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marlun2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

marlun2

Last updated Oct 18, 2024

Asset Allocation

TLT 40%IEF 10%GLD 10%BTC-USD 5%ETH-USD 5%^GSPC 30%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500
30%
BTC-USD
Bitcoin
5%
ETH-USD
Ethereum
5%
GLD
SPDR Gold Trust		Precious Metals, Gold
10%
IEF
iShares 7-10 Year Treasury Bond ETF		Government Bonds
10%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in marlun2, 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

0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
9.88%
18.07%
18.07%
marlun2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 7, 2015, corresponding to the inception date of ETH-USD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.95%4.39%18.07%37.09%14.48%11.71%
marlun213.81%-0.41%9.88%33.37%12.46%N/A
Portfolio components:
^GSPC
S&P 500		22.95%2.84%18.07%38.84%14.39%11.71%
TLT
iShares 20+ Year Treasury Bond ETF		-2.22%-4.76%7.40%17.30%-5.32%-0.02%
IEF
iShares 7-10 Year Treasury Bond ETF		2.15%-2.23%6.47%10.98%-1.11%0.97%
GLD
SPDR Gold Trust		31.44%3.74%13.68%36.86%12.39%7.68%
BTC-USD
Bitcoin		61.88%8.27%5.38%128.68%53.38%67.81%
ETH-USD
Ethereum		15.78%3.14%-16.07%62.13%72.73%N/A

Monthly Returns

The table below presents the monthly returns of marlun2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.52%5.08%3.76%-5.50%4.60%1.07%2.47%0.39%2.56%13.81%
20239.46%-3.42%6.36%1.03%-1.77%2.47%-0.33%-3.08%-5.21%-0.43%8.40%6.56%20.42%
2022-5.69%-0.14%-0.62%-8.71%-3.16%-6.41%7.42%-4.98%-7.93%0.88%3.68%-3.28%-26.40%
20212.32%0.47%4.37%5.24%-0.82%0.31%4.14%3.39%-4.42%7.48%0.92%-1.95%22.95%
20207.21%1.42%-4.57%9.57%2.40%0.57%8.40%2.00%-3.28%-0.62%9.25%6.89%45.32%
20191.58%1.84%3.30%2.51%8.55%7.33%-0.94%4.23%-1.41%1.11%-1.41%-1.04%28.16%
20181.48%-4.38%-4.15%4.13%-0.98%-2.21%1.09%-0.97%-2.07%-4.07%-2.29%0.63%-13.28%
20173.15%6.20%19.39%5.30%19.24%6.36%-0.14%8.54%-2.82%3.18%7.83%9.01%123.17%
20168.40%23.42%23.94%-0.42%3.34%4.82%1.53%-1.32%0.31%-2.87%-3.99%1.86%70.73%
2015-5.51%-0.62%5.48%-0.05%0.71%-0.29%

Expense Ratio

marlun2 has an expense ratio of 0.12%, 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.

GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
IEF
iShares 7-10 Year Treasury Bond ETF
Expense ratio chart for IEF: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of marlun2 is 15, indicating that it is in the bottom 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of marlun2 is 1515
Combined Rank
The Sharpe Ratio Rank of marlun2 is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of marlun2 is 1919Sortino Ratio Rank
The Omega Ratio Rank of marlun2 is 1313Omega Ratio Rank
The Calmar Ratio Rank of marlun2 is 33Calmar Ratio Rank
The Martin Ratio Rank of marlun2 is 1919Martin 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.

marlun2
Sharpe ratio
The chart of Sharpe ratio for marlun2, currently valued at 1.89, compared to the broader market0.002.004.001.89
Sortino ratio
The chart of Sortino ratio for marlun2, currently valued at 2.60, compared to the broader market-2.000.002.004.006.002.60
Omega ratio
The chart of Omega ratio for marlun2, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.802.001.29
Calmar ratio
The chart of Calmar ratio for marlun2, currently valued at 0.36, compared to the broader market0.002.004.006.008.0010.0012.000.36
Martin ratio
The chart of Martin ratio for marlun2, currently valued at 9.37, compared to the broader market0.0010.0020.0030.0040.0050.009.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.95, compared to the broader market0.002.004.001.95
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.63, compared to the broader market-2.000.002.004.006.002.63
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.802.001.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 0.88, compared to the broader market0.002.004.006.008.0010.0012.000.88
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.48, compared to the broader market0.0010.0020.0030.0040.0050.0011.49
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^GSPC
S&P 500		1.952.631.350.8811.49
TLT
iShares 20+ Year Treasury Bond ETF		0.290.491.060.011.08
IEF
iShares 7-10 Year Treasury Bond ETF		0.871.251.150.043.66
GLD
SPDR Gold Trust		3.514.521.603.6224.27
BTC-USD
Bitcoin		1.312.001.201.085.46
ETH-USD
Ethereum		0.140.691.070.030.36

Sharpe Ratio

The current marlun2 Sharpe ratio is 1.89. 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 2.19 to 3.02, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of marlun2 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 Ratio1.002.003.004.005.00MayJuneJulyAugustSeptemberOctober
1.89
1.95
1.95
marlun2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

marlun2 granted a 1.89% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
marlun21.89%1.64%1.26%0.68%0.71%1.12%1.28%1.16%1.22%1.23%1.27%1.48%
Portfolio components:
^GSPC
S&P 500		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF		3.89%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
IEF
iShares 7-10 Year Treasury Bond ETF		3.37%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
GLD
SPDR 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%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ETH-USD
Ethereum		0.00%0.00%0.00%0.00%0.00%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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-3.20%
00
marlun2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the marlun2. 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 marlun2 was 32.41%, occurring on Nov 9, 2022. The portfolio has not yet recovered.

The current marlun2 drawdown is 3.61%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.41%Nov 10, 2021365Nov 9, 2022———
-20.27%Dec 19, 2017341Nov 24, 2018207Jun 19, 2019548
-18.45%Mar 7, 202012Mar 18, 202042Apr 29, 202054
-12.17%Mar 14, 20167Mar 20, 201684Jun 12, 201691
-10.57%Jun 14, 201733Jul 16, 201746Aug 31, 201779

Volatility

Volatility Chart

The current marlun2 volatility is 2.23%, 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%7.00%MayJuneJulyAugustSeptemberOctober
2.23%
3.02%
3.02%
marlun2
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCBTC-USDGLDETH-USDTLTIEF
^GSPC1.000.150.010.15-0.14-0.14
BTC-USD0.151.000.090.64-0.000.00
GLD0.010.091.000.090.320.38
ETH-USD0.150.640.091.000.000.01
TLT-0.14-0.000.320.001.000.90
IEF-0.140.000.380.010.901.00
The correlation results are calculated based on daily price changes starting from Aug 8, 2015