PortfoliosLab logo
Optimized No Stock Portfolio - High 2.5% RFR Adjus...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500

Performance

Performance Chart


Loading data...

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.


YTD1M6M1Y5Y*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 Ratio3.27%2.94%2.09%11.59%16.50%15.07%
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%
*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%-0.77%-2.66%2.42%3.27%
20242.84%0.75%4.08%-0.69%1.67%2.78%1.13%0.72%2.87%-0.57%2.76%-1.53%17.98%
20238.55%-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%
20212.12%1.94%2.96%2.93%2.57%1.63%1.16%0.91%0.71%1.52%-0.19%3.62%24.14%
20204.19%0.10%-14.13%6.25%7.03%6.52%6.90%2.79%-0.32%-0.57%2.16%5.13%26.91%
20194.89%3.36%1.77%2.63%-1.83%3.25%1.69%0.55%-0.59%-0.68%-0.89%2.70%17.94%
20181.54%-1.71%0.57%1.18%1.65%-0.66%1.00%1.46%1.27%-2.65%-0.96%-1.56%1.00%
20172.36%2.96%1.29%1.69%1.78%0.03%1.69%4.15%1.09%2.13%-2.07%1.36%19.97%
20161.20%0.18%4.59%2.83%3.21%1.31%4.65%3.07%0.89%1.63%0.42%1.09%28.01%
20154.60%2.23%1.20%-0.14%3.54%-1.89%2.08%-1.46%-0.14%3.22%-0.11%0.23%13.95%
20143.14%1.03%2.60%2.28%0.10%9.45%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

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.


The Risk-Adjusted Performance Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8787
Overall Rank
The Sharpe Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8686
Sortino Ratio Rank
The Omega Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 9090
Omega Ratio Rank
The Calmar Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8585
Calmar Ratio Rank
The Martin Ratio Rank of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio is 8484
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
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.200.421.050.150.55
IAU
iShares Gold Trust
2.233.081.395.0513.86
LCSIX
LoCorr Long/Short Commodity Strategies Fund
-1.44-1.830.77-0.71-1.50
PGTYX
Putnam Global Technology Fund
0.190.611.080.310.94
QLEIX
AQR Long-Short Equity Fund
2.493.331.533.6316.31
RPIFX
T. Rowe Price Institutional Floating Rate Fund
2.614.992.143.2916.21
SVARX
Spectrum Low Volatility Fund
1.311.741.251.342.48
UUP
Invesco DB US Dollar Index Bullish Fund
0.110.121.010.040.10
YCS
ProShares UltraShort Yen
-0.29-0.210.97-0.31-0.62
HICOX
Colorado Bond Shares A Tax Exempt Fund
1.572.031.371.686.89
DBSCX
Doubleline Selective Credit Fund
3.415.221.705.8917.95
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.92244.30139.79431.013,968.50
OSTIX
Osterweis Strategic Income Fund
2.994.131.842.7114.68

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio Sharpe ratios as of May 28, 2025 (values are recalculated daily):

  • 1-Year: 1.60
  • 5-Year: 2.43
  • 10-Year: 2.17
  • All Time: 2.33

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.55 to 1.08, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Optimized No Stock Portfolio - High 2.5% RFR Adjusted Sharpe Ratio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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.


TTM20242023202220212020201920182017201620152014
Portfolio9.01%9.13%6.92%10.58%14.47%11.74%8.03%11.37%15.15%19.10%15.32%13.19%
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.


Loading data...

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, 202022Mar 23, 202052Jun 5, 202074
-12.55%Jan 18, 2022178Sep 30, 202285Feb 2, 2023263
-7.58%Mar 3, 202527Apr 8, 2025
-6.34%Feb 3, 202332Mar 21, 2023111Aug 29, 2023143
-6.23%Oct 4, 201856Dec 24, 201828Feb 5, 201984
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


Loading data...

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

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

^GSPCBILLCSIXHICOXIAUDBSCXUUPRPIFXQLEIXBTALYCSOSTIXSVARXPGTYXPortfolio
^GSPC1.00-0.00-0.050.030.000.01-0.120.260.50-0.520.200.470.410.850.53
BIL-0.001.00-0.030.050.040.020.000.010.000.01-0.010.020.010.00-0.08
LCSIX-0.05-0.031.000.060.100.10-0.05-0.03-0.010.02-0.09-0.03-0.02-0.040.26
HICOX0.030.050.061.000.160.35-0.130.07-0.090.01-0.260.130.240.050.30
IAU0.000.040.100.161.000.21-0.480.01-0.030.04-0.470.050.140.020.21
DBSCX0.010.020.100.350.211.00-0.180.09-0.100.01-0.310.150.240.010.26
UUP-0.120.00-0.05-0.13-0.48-0.181.00-0.09-0.070.090.56-0.15-0.20-0.120.07
RPIFX0.260.01-0.030.070.010.09-0.091.000.14-0.210.040.460.340.240.39
QLEIX0.500.00-0.01-0.09-0.03-0.10-0.070.141.00-0.160.160.220.170.380.41
BTAL-0.520.010.020.010.040.010.09-0.21-0.161.00-0.14-0.39-0.30-0.47-0.26
YCS0.20-0.01-0.09-0.26-0.47-0.310.560.040.16-0.141.000.02-0.080.150.17
OSTIX0.470.02-0.030.130.050.15-0.150.460.22-0.390.021.000.480.430.55
SVARX0.410.01-0.020.240.140.24-0.200.340.17-0.30-0.080.481.000.360.61
PGTYX0.850.00-0.040.050.020.01-0.120.240.38-0.470.150.430.361.000.50
Portfolio0.53-0.080.260.300.210.260.070.390.41-0.260.170.550.610.501.00
The correlation results are calculated based on daily price changes starting from Aug 5, 2014
Go to the full Correlations tool for more customization options