optimized sharpe with oxford
ACGL 0.084809 AMAT 0.015903 HLT 0.041956 MRK 0.060891 PR 0.035185 GKOS 0.015881 AAPD 0.088808 TMV 0.037532 FTSL 0.071652 BNDX 0.040267 FPE 0.278186 HYEM 0.115569 HYZD 0.069105 FAZ 0.044257
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in optimized sharpe with oxford, 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 Sep 1, 2022, corresponding to the inception date of PR
Returns By Period
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.58% | -3.06% | -0.68% | 8.94% | 17.98% | 10.64% |
optimized sharpe with oxford | -2.03% | -0.31% | -3.80% | 0.93% | N/A | N/A |
Portfolio components: | ||||||
ACGL Arch Capital Group Ltd. | 4.84% | 4.13% | -10.48% | 11.29% | 33.00% | 17.34% |
AMAT Applied Materials, Inc. | -8.94% | -2.88% | -26.21% | -27.71% | 29.75% | 22.40% |
HLT Hilton Worldwide Holdings Inc. | -6.33% | -12.22% | 0.08% | 10.27% | 33.27% | 15.06% |
MRK Merck & Co., Inc. | -12.20% | -6.23% | -21.44% | -31.59% | 6.80% | 8.01% |
PR Permian Resources Corporation | -0.29% | 10.80% | 3.36% | -15.17% | N/A | N/A |
GKOS Glaukos Corporation | -33.28% | -8.35% | -22.13% | 11.80% | 28.04% | N/A |
WEBS Daily Dow Jones Internet Bear 3X Shares | 18.33% | 16.52% | -23.86% | -33.84% | -55.46% | N/A |
TMV Direxion Daily 20-Year Treasury Bear 3X | -13.68% | 3.51% | 18.59% | -1.95% | 24.57% | -5.29% |
FTSL First Trust Senior Loan Fund | 0.36% | -0.18% | 2.81% | 6.27% | 7.54% | 4.04% |
BNDX Vanguard Total International Bond ETF | 0.15% | -0.81% | 0.08% | 4.28% | 0.24% | 1.73% |
FPE First Trust Preferred Securities & Income ETF | 0.86% | -0.88% | -0.22% | 7.47% | 7.38% | 4.75% |
HYEM VanEck Vectors Emerging Markets High Yield Bond ETF | 2.37% | 0.07% | 2.76% | 10.89% | 7.18% | 4.46% |
HYZD WisdomTree Interest Rate Hedged High Yield Bond Fund | 0.48% | -0.30% | 2.61% | 6.55% | 9.41% | 4.64% |
FAZ Direxion Daily Financial Bear 3X Shares | -11.89% | 7.31% | -29.56% | -42.65% | -55.82% | -43.79% |
Monthly Returns
The table below presents the monthly returns of optimized sharpe with oxford, 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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | 1.08% | -1.89% | -1.35% | 0.15% | -2.03% | ||||||||
2024 | 3.41% | 3.23% | 2.97% | -0.02% | 2.29% | 0.47% | -1.87% | 3.19% | 0.23% | -2.52% | 2.45% | -1.29% | 12.99% |
2023 | 0.02% | 0.99% | -3.54% | 2.03% | -2.10% | 2.93% | 1.00% | 1.81% | 1.69% | 1.99% | -1.83% | -0.27% | 4.59% |
2022 | 1.15% | 3.14% | 0.14% | 1.64% | 6.18% |
Expense Ratio
optimized sharpe with oxford has an expense ratio of 0.56%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of optimized sharpe with oxford is 4, meaning it’s performing worse than 96% of other portfolios on our website when it comes to balancing risk and reward. Below is 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 | |
---|---|---|---|---|---|
ACGL Arch Capital Group Ltd. | 0.44 | 0.76 | 1.09 | 0.53 | 1.04 |
AMAT Applied Materials, Inc. | -0.67 | -0.74 | 0.90 | -0.67 | -1.14 |
HLT Hilton Worldwide Holdings Inc. | 0.42 | 0.73 | 1.09 | 0.48 | 1.55 |
MRK Merck & Co., Inc. | -1.35 | -1.79 | 0.76 | -0.87 | -1.67 |
PR Permian Resources Corporation | -0.50 | -0.50 | 0.94 | -0.55 | -0.98 |
GKOS Glaukos Corporation | 0.18 | 0.52 | 1.08 | 0.19 | 0.61 |
WEBS Daily Dow Jones Internet Bear 3X Shares | -0.52 | -0.48 | 0.95 | -0.34 | -0.78 |
TMV Direxion Daily 20-Year Treasury Bear 3X | -0.01 | 0.28 | 1.03 | -0.01 | -0.03 |
FTSL First Trust Senior Loan Fund | 3.43 | 5.09 | 1.88 | 5.79 | 36.09 |
BNDX Vanguard Total International Bond ETF | 1.13 | 1.62 | 1.19 | 1.79 | 4.82 |
FPE First Trust Preferred Securities & Income ETF | 1.65 | 2.33 | 1.32 | 2.72 | 9.86 |
HYEM VanEck Vectors Emerging Markets High Yield Bond ETF | 2.12 | 3.14 | 1.41 | 6.18 | 21.97 |
HYZD WisdomTree Interest Rate Hedged High Yield Bond Fund | 1.43 | 2.16 | 1.26 | 2.41 | 10.25 |
FAZ Direxion Daily Financial Bear 3X Shares | -0.89 | -1.25 | 0.85 | -0.52 | -1.18 |
Dividends
Dividend yield
optimized sharpe with oxford provided a 5.28% dividend yield over the last twelve months.
TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 5.28% | 5.45% | 4.62% | 3.30% | 2.73% | 3.00% | 3.38% | 3.46% | 3.11% | 3.33% | 3.33% | 3.26% |
Portfolio components: | ||||||||||||
ACGL Arch Capital Group Ltd. | 5.16% | 5.41% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AMAT Applied Materials, Inc. | 1.08% | 0.93% | 0.75% | 1.05% | 0.60% | 1.01% | 1.36% | 2.14% | 0.78% | 1.24% | 2.14% | 1.61% |
HLT Hilton Worldwide Holdings Inc. | 0.26% | 0.24% | 0.33% | 0.36% | 0.00% | 0.13% | 0.54% | 0.84% | 0.75% | 1.03% | 0.65% | 0.00% |
MRK Merck & Co., Inc. | 3.65% | 3.14% | 2.72% | 2.52% | 3.41% | 3.03% | 2.48% | 2.60% | 3.36% | 3.14% | 3.42% | 3.11% |
PR Permian Resources Corporation | 5.01% | 4.94% | 2.72% | 0.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GKOS Glaukos Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
WEBS Daily Dow Jones Internet Bear 3X Shares | 5.42% | 8.01% | 5.01% | 0.20% | 0.00% | 1.13% | 0.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TMV Direxion Daily 20-Year Treasury Bear 3X | 3.82% | 3.42% | 3.87% | 0.00% | 0.00% | 0.52% | 2.24% | 0.88% | 0.00% | 0.00% | 0.00% | 0.00% |
FTSL First Trust Senior Loan Fund | 7.40% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% | 3.75% |
BNDX Vanguard Total International Bond ETF | 4.29% | 4.18% | 4.42% | 1.52% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% | 1.54% |
FPE First Trust Preferred Securities & Income ETF | 5.75% | 5.68% | 6.03% | 5.67% | 4.48% | 4.88% | 5.32% | 6.14% | 5.39% | 5.97% | 5.49% | 6.00% |
HYEM VanEck Vectors Emerging Markets High Yield Bond ETF | 6.45% | 6.34% | 6.27% | 6.47% | 5.33% | 5.56% | 6.14% | 5.71% | 5.86% | 6.25% | 7.64% | 6.77% |
HYZD WisdomTree Interest Rate Hedged High Yield Bond Fund | 6.26% | 6.08% | 5.94% | 5.14% | 4.02% | 5.13% | 5.50% | 5.58% | 4.94% | 5.07% | 4.38% | 3.82% |
FAZ Direxion Daily Financial Bear 3X Shares | 7.11% | 7.36% | 4.88% | 0.00% | 0.00% | 0.62% | 1.62% | 0.57% | 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 optimized sharpe with oxford. 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 sharpe with oxford was 6.05%, occurring on Mar 24, 2023. Recovery took 96 trading sessions.
The current optimized sharpe with oxford drawdown is 4.83%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-6.05% | Mar 3, 2023 | 16 | Mar 24, 2023 | 96 | Aug 11, 2023 | 112 |
-5.64% | Oct 14, 2024 | 103 | Mar 13, 2025 | — | — | — |
-4.47% | Jul 16, 2024 | 15 | Aug 5, 2024 | 16 | Aug 27, 2024 | 31 |
-3.75% | Nov 10, 2022 | 4 | Nov 15, 2022 | 68 | Feb 24, 2023 | 72 |
-3.33% | Nov 2, 2023 | 25 | Dec 7, 2023 | 28 | Jan 19, 2024 | 53 |
Volatility
Volatility Chart
The current optimized sharpe with oxford volatility is 2.27%, 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
MRK | ACGL | TMV | BNDX | GKOS | PR | AMAT | HYEM | HYZD | HLT | FTSL | FPE | WEBS | FAZ | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MRK | 1.00 | 0.28 | -0.08 | 0.07 | 0.03 | 0.09 | -0.03 | 0.09 | 0.11 | 0.08 | 0.12 | 0.05 | 0.03 | -0.19 |
ACGL | 0.28 | 1.00 | 0.04 | -0.03 | 0.09 | 0.15 | 0.07 | 0.12 | 0.15 | 0.33 | 0.13 | 0.12 | -0.12 | -0.47 |
TMV | -0.08 | 0.04 | 1.00 | -0.81 | -0.01 | 0.08 | -0.05 | -0.38 | 0.00 | -0.01 | -0.16 | -0.39 | 0.11 | 0.08 |
BNDX | 0.07 | -0.03 | -0.81 | 1.00 | 0.07 | -0.02 | 0.12 | 0.40 | 0.01 | 0.05 | 0.21 | 0.37 | -0.18 | -0.12 |
GKOS | 0.03 | 0.09 | -0.01 | 0.07 | 1.00 | 0.17 | 0.31 | 0.18 | 0.33 | 0.28 | 0.21 | 0.28 | -0.44 | -0.34 |
PR | 0.09 | 0.15 | 0.08 | -0.02 | 0.17 | 1.00 | 0.28 | 0.20 | 0.34 | 0.30 | 0.29 | 0.27 | -0.31 | -0.38 |
AMAT | -0.03 | 0.07 | -0.05 | 0.12 | 0.31 | 0.28 | 1.00 | 0.27 | 0.37 | 0.43 | 0.38 | 0.34 | -0.59 | -0.40 |
HYEM | 0.09 | 0.12 | -0.38 | 0.40 | 0.18 | 0.20 | 0.27 | 1.00 | 0.34 | 0.34 | 0.37 | 0.43 | -0.42 | -0.37 |
HYZD | 0.11 | 0.15 | 0.00 | 0.01 | 0.33 | 0.34 | 0.37 | 0.34 | 1.00 | 0.43 | 0.43 | 0.46 | -0.53 | -0.52 |
HLT | 0.08 | 0.33 | -0.01 | 0.05 | 0.28 | 0.30 | 0.43 | 0.34 | 0.43 | 1.00 | 0.32 | 0.35 | -0.52 | -0.61 |
FTSL | 0.12 | 0.13 | -0.16 | 0.21 | 0.21 | 0.29 | 0.38 | 0.37 | 0.43 | 0.32 | 1.00 | 0.49 | -0.46 | -0.46 |
FPE | 0.05 | 0.12 | -0.39 | 0.37 | 0.28 | 0.27 | 0.34 | 0.43 | 0.46 | 0.35 | 0.49 | 1.00 | -0.50 | -0.51 |
WEBS | 0.03 | -0.12 | 0.11 | -0.18 | -0.44 | -0.31 | -0.59 | -0.42 | -0.53 | -0.52 | -0.46 | -0.50 | 1.00 | 0.53 |
FAZ | -0.19 | -0.47 | 0.08 | -0.12 | -0.34 | -0.38 | -0.40 | -0.37 | -0.52 | -0.61 | -0.46 | -0.51 | 0.53 | 1.00 |