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Bull&Bear
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Bull&Bear

Last updated Jul 25, 2024

high sharpe ratio

Asset Allocation

FTHI 8.33%TMV 8.33%FTSL 8.33%FLRN 8.33%GLD 8.33%YANG 8.33%DUST 8.33%GLIN 8.33%MGC 8.33%JEPQ 8.33%JGRO 8.33%XLF 8.33%AlternativesAlternativesBondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DUST
Direxion Daily Gold Miners Bear 2X Shares		Leveraged Equities, Leveraged

8.33%

FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		Corporate Bonds

8.33%

FTHI
First Trust BuyWrite Income ETF		Actively Managed, Derivative Income

8.33%

FTSL
First Trust Senior Loan Fund		High Yield Bonds, Actively Managed

8.33%

GLD
SPDR Gold Trust		Precious Metals, Gold

8.33%

GLIN
VanEck Vectors India Growth Leaders ETF		Asia Pacific Equities

8.33%

JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income

8.33%

JGRO
JPMorgan Active Growth ETF		Large Cap Growth Equities, Actively Managed

8.33%

MGC
Vanguard Mega Cap ETF		Large Cap Blend Equities

8.33%

TMV
Direxion Daily 20-Year Treasury Bear 3X		Leveraged Bonds, Leveraged

8.33%

XLF
Financial Select Sector SPDR Fund		Financials Equities

8.33%

YANG
Direxion Daily China 3x Bear Shares		Leveraged Equities, Leveraged, China Equities

8.33%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Bull&Bear, 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

20.00%25.00%30.00%35.00%FebruaryMarchAprilMayJuneJuly
22.48%
30.97%
Bull&Bear
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 9, 2022, corresponding to the inception date of JGRO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
Bull&Bear5.19%-0.20%-0.88%14.88%N/AN/A
Portfolio components:
TMV
Direxion Daily 20-Year Treasury Bear 3X		22.12%2.59%3.25%14.55%1.90%-10.13%
YANG
Direxion Daily China 3x Bear Shares		-25.77%12.74%-36.31%4.03%-27.02%-29.97%
DUST
Direxion Daily Gold Miners Bear 2X Shares		-32.76%-13.38%-44.61%-40.41%-49.70%-54.50%
FTSL
First Trust Senior Loan Fund		4.19%1.02%3.94%9.24%4.57%3.78%
GLIN
VanEck Vectors India Growth Leaders ETF		16.44%1.83%14.96%39.62%9.08%1.99%
FTHI
First Trust BuyWrite Income ETF		9.56%-0.30%6.95%14.89%6.58%7.15%
MGC
Vanguard Mega Cap ETF		15.25%-2.08%11.63%23.06%14.95%13.14%
GLD
SPDR Gold Trust		14.21%2.70%16.75%21.01%10.34%5.70%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		10.06%-4.70%6.11%18.20%N/AN/A
JGRO
JPMorgan Active Growth ETF		16.84%-5.52%11.50%26.35%N/AN/A
XLF
Financial Select Sector SPDR Fund		14.55%4.19%11.44%23.76%10.52%13.27%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		3.75%0.52%3.17%6.63%2.78%2.16%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.43%1.95%-2.22%-1.44%-0.48%2.11%5.19%
2023-2.83%4.77%-3.90%1.74%5.32%1.44%-0.76%3.61%3.09%1.18%1.03%1.40%16.85%
20220.80%1.61%10.39%-9.45%-2.66%-0.35%

Expense Ratio

Bull&Bear features an expense ratio of 0.60%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

YANG
Direxion Daily China 3x Bear Shares
Expense ratio chart for YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
DUST
Direxion Daily Gold Miners Bear 2X Shares
Expense ratio chart for DUST: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
TMV
Direxion Daily 20-Year Treasury Bear 3X
Expense ratio chart for TMV: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
FTSL
First Trust Senior Loan Fund
Expense ratio chart for FTSL: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
FTHI
First Trust BuyWrite Income ETF
Expense ratio chart for FTHI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
GLIN
VanEck Vectors India Growth Leaders ETF
Expense ratio chart for GLIN: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
JGRO
JPMorgan Active Growth ETF
Expense ratio chart for JGRO: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
Expense ratio chart for FLRN: 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%
XLF
Financial Select Sector SPDR Fund
Expense ratio chart for XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
MGC
Vanguard Mega Cap ETF
Expense ratio chart for MGC: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Bull&Bear is 61, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Bull&Bear is 6161
Bull&Bear
The Sharpe Ratio Rank of Bull&Bear is 5757Sharpe Ratio Rank
The Sortino Ratio Rank of Bull&Bear is 6565Sortino Ratio Rank
The Omega Ratio Rank of Bull&Bear is 5757Omega Ratio Rank
The Calmar Ratio Rank of Bull&Bear is 7474Calmar Ratio Rank
The Martin Ratio Rank of Bull&Bear is 5151Martin 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.

Bull&Bear
Sharpe ratio
The chart of Sharpe ratio for Bull&Bear, currently valued at 1.69, compared to the broader market-1.000.001.002.003.004.001.69
Sortino ratio
The chart of Sortino ratio for Bull&Bear, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Omega ratio
The chart of Omega ratio for Bull&Bear, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for Bull&Bear, currently valued at 2.26, compared to the broader market0.002.004.006.008.002.26
Martin ratio
The chart of Martin ratio for Bull&Bear, currently valued at 6.00, compared to the broader market0.0010.0020.0030.0040.006.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TMV
Direxion Daily 20-Year Treasury Bear 3X		0.420.941.100.450.77
YANG
Direxion Daily China 3x Bear Shares		0.050.611.070.050.12
DUST
Direxion Daily Gold Miners Bear 2X Shares		-0.57-0.540.94-0.44-1.03
FTSL
First Trust Senior Loan Fund		4.487.262.0613.5258.13
GLIN
VanEck Vectors India Growth Leaders ETF		2.342.951.445.4219.58
FTHI
First Trust BuyWrite Income ETF		1.882.661.352.449.80
MGC
Vanguard Mega Cap ETF		1.872.581.332.448.47
GLD
SPDR Gold Trust		1.432.051.261.746.97
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		1.562.081.302.749.65
JGRO
JPMorgan Active Growth ETF		1.522.091.272.207.73
XLF
Financial Select Sector SPDR Fund		1.902.621.321.666.79
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		9.6622.295.0867.26317.25

Sharpe Ratio

The current Bull&Bear Sharpe ratio is 1.64. 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 1.24 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Bull&Bear 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.69
1.58
Bull&Bear
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Bull&Bear granted a 4.24% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Bull&Bear4.24%4.00%2.56%0.89%1.50%1.89%1.46%1.06%1.19%1.43%1.08%0.62%
Portfolio components:
TMV
Direxion Daily 20-Year Treasury Bear 3X		4.03%3.87%0.00%0.00%0.52%2.25%0.89%0.00%0.00%0.00%0.00%0.00%
YANG
Direxion Daily China 3x Bear Shares		4.76%3.66%0.00%0.00%0.68%1.54%0.56%0.00%0.00%0.00%0.00%0.00%
DUST
Direxion Daily Gold Miners Bear 2X Shares		6.72%4.47%0.00%0.00%3.64%2.48%0.37%0.00%0.00%0.00%0.00%0.00%
FTSL
First Trust Senior Loan Fund		7.77%7.59%4.77%3.17%3.48%4.43%4.29%3.64%3.70%3.95%3.74%2.64%
GLIN
VanEck Vectors India Growth Leaders ETF		0.83%0.96%1.70%0.00%0.24%1.29%0.12%0.10%1.39%3.11%0.97%0.44%
FTHI
First Trust BuyWrite Income ETF		8.65%8.50%9.06%4.37%4.76%4.21%4.76%4.00%4.41%4.98%3.96%0.00%
MGC
Vanguard Mega Cap ETF		1.26%1.35%1.65%1.17%1.45%1.81%2.10%1.83%2.14%2.11%1.81%1.86%
GLD
SPDR 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%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.37%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JGRO
JPMorgan Active Growth ETF		0.15%0.17%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLF
Financial Select Sector SPDR Fund		1.53%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		5.87%5.68%1.95%0.39%1.22%2.76%2.39%1.64%1.06%0.63%0.53%0.72%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.69%
-4.73%
Bull&Bear
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Bull&Bear. 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 Bull&Bear was 15.86%, occurring on Jan 19, 2023. Recovery took 176 trading sessions.

The current Bull&Bear drawdown is 3.84%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.86%Nov 1, 202254Jan 19, 2023176Oct 2, 2023230
-6.36%Feb 14, 202466May 17, 2024———
-3.54%Oct 25, 20222Oct 26, 20223Oct 31, 20225
-2.92%Aug 22, 20225Aug 26, 202219Sep 23, 202224
-2.43%Jan 23, 20248Feb 1, 20245Feb 8, 202413

Volatility

Volatility Chart

The current Bull&Bear volatility is 2.43%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%FebruaryMarchAprilMayJuneJuly
2.43%
3.80%
Bull&Bear
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.
FLRNTMVGLDYANGGLINDUSTFTSLXLFJEPQJGROFTHIMGC
FLRN1.000.060.07-0.140.17-0.120.200.150.100.110.120.13
TMV0.061.00-0.330.09-0.120.31-0.21-0.11-0.15-0.16-0.16-0.17
GLD0.07-0.331.00-0.290.23-0.810.210.180.160.180.210.20
YANG-0.140.09-0.291.00-0.290.40-0.26-0.35-0.38-0.37-0.41-0.40
GLIN0.17-0.120.23-0.291.00-0.320.280.360.380.430.450.44
DUST-0.120.31-0.810.40-0.321.00-0.27-0.32-0.26-0.28-0.34-0.33
FTSL0.20-0.210.21-0.260.28-0.271.000.500.470.490.530.54
XLF0.15-0.110.18-0.350.36-0.320.501.000.590.630.760.74
JEPQ0.10-0.150.16-0.380.38-0.260.470.591.000.960.830.93
JGRO0.11-0.160.18-0.370.43-0.280.490.630.961.000.840.96
FTHI0.12-0.160.21-0.410.45-0.340.530.760.830.841.000.89
MGC0.13-0.170.20-0.400.44-0.330.540.740.930.960.891.00
The correlation results are calculated based on daily price changes starting from Aug 10, 2022