Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio
No bitcoin because obviously bitcoin's returns are not going to be as impressive as they currently are.
Finally, no BS! (Almost) RFR adjusted returns.
Finally, total BS! Short indexes!
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -250% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | Long-Short | 3% |
DBSCX Doubleline Selective Credit Fund | Multisector Bonds | 42.90% |
HICOX Colorado Bond Shares A Tax Exempt Fund | Municipal Bonds | 56.40% |
IAU iShares Gold Trust | Precious Metals, Gold | 15% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | Systematic Trend | 21.30% |
OSTIX Osterweis Strategic Income Fund | High Yield Bonds | 50% |
PGTYX Putnam Global Technology Fund | Technology Equities | 5.70% |
QLEIX AQR Long-Short Equity Fund | Long-Short | 15.50% |
RPIFX T. Rowe Price Institutional Floating Rate Fund | Bank Loan | 26.40% |
SVARX Spectrum Low Volatility Fund | Nontraditional Bonds | 77.20% |
UUP Invesco DB US Dollar Index Bullish Fund | Currency | 30% |
YCS ProShares UltraShort Yen | Leveraged Currency, Leveraged | 6.60% |
Performance
Performance Chart
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The earliest data available for this chart is Aug 4, 2014, corresponding to the inception date of DBSCX
Returns By Period
As of May 28, 2025, the Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio returned 3.42% Year-To-Date and 15.09% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.12% | 6.51% | -1.84% | 10.98% | 14.10% | 10.82% |
| Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio | 3.27% | 2.94% | 2.09% | 11.59% | 16.50% | 15.07% |
| Portfolio components: | ||||||
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.68% | -4.10% | 4.64% | 3.98% | -3.28% | 1.16% |
IAU iShares Gold Trust | 25.57% | -1.68% | 24.89% | 39.49% | 13.46% | 10.45% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 0.23% | -1.80% | -3.69% | -9.43% | 1.11% | 4.65% |
PGTYX Putnam Global Technology Fund | -0.74% | 13.01% | -2.18% | 5.96% | 16.79% | 19.61% |
QLEIX AQR Long-Short Equity Fund | 14.92% | 4.60% | 17.09% | 23.86% | 24.99% | 11.63% |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 1.56% | 1.57% | 2.11% | 7.50% | 6.77% | 4.82% |
SVARX Spectrum Low Volatility Fund | 1.31% | 0.55% | 0.08% | 3.41% | 4.59% | 5.40% |
UUP Invesco DB US Dollar Index Bullish Fund | -6.15% | 1.43% | -3.49% | 0.82% | 3.09% | 2.30% |
YCS ProShares UltraShort Yen | -11.14% | 4.22% | -4.86% | -7.63% | 17.39% | 5.73% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 0.75% | 1.34% | 0.36% | 6.32% | 4.51% | 4.48% |
DBSCX Doubleline Selective Credit Fund | 3.22% | 1.03% | 2.93% | 9.46% | 4.55% | 4.10% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.67% | 0.33% | 2.10% | 4.73% | 2.60% | 1.79% |
OSTIX Osterweis Strategic Income Fund | 1.35% | 0.63% | 1.70% | 6.31% | 6.55% | 4.57% |
Monthly Returns
The table below presents the monthly returns of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.77% | 1.57% | -0.77% | -2.66% | 2.42% | 3.27% | |||||||
| 2024 | 2.84% | 0.75% | 4.08% | -0.69% | 1.67% | 2.78% | 1.13% | 0.72% | 2.87% | -0.57% | 2.76% | -1.53% | 17.98% |
| 2023 | 8.55% | -3.43% | 0.50% | 0.81% | -0.68% | 1.84% | 2.13% | 0.81% | -0.80% | -0.87% | 7.59% | 5.85% | 23.87% |
| 2022 | -0.59% | -0.51% | 0.10% | -1.04% | -0.70% | -5.43% | 4.88% | -2.08% | -6.45% | 1.32% | 3.89% | -1.21% | -8.08% |
| 2021 | 2.12% | 1.94% | 2.96% | 2.93% | 2.57% | 1.63% | 1.16% | 0.91% | 0.71% | 1.52% | -0.19% | 3.62% | 24.14% |
| 2020 | 4.19% | 0.10% | -14.13% | 6.25% | 7.03% | 6.52% | 6.90% | 2.79% | -0.32% | -0.57% | 2.16% | 5.13% | 26.91% |
| 2019 | 4.89% | 3.36% | 1.77% | 2.63% | -1.83% | 3.25% | 1.69% | 0.55% | -0.59% | -0.68% | -0.89% | 2.70% | 17.94% |
| 2018 | 1.54% | -1.71% | 0.57% | 1.18% | 1.65% | -0.66% | 1.00% | 1.46% | 1.27% | -2.65% | -0.96% | -1.56% | 1.00% |
| 2017 | 2.36% | 2.96% | 1.29% | 1.69% | 1.78% | 0.03% | 1.69% | 4.15% | 1.09% | 2.13% | -2.07% | 1.36% | 19.97% |
| 2016 | 1.20% | 0.18% | 4.59% | 2.83% | 3.21% | 1.31% | 4.65% | 3.07% | 0.89% | 1.63% | 0.42% | 1.09% | 28.01% |
| 2015 | 4.60% | 2.23% | 1.20% | -0.14% | 3.54% | -1.89% | 2.08% | -1.46% | -0.14% | 3.22% | -0.11% | 0.23% | 13.95% |
| 2014 | 3.14% | 1.03% | 2.60% | 2.28% | 0.10% | 9.45% |
Expense Ratio
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio has a high expense ratio of 3.36%, 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 87, Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is among the top 13% 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.20 | 0.42 | 1.05 | 0.15 | 0.55 |
IAU iShares Gold Trust | 2.23 | 3.08 | 1.39 | 5.05 | 13.86 |
LCSIX LoCorr Long/Short Commodity Strategies Fund | -1.44 | -1.83 | 0.77 | -0.71 | -1.50 |
PGTYX Putnam Global Technology Fund | 0.19 | 0.61 | 1.08 | 0.31 | 0.94 |
QLEIX AQR Long-Short Equity Fund | 2.49 | 3.33 | 1.53 | 3.63 | 16.31 |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 2.61 | 4.99 | 2.14 | 3.29 | 16.21 |
SVARX Spectrum Low Volatility Fund | 1.31 | 1.74 | 1.25 | 1.34 | 2.48 |
UUP Invesco DB US Dollar Index Bullish Fund | 0.11 | 0.12 | 1.01 | 0.04 | 0.10 |
YCS ProShares UltraShort Yen | -0.29 | -0.21 | 0.97 | -0.31 | -0.62 |
HICOX Colorado Bond Shares A Tax Exempt Fund | 1.57 | 2.03 | 1.37 | 1.68 | 6.89 |
DBSCX Doubleline Selective Credit Fund | 3.41 | 5.22 | 1.70 | 5.89 | 17.95 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.92 | 244.30 | 139.79 | 431.01 | 3,968.50 |
OSTIX Osterweis Strategic Income Fund | 2.99 | 4.13 | 1.84 | 2.71 | 14.68 |
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Dividends
Dividend yield
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio provided a 9.01% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 9.01% | 9.13% | 6.92% | 10.58% | 14.47% | 11.74% | 8.03% | 11.37% | 15.15% | 19.10% | 15.32% | 13.19% |
| Portfolio components: | ||||||||||||
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.37% | 3.49% | 6.14% | 1.00% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 2.69% | 2.69% | 1.89% | 10.75% | 7.14% | 2.94% | 0.54% | 12.36% | 0.02% | 3.20% | 7.35% | 9.86% |
PGTYX Putnam Global Technology Fund | 6.45% | 6.40% | 0.57% | 1.71% | 21.15% | 13.60% | 2.63% | 9.44% | 6.75% | 1.01% | 4.56% | 5.14% |
QLEIX AQR Long-Short Equity Fund | 6.20% | 7.12% | 20.80% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.12% | 3.01% | 4.98% | 8.00% |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 7.98% | 8.44% | 8.66% | 5.51% | 3.95% | 4.30% | 5.12% | 5.17% | 4.32% | 4.32% | 4.46% | 4.37% |
SVARX Spectrum Low Volatility Fund | 7.91% | 9.35% | 3.35% | 0.00% | 5.85% | 4.46% | 4.91% | 2.41% | 6.90% | 9.07% | 3.02% | 2.82% |
UUP Invesco DB US Dollar Index Bullish Fund | 4.77% | 4.48% | 6.45% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 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% |
HICOX Colorado Bond Shares A Tax Exempt Fund | 5.57% | 5.46% | 5.01% | 4.27% | 3.84% | 4.15% | 3.79% | 4.13% | 4.24% | 5.53% | 3.78% | 4.51% |
DBSCX Doubleline Selective Credit Fund | 6.87% | 7.10% | 6.77% | 6.68% | 4.68% | 4.67% | 6.05% | 7.45% | 9.04% | 9.75% | 9.53% | 2.40% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.68% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
OSTIX Osterweis Strategic Income Fund | 5.96% | 5.25% | 5.71% | 4.71% | 4.03% | 3.85% | 4.74% | 4.66% | 4.58% | 5.24% | 5.98% | 5.30% |
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 Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe 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 Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio was 22.70%, occurring on Mar 23, 2020. Recovery took 52 trading sessions.
The current Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio drawdown is 0.92%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.7% | Feb 21, 2020 | 22 | Mar 23, 2020 | 52 | Jun 5, 2020 | 74 |
| -12.55% | Jan 18, 2022 | 178 | Sep 30, 2022 | 85 | Feb 2, 2023 | 263 |
| -7.58% | Mar 3, 2025 | 27 | Apr 8, 2025 | — | — | — |
| -6.34% | Feb 3, 2023 | 32 | Mar 21, 2023 | 111 | Aug 29, 2023 | 143 |
| -6.23% | Oct 4, 2018 | 56 | Dec 24, 2018 | 28 | Feb 5, 2019 | 84 |
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 13 assets, with an effective number of assets of 0.13, 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
| ^GSPC | BIL | LCSIX | HICOX | IAU | DBSCX | UUP | RPIFX | QLEIX | BTAL | YCS | OSTIX | SVARX | PGTYX | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.00 | -0.05 | 0.03 | 0.00 | 0.01 | -0.12 | 0.26 | 0.50 | -0.52 | 0.20 | 0.47 | 0.41 | 0.85 | 0.53 |
| BIL | -0.00 | 1.00 | -0.03 | 0.05 | 0.04 | 0.02 | 0.00 | 0.01 | 0.00 | 0.01 | -0.01 | 0.02 | 0.01 | 0.00 | -0.08 |
| LCSIX | -0.05 | -0.03 | 1.00 | 0.06 | 0.10 | 0.10 | -0.05 | -0.03 | -0.01 | 0.02 | -0.09 | -0.03 | -0.02 | -0.04 | 0.26 |
| HICOX | 0.03 | 0.05 | 0.06 | 1.00 | 0.16 | 0.35 | -0.13 | 0.07 | -0.09 | 0.01 | -0.26 | 0.13 | 0.24 | 0.05 | 0.30 |
| IAU | 0.00 | 0.04 | 0.10 | 0.16 | 1.00 | 0.21 | -0.48 | 0.01 | -0.03 | 0.04 | -0.47 | 0.05 | 0.14 | 0.02 | 0.21 |
| DBSCX | 0.01 | 0.02 | 0.10 | 0.35 | 0.21 | 1.00 | -0.18 | 0.09 | -0.10 | 0.01 | -0.31 | 0.15 | 0.24 | 0.01 | 0.26 |
| UUP | -0.12 | 0.00 | -0.05 | -0.13 | -0.48 | -0.18 | 1.00 | -0.09 | -0.07 | 0.09 | 0.56 | -0.15 | -0.20 | -0.12 | 0.07 |
| RPIFX | 0.26 | 0.01 | -0.03 | 0.07 | 0.01 | 0.09 | -0.09 | 1.00 | 0.14 | -0.21 | 0.04 | 0.46 | 0.34 | 0.24 | 0.39 |
| QLEIX | 0.50 | 0.00 | -0.01 | -0.09 | -0.03 | -0.10 | -0.07 | 0.14 | 1.00 | -0.16 | 0.16 | 0.22 | 0.17 | 0.38 | 0.41 |
| BTAL | -0.52 | 0.01 | 0.02 | 0.01 | 0.04 | 0.01 | 0.09 | -0.21 | -0.16 | 1.00 | -0.14 | -0.39 | -0.30 | -0.47 | -0.26 |
| YCS | 0.20 | -0.01 | -0.09 | -0.26 | -0.47 | -0.31 | 0.56 | 0.04 | 0.16 | -0.14 | 1.00 | 0.02 | -0.08 | 0.15 | 0.17 |
| OSTIX | 0.47 | 0.02 | -0.03 | 0.13 | 0.05 | 0.15 | -0.15 | 0.46 | 0.22 | -0.39 | 0.02 | 1.00 | 0.48 | 0.43 | 0.55 |
| SVARX | 0.41 | 0.01 | -0.02 | 0.24 | 0.14 | 0.24 | -0.20 | 0.34 | 0.17 | -0.30 | -0.08 | 0.48 | 1.00 | 0.36 | 0.61 |
| PGTYX | 0.85 | 0.00 | -0.04 | 0.05 | 0.02 | 0.01 | -0.12 | 0.24 | 0.38 | -0.47 | 0.15 | 0.43 | 0.36 | 1.00 | 0.50 |
| Portfolio | 0.53 | -0.08 | 0.26 | 0.30 | 0.21 | 0.26 | 0.07 | 0.39 | 0.41 | -0.26 | 0.17 | 0.55 | 0.61 | 0.50 | 1.00 |