PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
The sky and the pit
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

The sky and the pit

Last updated Nov 12, 2024

A mixture of low volatility stocks with predictable (low) returns and high volatility stocks with (perhaps) high returns.

Asset Allocation

VMFXX 909%ENIAX 16.25%BIL 16.25%USFR 16.25%FLOT 16.25%HICOX 4.5%DBSCX 4.5%SVARX 2%BTC-USD 2.5%NVDA 2.5%LLY 2.5%FICO 2.5%VKTX 2.5%CAT 2.5%BondBondCryptocurrencyCryptocurrencyCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
16.25%
BTC-USD
Bitcoin
2.50%
CAT
Caterpillar Inc.		Industrials
2.50%
DBSCX
Doubleline Selective Credit Fund		Multisector Bonds
4.50%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		Ultrashort Bond
16.25%
FICO
Fair Isaac Corporation		Technology
2.50%
FLOT
iShares Floating Rate Bond ETF		Corporate Bonds
16.25%
HICOX
Colorado Bond Shares A Tax Exempt Fund		Municipal Bonds
4.50%
LLY
Eli Lilly and Company		Healthcare
2.50%
NVDA
NVIDIA Corporation		Technology
2.50%
SVARX
Spectrum Low Volatility Fund		Nontraditional Bonds
2%
USD=X
USD Cash
-900%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		Government Bonds
16.25%
VKTX
Viking Therapeutics, Inc.		Healthcare
2.50%
VMFXX
Vanguard Federal Money Market Fund		Money Market
909%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in The sky and the pit, 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%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
33.47%
14.94%
The sky and the pit
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 29, 2015, corresponding to the inception date of VKTX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.82%3.20%14.94%35.92%14.22%11.43%
The sky and the pit76.62%5.02%33.47%98.00%37.29%N/A
Portfolio components:
HICOX
Colorado Bond Shares A Tax Exempt Fund		6.98%0.48%4.74%12.23%3.93%4.20%
DBSCX
Doubleline Selective Credit Fund		7.36%0.22%5.79%12.22%2.59%4.08%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		7.36%0.50%3.91%9.44%4.56%3.85%
SVARX
Spectrum Low Volatility Fund		2.81%-0.23%2.90%11.07%7.32%6.81%
VMFXX
Vanguard Federal Money Market Fund		4.46%0.41%2.64%5.39%2.35%1.57%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.53%0.36%2.56%5.28%2.25%1.55%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		4.69%0.41%2.46%5.32%2.50%2.38%
FLOT
iShares Floating Rate Bond ETF		5.70%0.52%2.92%6.61%2.98%2.33%
NVDA
NVIDIA Corporation		193.39%7.76%60.71%200.62%94.72%77.59%
BTC-USD
Bitcoin		109.87%40.37%41.02%139.38%58.71%71.72%
LLY
Eli Lilly and Company		43.50%-10.69%10.21%40.21%51.21%31.14%
FICO
Fair Isaac Corporation		101.89%15.71%76.36%135.78%47.37%41.98%
VKTX
Viking Therapeutics, Inc.		238.37%-4.36%-12.96%543.87%49.61%N/A
CAT
Caterpillar Inc.		36.27%-1.01%12.03%68.10%25.09%17.77%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.30%13.47%5.52%3.27%5.12%4.63%4.78%5.23%4.75%4.47%76.62%
20236.08%4.05%6.70%5.10%4.86%4.83%4.31%4.77%2.80%4.21%6.72%6.76%81.48%
2022-1.35%-0.36%0.81%-2.23%0.23%-0.46%3.38%0.55%0.17%5.17%4.34%6.88%18.06%
20211.63%1.46%1.05%0.62%-0.69%1.16%0.65%0.89%-1.30%1.87%-0.08%-0.25%7.18%
20201.70%0.65%-3.35%4.07%2.93%1.21%1.42%1.10%-0.21%0.24%3.21%2.62%16.52%
20193.12%2.96%3.34%2.30%2.95%4.44%1.88%1.37%1.26%2.35%2.10%2.20%34.79%
20182.19%1.30%-0.83%2.05%4.80%0.50%3.14%2.96%1.32%-0.52%0.47%0.40%19.15%
20170.99%1.20%-0.24%0.96%3.08%0.78%1.70%2.79%2.84%3.41%4.24%3.99%28.86%
2016-1.93%0.46%0.71%0.70%1.23%1.07%1.66%-0.05%1.02%-0.42%0.95%2.08%7.67%
2015-0.03%0.03%0.00%-0.19%-0.63%0.00%1.61%-0.01%0.60%1.37%

Expense Ratio

The sky and the pit has an expense ratio of 0.19%, 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.

SVARX
Spectrum Low Volatility Fund
Expense ratio chart for SVARX: current value at 2.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.34%
HICOX
Colorado Bond Shares A Tax Exempt Fund
Expense ratio chart for HICOX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund
Expense ratio chart for ENIAX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
FLOT
iShares Floating Rate Bond ETF
Expense ratio chart for FLOT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
Expense ratio chart for USFR: 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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
DBSCX
Doubleline Selective Credit Fund
Expense ratio chart for DBSCX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
VMFXX
Vanguard Federal Money Market Fund
Expense ratio chart for VMFXX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of The sky and the pit is 99, placing it in the top 1% 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 The sky and the pit is 9999
Combined Rank
The Sharpe Ratio Rank of The sky and the pit is 9898Sharpe Ratio Rank
The Sortino Ratio Rank of The sky and the pit is 100100Sortino Ratio Rank
The Omega Ratio Rank of The sky and the pit is 100100Omega Ratio Rank
The Calmar Ratio Rank of The sky and the pit is 9797Calmar Ratio Rank
The Martin Ratio Rank of The sky and the pit is 100100Martin 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.

The sky and the pit
Sharpe ratio
The chart of Sharpe ratio for The sky and the pit, currently valued at 4.88, compared to the broader market0.002.004.006.004.88
Sortino ratio
The chart of Sortino ratio for The sky and the pit, currently valued at 14.39, compared to the broader market-2.000.002.004.006.0014.39
Omega ratio
The chart of Omega ratio for The sky and the pit, currently valued at 2.92, compared to the broader market0.801.001.201.401.601.802.002.92
Calmar ratio
The chart of Calmar ratio for The sky and the pit, currently valued at 9.01, compared to the broader market0.005.0010.0015.009.01
Martin ratio
The chart of Martin ratio for The sky and the pit, currently valued at 88.64, compared to the broader market0.0010.0020.0030.0040.0050.0060.0088.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market0.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.05
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
HICOX
Colorado Bond Shares A Tax Exempt Fund		2.613.931.641.1716.80
DBSCX
Doubleline Selective Credit Fund		3.385.071.681.6120.16
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		8.0725.0410.5311.95320.12
SVARX
Spectrum Low Volatility Fund		1.171.701.310.283.68
VMFXX
Vanguard Federal Money Market Fund		3.53————
BIL
SPDR Barclays 1-3 Month T-Bill ETF		16.69224.73108.8173.694,404.37
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		13.6348.9211.4313.52698.27
FLOT
iShares Floating Rate Bond ETF		6.9012.293.962.32140.28
NVDA
NVIDIA Corporation		2.122.551.322.2311.65
BTC-USD
Bitcoin		0.841.511.150.663.48
LLY
Eli Lilly and Company		0.260.591.080.081.25
FICO
Fair Isaac Corporation		4.254.391.624.3623.20
VKTX
Viking Therapeutics, Inc.		-0.47-0.270.979.30-1.33
CAT
Caterpillar Inc.		1.001.541.200.553.41
USD=X
USD Cash		—————

Sharpe Ratio

The current The sky and the pit Sharpe ratio is 4.88. 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 2.21 to 3.15, 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 The sky and the pit 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 Ratio1.002.003.004.005.006.007.008.00JuneJulyAugustSeptemberOctoberNovember
4.88
3.08
The sky and the pit
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

The sky and the pit provided a 52.16% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio52.16%49.57%16.11%1.20%5.58%21.76%16.86%6.42%1.62%1.37%1.05%0.81%
Portfolio components:
HICOX
Colorado Bond Shares A Tax Exempt Fund		4.99%4.97%4.43%3.84%4.00%4.07%4.03%4.69%4.73%4.13%4.79%4.47%
DBSCX
Doubleline Selective Credit Fund		6.93%6.77%6.68%4.68%4.67%6.05%7.45%9.04%9.75%9.53%2.40%0.00%
ENIAX
SEI Institutional Investments Trust Opportunistic Income Fund		7.25%7.08%4.07%2.67%4.06%4.32%3.97%3.01%2.76%2.55%2.56%1.69%
SVARX
Spectrum Low Volatility Fund		7.02%3.35%0.00%5.70%0.71%3.38%2.41%4.79%6.68%3.02%2.82%0.18%
VMFXX
Vanguard Federal Money Market Fund		5.24%4.97%1.54%0.01%0.45%2.12%1.61%0.50%0.00%0.00%0.00%0.01%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund		5.30%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%0.00%0.00%0.00%
FLOT
iShares Floating Rate Bond ETF		5.92%5.66%2.06%0.43%1.25%2.78%2.41%1.45%0.97%0.53%0.44%0.48%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
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%
LLY
Eli Lilly and Company		0.60%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%
FICO
Fair Isaac Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.01%0.07%0.08%0.11%0.13%
VKTX
Viking Therapeutics, 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%
CAT
Caterpillar Inc.		1.37%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
USD=X
USD Cash		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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
The sky and the pit
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the The sky and the pit. 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 The sky and the pit was 8.56%, occurring on Mar 23, 2020. Recovery took 43 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-8.56%Feb 20, 202033Mar 23, 202043May 5, 202076
-6.66%Nov 9, 2021220Jun 16, 2022123Oct 17, 2022343
-3.28%Dec 30, 201544Feb 11, 2016106May 27, 2016150
-3.26%Mar 5, 202412Mar 16, 202412Mar 28, 202424
-2.81%Sep 20, 201840Oct 29, 201863Dec 31, 2018103

Volatility

Volatility Chart

The current The sky and the pit volatility is 3.42%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.42%
3.89%
The sky and the pit
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.
USD=XVMFXXUSFRBTC-USDBILFLOTHICOXLLYDBSCXVKTXENIAXCATNVDAFICOSVARX
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00
VMFXX0.001.000.05-0.020.060.040.06-0.000.050.020.04-0.02-0.00-0.000.04
USFR0.000.051.000.000.200.06-0.000.040.010.030.060.020.010.040.03
BTC-USD0.00-0.020.001.000.000.040.040.040.030.080.000.080.130.090.06
BIL0.000.060.200.001.000.140.050.020.05-0.000.080.010.020.060.04
FLOT0.000.040.060.040.141.000.030.030.050.050.140.100.060.060.10
HICOX0.000.06-0.000.040.050.031.000.040.330.000.12-0.050.050.060.24
LLY0.00-0.000.040.040.020.030.041.000.000.150.050.190.210.230.12
DBSCX0.000.050.010.030.050.050.330.001.00-0.020.22-0.060.040.040.24
VKTX0.000.020.030.08-0.000.050.000.15-0.021.000.050.190.250.200.12
ENIAX0.000.040.060.000.080.140.120.050.220.051.000.120.110.140.28
CAT0.00-0.020.020.080.010.10-0.050.19-0.060.190.121.000.300.280.26
NVDA0.00-0.000.010.130.020.060.050.210.040.250.110.301.000.410.23
FICO0.00-0.000.040.090.060.060.060.230.040.200.140.280.411.000.29
SVARX0.000.040.030.060.040.100.240.120.240.120.280.260.230.291.00
The correlation results are calculated based on daily price changes starting from Apr 30, 2015