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Risk-Adjusted Performance
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Current

Last updated Sep 21, 2024

Asset Allocation

SVIX 10%SPAXX 18.5%SEIX 4%QLD 11%SSO 11%DBEF 8%VOO 8%QQQ 8%MSFT 6.5%GBTC 6%JEPQ 3%UPRO 3%TQQQ 3%AlternativesAlternativesBondBondEquityEquity
PositionCategory/SectorWeight
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		Hedge Fund
8%
GBTC
Grayscale Bitcoin Trust (BTC)		Financial Services
6%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
3%
MSFT
Microsoft Corporation		Technology
6.50%
QLD
ProShares Ultra QQQ		Leveraged Equities, Leveraged
11%
QQQ
Invesco QQQ		Large Cap Blend Equities
8%
SEIX
Virtus Seix Senior Loan ETF		Total Bond Market, Actively Managed
4%
SPAXX
Fidelity Government Money Market Fund		Money Market
18.50%
SSO
ProShares Ultra S&P 500		Leveraged Equities, Leveraged
11%
SVIX
Volatility Shares -1x Short VIX Futures ETF		Inverse Equities
10%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
3%
UPRO
ProShares UltraPro S&P 500		Leveraged Equities, Leveraged
3%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
8%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Current, 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

-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
2.65%
8.95%
Current
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		19.55%1.45%8.95%31.70%13.79%11.17%
Current17.29%1.77%2.65%40.70%N/AN/A
Portfolio components:
SPAXX
Fidelity Government Money Market Fund		0.86%0.00%0.00%2.11%1.48%0.78%
QLD
ProShares Ultra QQQ		29.59%2.25%11.20%66.20%32.18%29.11%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		12.48%0.46%2.05%18.18%10.63%8.70%
VOO
Vanguard S&P 500 ETF		20.75%2.49%9.72%33.92%15.64%13.20%
GBTC
Grayscale Bitcoin Trust (BTC)		44.51%4.10%-12.20%164.71%31.40%N/A
QQQ
Invesco QQQ		18.15%1.60%8.25%35.53%21.22%18.16%
MSFT
Microsoft Corporation		16.38%4.75%1.89%38.34%26.77%27.08%
SEIX
Virtus Seix Senior Loan ETF		5.51%0.73%3.60%8.71%5.39%N/A
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		16.26%2.77%5.51%28.08%N/AN/A
UPRO
ProShares UltraPro S&P 500		54.21%5.85%20.36%100.71%25.14%24.34%
TQQQ
ProShares UltraPro QQQ		39.35%2.56%12.40%99.19%35.50%35.04%
SVIX
Volatility Shares -1x Short VIX Futures ETF		-24.97%-4.36%-32.55%-1.46%N/AN/A
SSO
ProShares Ultra S&P 500		36.84%4.18%15.20%64.52%22.75%20.15%

Monthly Returns

The table below presents the monthly returns of Current, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.49%8.56%3.55%-5.85%7.42%4.11%-1.94%-1.91%17.29%
202312.85%-2.07%8.98%2.99%3.51%11.83%3.75%-1.66%-5.31%0.17%13.29%6.33%67.38%
2022-7.34%-10.72%13.56%-6.04%-11.72%7.12%5.78%-6.91%-17.81%

Expense Ratio

Current features an expense ratio of 0.49%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

QLD
ProShares Ultra QQQ
Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
SSO
ProShares Ultra S&P 500
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF
Expense ratio chart for DBEF: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
SVIX
Volatility Shares -1x Short VIX Futures ETF
Expense ratio chart for SVIX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
UPRO
ProShares UltraPro S&P 500
Expense ratio chart for UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%
SEIX
Virtus Seix Senior Loan ETF
Expense ratio chart for SEIX: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Current is 44, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Current is 4444
Current
The Sharpe Ratio Rank of Current is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of Current is 3232Sortino Ratio Rank
The Omega Ratio Rank of Current is 5151Omega Ratio Rank
The Calmar Ratio Rank of Current is 6161Calmar Ratio Rank
The Martin Ratio Rank of Current is 2727Martin 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.

Current
Sharpe ratio
The chart of Sharpe ratio for Current, currently valued at 2.18, compared to the broader market-1.000.001.002.003.004.002.18
Sortino ratio
The chart of Sortino ratio for Current, currently valued at 2.64, compared to the broader market-2.000.002.004.006.002.64
Omega ratio
The chart of Omega ratio for Current, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for Current, currently valued at 2.43, compared to the broader market0.002.004.006.008.0010.002.43
Martin ratio
The chart of Martin ratio for Current, currently valued at 9.49, compared to the broader market0.0010.0020.0030.0040.009.49
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPAXX
Fidelity Government Money Market Fund		2.27————
QLD
ProShares Ultra QQQ		1.962.431.322.638.81
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		1.742.341.321.969.06
VOO
Vanguard S&P 500 ETF		2.833.781.523.5517.61
GBTC
Grayscale Bitcoin Trust (BTC)		3.053.221.405.0212.79
QQQ
Invesco QQQ		2.082.741.372.709.72
MSFT
Microsoft Corporation		2.042.631.352.607.86
SEIX
Virtus Seix Senior Loan ETF		3.144.641.846.9622.98
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.272.951.452.7211.32
UPRO
ProShares UltraPro S&P 500		2.883.211.443.3616.52
TQQQ
ProShares UltraPro QQQ		1.992.371.322.808.84
SVIX
Volatility Shares -1x Short VIX Futures ETF		0.060.561.100.070.24
SSO
ProShares Ultra S&P 500		2.743.321.453.2915.97

Sharpe Ratio

The current Current Sharpe ratio is 2.18. 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 1.91 to 2.59, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Current 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 Ratio1.001.502.002.503.003.504.00AprilMayJuneJulyAugustSeptember
2.18
2.32
Current
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Current granted a 1.93% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Current1.93%2.20%2.41%0.55%0.65%0.95%0.72%0.63%0.76%0.79%0.89%0.56%
Portfolio components:
SPAXX
Fidelity Government Money Market Fund		4.99%4.68%1.30%0.01%0.26%0.98%0.00%0.00%0.00%0.00%0.00%0.00%
QLD
ProShares Ultra QQQ		0.24%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		0.65%4.46%15.85%2.28%2.41%3.03%3.22%2.98%2.55%3.70%5.08%1.48%
VOO
Vanguard S&P 500 ETF		1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
GBTC
Grayscale Bitcoin Trust (BTC)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.23%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ		0.49%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
MSFT
Microsoft Corporation		0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
SEIX
Virtus Seix Senior Loan ETF		8.82%8.74%5.76%4.16%3.75%3.82%0.00%0.00%0.00%0.00%0.00%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.34%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UPRO
ProShares UltraPro S&P 500		0.55%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
TQQQ
ProShares UltraPro QQQ		1.03%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
SVIX
Volatility Shares -1x Short VIX Futures ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SSO
ProShares Ultra S&P 500		0.55%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%

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.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-7.05%
-0.19%
Current
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Current. 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 Current was 23.23%, occurring on Oct 14, 2022. Recovery took 125 trading sessions.

The current Current drawdown is 7.05%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.23%May 5, 2022114Oct 14, 2022125Apr 13, 2023239
-17.75%Jul 17, 202414Aug 5, 2024———
-9.82%Aug 1, 202364Oct 27, 202310Nov 10, 202374
-7.71%Mar 28, 202417Apr 19, 202418May 15, 202435
-3.99%Apr 19, 20235Apr 25, 20233Apr 28, 20238

Volatility

Volatility Chart

The current Current volatility is 6.81%, 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.

2.00%4.00%6.00%8.00%10.00%12.00%AprilMayJuneJulyAugustSeptember
6.81%
4.31%
Current
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.
SPAXXSEIXGBTCSVIXDBEFMSFTJEPQTQQQQQQQLDVOOSSOUPRO
SPAXX1.000.040.000.040.01-0.02-0.00-0.01-0.01-0.01-0.02-0.02-0.02
SEIX0.041.000.090.230.290.220.260.260.260.260.270.280.28
GBTC0.000.091.000.290.300.310.380.390.390.390.380.380.38
SVIX0.040.230.291.000.620.510.660.650.640.650.690.700.70
DBEF0.010.290.300.621.000.540.700.700.700.700.800.800.80
MSFT-0.020.220.310.510.541.000.830.850.850.850.780.780.78
JEPQ-0.000.260.380.660.700.831.000.970.970.970.920.920.92
TQQQ-0.010.260.390.650.700.850.971.001.001.000.940.940.94
QQQ-0.010.260.390.640.700.850.971.001.001.000.940.940.94
QLD-0.010.260.390.650.700.850.971.001.001.000.940.940.94
VOO-0.020.270.380.690.800.780.920.940.940.941.001.001.00
SSO-0.020.280.380.700.800.780.920.940.940.941.001.001.00
UPRO-0.020.280.380.700.800.780.920.940.940.941.001.001.00
The correlation results are calculated based on daily price changes starting from May 5, 2022