spy + MF 50
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
PQTPX PIMCO TRENDS Managed Futures Strategy Fund | Systematic Trend | 50% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 50% |
WTMF WisdomTree Managed Futures Strategy Fund | Hedge Fund | 0% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in spy + MF 50, 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.
The earliest data available for this chart is Jan 2, 2014, corresponding to the inception date of PQTPX
Returns By Period
As of Jan 5, 2025, the spy + MF 50 returned 0.89% Year-To-Date and 8.82% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.03% | -2.37% | 6.74% | 26.74% | 12.96% | 11.51% |
| spy + MF 50 | 0.89% | -1.21% | 4.79% | 18.48% | 11.41% | 8.74% |
| Portfolio components: | ||||||
PQTPX PIMCO TRENDS Managed Futures Strategy Fund | 0.58% | 1.76% | -1.60% | -1.32% | 4.80% | 2.13% |
SPY SPDR S&P 500 ETF | 1.00% | -2.28% | 7.41% | 28.13% | 14.67% | 13.13% |
WTMF WisdomTree Managed Futures Strategy Fund | 1.20% | -1.44% | -0.09% | 5.46% | 4.53% | 1.09% |
Monthly Returns
The table below presents the monthly returns of spy + MF 50, 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 | 0.77% | 4.42% | 2.76% | -2.32% | 2.52% | 1.59% | 0.58% | 0.69% | 1.84% | -1.72% | 4.92% | -1.07% | 15.74% |
| 2023 | 4.11% | -1.60% | -0.41% | 1.71% | 1.64% | 4.11% | 1.33% | -2.39% | -1.71% | -1.04% | 3.71% | 4.34% | 14.32% |
| 2022 | -3.52% | -0.92% | 4.40% | -3.36% | -0.36% | -3.41% | 3.50% | -2.22% | -2.85% | 4.56% | -0.50% | -4.23% | -9.07% |
| 2021 | -0.83% | 2.35% | 3.66% | 4.03% | 1.25% | 1.76% | 2.02% | 2.58% | -2.04% | 5.58% | -2.17% | 3.35% | 23.42% |
| 2020 | -0.62% | -4.14% | -5.15% | 6.79% | 2.70% | -0.13% | 4.86% | 3.93% | -3.42% | -1.55% | 7.51% | 3.90% | 14.55% |
| 2019 | 2.87% | 2.11% | 2.61% | 3.02% | -4.11% | 4.30% | 1.83% | 0.15% | -0.57% | 0.84% | 2.32% | 2.46% | 19.03% |
| 2018 | 4.67% | -4.60% | -1.17% | -0.08% | 1.35% | 1.04% | 1.74% | 2.61% | -0.84% | -3.92% | 1.37% | -3.48% | -1.74% |
| 2017 | 0.26% | 2.60% | -0.26% | 0.60% | 0.98% | -0.70% | 2.25% | 0.89% | 0.25% | 2.62% | 1.99% | 0.71% | 12.83% |
| 2016 | -1.01% | 3.15% | 1.86% | -0.44% | -0.17% | 0.88% | 2.50% | -0.08% | -0.87% | -1.75% | 1.97% | 1.64% | 7.79% |
| 2015 | 0.20% | 2.18% | -0.78% | -1.16% | -1.34% | -0.95% | 0.91% | -3.77% | 0.34% | 2.19% | 0.24% | -2.51% | -4.51% |
| 2014 | -1.10% | 2.90% | 0.37% | 1.33% | 2.51% | 1.67% | -0.35% | 4.05% | 0.27% | 0.57% | 3.76% | -1.00% | 15.86% |
Expense Ratio
spy + MF 50 features an expense ratio of 0.80%, 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 rank of spy + MF 50 is 57, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
PQTPX PIMCO TRENDS Managed Futures Strategy Fund | -0.19 | -0.20 | 0.98 | -0.07 | -0.23 |
SPY SPDR S&P 500 ETF | 2.22 | 2.95 | 1.41 | 3.32 | 14.42 |
WTMF WisdomTree Managed Futures Strategy Fund | 0.59 | 0.96 | 1.12 | 0.77 | 1.68 |
Dividends
Dividend yield
spy + MF 50 provided a 0.60% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.60% | 0.60% | 0.70% | 7.59% | 1.25% | 2.85% | 2.12% | 1.18% | 1.00% | 1.02% | 4.43% | 4.57% |
| Portfolio components: | ||||||||||||
PQTPX PIMCO TRENDS Managed Futures Strategy Fund | 0.00% | 0.00% | 0.00% | 13.52% | 1.29% | 4.18% | 2.49% | 0.31% | 0.21% | 0.00% | 6.79% | 7.28% |
SPY SPDR S&P 500 ETF | 1.19% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
WTMF WisdomTree Managed Futures Strategy Fund | 3.53% | 3.57% | 4.74% | 5.29% | 14.71% | 0.47% | 1.63% | 3.59% | 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 spy + MF 50. 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 spy + MF 50 was 17.11%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.
The current spy + MF 50 drawdown is 1.21%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.11% | Feb 20, 2020 | 23 | Mar 23, 2020 | 84 | Jul 22, 2020 | 107 |
| -11.42% | Mar 30, 2022 | 189 | Dec 28, 2022 | 241 | Dec 13, 2023 | 430 |
| -10.71% | Jan 29, 2018 | 229 | Dec 24, 2018 | 66 | Apr 1, 2019 | 295 |
| -9.8% | Apr 16, 2015 | 198 | Jan 27, 2016 | 225 | Dec 15, 2016 | 423 |
| -7.48% | Sep 3, 2020 | 14 | Sep 23, 2020 | 38 | Nov 16, 2020 | 52 |
Volatility
Volatility Chart
The current spy + MF 50 volatility is 2.99%, 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
| SPY | PQTPX | WTMF | |
|---|---|---|---|
| SPY | 1.00 | 0.02 | 0.13 |
| PQTPX | 0.02 | 1.00 | 0.34 |
| WTMF | 0.13 | 0.34 | 1.00 |