Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AMTR ETRACS Alerian Midstream Energy Total Return Index ETN | MLPs | 100% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alerian Midstream Energy Total Return Index, 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 Oct 21, 2020, corresponding to the inception date of AMTR
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.18% | 4.00% | 1.78% | 4.44% | 29.11% | 18.97% | 10.81% | 12.85% |
Portfolio Alerian Midstream Energy Total Return Index | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
AMTR ETRACS Alerian Midstream Energy Total Return Index ETN | — | — | — | — | — | — | — | — |
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.00% | 3.44% | 6.37% | -1.73% | 3.94% | 2.92% | 3.68% | 4.94% | 0.49% | 5.15% | 14.82% | -5.24% | 44.68% |
| 2023 | 4.64% | -3.64% | -0.34% | 2.39% | -5.63% | 7.26% | 2.97% | -0.10% | -0.79% | -0.51% | 7.24% | -0.57% | 12.75% |
| 2022 | 9.64% | 5.50% | 7.11% | -2.43% | 6.31% | -12.48% | 10.18% | -0.16% | -9.97% | 11.02% | 3.54% | -5.97% | 20.41% |
| 2021 | 5.55% | 6.31% | 7.66% | 5.89% | 6.24% | 3.01% | -3.76% | -1.69% | 4.10% | 6.00% | -7.23% | 1.04% | 36.99% |
| 2020 | -3.53% | 18.93% | 0.44% | 15.24% |
Benchmark Metrics
Alerian Midstream Energy Total Return Index has an annualized alpha of 21.20%, beta of 0.67, and R² of 0.30 versus S&P 500 Index. Calculated based on daily prices since October 22, 2020.
- This portfolio captured 102.04% of S&P 500 Index gains but only 34.20% of its losses — a favorable profile for investors.
- Beta of 0.67 may look defensive, but with R² of 0.30 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 0.30 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 21.20%
- Beta
- 0.67
- R²
- 0.30
- Upside Capture
- 102.04%
- Downside Capture
- 34.20%
Expense Ratio
Alerian Midstream Energy Total Return Index has an expense ratio of 0.75%, 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
Return / Risk — by metrics
Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.
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 | |
|---|---|---|---|---|---|---|
AMTR ETRACS Alerian Midstream Energy Total Return Index ETN | — | — | — | — | — | — |
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Dividends
Dividend yield
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 Alerian Midstream Energy Total Return Index. 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 Alerian Midstream Energy Total Return Index was 19.33%, occurring on Sep 26, 2022. Recovery took 292 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.33% | Jun 8, 2022 | 76 | Sep 26, 2022 | 292 | Nov 22, 2023 | 368 |
| -13.78% | Oct 21, 2021 | 42 | Dec 20, 2021 | 30 | Feb 2, 2022 | 72 |
| -13.34% | Jun 17, 2021 | 45 | Aug 19, 2021 | 37 | Oct 12, 2021 | 82 |
| -8.62% | Dec 11, 2020 | 15 | Jan 4, 2021 | 6 | Jan 12, 2021 | 21 |
| -7.98% | Apr 21, 2022 | 16 | May 12, 2022 | 13 | Jun 1, 2022 | 29 |
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 1 assets, with an effective number of assets of 1.00, 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 | AMTR | Portfolio | |
|---|---|---|---|
| Benchmark | 1.00 | 0.50 | 0.50 |
| AMTR | 0.50 | 1.00 | 1.00 |
| Portfolio | 0.50 | 1.00 | 1.00 |