend Equities

100%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Nasdaq-100 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


200.00%400.00%600.00%800.00%1,000.00%FebruaryMarchAprilMayJuneJuly
991.29%
327.79%
Nasdaq-100 Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 10, 1999, corresponding to the inception date of QQQ

Returns By Period

As of Jul 22, 2024, the Nasdaq-100 Portfolio returned 16.39% Year-To-Date and 18.23% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Nasdaq-100 Portfolio16.39%-0.87%13.16%27.39%20.52%18.23%
QQQ
Invesco QQQ
16.39%-0.87%13.16%27.39%20.52%18.23%

Monthly Returns

The table below presents the monthly returns of Nasdaq-100 Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.82%5.28%1.28%-4.37%6.15%6.47%16.39%
202310.64%-0.36%9.49%0.51%7.88%6.30%3.86%-1.48%-5.08%-2.07%10.82%5.59%54.86%
2022-8.75%-4.48%4.67%-13.60%-1.59%-8.91%12.55%-5.13%-10.54%4.00%5.54%-9.01%-32.58%
20210.26%-0.13%1.72%5.91%-1.20%6.26%2.86%4.22%-5.68%7.86%2.00%1.15%27.42%
20203.04%-6.06%-7.29%14.97%6.60%6.29%7.35%10.94%-5.64%-3.04%11.23%4.90%48.62%
20199.01%2.99%3.92%5.50%-8.23%7.59%2.33%-1.90%0.92%4.38%4.07%3.89%38.96%
20188.76%-1.29%-4.08%0.51%5.67%1.15%2.80%5.78%-0.28%-8.60%-0.26%-8.66%-0.13%
20175.14%4.38%2.03%2.73%3.90%-2.32%4.06%2.07%-0.30%4.61%1.97%0.60%32.66%
2016-6.91%-1.57%6.85%-3.19%4.37%-2.28%7.15%1.05%2.21%-1.46%0.44%1.13%7.10%
2015-2.08%7.22%-2.36%1.92%2.25%-2.48%4.56%-6.82%-2.21%11.37%0.61%-1.59%9.44%
2014-1.92%5.15%-2.73%-0.32%4.49%3.12%1.18%5.01%-0.76%2.64%4.55%-2.24%19.18%
20132.67%0.34%3.02%2.54%3.58%-2.40%6.31%-0.40%4.83%4.96%3.55%2.93%36.63%

Expense Ratio

Nasdaq-100 Portfolio has an expense ratio of 0.20%, 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.


Expense ratio chart for QQQ: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Nasdaq-100 Portfolio is 51, 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.


The Risk-Adjusted Performance Rank of Nasdaq-100 Portfolio is 5151
Nasdaq-100 Portfolio
The Sharpe Ratio Rank of Nasdaq-100 Portfolio is 4444Sharpe Ratio Rank
The Sortino Ratio Rank of Nasdaq-100 Portfolio is 3939Sortino Ratio Rank
The Omega Ratio Rank of Nasdaq-100 Portfolio is 4343Omega Ratio Rank
The Calmar Ratio Rank of Nasdaq-100 Portfolio is 6060Calmar Ratio Rank
The Martin Ratio Rank of Nasdaq-100 Portfolio is 6767Martin 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.


Nasdaq-100 Portfolio
Sharpe ratio
The chart of Sharpe ratio for Nasdaq-100 Portfolio, currently valued at 1.52, compared to the broader market-1.000.001.002.003.004.001.52
Sortino ratio
The chart of Sortino ratio for Nasdaq-100 Portfolio, currently valued at 2.10, compared to the broader market-2.000.002.004.006.002.10
Omega ratio
The chart of Omega ratio for Nasdaq-100 Portfolio, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
The chart of Calmar ratio for Nasdaq-100 Portfolio, currently valued at 1.74, compared to the broader market0.002.004.006.008.0010.001.74
Martin ratio
The chart of Martin ratio for Nasdaq-100 Portfolio, currently valued at 7.71, compared to the broader market0.0010.0020.0030.0040.007.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.522.101.261.747.71

Sharpe Ratio

The current Nasdaq-100 Portfolio Sharpe ratio is 1.52. 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 1.31 to 2.05, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Nasdaq-100 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.52
1.82
Nasdaq-100 Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Nasdaq-100 Portfolio granted a 0.61% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Nasdaq-100 Portfolio0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
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%

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%FebruaryMarchAprilMayJuneJuly
-5.51%
-2.86%
Nasdaq-100 Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Nasdaq-100 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 Nasdaq-100 Portfolio was 82.98%, occurring on Oct 9, 2002. Recovery took 3113 trading sessions.

The current Nasdaq-100 Portfolio drawdown is 5.51%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-82.98%Mar 27, 2000637Oct 9, 20023113Feb 23, 20153750
-35.12%Dec 28, 2021216Nov 3, 2022278Dec 13, 2023494
-28.56%Feb 20, 202018Mar 16, 202055Jun 3, 202073
-22.8%Aug 30, 201880Dec 24, 201875Apr 12, 2019155
-16.1%Dec 2, 201547Feb 9, 2016117Jul 27, 2016164

Volatility

Volatility Chart

The current Nasdaq-100 Portfolio volatility is 4.92%, 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%FebruaryMarchAprilMayJuneJuly
4.92%
2.76%
Nasdaq-100 Portfolio
Benchmark (^GSPC)
Portfolio components