Stocks, Gold, Alternatives, Trend Following

Asset Allocation

Position	Category/Sector	Target Weight
QMNIX AQR Equity Market Neutral Fund Class I	Equity Market Neutral	35%
QLEIX AQR Long-Short Equity Fund	Long-Short	25%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	10%
STIP iShares 0-5 Year TIPS Bond ETF	Inflation-Protected Bonds	10%
DBMF iMGP DBi Managed Futures Strategy ETF	Systematic Trend	5%
AQMIX AQR Managed Futures Strategy Fund	Systematic Trend	5%
GLD SPDR Gold Shares	Gold, Precious Metals	5%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	Commodities	5%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Stocks, Gold, Alternatives, Trend Following, 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 year.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	0.31%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio Stocks, Gold, Alternatives, Trend Following	0.01%	-0.89%	-0.91%	0.05%	11.03%	17.55%	15.10%	—
Portfolio components:
AQMIX AQR Managed Futures Strategy Fund	-0.37%	-2.12%	11.18%	13.01%	24.52%	12.13%	12.71%	4.69%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	-0.57%	-7.21%	13.81%	16.46%	26.93%	14.90%	13.69%	11.10%
DBMF iMGP DBi Managed Futures Strategy ETF	0.26%	-1.34%	10.27%	11.24%	26.94%	9.64%	8.01%	—
GLD SPDR Gold Shares	0.06%	-9.52%	-2.47%	-2.25%	22.21%	28.89%	17.08%	12.15%
QLEIX AQR Long-Short Equity Fund	0.92%	0.29%	-1.37%	0.05%	14.69%	26.16%	22.04%	11.97%
QMNIX AQR Equity Market Neutral Fund Class I	0.26%	0.09%	-6.97%	-6.18%	3.55%	18.88%	17.62%	6.17%
STIP iShares 0-5 Year TIPS Bond ETF	-0.02%	-0.09%	1.87%	1.97%	4.54%	5.26%	3.38%	3.14%
VGSH Vanguard Short-Term Treasury ETF	-0.03%	0.16%	0.57%	0.83%	3.36%	4.25%	1.83%	1.73%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 8, 2019, Stocks, Gold, Alternatives, Trend Following's average daily return is +0.04%, while the average monthly return is +0.92%. At this rate, an investment would double in approximately 6.3 years.

Historically, 70% of months were positive and 30% were negative. The best month was Jan 2022 with a return of +6.7%, while the worst month was Jun 2021 at -4.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Stocks, Gold, Alternatives, Trend Following closed higher 58% of trading days. The best single day was Dec 23, 2021 with a return of +1.6%, while the worst single day was Mar 12, 2020 at -2.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.10%	1.29%	-1.02%	-0.88%	0.74%	-1.12%							-0.91%
2025	2.98%	2.62%	1.70%	1.20%	1.79%	0.99%	-0.81%	2.58%	3.42%	1.45%	1.66%	2.74%	24.67%
2024	3.65%	1.01%	4.75%	2.29%	2.43%	-0.60%	-0.53%	0.41%	0.69%	0.52%	2.75%	1.20%	20.05%
2023	1.84%	1.37%	-1.66%	0.76%	-1.14%	2.81%	2.26%	2.16%	3.28%	1.57%	0.94%	-1.77%	12.97%
2022	6.68%	1.81%	0.87%	4.18%	4.01%	-4.11%	-2.72%	-0.95%	-1.18%	3.71%	2.45%	2.04%	17.51%
2021	1.68%	2.28%	6.15%	1.51%	3.40%	-4.15%	0.50%	-1.35%	0.49%	0.07%	0.15%	5.30%	16.77%

Benchmark Metrics

Stocks, Gold, Alternatives, Trend Following has an annualized alpha of 10.38%, beta of 0.08, and R2 of 0.06 versus S&P 500 Index. Calculated based on daily prices since May 08, 2019.

This portfolio captured 21.44% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -21.16%) - a profile typical of hedging or uncorrelated assets.
Beta of 0.08 may look defensive, but with R2 of 0.06 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.06 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: 10.38%

Beta: 0.08

R²: 0.06

Upside Capture: 21.44%

Downside Capture: -21.16%

See how alpha, beta & R² have trended over time →

Expense Ratio

Stocks, Gold, Alternatives, Trend Following has a high expense ratio of 2.43%, 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.

QMNIX

AQR Equity Market Neutral Fund Class I

QLEIX

AQR Long-Short Equity Fund

AQMIX

AQR Managed Futures Strategy Fund

ARCIX

AQR Risk-Balanced Commodities Strategy Fund

DBMF

iMGP DBi Managed Futures Strategy ETF

GLD

SPDR Gold Shares

STIP

iShares 0-5 Year TIPS Bond ETF

VGSH

Vanguard Short-Term Treasury ETF

Return for Risk

Risk / Return Rank

Stocks, Gold, Alternatives, Trend Following ranks 72 for risk / return — better than 72% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Stocks, Gold, Alternatives, Trend Following and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.31	1.86	+0.45
Sortino ratioReturn per unit of downside risk	3.27	2.53	+0.74
Omega ratioGain probability vs. loss probability	1.43	1.34	+0.09
Calmar ratioReturn relative to maximum drawdown	3.79	2.53	+1.26
Martin ratioReturn relative to average drawdown	11.44	11.37	+0.07

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AQMIX AQR Managed Futures Strategy Fund	92	2.83	3.86	1.50	8.20	26.10
ARCIX AQR Risk-Balanced Commodities Strategy Fund	62	1.95	2.55	1.35	2.96	10.98
DBMF iMGP DBi Managed Futures Strategy ETF	82	2.22	2.92	1.47	4.50	16.30
GLD SPDR Gold Shares	26	0.87	1.24	1.18	0.98	2.81
QLEIX AQR Long-Short Equity Fund	61	2.06	3.01	1.38	2.52	7.84
QMNIX AQR Equity Market Neutral Fund Class I	8	0.65	0.94	1.12	0.52	1.16
STIP iShares 0-5 Year TIPS Bond ETF	95	3.17	5.48	1.68	6.63	25.91
VGSH Vanguard Short-Term Treasury ETF	87	2.61	4.30	1.55	3.76	14.67

Sharpe Ratio

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. Learn how to interpret the Sharpe ratio.

The current Stocks, Gold, Alternatives, Trend Following Sharpe ratio is 2.31 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Stocks, Gold, Alternatives, Trend Following compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Stocks, Gold, Alternatives, Trend Following provided a 2.74% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.74%	2.82%	5.18%	14.30%	7.84%	2.75%	7.12%	2.66%	2.13%	3.77%	1.69%	2.54%
Portfolio components:
AQMIX AQR Managed Futures Strategy Fund	2.03%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	11.81%	13.44%	2.11%	7.56%	9.51%	18.23%	0.09%	5.19%	0.67%	0.01%	4.82%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.19%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QLEIX AQR Long-Short Equity Fund	1.78%	1.75%	7.12%	20.88%	14.15%	0.00%	1.57%	0.00%	6.03%	9.11%	3.01%	4.98%
QMNIX AQR Equity Market Neutral Fund Class I	1.51%	1.41%	6.10%	21.48%	5.95%	1.39%	17.42%	3.83%	0.48%	3.48%	1.51%	2.57%
STIP iShares 0-5 Year TIPS Bond ETF	4.31%	4.11%	2.62%	2.84%	6.04%	4.15%	1.40%	2.06%	2.44%	1.59%	0.89%	0.00%
VGSH Vanguard Short-Term Treasury ETF	3.87%	4.00%	4.18%	3.31%	1.15%	0.66%	1.74%	2.28%	1.79%	1.10%	0.84%	0.69%

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 Stocks, Gold, Alternatives, Trend Following. 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 Stocks, Gold, Alternatives, Trend Following was 11.01%, occurring on Nov 12, 2020. Recovery took 90 trading sessions.

The current Stocks, Gold, Alternatives, Trend Following drawdown is 2.27%.

Related event	Drawdown	Fall	Recovery	Underwater
2020 correction2020	-11.01%Nov 2020	9mo 25d	4mo 13d	1y 2moJan 2020 - Mar 2021
Bear market2022	-10.00%Aug 2022	2mo 1d	6mo 6d	8mo 7dJun 2022 - Feb 2023
2021 pullback2021	-9.09%Sep 2021	4mo 6d	3mo 16d	7mo 22dMay 2021 - Jan 2022
Bear market2022	-4.53%Apr 2022	21d	16d	1mo 7dMar 2022 - Apr 2022
2023 pullback2023	-4.18%Mar 2023	17d	3mo 11d	3mo 28dMar 2023 - Jul 2023

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 8 assets, with an effective number of assets of 4.65, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.60	1.54	1.49	1.48

The portfolio has a diversification ratio of 1.48, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Stocks, Gold, Alternatives, Trend Following correlation to the S&P 500 Index

Stocks, Gold, Alternatives, Trend Following has a 0.26 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.26
Correlation (3Y) Calculated over the trailing 3-year period	0.23
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.18

Benchmark Correlations

Correlation vs. S&P 500 Index. QLEIX has the highest benchmark correlation at 0.42, while QMNIX has the lowest at -0.10.

-0.10

-0.06

-0.02

0.10

0.15

0.18

0.20

0.42

Portfolio Correlations

Correlation vs. Stocks, Gold, Alternatives, Trend Following. QLEIX has the highest portfolio correlation at 0.89, while VGSH has the lowest at -0.10.

-0.10

0.10

0.23

0.33

0.35

0.35

0.86

0.89

Asset Correlations Table

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

	ARCIX	GLD	STIP	AQMIX	VGSH	DBMF	QMNIX	QLEIX
ARCIX	1.00	0.45	0.27	0.07	0.01	0.21	0.03	0.19
GLD	0.45	1.00	0.40	0.03	0.37	0.13	-0.06	0.04
STIP	0.27	0.40	1.00	-0.14	0.61	-0.04	-0.08	0.03
AQMIX	0.07	0.03	-0.14	1.00	-0.26	0.51	0.26	0.18
VGSH	0.01	0.37	0.61	-0.26	1.00	-0.22	-0.17	-0.15
DBMF	0.21	0.13	-0.04	0.51	-0.22	1.00	0.14	0.21
QMNIX	0.03	-0.06	-0.08	0.26	-0.17	0.14	1.00	0.78
QLEIX	0.19	0.04	0.03	0.18	-0.15	0.21	0.78	1.00

The correlation results are calculated based on daily price changes starting from May 8, 2019

Diversification Analysis

Find what Stocks, Gold, Alternatives, Trend Following is missing

See which holdings overlap, where Stocks, Gold, Alternatives, Trend Following is concentrated, and which low-correlation assets could fill the gaps.

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