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Optimized No Stock Portfolio - High 2.5% RFR Adjus...
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 Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio, 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.


150.00%200.00%250.00%300.00%350.00%400.00%December2025FebruaryMarchAprilMay
386.11%
193.28%
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 4, 2014, corresponding to the inception date of DBSCX

Returns By Period

As of May 3, 2025, the Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio returned -0.07% Year-To-Date and 15.17% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.31%5.38%-0.74%10.90%14.93%10.61%
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio0.16%-1.44%1.54%10.44%17.70%15.25%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
6.76%-8.06%3.28%8.73%-2.85%1.60%
IAU
iShares Gold Trust
23.15%4.04%18.11%40.10%13.43%10.24%
LCSIX
LoCorr Long/Short Commodity Strategies Fund
0.57%-1.35%-3.67%-8.28%0.62%5.06%
PGTYX
Putnam Global Technology Fund
-7.52%12.89%-11.61%1.05%9.24%12.32%
QLEIX
AQR Long-Short Equity Fund
10.99%3.25%17.19%23.34%22.32%9.74%
RPIFX
T. Rowe Price Institutional Floating Rate Fund
-0.39%0.32%1.23%5.55%7.21%4.65%
SVARX
Spectrum Low Volatility Fund
0.59%-0.34%0.84%3.47%6.52%6.50%
UUP
Invesco DB US Dollar Index Bullish Fund
-6.42%-1.50%-1.87%0.43%2.75%2.57%
YCS
ProShares UltraShort Yen
-11.03%-1.28%-6.60%-1.48%17.93%6.56%
HICOX
Colorado Bond Shares A Tax Exempt Fund
-0.49%-2.01%0.50%5.34%4.48%4.08%
DBSCX
Doubleline Selective Credit Fund
2.12%-0.72%3.21%8.61%4.87%4.05%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.41%0.35%2.15%4.78%2.56%1.76%
OSTIX
Osterweis Strategic Income Fund
0.89%0.69%2.10%6.31%7.10%4.60%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.77%1.57%-0.92%-3.03%-0.13%0.16%
20242.84%0.76%4.09%-0.69%1.67%2.78%1.13%0.73%2.87%-0.57%2.76%-1.24%18.36%
20238.55%-3.43%0.50%0.82%-0.68%1.84%2.13%0.81%-0.80%-0.87%7.59%5.85%23.88%
2022-0.58%-0.51%0.10%-1.04%-0.70%-5.43%4.88%-2.08%-6.45%1.32%3.68%-1.86%-8.87%
20212.12%1.94%2.96%2.93%2.56%1.63%1.16%0.91%0.71%1.53%-0.08%2.54%22.99%
20204.19%0.11%-14.13%6.25%7.03%6.53%6.91%2.79%-0.32%-0.57%5.15%3.93%29.16%
20194.89%3.36%1.77%2.63%-1.83%3.25%1.69%0.55%-0.59%-0.68%0.30%2.37%18.97%
20181.54%-1.71%0.58%1.18%1.65%-0.66%1.00%1.46%1.27%-2.65%-0.97%-2.99%-0.45%
20172.36%2.96%1.29%1.69%1.78%0.03%1.69%4.15%1.09%2.12%-0.62%0.02%20.14%
20161.20%0.18%4.59%2.83%3.21%1.31%4.65%3.07%0.90%1.63%0.42%2.26%29.51%
20154.61%2.23%1.20%-0.14%3.54%-1.89%2.08%-1.46%-0.14%3.22%-0.11%-0.28%13.38%
20143.14%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.


Expense ratio chart for SVARX: current value is 2.34%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SVARX: 2.34%
Expense ratio chart for BTAL: current value is 2.11%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BTAL: 2.11%
Expense ratio chart for LCSIX: current value is 1.75%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
LCSIX: 1.75%
Expense ratio chart for QLEIX: current value is 1.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QLEIX: 1.30%
Expense ratio chart for YCS: current value is 1.00%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
YCS: 1.00%
Expense ratio chart for OSTIX: current value is 0.84%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
OSTIX: 0.84%
Expense ratio chart for UUP: current value is 0.75%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
UUP: 0.75%
Expense ratio chart for PGTYX: current value is 0.62%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
PGTYX: 0.62%
Expense ratio chart for RPIFX: current value is 0.57%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
RPIFX: 0.57%
Expense ratio chart for HICOX: current value is 0.55%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HICOX: 0.55%
Expense ratio chart for IAU: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IAU: 0.25%
Expense ratio chart for BIL: current value is 0.14%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BIL: 0.14%
Expense ratio chart for DBSCX: current value is 0.05%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DBSCX: 0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 86, Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is among the top 14% 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 Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8686
Overall Rank
The Sharpe Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8989
Sharpe Ratio Rank
The Sortino Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8585
Sortino Ratio Rank
The Omega Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8989
Omega Ratio Rank
The Calmar Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8383
Calmar Ratio Rank
The Martin Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8282
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.


The chart of Sharpe ratio for Portfolio, currently valued at 1.48, compared to the broader market-4.00-2.000.002.004.00
Portfolio: 1.48
^GSPC: 0.67
The chart of Sortino ratio for Portfolio, currently valued at 1.90, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.90
^GSPC: 1.05
The chart of Omega ratio for Portfolio, currently valued at 1.28, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.28
^GSPC: 1.16
The chart of Calmar ratio for Portfolio, currently valued at 1.38, compared to the broader market0.002.004.006.00
Portfolio: 1.38
^GSPC: 0.68
The chart of Martin ratio for Portfolio, currently valued at 5.46, compared to the broader market0.005.0010.0015.0020.0025.00
Portfolio: 5.46
^GSPC: 2.70

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.380.711.080.291.20
IAU
iShares Gold Trust
2.433.231.425.0213.51
LCSIX
LoCorr Long/Short Commodity Strategies Fund
-1.27-1.620.80-0.62-1.34
PGTYX
Putnam Global Technology Fund
0.140.401.060.130.37
QLEIX
AQR Long-Short Equity Fund
2.503.161.503.4215.34
RPIFX
T. Rowe Price Institutional Floating Rate Fund
2.023.781.841.989.04
SVARX
Spectrum Low Volatility Fund
1.462.131.291.514.05
UUP
Invesco DB US Dollar Index Bullish Fund
-0.10-0.080.99-0.08-0.23
YCS
ProShares UltraShort Yen
-0.29-0.230.97-0.33-0.68
HICOX
Colorado Bond Shares A Tax Exempt Fund
1.441.901.351.596.49
DBSCX
Doubleline Selective Credit Fund
3.295.031.655.8318.07
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.71251.19146.03443.274,083.09
OSTIX
Osterweis Strategic Income Fund
3.364.611.982.8815.67

The current Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio Sharpe ratio is 1.44. 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 0.55 to 1.09, 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 Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio 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 Ratio0.001.002.003.004.005.00December2025FebruaryMarchAprilMay
1.48
0.67
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio provided a 7.69% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio7.69%8.10%6.92%10.58%13.15%7.98%6.73%10.86%13.13%16.80%15.06%13.11%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
3.27%3.49%6.14%1.01%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
2.68%2.69%1.89%10.75%7.14%2.93%0.54%12.36%0.02%3.20%7.35%9.86%
PGTYX
Putnam Global Technology Fund
0.00%0.00%0.57%1.71%0.00%0.00%0.58%0.49%0.00%0.83%0.00%5.14%
QLEIX
AQR Long-Short Equity Fund
6.42%7.12%20.79%14.15%0.00%1.57%0.00%6.03%9.11%3.01%4.98%8.00%
RPIFX
T. Rowe Price Institutional Floating Rate Fund
7.44%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
7.12%8.49%3.35%0.00%5.70%0.71%3.38%2.41%4.79%6.68%3.02%2.82%
UUP
Invesco DB US Dollar Index Bullish Fund
4.78%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
5.14%5.46%5.01%4.27%3.84%4.00%3.79%4.13%4.24%4.73%3.78%4.51%
DBSCX
Doubleline Selective Credit Fund
6.94%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
4.69%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
5.98%5.25%5.71%4.71%4.03%3.85%4.74%4.66%4.58%5.24%5.98%5.15%

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
-4.05%
-7.45%
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio
Benchmark (^GSPC)
Portfolio components

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 4.27%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.7%Feb 21, 202022Mar 23, 202052Jun 5, 202074
-12.55%Jan 18, 2022178Sep 30, 2022231Sep 1, 2023409
-7.73%Mar 3, 202527Apr 8, 2025
-7.56%Oct 4, 201856Dec 24, 201836Feb 15, 201992
-3.91%Sep 19, 202313Oct 5, 202328Nov 14, 202341

Volatility

Volatility Chart

The current Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio volatility is 4.50%, 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
4.50%
14.17%
Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets
2.004.006.008.0010.0012.00
Effective Assets: 0.13

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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBILLCSIXHICOXIAUDBSCXUUPRPIFXQLEIXBTALYCSOSTIXSVARXPGTYXPortfolio
^GSPC1.000.00-0.050.030.010.01-0.130.260.50-0.520.190.470.400.850.53
BIL0.001.00-0.030.040.040.020.000.010.010.01-0.010.020.010.01-0.08
LCSIX-0.05-0.031.000.070.100.10-0.04-0.03-0.010.02-0.09-0.03-0.01-0.040.27
HICOX0.030.040.071.000.160.35-0.130.07-0.090.01-0.260.140.240.050.30
IAU0.010.040.100.161.000.21-0.470.01-0.030.03-0.460.050.150.020.21
DBSCX0.010.020.100.350.211.00-0.180.09-0.100.01-0.320.150.240.020.26
UUP-0.130.00-0.04-0.13-0.47-0.181.00-0.09-0.070.090.55-0.16-0.20-0.120.07
RPIFX0.260.01-0.030.070.010.09-0.091.000.14-0.210.040.460.350.240.39
QLEIX0.500.01-0.01-0.09-0.03-0.10-0.070.141.00-0.160.160.220.160.380.41
BTAL-0.520.010.020.010.030.010.09-0.21-0.161.00-0.14-0.39-0.30-0.46-0.26
YCS0.19-0.01-0.09-0.26-0.46-0.320.550.040.16-0.141.000.01-0.090.150.16
OSTIX0.470.02-0.030.140.050.15-0.160.460.22-0.390.011.000.470.420.55
SVARX0.400.01-0.010.240.150.24-0.200.350.16-0.30-0.090.471.000.360.61
PGTYX0.850.01-0.040.050.020.02-0.120.240.38-0.460.150.420.361.000.50
Portfolio0.53-0.080.270.300.210.260.070.390.41-0.260.160.550.610.501.00
The correlation results are calculated based on daily price changes starting from Aug 5, 2014