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1.54 10Y OMEGA RATIO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

1.54 10Y OMEGA RATIO

Currency in USD · Last updated May 21, 2025

Asset Allocation

BTAL 12.5%GSY 5%ZROZ 2.5%IAU 12.5%USDU 22.5%EUO 3.5%YCS 3.5%FXF 2.5%MURGY 10%NVDA 5%NECB 5%PGR 3.5%LLY 3.5%TPL 3.5%CWST 2.5%FICO 2.5%AlternativesAlternativesBondBondCommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorTarget Weight
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
12.50%
CWST
Casella Waste Systems, Inc.		Industrials
2.50%
EUO
ProShares UltraShort Euro		Leveraged Currency, Leveraged
3.50%
FICO
Fair Isaac Corporation		Technology
2.50%
FXF
Invesco CurrencyShares® Swiss Franc Trust		Currency
2.50%
GSY
Invesco Ultra Short Duration ETF		Corporate Bonds, Actively Managed
5%
IAU
iShares Gold Trust		Precious Metals, Gold
12.50%
LLY
Eli Lilly and Company		Healthcare
3.50%
MURGY
Muenchener Rueckver Ges		Financial Services
10%
NECB
Northeast Community Bancorp, Inc.		Financial Services
5%
NVDA
NVIDIA Corporation		Technology
5%
PGR
The Progressive Corporation		Financial Services
3.50%
TPL
Texas Pacific Land Corporation		Energy
3.50%
USDU
WisdomTree Bloomberg U.S. Dollar Bullish Fund		Currency, Actively Managed
22.50%
YCS
ProShares UltraShort Yen		Leveraged Currency, Leveraged
3.50%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund		Government Bonds
2.50%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Dec 18, 2013, corresponding to the inception date of USDU

Returns By Period

As of May 21, 2025, the 1.54 10Y OMEGA RATIO returned 7.01% Year-To-Date and 16.06% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.00%12.45%0.40%11.91%15.04%10.82%
1.54 10Y OMEGA RATIO7.01%1.51%4.00%20.97%18.45%16.06%
Portfolio components:
NVDA
NVIDIA Corporation		0.08%38.66%-7.87%40.92%72.71%74.79%
MURGY
Muenchener Rueckver Ges		34.52%-1.65%35.78%35.55%30.80%20.39%
PGR
The Progressive Corporation		21.62%10.96%13.38%39.30%33.31%29.59%
LLY
Eli Lilly and Company		-2.87%-8.49%-0.48%-6.36%39.06%28.25%
NECB
Northeast Community Bancorp, Inc.		-1.86%10.83%-18.93%40.86%36.65%18.23%
TPL
Texas Pacific Land Corporation		24.08%9.75%-5.31%125.99%50.30%40.79%
IAU
iShares Gold Trust		25.47%-3.82%24.17%35.57%13.51%10.30%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		3.84%-9.14%2.79%4.80%-3.06%1.18%
USDU
WisdomTree Bloomberg U.S. Dollar Bullish Fund		-4.81%1.11%-2.37%3.50%2.46%2.28%
EUO
ProShares UltraShort Euro		-14.66%4.34%-11.26%-3.25%1.12%1.56%
YCS
ProShares UltraShort Yen		-11.68%5.61%-10.54%-6.79%17.34%6.10%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund		-5.79%-1.22%-10.04%-10.66%-15.86%-2.62%
FXF
Invesco CurrencyShares® Swiss Franc Trust		9.28%-2.68%6.48%9.51%2.51%0.38%
GSY
Invesco Ultra Short Duration ETF		1.81%0.48%2.45%5.59%3.00%2.51%
CWST
Casella Waste Systems, Inc.		9.81%1.32%6.55%17.59%18.14%36.43%
FICO
Fair Isaac Corporation		1.81%11.61%-12.24%47.44%39.39%36.79%
*Annualized

Monthly Returns

The table below presents the monthly returns of 1.54 10Y OMEGA RATIO, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.83%3.12%1.33%0.81%-0.23%7.01%
20243.89%3.75%3.82%0.46%4.20%3.41%1.72%3.23%1.48%2.30%3.53%-3.52%31.91%
20232.53%0.63%2.14%1.61%1.65%1.71%0.48%3.79%-0.53%2.59%2.10%-0.93%19.18%
2022-0.27%-0.51%2.86%-1.35%0.57%1.12%1.31%-0.05%-0.48%4.09%4.92%-0.95%11.61%
2021-0.24%0.66%3.34%1.10%0.83%1.58%-0.09%1.46%-2.18%3.37%0.73%2.43%13.66%
20203.17%-1.42%-3.50%5.43%2.51%2.52%2.25%0.67%-1.41%-2.49%1.25%4.91%14.31%
20192.74%2.88%2.07%0.52%0.30%1.73%1.24%2.14%-0.02%0.37%2.18%1.43%19.04%
20182.10%-0.60%0.28%1.09%2.31%0.39%1.31%3.06%1.18%-0.60%-1.09%-1.39%8.23%
20170.07%1.36%0.55%3.52%1.84%0.28%1.65%1.27%0.54%2.40%0.37%0.65%15.45%
20160.84%1.63%0.53%-0.91%2.81%0.82%1.13%1.28%2.16%1.60%0.93%2.94%16.89%
20152.46%1.08%1.74%-1.26%0.40%-1.01%1.22%0.29%1.52%1.89%1.00%-0.87%8.72%
2014-0.72%3.63%-0.64%1.70%0.65%0.29%-0.89%1.24%-0.10%0.97%2.26%0.54%9.20%

Expense Ratio

1.54 10Y OMEGA RATIO has an expense ratio of 0.50%, 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.

BTAL
AGFiQ US Market Neutral Anti-Beta Fund
YCS
ProShares UltraShort Yen
EUO
ProShares UltraShort Euro
USDU
WisdomTree Bloomberg U.S. Dollar Bullish Fund
FXF
Invesco CurrencyShares® Swiss Franc Trust
IAU
iShares Gold Trust
GSY
Invesco Ultra Short Duration ETF
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 98, 1.54 10Y OMEGA RATIO is among the top 2% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of 1.54 10Y OMEGA RATIO is 9898
Overall Rank
The Sharpe Ratio Rank of 1.54 10Y OMEGA RATIO is 9898
Sharpe Ratio Rank
The Sortino Ratio Rank of 1.54 10Y OMEGA RATIO is 9898
Sortino Ratio Rank
The Omega Ratio Rank of 1.54 10Y OMEGA RATIO is 9898
Omega Ratio Rank
The Calmar Ratio Rank of 1.54 10Y OMEGA RATIO is 9898
Calmar Ratio Rank
The Martin Ratio Rank of 1.54 10Y OMEGA RATIO is 9797
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation		0.701.301.161.152.83
MURGY
Muenchener Rueckver Ges		1.361.941.262.787.77
PGR
The Progressive Corporation		1.682.181.313.328.48
LLY
Eli Lilly and Company		-0.100.181.02-0.10-0.19
NECB
Northeast Community Bancorp, Inc.		1.341.801.231.242.53
TPL
Texas Pacific Land Corporation		2.282.781.413.467.62
IAU
iShares Gold Trust		1.992.861.364.6911.96
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		0.310.581.070.230.89
USDU
WisdomTree Bloomberg U.S. Dollar Bullish Fund		0.550.831.110.541.53
EUO
ProShares UltraShort Euro		-0.19-0.130.98-0.14-0.40
YCS
ProShares UltraShort Yen		-0.27-0.120.99-0.24-0.48
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund		-0.43-0.540.94-0.19-0.84
FXF
Invesco CurrencyShares® Swiss Franc Trust		0.991.571.180.592.15
GSY
Invesco Ultra Short Duration ETF		11.0526.815.9931.41205.62
CWST
Casella Waste Systems, Inc.		0.631.181.151.824.08
FICO
Fair Isaac Corporation		1.191.811.241.493.28

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

1.54 10Y OMEGA RATIO Sharpe ratios as of May 21, 2025 (values are recalculated daily):

  • 1-Year: 3.10
  • 5-Year: 3.08
  • 10-Year: 2.55
  • All Time: 2.50

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.54 to 1.03, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of 1.54 10Y OMEGA RATIO compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

1.54 10Y OMEGA RATIO provided a 2.35% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio2.35%2.24%3.10%2.66%0.86%0.99%1.65%1.17%2.55%0.92%2.35%1.47%
Portfolio components:
NVDA
NVIDIA Corporation		0.02%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
MURGY
Muenchener Rueckver Ges		3.33%3.19%3.07%3.72%3.98%3.58%3.50%4.77%21.58%4.69%4.22%5.01%
PGR
The Progressive Corporation		1.72%0.48%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%
LLY
Eli Lilly and Company		0.75%0.67%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%
NECB
Northeast Community Bancorp, Inc.		3.17%2.29%1.01%2.82%1.89%1.49%1.35%1.44%1.59%2.04%2.26%2.23%
TPL
Texas Pacific Land Corporation		1.13%1.58%0.83%1.37%0.88%3.58%0.77%0.75%0.30%0.10%0.22%0.23%
IAU
iShares Gold Trust		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		3.36%3.49%6.14%1.00%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%
USDU
WisdomTree Bloomberg U.S. Dollar Bullish Fund		4.17%3.97%6.99%7.83%0.00%0.69%3.06%0.88%0.00%0.00%6.48%1.58%
EUO
ProShares UltraShort Euro		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
YCS
ProShares UltraShort Yen		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund		4.93%4.58%3.52%2.76%1.60%1.68%2.22%2.91%2.53%3.00%2.98%2.00%
FXF
Invesco CurrencyShares® Swiss Franc Trust		0.00%0.03%0.02%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.15%
GSY
Invesco Ultra Short Duration ETF		5.05%5.31%4.95%1.70%0.58%1.45%2.71%2.30%1.80%1.30%1.17%1.29%
CWST
Casella Waste Systems, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FICO
Fair Isaac Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.01%0.07%0.08%0.11%

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 1.54 10Y OMEGA RATIO. 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 1.54 10Y OMEGA RATIO was 11.94%, occurring on Mar 16, 2020. Recovery took 54 trading sessions.

The current 1.54 10Y OMEGA RATIO drawdown is 0.38%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-11.94%Feb 20, 202018Mar 16, 202054Jun 2, 202072
-4.93%Sep 3, 202041Oct 30, 202031Dec 15, 202072
-4.57%Apr 3, 20253Apr 7, 202515Apr 29, 202518
-4.56%Oct 5, 201855Dec 24, 201827Feb 4, 201982
-4.33%Nov 25, 202425Dec 31, 202437Feb 26, 202562

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 16 assets, with an effective number of assets of 9.26, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCGSYNECBLLYZROZTPLIAUCWSTBTALMURGYPGRFXFEUONVDAFICOUSDUYCSPortfolio
^GSPC1.000.030.160.41-0.180.33-0.000.40-0.510.300.45-0.00-0.100.630.60-0.190.210.51
GSY0.031.000.020.020.170.020.160.03-0.020.02-0.000.16-0.130.020.06-0.14-0.210.03
NECB0.160.021.000.030.020.080.040.07-0.120.080.070.04-0.050.060.12-0.070.000.23
LLY0.410.020.031.00-0.030.09-0.010.23-0.090.110.29-0.030.020.230.26-0.020.100.39
ZROZ-0.180.170.02-0.031.00-0.140.29-0.050.17-0.11-0.120.24-0.12-0.08-0.04-0.13-0.430.02
TPL0.330.020.080.09-0.141.000.030.18-0.270.120.17-0.02-0.020.210.20-0.080.100.38
IAU-0.000.160.04-0.010.290.031.000.040.030.05-0.040.45-0.40-0.000.02-0.44-0.460.18
CWST0.400.030.070.23-0.050.180.041.00-0.180.170.27-0.00-0.030.200.31-0.090.080.39
BTAL-0.51-0.02-0.12-0.090.17-0.270.03-0.181.00-0.20-0.090.000.08-0.37-0.290.14-0.14-0.04
MURGY0.300.020.080.11-0.110.120.050.17-0.201.000.200.13-0.250.140.17-0.230.040.43
PGR0.45-0.000.070.29-0.120.17-0.040.27-0.090.201.00-0.05-0.010.190.30-0.040.150.41
FXF-0.000.160.04-0.030.24-0.020.45-0.000.000.13-0.051.00-0.76-0.010.01-0.66-0.53-0.07
EUO-0.10-0.13-0.050.02-0.12-0.02-0.40-0.030.08-0.25-0.01-0.761.00-0.06-0.060.770.430.06
NVDA0.630.020.060.23-0.080.21-0.000.20-0.370.140.19-0.01-0.061.000.45-0.090.130.53
FICO0.600.060.120.26-0.040.200.020.31-0.290.170.300.01-0.060.451.00-0.120.090.45
USDU-0.19-0.14-0.07-0.02-0.13-0.08-0.44-0.090.14-0.23-0.04-0.660.77-0.09-0.121.000.500.06
YCS0.21-0.210.000.10-0.430.10-0.460.08-0.140.040.15-0.530.430.130.090.501.000.18
Portfolio0.510.030.230.390.020.380.180.39-0.040.430.41-0.070.060.530.450.060.181.00
The correlation results are calculated based on daily price changes starting from Dec 19, 2013