Optimal
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 15.87% |
BIV Vanguard Intermediate-Term Bond ETF | Total Bond Market | 4.70% |
HEDJ WisdomTree Europe Hedged Equity Fund | Europe Equities | 22% |
PGHY Invesco Global Short Term High Yield Bond ETF | High Yield Bonds | 17.09% |
QQQ Invesco QQQ | Large Cap Blend Equities | 33% |
XLRE Real Estate Select Sector SPDR Fund | REIT | 7.34% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Optimal, 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.
The earliest data available for this chart is Oct 8, 2015, corresponding to the inception date of XLRE
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.58% | -3.06% | -0.68% | 8.94% | 17.98% | 10.64% |
| Optimal | -2.05% | -3.26% | 1.04% | 7.44% | 15.91% | N/A |
| Portfolio components: | ||||||
QQQ Invesco QQQ | -6.72% | -4.06% | -0.90% | 8.60% | 21.89% | 17.26% |
HEDJ WisdomTree Europe Hedged Equity Fund | 9.15% | -3.93% | 8.43% | 3.08% | 17.22% | 7.17% |
XLRE Real Estate Select Sector SPDR Fund | 4.13% | -2.69% | -3.25% | 13.36% | 11.21% | N/A |
PGHY Invesco Global Short Term High Yield Bond ETF | 2.57% | -0.41% | 1.85% | 8.11% | 6.83% | 4.28% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.04% | 0.34% | 2.19% | 4.89% | 2.48% | 1.72% |
BIV Vanguard Intermediate-Term Bond ETF | 3.39% | 0.26% | -0.27% | 6.63% | 0.14% | 1.77% |
Monthly Returns
The table below presents the monthly returns of Optimal, 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 | 2.86% | -0.49% | -5.26% | 1.00% | -2.05% | ||||||||
| 2024 | 1.15% | 4.51% | 1.71% | -3.77% | 4.46% | 3.42% | -0.77% | 1.44% | 1.95% | -1.45% | 3.63% | -0.07% | 17.06% |
| 2023 | 8.40% | 0.10% | 5.28% | 0.51% | 3.31% | 5.01% | 2.72% | -1.52% | -3.83% | -1.99% | 8.71% | 4.72% | 35.19% |
| 2022 | -6.16% | -4.29% | 3.04% | -8.26% | -0.79% | -7.14% | 8.65% | -4.36% | -7.71% | 3.86% | 5.42% | -6.02% | -22.81% |
| 2021 | 0.13% | 0.21% | 2.75% | 4.03% | -0.07% | 3.94% | 2.24% | 2.93% | -4.40% | 5.47% | 0.47% | 2.22% | 21.42% |
| 2020 | 0.88% | -4.90% | -9.34% | 9.71% | 4.51% | 4.31% | 4.12% | 6.19% | -3.04% | -2.66% | 8.60% | 3.12% | 21.56% |
| 2019 | 6.11% | 2.26% | 2.68% | 3.39% | -4.63% | 4.73% | 1.26% | -0.82% | 1.22% | 2.10% | 2.15% | 2.18% | 24.64% |
| 2018 | 4.10% | -1.92% | -1.56% | 1.03% | 2.51% | 0.57% | 2.16% | 1.97% | -0.44% | -5.03% | 0.38% | -5.28% | -1.95% |
| 2017 | 1.97% | 2.85% | 1.90% | 1.83% | 1.65% | -1.41% | 1.59% | 0.82% | 0.92% | 2.39% | 0.27% | -0.04% | 15.68% |
| 2016 | -3.69% | -1.09% | 4.49% | -0.78% | 2.37% | -0.71% | 4.14% | 0.43% | 0.76% | -0.65% | -0.37% | 2.43% | 7.25% |
| 2015 | 3.73% | 0.97% | -2.43% | 2.19% |
Expense Ratio
Optimal has an expense ratio of 0.29%, placing it in the medium range. 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
The current rank of Optimal is 53, indicating average performance compared to other portfolios on our website. Here’s 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 | |
|---|---|---|---|---|---|
QQQ Invesco QQQ | 0.39 | 0.64 | 1.08 | 0.57 | 1.49 |
HEDJ WisdomTree Europe Hedged Equity Fund | 0.11 | 0.25 | 1.03 | 0.13 | 0.29 |
XLRE Real Estate Select Sector SPDR Fund | 0.74 | 1.08 | 1.14 | 0.47 | 2.51 |
PGHY Invesco Global Short Term High Yield Bond ETF | 1.64 | 2.42 | 1.31 | 4.25 | 14.67 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.81 | 253.38 | 147.29 | 448.79 | 4,119.60 |
BIV Vanguard Intermediate-Term Bond ETF | 1.22 | 1.81 | 1.21 | 0.49 | 2.95 |
Dividends
Dividend yield
Optimal provided a 3.32% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.32% | 3.41% | 3.45% | 2.36% | 1.83% | 2.12% | 2.23% | 2.51% | 2.19% | 2.50% | 3.41% | 2.69% |
| Portfolio components: | ||||||||||||
QQQ Invesco QQQ | 0.63% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% |
HEDJ WisdomTree Europe Hedged Equity Fund | 3.01% | 3.28% | 3.31% | 2.83% | 2.08% | 2.65% | 1.82% | 2.73% | 2.27% | 2.97% | 9.44% | 5.83% |
XLRE Real Estate Select Sector SPDR Fund | 3.32% | 3.43% | 3.31% | 3.70% | 2.61% | 3.15% | 3.06% | 3.78% | 3.25% | 4.22% | 1.09% | 0.00% |
PGHY Invesco Global Short Term High Yield Bond ETF | 7.46% | 7.49% | 7.87% | 5.12% | 5.17% | 5.45% | 5.32% | 5.45% | 5.52% | 6.26% | 4.60% | 4.41% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.78% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
BIV Vanguard Intermediate-Term Bond ETF | 3.80% | 3.79% | 3.10% | 2.41% | 3.42% | 2.96% | 2.75% | 2.87% | 2.69% | 2.38% | 3.02% | 3.96% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Optimal. 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 Optimal was 26.46%, occurring on Oct 14, 2022. Recovery took 289 trading sessions.
The current Optimal drawdown is 4.50%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.46% | Dec 28, 2021 | 202 | Oct 14, 2022 | 289 | Dec 8, 2023 | 491 |
| -24.57% | Feb 20, 2020 | 23 | Mar 23, 2020 | 72 | Jul 6, 2020 | 95 |
| -13.82% | Aug 30, 2018 | 80 | Dec 24, 2018 | 59 | Mar 21, 2019 | 139 |
| -11.51% | Dec 2, 2015 | 49 | Feb 11, 2016 | 110 | Jul 20, 2016 | 159 |
| -9.4% | Jul 11, 2024 | 18 | Aug 5, 2024 | 49 | Oct 14, 2024 | 67 |
Volatility
Volatility Chart
The current Optimal volatility is 5.48%, 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.
Diversification
Asset Correlations Table
| BIL | BIV | PGHY | XLRE | QQQ | HEDJ | |
|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.04 | 0.00 | -0.00 | -0.00 | 0.01 |
| BIV | 0.04 | 1.00 | 0.16 | 0.23 | 0.03 | -0.08 |
| PGHY | 0.00 | 0.16 | 1.00 | 0.26 | 0.28 | 0.28 |
| XLRE | -0.00 | 0.23 | 0.26 | 1.00 | 0.44 | 0.43 |
| QQQ | -0.00 | 0.03 | 0.28 | 0.44 | 1.00 | 0.65 |
| HEDJ | 0.01 | -0.08 | 0.28 | 0.43 | 0.65 | 1.00 |