Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alex 3 with trend following, 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.
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The earliest data available for this chart is Jul 14, 2016, corresponding to the inception date of EYLD
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Alex 3 with trend following | 0.15% | -0.55% | 6.76% | 11.59% | 25.62% | 13.35% | 7.83% | — |
| Portfolio components: | ||||||||
FYLD Cambria Foreign Shareholder Yield ETF | 0.21% | 0.59% | 15.11% | 20.82% | 44.60% | 19.63% | 12.21% | 11.42% |
EYLD Cambria Emerging Shareholder Yield ETF | 0.24% | -1.14% | 9.31% | 15.69% | 38.39% | 19.83% | 8.09% | — |
PIMIX PIMCO Income Fund Institutional Class | 0.19% | -1.73% | -0.81% | 1.44% | 6.56% | 7.40% | 3.46% | 4.72% |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 0.98% | -2.99% | -2.30% | 1.82% | 14.48% | 9.12% | 4.66% | 4.13% |
EQCHX AXS Chesapeake Strategy Fund Class I | — | — | — | — | — | — | — | — |
VAMO Cambria Value and Momentum ETF | 0.25% | 1.13% | 4.11% | 6.46% | 21.12% | 13.17% | 9.63% | 5.51% |
SYLD Cambria Shareholder Yield ETF | 0.44% | -0.20% | 9.32% | 10.10% | 18.67% | 10.54% | 6.91% | 12.56% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 15, 2016, Alex 3 with trend following's average daily return is +0.03%, while the average monthly return is +0.71%. At this rate, your investment would double in approximately 8.2 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +9.9%, while the worst month was Mar 2020 at -14.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Alex 3 with trend following closed higher 55% of trading days. The best single day was Jul 22, 2016 with a return of +6.4%, while the worst single day was Jul 25, 2016 at -6.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.40% | 4.44% | -3.21% | 0.21% | 6.76% | ||||||||
| 2025 | 1.54% | 0.53% | 0.47% | -1.44% | 3.89% | 3.44% | 0.44% | 3.89% | 1.96% | 0.65% | 2.21% | 1.91% | 21.16% |
| 2024 | 0.32% | 2.39% | 2.48% | -0.88% | 2.92% | -1.69% | 1.71% | 0.31% | 1.55% | -3.68% | 1.08% | -2.73% | 3.59% |
| 2023 | 4.52% | -1.91% | -0.78% | 0.83% | -3.35% | 3.84% | 4.24% | -2.40% | -0.14% | -2.34% | 4.47% | 4.02% | 10.98% |
| 2022 | 0.20% | -1.67% | -0.56% | -2.85% | 1.76% | -7.07% | 1.86% | -0.28% | -5.76% | 2.38% | 8.37% | -0.43% | -4.83% |
| 2021 | 1.12% | 5.33% | 1.83% | 2.97% | 1.73% | -0.65% | -0.93% | 0.38% | -1.54% | 1.49% | -2.77% | 3.40% | 12.76% |
Benchmark Metrics
Alex 3 with trend following has an annualized alpha of 2.97%, beta of 0.43, and R² of 0.50 versus S&P 500 Index. Calculated based on daily prices since July 15, 2016.
- This portfolio participated in 56.51% of S&P 500 Index downside but only 53.88% of its upside — more exposed to losses than it benefited from rallies.
- This portfolio generated an annualized alpha of 2.97% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.43 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.97%
- Beta
- 0.43
- R²
- 0.50
- Upside Capture
- 53.88%
- Downside Capture
- 56.51%
Expense Ratio
Alex 3 with trend following has an expense ratio of 0.78%, 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.
Return for Risk
Risk / Return Rank
Alex 3 with trend following ranks 90 for risk / return — in the top 90% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.49 | 0.88 | +1.61 |
Sortino ratioReturn per unit of downside risk | 3.15 | 1.37 | +1.78 |
Omega ratioGain probability vs. loss probability | 1.50 | 1.21 | +0.30 |
Calmar ratioReturn relative to maximum drawdown | 2.92 | 1.39 | +1.53 |
Martin ratioReturn relative to average drawdown | 13.84 | 6.43 | +7.41 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 95 | 2.73 | 3.41 | 1.60 | 3.38 | 19.67 |
EYLD Cambria Emerging Shareholder Yield ETF | 88 | 2.08 | 2.61 | 1.40 | 2.82 | 12.20 |
PIMIX PIMCO Income Fund Institutional Class | 72 | 1.53 | 2.20 | 1.29 | 1.95 | 7.60 |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 87 | 2.20 | 3.03 | 1.44 | 2.10 | 9.20 |
EQCHX AXS Chesapeake Strategy Fund Class I | — | — | — | — | — | — |
VAMO Cambria Value and Momentum ETF | 88 | 1.87 | 2.69 | 1.33 | 4.02 | 13.05 |
SYLD Cambria Shareholder Yield ETF | 45 | 0.87 | 1.39 | 1.18 | 1.35 | 5.25 |
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Dividends
Dividend yield
Alex 3 with trend following provided a 4.04% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.04% | 4.29% | 4.70% | 5.02% | 4.98% | 6.40% | 3.30% | 4.20% | 5.21% | 3.02% | 2.55% | 3.41% |
| Portfolio components: | ||||||||||||
FYLD Cambria Foreign Shareholder Yield ETF | 3.75% | 4.07% | 5.41% | 6.06% | 6.13% | 4.74% | 3.94% | 3.73% | 5.17% | 2.85% | 2.72% | 3.98% |
EYLD Cambria Emerging Shareholder Yield ETF | 5.54% | 5.40% | 5.16% | 5.54% | 6.97% | 7.27% | 3.02% | 4.21% | 7.87% | 2.77% | 0.75% | 0.00% |
PIMIX PIMCO Income Fund Institutional Class | 5.54% | 6.01% | 6.27% | 6.21% | 4.98% | 4.02% | 4.88% | 5.83% | 5.66% | 5.37% | 5.52% | 7.88% |
PELBX PIMCO Emerging Markets Local Currency and Bond Fund | 6.51% | 6.71% | 7.08% | 4.81% | 3.24% | 4.87% | 4.87% | 6.14% | 6.88% | 5.84% | 5.69% | 5.51% |
EQCHX AXS Chesapeake Strategy Fund Class I | 0.00% | 0.00% | 0.62% | 1.82% | 1.54% | 20.40% | 0.00% | 3.86% | 1.18% | 0.00% | 0.00% | 1.34% |
VAMO Cambria Value and Momentum ETF | 0.63% | 1.41% | 0.84% | 1.35% | 1.10% | 1.07% | 1.03% | 1.15% | 1.03% | 0.35% | 0.56% | 0.20% |
SYLD Cambria Shareholder Yield ETF | 1.94% | 2.25% | 2.04% | 1.92% | 2.20% | 2.37% | 1.99% | 2.08% | 2.52% | 1.57% | 1.92% | 6.93% |
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 Alex 3 with trend following. 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 Alex 3 with trend following was 31.34%, occurring on Mar 23, 2020. Recovery took 186 trading sessions.
The current Alex 3 with trend following drawdown is 3.01%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.34% | Jan 29, 2018 | 541 | Mar 23, 2020 | 186 | Dec 15, 2020 | 727 |
| -15.98% | Feb 17, 2022 | 156 | Sep 30, 2022 | 302 | Dec 13, 2023 | 458 |
| -11.59% | Sep 30, 2024 | 131 | Apr 8, 2025 | 42 | Jun 9, 2025 | 173 |
| -6.57% | Jul 17, 2024 | 14 | Aug 5, 2024 | 35 | Sep 24, 2024 | 49 |
| -6.06% | Jul 25, 2016 | 80 | Nov 14, 2016 | 48 | Jan 25, 2017 | 128 |
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 7 assets, with an effective number of assets of 4.74, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | EQCHX | PIMIX | VAMO | PELBX | EYLD | SYLD | FYLD | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.27 | 0.28 | 0.43 | 0.37 | 0.50 | 0.72 | 0.62 | 0.67 |
| EQCHX | 0.27 | 1.00 | -0.10 | 0.26 | 0.08 | 0.19 | 0.21 | 0.23 | 0.34 |
| PIMIX | 0.28 | -0.10 | 1.00 | 0.09 | 0.54 | 0.30 | 0.22 | 0.29 | 0.38 |
| VAMO | 0.43 | 0.26 | 0.09 | 1.00 | 0.17 | 0.30 | 0.65 | 0.44 | 0.53 |
| PELBX | 0.37 | 0.08 | 0.54 | 0.17 | 1.00 | 0.50 | 0.30 | 0.49 | 0.58 |
| EYLD | 0.50 | 0.19 | 0.30 | 0.30 | 0.50 | 1.00 | 0.44 | 0.61 | 0.85 |
| SYLD | 0.72 | 0.21 | 0.22 | 0.65 | 0.30 | 0.44 | 1.00 | 0.66 | 0.68 |
| FYLD | 0.62 | 0.23 | 0.29 | 0.44 | 0.49 | 0.61 | 0.66 | 1.00 | 0.88 |
| Portfolio | 0.67 | 0.34 | 0.38 | 0.53 | 0.58 | 0.85 | 0.68 | 0.88 | 1.00 |