Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alex 3 with 6 percent trend following, 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.
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The earliest data available for this chart is Mar 8, 2022, corresponding to the inception date of CTA
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Alex 3 with 6 percent trend following | 0.28% | -0.59% | 8.17% | 12.96% | 29.33% | 15.83% | — | — |
| Portfolio components: | ||||||||
FYLD Cambria Foreign Shareholder Yield ETF | 0.21% | 0.59% | 15.11% | 20.82% | 44.60% | 19.63% | 12.21% | 11.42% |
EYLD Cambria Emerging Shareholder Yield ETF | 0.24% | -1.14% | 9.31% | 15.69% | 38.39% | 19.83% | 8.09% | — |
PIMIX PIMCO Income Fund Institutional Class | 0.19% | -1.73% | -0.81% | 1.44% | 6.56% | 7.40% | 3.46% | 4.72% |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 0.98% | -2.99% | -2.30% | 1.82% | 14.48% | 9.12% | 4.66% | 4.13% |
DBMF iM DBi Managed Futures Strategy ETF | 0.33% | 0.36% | 8.44% | 15.46% | 27.06% | 10.31% | 8.74% | — |
CTA Simplify Managed Futures Strategy ETF | 4.31% | 3.97% | 14.32% | 14.63% | 7.14% | 15.93% | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Mar 9, 2022, Alex 3 with 6 percent trend following's average daily return is +0.05%, while the average monthly return is +1.02%. At this rate, your investment would double in approximately 5.7 years.
Historically, 70% of months were positive and 30% were negative. The best month was Nov 2022 with a return of +10.4%, while the worst month was Jun 2022 at -7.4%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Alex 3 with 6 percent trend following closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +3.5%, while the worst single day was Apr 4, 2025 at -4.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.28% | 5.68% | -4.01% | 0.32% | 8.17% | ||||||||
| 2025 | 1.23% | 1.26% | 1.34% | 0.07% | 4.35% | 4.21% | 0.49% | 3.26% | 1.50% | 1.02% | 2.02% | 1.58% | 24.64% |
| 2024 | 0.18% | 2.47% | 2.35% | 0.28% | 3.10% | -1.17% | 0.68% | 1.21% | 1.58% | -3.56% | -0.14% | -1.99% | 4.89% |
| 2023 | 5.30% | -2.21% | -0.53% | 1.25% | -3.62% | 3.46% | 4.66% | -2.83% | 0.25% | -2.58% | 5.44% | 4.33% | 13.00% |
| 2022 | 5.26% | -3.86% | 1.62% | -7.36% | 2.28% | -0.56% | -6.79% | 1.79% | 10.40% | -0.51% | 0.97% |
Benchmark Metrics
Alex 3 with 6 percent trend following has an annualized alpha of 7.08%, beta of 0.44, and R² of 0.49 versus S&P 500 Index. Calculated based on daily prices since March 09, 2022.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (58.36%) than losses (43.05%) — typical of diversified or defensive assets.
- Beta of 0.44 may look defensive, but with R² of 0.49 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.49 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 7.08%
- Beta
- 0.44
- R²
- 0.49
- Upside Capture
- 58.36%
- Downside Capture
- 43.05%
Expense Ratio
Alex 3 with 6 percent trend following has an expense ratio of 0.66%, 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.
Return for Risk
Risk / Return Rank
Alex 3 with 6 percent trend following ranks 92 for risk / return — in the top 92% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.61 | 0.88 | +1.73 |
Sortino ratioReturn per unit of downside risk | 3.27 | 1.37 | +1.91 |
Omega ratioGain probability vs. loss probability | 1.55 | 1.21 | +0.34 |
Calmar ratioReturn relative to maximum drawdown | 3.14 | 1.39 | +1.75 |
Martin ratioReturn relative to average drawdown | 15.19 | 6.43 | +8.75 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 95 | 2.73 | 3.41 | 1.60 | 3.38 | 19.67 |
EYLD Cambria Emerging Shareholder Yield ETF | 88 | 2.08 | 2.61 | 1.40 | 2.82 | 12.20 |
PIMIX PIMCO Income Fund Institutional Class | 72 | 1.53 | 2.20 | 1.29 | 1.95 | 7.60 |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 87 | 2.20 | 3.03 | 1.44 | 2.10 | 9.20 |
DBMF iM DBi Managed Futures Strategy ETF | 94 | 2.25 | 3.05 | 1.48 | 4.38 | 18.76 |
CTA Simplify Managed Futures Strategy ETF | 22 | 0.43 | 0.68 | 1.09 | 0.71 | 1.23 |
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Dividends
Dividend yield
Alex 3 with 6 percent trend following provided a 4.95% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.95% | 5.13% | 5.62% | 5.83% | 6.02% | 5.39% | 3.72% | 4.58% | 5.92% | 3.43% | 2.78% | 3.54% |
| Portfolio components: | ||||||||||||
FYLD Cambria Foreign Shareholder Yield ETF | 3.75% | 4.07% | 5.41% | 6.06% | 6.13% | 4.74% | 3.94% | 3.73% | 5.17% | 2.85% | 2.72% | 3.98% |
EYLD Cambria Emerging Shareholder Yield ETF | 5.54% | 5.40% | 5.16% | 5.54% | 6.97% | 7.27% | 3.02% | 4.21% | 7.87% | 2.77% | 0.75% | 0.00% |
PIMIX PIMCO Income Fund Institutional Class | 5.54% | 6.01% | 6.27% | 6.21% | 4.98% | 4.02% | 4.88% | 5.83% | 5.66% | 5.37% | 5.52% | 7.88% |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 6.51% | 6.71% | 7.08% | 4.81% | 3.24% | 4.87% | 4.87% | 6.14% | 6.88% | 5.84% | 5.69% | 5.51% |
DBMF iM DBi Managed Futures Strategy ETF | 5.28% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
CTA Simplify Managed Futures Strategy ETF | 3.74% | 3.19% | 4.80% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Alex 3 with 6 percent trend following. 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 Alex 3 with 6 percent trend following was 15.27%, occurring on Sep 30, 2022. Recovery took 80 trading sessions.
The current Alex 3 with 6 percent trend following drawdown is 3.70%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.27% | Apr 5, 2022 | 124 | Sep 30, 2022 | 80 | Jan 26, 2023 | 204 |
| -11.41% | Sep 30, 2024 | 131 | Apr 8, 2025 | 24 | May 13, 2025 | 155 |
| -6.21% | Jul 15, 2024 | 17 | Aug 6, 2024 | 13 | Aug 23, 2024 | 30 |
| -5.95% | Jan 30, 2023 | 34 | Mar 17, 2023 | 80 | Jul 13, 2023 | 114 |
| -5.91% | Mar 2, 2026 | 15 | Mar 20, 2026 | — | — | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 3.68, 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
| Benchmark | DBMF | CTA | PIMIX | PELBX | EYLD | FYLD | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.08 | -0.11 | 0.34 | 0.39 | 0.56 | 0.61 | 0.64 |
| DBMF | 0.08 | 1.00 | 0.34 | -0.33 | -0.11 | 0.07 | 0.10 | 0.09 |
| CTA | -0.11 | 0.34 | 1.00 | -0.38 | -0.21 | -0.09 | -0.09 | -0.08 |
| PIMIX | 0.34 | -0.33 | -0.38 | 1.00 | 0.58 | 0.30 | 0.33 | 0.43 |
| PELBX | 0.39 | -0.11 | -0.21 | 0.58 | 1.00 | 0.51 | 0.53 | 0.61 |
| EYLD | 0.56 | 0.07 | -0.09 | 0.30 | 0.51 | 1.00 | 0.70 | 0.91 |
| FYLD | 0.61 | 0.10 | -0.09 | 0.33 | 0.53 | 0.70 | 1.00 | 0.91 |
| Portfolio | 0.64 | 0.09 | -0.08 | 0.43 | 0.61 | 0.91 | 0.91 | 1.00 |