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Hedge
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

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


10.00%20.00%30.00%40.00%50.00%December2025FebruaryMarchAprilMay
19.40%
35.80%
Hedge
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2022, corresponding to the inception date of CTA

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
Hedge1.76%-0.75%2.34%6.50%N/AN/A
DWSH
AdvisorShares Dorsey Wright Short ETF
15.08%-10.05%20.59%17.62%-17.60%N/A
KMLM
KFA Mount Lucas Index Strategy ETF
-6.41%-1.54%-5.23%-11.11%N/AN/A
CTA
Simplify Managed Futures Strategy ETF
-0.92%-1.99%6.46%6.71%N/AN/A
CLSE
Convergence Long/Short Equity ETF
-3.27%8.41%-5.42%7.09%N/AN/A
PHDG
Invesco S&P 500® Downside Hedged ETF
-9.28%-0.41%-10.08%-4.05%4.13%3.89%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
6.87%-6.22%5.41%7.58%-2.62%1.18%
BGLD
FT Cboe Vest Gold Strategy Quarterly Buffer ETF
16.70%5.26%15.05%32.69%N/AN/A
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.90%1.26%1.56%-1.57%-0.36%1.76%
20242.31%2.80%1.83%2.76%0.08%1.15%-0.61%1.83%0.71%0.92%-0.70%0.77%14.67%
2023-2.84%1.01%0.39%2.09%0.44%-1.44%-0.55%0.83%2.29%2.11%-1.21%-2.89%0.06%
2022-2.06%4.15%0.57%0.52%-1.14%1.32%1.37%0.58%-2.17%-0.73%2.26%

Expense Ratio

Hedge has a high expense ratio of 1.37%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 89, Hedge is among the top 11% 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 Hedge is 8989
Overall Rank
The Sharpe Ratio Rank of Hedge is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of Hedge is 8787
Sortino Ratio Rank
The Omega Ratio Rank of Hedge is 8585
Omega Ratio Rank
The Calmar Ratio Rank of Hedge is 9696
Calmar Ratio Rank
The Martin Ratio Rank of Hedge is 9393
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
DWSH
AdvisorShares Dorsey Wright Short ETF
0.711.151.160.573.90
KMLM
KFA Mount Lucas Index Strategy ETF
-1.08-1.320.85-0.35-1.53
CTA
Simplify Managed Futures Strategy ETF
0.530.781.090.661.28
CLSE
Convergence Long/Short Equity ETF
0.440.761.110.521.62
PHDG
Invesco S&P 500® Downside Hedged ETF
-0.34-0.370.95-0.27-0.79
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.390.901.100.791.59
BGLD
FT Cboe Vest Gold Strategy Quarterly Buffer ETF
3.053.951.576.2826.54

The current Hedge Sharpe ratio is 1.24. 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 0.44 to 0.96, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Hedge 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
1.24
0.48
Hedge
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Hedge provided a 5.36% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio5.36%5.97%4.77%2.82%1.45%0.09%0.42%0.30%0.27%0.34%0.25%0.82%
DWSH
AdvisorShares Dorsey Wright Short ETF
5.36%6.17%10.28%0.00%0.00%0.00%0.14%0.12%0.00%0.00%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF
0.87%0.82%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CTA
Simplify Managed Futures Strategy ETF
4.75%4.80%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CLSE
Convergence Long/Short Equity ETF
0.96%0.93%1.21%0.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PHDG
Invesco S&P 500® Downside Hedged ETF
2.12%1.94%1.93%1.35%0.44%0.63%1.80%1.56%1.83%2.29%1.65%5.45%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
3.27%3.49%6.14%1.00%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%
BGLD
FT Cboe Vest Gold Strategy Quarterly Buffer ETF
21.46%25.04%10.49%0.40%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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-2.05%
-7.82%
Hedge
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Hedge. 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 Hedge was 7.98%, occurring on Feb 2, 2023. Recovery took 179 trading sessions.

The current Hedge drawdown is 2.05%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-7.98%Oct 17, 202275Feb 2, 2023179Oct 19, 2023254
-5.28%Jun 15, 202237Aug 8, 202244Oct 10, 202281
-5.09%Nov 14, 202322Dec 14, 202346Feb 22, 202468
-2.54%Mar 9, 20228Mar 18, 202218Apr 13, 202226
-2.47%Apr 4, 202520May 2, 2025

Volatility

Volatility Chart

The current Hedge volatility is 1.95%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
1.95%
11.21%
Hedge
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 7 assets, with an effective number of assets of 6.67, 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.

^GSPCBGLDCTAKMLMCLSEPHDGBTALDWSHPortfolio
^GSPC1.000.16-0.14-0.170.690.67-0.66-0.73-0.27
BGLD0.161.00-0.15-0.150.090.15-0.18-0.160.04
CTA-0.14-0.151.000.33-0.07-0.090.170.150.41
KMLM-0.17-0.150.331.00-0.01-0.120.190.220.63
CLSE0.690.09-0.07-0.011.000.43-0.30-0.260.17
PHDG0.670.15-0.09-0.120.431.00-0.42-0.46-0.01
BTAL-0.66-0.180.170.19-0.30-0.421.000.680.59
DWSH-0.73-0.160.150.22-0.26-0.460.681.000.59
Portfolio-0.270.040.410.630.17-0.010.590.591.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2022