Maximum Sharpe Ratio
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Maximum Sharpe Ratio, 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 24, 2013, corresponding to the inception date of FTEC
Returns By Period
As of Apr 29, 2025, the Maximum Sharpe Ratio returned -9.35% Year-To-Date and 14.19% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.00% | -0.94% | -5.06% | 8.41% | 13.52% | 10.15% |
| Maximum Sharpe Ratio | -9.35% | 0.17% | -7.95% | 7.62% | 15.55% | 14.19% |
| Portfolio components: | ||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.02% | 0.47% | 2.39% | 7.71% | -0.74% | 1.53% |
FTEC Fidelity MSCI Information Technology Index ETF | -12.13% | 0.45% | -9.27% | 8.81% | 18.63% | 18.50% |
QQQ Invesco QQQ | -7.46% | 0.74% | -4.34% | 10.28% | 17.43% | 16.75% |
FDGRX Fidelity Growth Company Fund | -12.42% | -0.31% | -16.24% | -1.20% | 9.51% | 10.14% |
VOO Vanguard S&P 500 ETF | -5.69% | -0.86% | -4.52% | 9.85% | 15.26% | 12.13% |
VTI Vanguard Total Stock Market ETF | -6.15% | -0.88% | -4.83% | 9.09% | 14.66% | 11.47% |
EFA iShares MSCI EAFE ETF | 12.00% | 2.69% | 6.60% | 12.02% | 11.15% | 5.36% |
IWM iShares Russell 2000 ETF | -11.58% | -2.75% | -11.91% | -0.60% | 8.95% | 6.21% |
PDRDX Principal Diversified Real Asset Fund | 3.50% | 0.61% | -0.51% | 5.98% | 6.33% | 2.18% |
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 | 1.13% | -2.81% | -7.96% | 0.21% | -9.35% | ||||||||
| 2024 | 1.84% | 5.56% | 2.00% | -4.79% | 6.68% | 6.17% | -0.81% | 1.24% | 2.32% | -0.69% | 6.19% | -1.70% | 25.92% |
| 2023 | 9.35% | -0.77% | 7.38% | 0.44% | 6.08% | 6.25% | 3.49% | -1.90% | -5.64% | -2.09% | 11.26% | 4.77% | 44.25% |
| 2022 | -8.15% | -3.68% | 3.69% | -11.94% | -1.56% | -8.89% | 11.80% | -4.70% | -10.55% | 6.46% | 5.33% | -8.82% | -29.39% |
| 2021 | 0.10% | 1.52% | 1.26% | 5.45% | -0.75% | 5.80% | 2.19% | 3.67% | -5.20% | 7.62% | 1.50% | -0.47% | 24.42% |
| 2020 | 2.24% | -6.54% | -10.22% | 14.50% | 7.21% | 5.85% | 6.58% | 10.32% | -4.46% | -3.11% | 12.21% | 3.14% | 40.41% |
| 2019 | 8.80% | 4.66% | 2.98% | 4.81% | -7.66% | 7.50% | 2.20% | -1.92% | 0.85% | 3.49% | 4.86% | 2.80% | 37.58% |
| 2018 | 7.45% | -1.72% | -2.86% | 0.33% | 5.10% | 0.38% | 2.32% | 5.70% | -0.27% | -8.96% | -0.27% | -9.71% | -3.97% |
| 2017 | 3.66% | 3.97% | 1.54% | 2.02% | 3.31% | -0.85% | 3.43% | 1.72% | 1.16% | 4.44% | 1.78% | -0.22% | 29.11% |
| 2016 | -7.00% | -0.97% | 7.29% | -1.68% | 3.52% | -1.56% | 6.22% | 0.92% | 1.69% | -1.86% | 2.16% | 0.46% | 8.69% |
| 2015 | -2.15% | 6.68% | -1.82% | 1.11% | 1.94% | -2.32% | 2.69% | -6.22% | -2.73% | 9.21% | 0.94% | -1.96% | 4.47% |
| 2014 | -1.96% | 5.13% | -1.24% | -0.78% | 3.12% | 2.96% | -0.91% | 4.43% | -1.76% | 2.65% | 3.23% | -0.87% | 14.50% |
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 23, meaning it’s performing worse than 77% of other portfolios on our website when it comes to balancing risk and reward. Below is 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 | 1.42 | 2.07 | 1.25 | 0.58 | 3.65 |
FTEC Fidelity MSCI Information Technology Index ETF | 0.36 | 0.70 | 1.10 | 0.40 | 1.36 |
QQQ Invesco QQQ | 0.45 | 0.80 | 1.11 | 0.50 | 1.71 |
FDGRX Fidelity Growth Company Fund | 0.04 | 0.25 | 1.03 | 0.04 | 0.11 |
VOO Vanguard S&P 500 ETF | 0.55 | 0.89 | 1.13 | 0.56 | 2.28 |
VTI Vanguard Total Stock Market ETF | 0.48 | 0.81 | 1.12 | 0.50 | 1.99 |
EFA iShares MSCI EAFE ETF | 0.70 | 1.10 | 1.15 | 0.88 | 2.65 |
IWM iShares Russell 2000 ETF | -0.01 | 0.16 | 1.02 | -0.01 | -0.03 |
PDRDX Principal Diversified Real Asset Fund | 0.57 | 0.84 | 1.12 | 0.37 | 2.08 |
Dividends
Dividend yield
Maximum Sharpe Ratio provided a 0.85% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.85% | 0.81% | 0.93% | 1.25% | 0.92% | 0.79% | 1.09% | 1.29% | 1.05% | 1.27% | 1.96% | 2.00% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.75% | 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 | 0.55% | 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 | 0.63% | 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 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.07% | 3.92% | 4.03% |
VOO Vanguard S&P 500 ETF | 1.38% | 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 | 1.38% | 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 | 2.89% | 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 | 1.27% | 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 | 2.14% | 2.42% | 2.52% | 6.58% | 5.20% | 0.51% | 2.36% | 3.47% | 2.22% | 2.61% | 0.99% | 1.07% |
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 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 34.20%, occurring on Oct 14, 2022. Recovery took 316 trading sessions.
The current Maximum Sharpe Ratio drawdown is 14.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.2% | Nov 22, 2021 | 226 | Oct 14, 2022 | 316 | Jan 19, 2024 | 542 |
| -31.06% | Feb 20, 2020 | 23 | Mar 23, 2020 | 53 | Jun 8, 2020 | 76 |
| -24.52% | Dec 17, 2024 | 76 | Apr 8, 2025 | — | — | — |
| -22.89% | Aug 30, 2018 | 80 | Dec 24, 2018 | 81 | Apr 23, 2019 | 161 |
| -16% | Jul 21, 2015 | 143 | Feb 11, 2016 | 108 | Jul 18, 2016 | 251 |
Volatility
Volatility Chart
The current Maximum Sharpe Ratio volatility is 16.97%, 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
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 | 0.70 | 0.80 | 0.82 | 0.87 | 0.90 | 0.91 | 1.00 | 0.99 | 0.94 |
| AGG | -0.01 | 1.00 | 0.13 | 0.04 | -0.02 | 0.02 | 0.01 | 0.02 | -0.01 | -0.01 | 0.02 |
| PDRDX | 0.70 | 0.13 | 1.00 | 0.76 | 0.69 | 0.54 | 0.54 | 0.54 | 0.70 | 0.71 | 0.60 |
| EFA | 0.80 | 0.04 | 0.76 | 1.00 | 0.72 | 0.68 | 0.69 | 0.70 | 0.80 | 0.80 | 0.73 |
| IWM | 0.82 | -0.02 | 0.69 | 0.72 | 1.00 | 0.76 | 0.72 | 0.71 | 0.82 | 0.87 | 0.78 |
| FDGRX | 0.87 | 0.02 | 0.54 | 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 | 0.96 | 0.89 | 0.89 | 0.98 |
| QQQ | 0.91 | 0.02 | 0.54 | 0.70 | 0.71 | 0.94 | 0.96 | 1.00 | 0.90 | 0.90 | 0.98 |
| VOO | 1.00 | -0.01 | 0.70 | 0.80 | 0.82 | 0.87 | 0.89 | 0.90 | 1.00 | 0.99 | 0.93 |
| VTI | 0.99 | -0.01 | 0.71 | 0.80 | 0.87 | 0.88 | 0.89 | 0.90 | 0.99 | 1.00 | 0.94 |
| Portfolio | 0.94 | 0.02 | 0.60 | 0.73 | 0.78 | 0.96 | 0.98 | 0.98 | 0.93 | 0.94 | 1.00 |