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P PDP 50 SPLV 50
P PDP 50 SPLV 50
live (public) 0.92% March 27
This portfolio consists of 50% PDP and 50% SPLV, based on an article Relative Strength and Low Volatility Portfolio on alletf.com. It rebalances annually.
Holdings (As of 03/27/2024)
Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
asset1 | PDP (Invesco DWA Momentum ETF) | 0.47% | 52.31% |
asset2 | SPLV (Invesco S&P 500® Low Volatility ETF) | 1.42% | 47.69% |
* Day change on 03/27/2024.
Performance (As of 03/27/2024)
Since 06/01/2011
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P PDP 50 SPLV 50 | 10.5% | 22.5% | 6.5% | 10.4% | 10.3% | |
VFINX (Vanguard (S&P 500) Index) | 10.8% | 34.6% | 11.4% | 15.3% | 13.0% | 15.4% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.7% | 21.5% | 5.0% | 9.0% | 8.2% | 10.3% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 06/01/2011 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.8 | 10.5 | 22.5 | 6.5 | 10.4 | 10.3 | 11.2 | 10.7 | -14.7 | 16.5 | 17.6 | 30.5 | -3.5 | 19.3 | 6.5 | 2.8 | 14.5 | 27.4 | 14.1 | -1.0 |
Sharpe Ratio | NA | 0.97 | 1.73 | 0.28 | 0.43 | 0.55 | 0.63 | 0.54 | -0.77 | 1.2 | 0.5 | 2.65 | -0.32 | 2.8 | 0.53 | 0.18 | 1.27 | 2.41 | 1.32 | -0.04 |
Draw Down(%) | NA | 1.6 | 10.0 | 21.6 | 35.3 | 35.3 | 35.3 | 10.0 | 21.6 | 8.5 | 35.3 | 4.6 | 18.0 | 2.4 | 8.7 | 10.6 | 6.4 | 7.2 | 6.5 | 16.7 |
Standard Deviation(%) | NA | 9.9 | 10.8 | 15.4 | 20.4 | 16.8 | 16.5 | 12.0 | 20.9 | 13.7 | 34.6 | 11.0 | 15.1 | 6.7 | 11.7 | 15.0 | 11.4 | 11.4 | 10.7 | 24.7 |
Treynor Ratio | NA | 0.12 | 0.23 | 0.05 | 0.1 | 0.14 | 0.2 | 0.08 | -0.2 | 0.17 | 0.18 | 0.39 | -0.31 | -1.01 | 3.34 | -0.24 | 6.0 | -3.96 | 3.07 | 0.12 |
Alpha | NA | 0.03 | -0.01 | -0.01 | -0.01 | 0.01 | 0.02 | -0.03 | 0.0 | -0.03 | 0.01 | 0.03 | -0.01 | 0.08 | 0.03 | 0.02 | 0.05 | 0.11 | 0.05 | 0.0 |
Beta | NA | 0.82 | 0.83 | 0.83 | 0.9 | 0.66 | 0.52 | 0.82 | 0.81 | 0.96 | 0.96 | 0.75 | 0.16 | -0.18 | 0.02 | -0.12 | 0.02 | -0.07 | 0.05 | -0.08 |
RSquared | NA | 0.84 | 0.79 | 0.86 | 0.88 | 0.49 | 0.31 | 0.8 | 0.89 | 0.84 | 0.93 | 0.73 | 0.03 | 0.03 | 0.0 | 0.01 | 0.0 | 0.0 | 0.0 | 0.01 |
Sortino Ratio | NA | 1.67 | 2.59 | 0.4 | 0.58 | 0.75 | 0.86 | 0.77 | -1.04 | 1.69 | 0.67 | 3.9 | -0.41 | 4.4 | 0.74 | 0.25 | 1.78 | 3.65 | 1.93 | -0.05 |
Yield(%) | N/A | 0.31 | 1.46 | 1.28 | 1.49 | 1.32 | 1.47 | 1.48 | 1.18 | 1.38 | 1.11 | 1.5 | 0.73 | 0.37 | 1.82 | 1.56 | 1.37 | 1.73 | 2.13 | 1.01 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 06/01/2011
Strategies
Rebalancing Strategy | Fixed Time Interval Rebalancing |