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Optimized Bear&Bull
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


FLRN 24.2%FTSL 24.2%TMV 2.3%GLD 18.3%GLIN 11.2%JEPQ 9.7%XLF 5.6%DUST 3%YANG 1.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
DUST
Direxion Daily Gold Miners Bear 2X Shares
Leveraged Equities, Leveraged

3%

FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
Corporate Bonds

24.20%

FTSL
First Trust Senior Loan Fund
High Yield Bonds, Actively Managed

24.20%

GLD
SPDR Gold Trust
Precious Metals, Gold

18.30%

GLIN
VanEck Vectors India Growth Leaders ETF
Asia Pacific Equities

11.20%

JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income

9.70%

TMV
Direxion Daily 20-Year Treasury Bear 3X
Leveraged Bonds, Leveraged

2.30%

XLF
Financial Select Sector SPDR Fund
Financials Equities

5.60%

YANG
Direxion Daily China 3x Bear Shares
Leveraged Equities, Leveraged, China Equities

1.50%

S&P 500

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


0.00%5.00%10.00%15.00%20.00%25.00%NovemberDecember2024FebruaryMarchApril
9.96%
18.81%
Optimized Bear&Bull
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 4, 2022, corresponding to the inception date of JEPQ

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
5.05%-4.27%18.82%21.22%11.38%10.42%
Optimized Bear&Bull5.51%1.16%9.96%18.24%N/AN/A
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
2.21%0.57%3.49%7.02%2.65%2.04%
FTSL
First Trust Senior Loan Fund
2.45%0.65%5.08%10.31%4.27%3.77%
GLD
SPDR Gold Trust
12.76%7.60%17.82%17.00%12.37%5.58%
GLIN
VanEck Vectors India Growth Leaders ETF
7.61%3.02%26.13%48.49%3.12%3.49%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
5.03%-4.68%15.71%26.08%N/AN/A
XLF
Financial Select Sector SPDR Fund
9.10%-1.33%28.83%25.22%10.58%13.31%
DUST
Direxion Daily Gold Miners Bear 2X Shares
-13.40%-18.54%-28.23%-8.74%-55.76%-55.21%
TMV
Direxion Daily 20-Year Treasury Bear 3X
36.70%17.14%-18.83%47.09%0.16%-10.54%
YANG
Direxion Daily China 3x Bear Shares
-12.33%-8.47%-9.53%10.60%-22.80%-32.86%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.14%1.79%0.83%
20230.51%1.26%2.10%1.77%

Expense Ratio

The Optimized Bear&Bull has a high expense ratio of 0.52%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for DUST: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
Expense ratio chart for YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
Expense ratio chart for TMV: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
Expense ratio chart for FTSL: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
Expense ratio chart for GLIN: current value at 0.82% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.82%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for FLRN: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

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.


Optimized Bear&Bull
Sharpe ratio
The chart of Sharpe ratio for Optimized Bear&Bull, currently valued at 5.98, compared to the broader market-1.000.001.002.003.004.005.005.98
Sortino ratio
The chart of Sortino ratio for Optimized Bear&Bull, currently valued at 9.67, compared to the broader market0.002.004.006.009.67
Omega ratio
The chart of Omega ratio for Optimized Bear&Bull, currently valued at 2.41, compared to the broader market0.801.001.201.401.601.802.41
Calmar ratio
The chart of Calmar ratio for Optimized Bear&Bull, currently valued at 20.97, compared to the broader market0.002.004.006.008.0020.97
Martin ratio
The chart of Martin ratio for Optimized Bear&Bull, currently valued at 86.76, compared to the broader market0.0010.0020.0030.0040.0086.76
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.81, compared to the broader market-1.000.001.002.003.004.005.001.81
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.64, compared to the broader market0.002.004.006.002.64
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.002.004.006.008.001.38
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.21, compared to the broader market0.0010.0020.0030.0040.007.21

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
5.599.893.0616.72132.91
FTSL
First Trust Senior Loan Fund
4.287.191.9510.8256.77
GLD
SPDR Gold Trust
1.291.961.231.403.50
GLIN
VanEck Vectors India Growth Leaders ETF
3.484.591.613.5726.81
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
2.383.231.443.9715.89
XLF
Financial Select Sector SPDR Fund
1.902.691.321.737.44
DUST
Direxion Daily Gold Miners Bear 2X Shares
-0.110.261.03-0.09-0.30
TMV
Direxion Daily 20-Year Treasury Bear 3X
0.971.561.181.072.14
YANG
Direxion Daily China 3x Bear Shares
0.190.831.100.200.72

Sharpe Ratio

The current Optimized Bear&Bull Sharpe ratio is 5.98. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.005.005.98

The Sharpe ratio of Optimized Bear&Bull is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.006.007.00NovemberDecember2024FebruaryMarchApril
5.98
1.81
Optimized Bear&Bull
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimized Bear&Bull granted a 4.49% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Optimized Bear&Bull4.49%4.66%2.85%0.95%1.41%2.14%1.79%1.37%1.40%1.59%1.25%0.96%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
5.77%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
7.05%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
0.89%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
9.40%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
1.57%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
5.18%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
3.36%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
3.64%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-0.46%
-4.64%
Optimized Bear&Bull
Benchmark (^GSPC)
Portfolio components

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.

The current Optimized Bear&Bull drawdown is 0.46%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-5.17%May 5, 202241Jul 5, 202228Aug 12, 202269
-3.4%Aug 18, 202231Sep 30, 202229Nov 10, 202260
-2.19%Nov 14, 202228Dec 22, 202225Jan 31, 202353
-1.74%Mar 7, 20237Mar 15, 202320Apr 13, 202327
-0.87%Oct 20, 20235Oct 26, 20235Nov 2, 202310

Volatility

Volatility Chart

The current Optimized Bear&Bull volatility is 1.13%, 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.


1.00%2.00%3.00%4.00%5.00%NovemberDecember2024FebruaryMarchApril
1.13%
3.30%
Optimized Bear&Bull
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

TMVFLRNGLDYANGGLINFTSLJEPQXLFDUST
TMV1.000.08-0.340.03-0.08-0.14-0.09-0.060.27
FLRN0.081.000.07-0.160.190.240.140.17-0.13
GLD-0.340.071.00-0.250.220.220.120.16-0.80
YANG0.03-0.16-0.251.00-0.33-0.27-0.41-0.380.37
GLIN-0.080.190.22-0.331.000.340.440.44-0.34
FTSL-0.140.240.22-0.270.341.000.490.55-0.31
JEPQ-0.090.140.12-0.410.440.491.000.67-0.26
XLF-0.060.170.16-0.380.440.550.671.00-0.33
DUST0.27-0.13-0.800.37-0.34-0.31-0.26-0.331.00