Maximum Sharpe Ratio
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Oct 24, 2013, corresponding to the inception date of FTEC
Returns By Period
As of Jun 3, 2025, the Maximum Sharpe Ratio returned 0.81% Year-To-Date and 15.60% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.92% | 4.38% | -1.84% | 12.48% | 13.71% | 10.99% |
| Maximum Sharpe Ratio | 0.81% | 6.29% | -0.86% | 14.07% | 16.55% | 15.60% |
| Portfolio components: | ||||||
AGG iShares Core U.S. Aggregate Bond ETF | 1.95% | -0.44% | 0.21% | 4.94% | -0.99% | 1.57% |
FTEC Fidelity MSCI Information Technology Index ETF | -1.40% | 7.91% | -2.40% | 15.31% | 19.14% | 19.72% |
QQQ Invesco QQQ | 2.50% | 7.03% | 1.85% | 16.79% | 17.93% | 17.87% |
FDGRX Fidelity Growth Company Fund | -2.18% | 7.81% | -2.27% | 13.23% | 18.00% | 17.80% |
VOO Vanguard S&P 500 ETF | 1.48% | 4.65% | -1.16% | 13.95% | 15.43% | 12.96% |
VTI Vanguard Total Stock Market ETF | 0.89% | 4.51% | -2.36% | 13.38% | 14.67% | 12.24% |
EFA iShares MSCI EAFE ETF | 18.71% | 4.25% | 14.89% | 14.03% | 10.47% | 6.21% |
IWM iShares Russell 2000 ETF | -6.69% | 2.61% | -14.46% | 1.12% | 8.63% | 6.47% |
PDRDX Principal Diversified Real Asset Fund | 6.20% | 2.17% | 2.00% | 6.07% | 7.33% | 3.50% |
Monthly Returns
The table below presents the monthly returns of Maximum Sharpe Ratio, 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 | 1.55% | -2.56% | -7.19% | 0.62% | 8.26% | 0.76% | 0.81% | ||||||
| 2024 | 1.52% | 5.57% | 2.32% | -4.56% | 6.28% | 5.13% | -0.09% | 1.35% | 2.19% | -0.79% | 5.91% | -1.01% | 25.87% |
| 2023 | 9.06% | -1.13% | 6.43% | 0.61% | 4.83% | 6.14% | 3.56% | -2.00% | -5.47% | -2.34% | 10.61% | 5.48% | 40.43% |
| 2022 | -7.73% | -3.21% | 3.53% | -11.32% | -1.35% | -8.73% | 11.10% | -4.40% | -10.27% | 6.53% | 5.40% | -7.30% | -26.76% |
| 2021 | 0.18% | 1.80% | 1.47% | 5.28% | -0.44% | 5.11% | 1.88% | 3.44% | -4.84% | 7.21% | 0.85% | 1.46% | 25.39% |
| 2020 | 1.82% | -6.45% | -10.69% | 14.11% | 7.01% | 5.40% | 6.32% | 9.60% | -4.17% | -2.78% | 12.14% | 4.78% | 39.66% |
| 2019 | 8.78% | 4.45% | 2.74% | 4.48% | -7.35% | 7.27% | 1.92% | -1.87% | 0.83% | 3.34% | 4.67% | 3.36% | 36.67% |
| 2018 | 7.20% | -1.92% | -2.67% | 0.39% | 4.76% | 0.37% | 2.31% | 5.29% | -0.26% | -8.80% | -0.10% | -8.42% | -3.17% |
| 2017 | 3.57% | 3.85% | 1.49% | 1.96% | 3.16% | -0.67% | 3.32% | 1.59% | 1.24% | 4.15% | 1.79% | 0.74% | 29.42% |
| 2016 | -6.87% | -0.94% | 7.22% | -1.45% | 3.36% | -1.46% | 6.09% | 0.89% | 1.65% | -1.92% | 2.23% | 1.59% | 10.02% |
| 2015 | -2.10% | 6.59% | -1.77% | 1.11% | 1.88% | -2.29% | 2.59% | -6.18% | -2.78% | 9.04% | 0.91% | -1.97% | 4.12% |
| 2014 | -1.95% | 5.12% | -1.23% | -0.78% | 3.10% | 2.96% | -0.95% | 4.42% | -1.79% | 2.65% | 3.14% | -0.81% | 14.38% |
Expense Ratio
Maximum Sharpe Ratio 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 Maximum Sharpe Ratio is 28, 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 | |
|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 0.92 | 1.54 | 1.18 | 0.49 | 2.68 |
FTEC Fidelity MSCI Information Technology Index ETF | 0.51 | 0.77 | 1.10 | 0.45 | 1.46 |
QQQ Invesco QQQ | 0.66 | 1.01 | 1.14 | 0.67 | 2.18 |
FDGRX Fidelity Growth Company Fund | 0.49 | 0.75 | 1.10 | 0.42 | 1.30 |
VOO Vanguard S&P 500 ETF | 0.72 | 1.14 | 1.17 | 0.76 | 2.87 |
VTI Vanguard Total Stock Market ETF | 0.66 | 1.08 | 1.16 | 0.71 | 2.65 |
EFA iShares MSCI EAFE ETF | 0.80 | 1.38 | 1.19 | 1.15 | 3.44 |
IWM iShares Russell 2000 ETF | 0.05 | 0.35 | 1.04 | 0.11 | 0.29 |
PDRDX Principal Diversified Real Asset Fund | 0.56 | 0.97 | 1.14 | 0.59 | 2.47 |
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Dividends
Dividend yield
Maximum Sharpe Ratio provided a 2.61% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.61% | 2.59% | 1.70% | 3.01% | 3.12% | 2.56% | 1.86% | 2.56% | 2.00% | 2.50% | 1.96% | 2.04% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.83% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% |
FTEC Fidelity MSCI Information Technology Index ETF | 0.49% | 0.49% | 0.77% | 0.93% | 0.63% | 0.83% | 1.03% | 1.20% | 0.96% | 1.25% | 1.27% | 1.09% |
QQQ Invesco QQQ | 0.57% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% |
FDGRX Fidelity Growth Company Fund | 9.06% | 8.86% | 3.83% | 7.20% | 10.67% | 8.86% | 3.84% | 6.38% | 4.73% | 6.23% | 3.92% | 3.94% |
VOO Vanguard S&P 500 ETF | 1.28% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% |
VTI Vanguard Total Stock Market ETF | 1.29% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
EFA iShares MSCI EAFE ETF | 2.73% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% | 3.72% |
IWM iShares Russell 2000 ETF | 1.20% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% |
PDRDX Principal Diversified Real Asset Fund | 2.09% | 2.42% | 2.52% | 12.87% | 6.56% | 0.51% | 2.36% | 3.47% | 2.22% | 2.61% | 0.99% | 2.17% |
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 Maximum 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 Maximum Sharpe Ratio was 31.57%, occurring on Oct 14, 2022. Recovery took 294 trading sessions.
The current Maximum Sharpe Ratio drawdown is 3.27%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.57% | Nov 22, 2021 | 226 | Oct 14, 2022 | 294 | Dec 15, 2023 | 520 |
| -31.12% | Feb 20, 2020 | 23 | Mar 23, 2020 | 55 | Jun 10, 2020 | 78 |
| -22.27% | Aug 30, 2018 | 80 | Dec 24, 2018 | 77 | Apr 16, 2019 | 157 |
| -22.07% | Feb 19, 2025 | 35 | Apr 8, 2025 | — | — | — |
| -15.98% | Jul 21, 2015 | 143 | Feb 11, 2016 | 108 | Jul 18, 2016 | 251 |
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 9 assets, with an effective number of assets of 5.86, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | AGG | PDRDX | EFA | IWM | FDGRX | FTEC | QQQ | VOO | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.01 | 0.69 | 0.79 | 0.82 | 0.87 | 0.90 | 0.91 | 1.00 | 0.99 | 0.95 |
| AGG | -0.01 | 1.00 | 0.13 | 0.04 | -0.02 | 0.02 | 0.01 | 0.02 | -0.01 | -0.01 | 0.02 |
| PDRDX | 0.69 | 0.13 | 1.00 | 0.77 | 0.69 | 0.55 | 0.54 | 0.54 | 0.70 | 0.71 | 0.62 |
| EFA | 0.79 | 0.04 | 0.77 | 1.00 | 0.72 | 0.68 | 0.69 | 0.69 | 0.79 | 0.80 | 0.75 |
| IWM | 0.82 | -0.02 | 0.69 | 0.72 | 1.00 | 0.76 | 0.72 | 0.71 | 0.82 | 0.87 | 0.80 |
| FDGRX | 0.87 | 0.02 | 0.55 | 0.68 | 0.76 | 1.00 | 0.92 | 0.94 | 0.87 | 0.88 | 0.96 |
| FTEC | 0.90 | 0.01 | 0.54 | 0.69 | 0.72 | 0.92 | 1.00 | 0.97 | 0.89 | 0.89 | 0.97 |
| QQQ | 0.91 | 0.02 | 0.54 | 0.69 | 0.71 | 0.94 | 0.97 | 1.00 | 0.91 | 0.90 | 0.98 |
| VOO | 1.00 | -0.01 | 0.70 | 0.79 | 0.82 | 0.87 | 0.89 | 0.91 | 1.00 | 0.99 | 0.95 |
| VTI | 0.99 | -0.01 | 0.71 | 0.80 | 0.87 | 0.88 | 0.89 | 0.90 | 0.99 | 1.00 | 0.95 |
| Portfolio | 0.95 | 0.02 | 0.62 | 0.75 | 0.80 | 0.96 | 0.97 | 0.98 | 0.95 | 0.95 | 1.00 |