PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Optimized Bear&Bull
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Optimized Bear&Bull

Last updated Jul 22, 2024

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

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

15.00%20.00%25.00%30.00%FebruaryMarchAprilMayJuneJuly
22.41%
29.20%
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		16.48%1.67%14.21%21.98%13.13%10.91%
Optimized Bear&Bull7.66%1.10%5.87%15.25%N/AN/A
Portfolio components:
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		3.68%0.45%3.21%6.59%2.79%2.16%
FTSL
First Trust Senior Loan Fund		4.35%1.19%4.17%9.24%4.60%3.81%
GLD
SPDR Gold Trust		16.43%3.63%18.43%22.70%10.81%5.89%
GLIN
VanEck Vectors India Growth Leaders ETF		16.22%1.55%15.68%38.56%9.24%1.82%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		14.93%-0.04%11.25%23.98%N/AN/A
XLF
Financial Select Sector SPDR Fund		14.84%4.09%13.13%22.44%11.16%13.29%
DUST
Direxion Daily Gold Miners Bear 2X Shares		-37.20%-18.27%-47.72%-41.18%-50.24%-54.91%
TMV
Direxion Daily 20-Year Treasury Bear 3X		20.97%4.31%3.02%20.67%1.55%-10.19%
YANG
Direxion Daily China 3x Bear Shares		-29.20%7.26%-43.29%-4.08%-27.44%-31.38%

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.14%1.79%0.83%0.29%0.63%1.08%7.66%
20231.43%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.

DUST
Direxion Daily Gold Miners Bear 2X Shares
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%
YANG
Direxion Daily China 3x Bear Shares
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%
TMV
Direxion Daily 20-Year Treasury Bear 3X
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%
FTSL
First Trust Senior Loan Fund
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%
GLIN
VanEck Vectors India Growth Leaders ETF
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%
GLD
SPDR Gold Trust
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%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
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%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
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%
XLF
Financial Select Sector SPDR Fund
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 Rank

The current risk-adjusted rank of Optimized Bear&Bull is 99, placing it in the top 1% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Optimized Bear&Bull is 9999
Optimized Bear&Bull
The Sharpe Ratio Rank of Optimized Bear&Bull is 9999Sharpe Ratio Rank
The Sortino Ratio Rank of Optimized Bear&Bull is 9999Sortino Ratio Rank
The Omega Ratio Rank of Optimized Bear&Bull is 9999Omega Ratio Rank
The Calmar Ratio Rank of Optimized Bear&Bull is 9999Calmar Ratio Rank
The Martin Ratio Rank of Optimized Bear&Bull is 9999Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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 4.58, compared to the broader market-1.000.001.002.003.004.004.58
Sortino ratio
The chart of Sortino ratio for Optimized Bear&Bull, currently valued at 6.88, compared to the broader market-2.000.002.004.006.006.88
Omega ratio
The chart of Omega ratio for Optimized Bear&Bull, currently valued at 2.02, compared to the broader market0.801.001.201.401.601.802.02
Calmar ratio
The chart of Calmar ratio for Optimized Bear&Bull, currently valued at 14.68, compared to the broader market0.002.004.006.008.0010.0014.68
Martin ratio
The chart of Martin ratio for Optimized Bear&Bull, currently valued at 54.85, compared to the broader market0.0010.0020.0030.0040.0054.85
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		9.6622.305.0867.26314.24
FTSL
First Trust Senior Loan Fund		4.657.572.1114.0560.60
GLD
SPDR Gold Trust		1.622.301.291.957.91
GLIN
VanEck Vectors India Growth Leaders ETF		2.302.911.435.3319.42
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.182.921.413.6513.43
XLF
Financial Select Sector SPDR Fund		1.962.721.331.716.96
DUST
Direxion Daily Gold Miners Bear 2X Shares		-0.66-0.740.92-0.51-1.20
TMV
Direxion Daily 20-Year Treasury Bear 3X		0.440.961.110.480.81
YANG
Direxion Daily China 3x Bear Shares		-0.130.341.04-0.12-0.32

Sharpe Ratio

The current Optimized Bear&Bull Sharpe ratio is 4.54. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.33 to 2.11, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of Optimized Bear&Bull with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.002.003.004.005.006.007.00FebruaryMarchAprilMayJuneJuly
4.58
1.99
Optimized Bear&Bull
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimized Bear&Bull granted a 4.73% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Optimized Bear&Bull4.73%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		5.87%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		7.76%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		0.83%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		8.97%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		1.53%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		7.19%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		4.07%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		4.99%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.

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-0.54%
-1.97%
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 0.74%.

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
-1.04%May 22, 20249Jun 4, 20246Jun 12, 202415

Volatility

Volatility Chart

The current Optimized Bear&Bull volatility is 1.11%, 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%FebruaryMarchAprilMayJuneJuly
1.11%
2.94%
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.
FLRNTMVYANGGLDGLINFTSLJEPQXLFDUST
FLRN1.000.06-0.140.060.170.220.130.17-0.12
TMV0.061.000.04-0.33-0.09-0.15-0.10-0.070.27
YANG-0.140.041.00-0.25-0.31-0.27-0.40-0.370.38
GLD0.06-0.33-0.251.000.230.210.130.18-0.80
GLIN0.17-0.09-0.310.231.000.320.420.40-0.34
FTSL0.22-0.15-0.270.210.321.000.480.53-0.30
JEPQ0.13-0.10-0.400.130.420.481.000.63-0.25
XLF0.17-0.07-0.370.180.400.530.631.00-0.33
DUST-0.120.270.38-0.80-0.34-0.30-0.25-0.331.00
The correlation results are calculated based on daily price changes starting from May 5, 2022