Optimized Bear&Bull
FLRN 0.241842 TMV 0.022984 GLD 0.183070 YANG 0.015054 GLIN 0.111750 DUST 0.030014 FTSL 0.241697 XLF 0.056390 JEPQ 0.097199
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Optimized Bear&Bull, 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
The earliest data available for this chart is May 4, 2022, corresponding to the inception date of JEPQ
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.76% | 2.89% | 10.80% | 27.49% | 14.28% | 10.89% |
Optimized Bear&Bull | 8.77% | 0.99% | 4.65% | 15.52% | N/A | N/A |
Portfolio components: | ||||||
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 4.20% | 0.41% | 2.98% | 6.45% | 2.85% | 2.21% |
FTSL First Trust Senior Loan Fund | 4.78% | 0.48% | 3.22% | 8.55% | 4.72% | 3.84% |
GLD SPDR Gold Trust | 21.76% | 5.50% | 23.81% | 30.67% | 9.94% | 6.53% |
GLIN VanEck Vectors India Growth Leaders ETF | 21.76% | 2.09% | 11.97% | 43.51% | 12.32% | 2.44% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 13.65% | 2.32% | 6.11% | 23.68% | N/A | N/A |
XLF Financial Select Sector SPDR Fund | 19.45% | 2.67% | 11.70% | 32.64% | 13.32% | 13.53% |
DUST Direxion Daily Gold Miners Bear 2X Shares | -43.25% | -14.31% | -59.30% | -54.06% | -47.46% | -55.34% |
TMV Direxion Daily 20-Year Treasury Bear 3X | 0.84% | -15.53% | -16.36% | -15.56% | 5.60% | -10.89% |
YANG Direxion Daily China 3x Bear Shares | -33.12% | -8.62% | -25.69% | -13.52% | -31.67% | -30.92% |
Monthly Returns
The table below presents the monthly returns of Optimized Bear&Bull, 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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 2.14% | 1.79% | 0.83% | 0.29% | 0.63% | 1.08% | 1.30% | 8.77% | |||||
2023 | 1.43% | 0.11% | 0.06% | 1.35% | 1.58% | 1.50% | 1.02% | 1.18% | 0.51% | 1.26% | 2.10% | 1.77% | 14.75% |
2022 | -2.38% | -2.57% | 3.48% | -0.06% | -1.66% | 3.00% | 0.33% | -0.88% | -0.92% |
Expense Ratio
Optimized Bear&Bull features an expense ratio of 0.52%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Optimized Bear&Bull is 98, placing it in the top 2% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | |
---|---|---|---|---|---|
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 7.61 | 14.01 | 4.25 | 14.29 | 178.53 |
FTSL First Trust Senior Loan Fund | 4.06 | 6.05 | 1.98 | 8.18 | 47.52 |
GLD SPDR Gold Trust | 2.16 | 3.03 | 1.38 | 2.72 | 12.52 |
GLIN VanEck Vectors India Growth Leaders ETF | 2.52 | 3.10 | 1.47 | 6.02 | 20.11 |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 2.00 | 2.63 | 1.39 | 2.37 | 9.86 |
XLF Financial Select Sector SPDR Fund | 2.66 | 3.48 | 1.45 | 2.46 | 12.09 |
DUST Direxion Daily Gold Miners Bear 2X Shares | -0.89 | -1.34 | 0.85 | -0.68 | -1.44 |
TMV Direxion Daily 20-Year Treasury Bear 3X | -0.33 | -0.17 | 0.98 | -0.36 | -0.55 |
YANG Direxion Daily China 3x Bear Shares | -0.26 | 0.12 | 1.01 | -0.23 | -0.54 |
Dividends
Dividend yield
Optimized Bear&Bull granted a 4.80% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Optimized Bear&Bull | 4.80% | 4.66% | 2.85% | 0.95% | 1.41% | 2.14% | 1.79% | 1.37% | 1.40% | 1.59% | 1.25% | 0.96% |
Portfolio components: | ||||||||||||
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 5.90% | 5.68% | 1.95% | 0.39% | 1.22% | 2.76% | 2.39% | 1.64% | 1.06% | 0.63% | 0.53% | 0.72% |
FTSL First Trust Senior Loan Fund | 7.75% | 7.59% | 4.77% | 3.17% | 3.48% | 4.43% | 4.29% | 3.64% | 3.70% | 3.95% | 3.74% | 2.64% |
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% |
GLIN VanEck Vectors India Growth Leaders ETF | 0.79% | 0.96% | 1.70% | 0.00% | 0.24% | 1.29% | 0.12% | 0.10% | 1.39% | 3.11% | 0.97% | 0.44% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 9.26% | 10.02% | 9.44% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLF Financial Select Sector SPDR Fund | 1.47% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 1.63% | 2.40% | 1.98% | 1.81% |
DUST Direxion Daily Gold Miners Bear 2X Shares | 7.96% | 4.47% | 0.00% | 0.00% | 3.64% | 2.48% | 0.37% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TMV Direxion Daily 20-Year Treasury Bear 3X | 4.89% | 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 | 5.28% | 3.66% | 0.00% | 0.00% | 0.68% | 1.54% | 0.56% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 Optimized Bear&Bull. 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 Optimized Bear&Bull was 5.17%, occurring on Jul 5, 2022. Recovery took 28 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-5.17% | May 5, 2022 | 41 | Jul 5, 2022 | 28 | Aug 12, 2022 | 69 |
-3.4% | Aug 18, 2022 | 31 | Sep 30, 2022 | 29 | Nov 10, 2022 | 60 |
-2.25% | Aug 1, 2024 | 3 | Aug 5, 2024 | 10 | Aug 19, 2024 | 13 |
-2.19% | Nov 14, 2022 | 28 | Dec 22, 2022 | 25 | Jan 31, 2023 | 53 |
-1.74% | Mar 7, 2023 | 7 | Mar 15, 2023 | 20 | Apr 13, 2023 | 27 |
Volatility
Volatility Chart
The current Optimized Bear&Bull volatility is 1.82%, 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
TMV | FLRN | YANG | GLD | GLIN | FTSL | JEPQ | XLF | DUST | |
---|---|---|---|---|---|---|---|---|---|
TMV | 1.00 | 0.08 | 0.04 | -0.33 | -0.08 | -0.14 | -0.10 | -0.06 | 0.26 |
FLRN | 0.08 | 1.00 | -0.13 | 0.05 | 0.18 | 0.22 | 0.14 | 0.18 | -0.12 |
YANG | 0.04 | -0.13 | 1.00 | -0.26 | -0.32 | -0.27 | -0.42 | -0.37 | 0.39 |
GLD | -0.33 | 0.05 | -0.26 | 1.00 | 0.24 | 0.21 | 0.14 | 0.18 | -0.80 |
GLIN | -0.08 | 0.18 | -0.32 | 0.24 | 1.00 | 0.33 | 0.43 | 0.41 | -0.35 |
FTSL | -0.14 | 0.22 | -0.27 | 0.21 | 0.33 | 1.00 | 0.49 | 0.53 | -0.31 |
JEPQ | -0.10 | 0.14 | -0.42 | 0.14 | 0.43 | 0.49 | 1.00 | 0.63 | -0.28 |
XLF | -0.06 | 0.18 | -0.37 | 0.18 | 0.41 | 0.53 | 0.63 | 1.00 | -0.34 |
DUST | 0.26 | -0.12 | 0.39 | -0.80 | -0.35 | -0.31 | -0.28 | -0.34 | 1.00 |