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optimized sharpe with oxford
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


HYEM 11.5%FTSL 7.2%HYZD 6.9%BNDX 4%TMV 3.8%WEBS 8.9%ACGL 8.5%MRK 6.1%FAZ 4.4%HLT 4.2%PR 3.5%AMAT 1.6%GKOS 1.6%FPE 27.8%BondBondEquityEquityPreferred StockPreferred Stock
PositionCategory/SectorTarget Weight
ACGL
Arch Capital Group Ltd.
Financial Services
8.50%
AMAT
Applied Materials, Inc.
Technology
1.60%
BNDX
Vanguard Total International Bond ETF
Total Bond Market
4%
FAZ
Direxion Daily Financial Bear 3X Shares
Leveraged Equities, Leveraged
4.40%
FPE
First Trust Preferred Securities & Income ETF
Preferred Stock/Convertible Bonds, Actively Managed
27.80%
FTSL
First Trust Senior Loan Fund
High Yield Bonds, Actively Managed
7.20%
GKOS
Glaukos Corporation
Healthcare
1.60%
HLT
Hilton Worldwide Holdings Inc.
Consumer Cyclical
4.20%
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF
High Yield Bonds
11.50%
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund
High Yield Bonds
6.90%
MRK
Merck & Co., Inc.
Healthcare
6.10%
PR
Permian Resources Corporation
Energy
3.50%
TMV
Direxion Daily 20-Year Treasury Bear 3X
Leveraged Bonds, Leveraged
3.80%
WEBS
Daily Dow Jones Internet Bear 3X Shares
Leveraged Equities, Leveraged
8.90%

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.


20.00%25.00%30.00%35.00%40.00%45.00%50.00%55.00%NovemberDecember2025FebruaryMarchApril
22.93%
42.96%
optimized sharpe with oxford
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 1, 2022, corresponding to the inception date of PR

Returns By Period


YTD1M6M1Y5Y*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/AN/A
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/AN/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%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.08%-1.89%-1.35%0.15%-2.03%
20243.41%3.23%2.97%-0.02%2.29%0.47%-1.87%3.19%0.23%-2.52%2.45%-1.29%12.99%
20230.02%0.99%-3.54%2.03%-2.10%2.93%1.00%1.81%1.69%1.99%-1.83%-0.27%4.59%
20221.15%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.


Expense ratio chart for WEBS: current value is 1.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
WEBS: 1.07%
Expense ratio chart for FAZ: current value is 1.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FAZ: 1.07%
Expense ratio chart for TMV: current value is 1.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
TMV: 1.04%
Expense ratio chart for FTSL: current value is 0.86%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FTSL: 0.86%
Expense ratio chart for FPE: current value is 0.85%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FPE: 0.85%
Expense ratio chart for HYZD: current value is 0.43%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HYZD: 0.43%
Expense ratio chart for HYEM: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HYEM: 0.40%
Expense ratio chart for BNDX: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
BNDX: 0.07%

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.


The Risk-Adjusted Performance Rank of optimized sharpe with oxford is 44
Overall Rank
The Sharpe Ratio Rank of optimized sharpe with oxford is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of optimized sharpe with oxford is 33
Sortino Ratio Rank
The Omega Ratio Rank of optimized sharpe with oxford is 33
Omega Ratio Rank
The Calmar Ratio Rank of optimized sharpe with oxford is 55
Calmar Ratio Rank
The Martin Ratio Rank of optimized sharpe with oxford is 66
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 0.09, compared to the broader market-6.00-4.00-2.000.002.00
Portfolio: 0.09
^GSPC: 0.58
The chart of Sortino ratio for Portfolio, currently valued at 0.16, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 0.16
^GSPC: 0.86
The chart of Omega ratio for Portfolio, currently valued at 1.02, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.02
^GSPC: 1.11
The chart of Calmar ratio for Portfolio, currently valued at 0.10, compared to the broader market0.002.004.006.00
Portfolio: 0.10
^GSPC: 0.80
The chart of Martin ratio for Portfolio, currently valued at 0.26, compared to the broader market0.005.0010.0015.0020.0025.00
Portfolio: 0.26
^GSPC: 2.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ACGL
Arch Capital Group Ltd.
0.440.761.090.531.04
AMAT
Applied Materials, Inc.
-0.67-0.740.90-0.67-1.14
HLT
Hilton Worldwide Holdings Inc.
0.420.731.090.481.55
MRK
Merck & Co., Inc.
-1.35-1.790.76-0.87-1.67
PR
Permian Resources Corporation
-0.50-0.500.94-0.55-0.98
GKOS
Glaukos Corporation
0.180.521.080.190.61
WEBS
Daily Dow Jones Internet Bear 3X Shares
-0.52-0.480.95-0.34-0.78
TMV
Direxion Daily 20-Year Treasury Bear 3X
-0.010.281.03-0.01-0.03
FTSL
First Trust Senior Loan Fund
3.435.091.885.7936.09
BNDX
Vanguard Total International Bond ETF
1.131.621.191.794.82
FPE
First Trust Preferred Securities & Income ETF
1.652.331.322.729.86
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF
2.123.141.416.1821.97
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund
1.432.161.262.4110.25
FAZ
Direxion Daily Financial Bear 3X Shares
-0.89-1.250.85-0.52-1.18

The current optimized sharpe with oxford Sharpe ratio is -0.27. 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 0.40 to 1.03, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of optimized sharpe with oxford 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 Ratio0.000.501.001.502.002.503.003.50NovemberDecember2025FebruaryMarchApril
0.09
0.58
optimized sharpe with oxford
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

optimized sharpe with oxford provided a 5.28% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio5.28%5.45%4.62%3.30%2.73%3.00%3.38%3.46%3.11%3.33%3.33%3.26%
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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-4.37%
-7.70%
optimized sharpe with oxford
Benchmark (^GSPC)
Portfolio components

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, 202316Mar 24, 202396Aug 11, 2023112
-5.64%Oct 14, 2024103Mar 13, 2025
-4.47%Jul 16, 202415Aug 5, 202416Aug 27, 202431
-3.75%Nov 10, 20224Nov 15, 202268Feb 24, 202372
-3.33%Nov 2, 202325Dec 7, 202328Jan 19, 202453

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.


1.00%2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
2.27%
5.74%
optimized sharpe with oxford
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.

MRKACGLTMVBNDXGKOSPRAMATHYEMHYZDHLTFTSLFPEWEBSFAZ
MRK1.000.28-0.080.070.030.09-0.030.090.110.080.120.050.03-0.19
ACGL0.281.000.04-0.030.090.150.070.120.150.330.130.12-0.12-0.47
TMV-0.080.041.00-0.81-0.010.08-0.05-0.380.00-0.01-0.16-0.390.110.08
BNDX0.07-0.03-0.811.000.07-0.020.120.400.010.050.210.37-0.18-0.12
GKOS0.030.09-0.010.071.000.170.310.180.330.280.210.28-0.44-0.34
PR0.090.150.08-0.020.171.000.280.200.340.300.290.27-0.31-0.38
AMAT-0.030.07-0.050.120.310.281.000.270.370.430.380.34-0.59-0.40
HYEM0.090.12-0.380.400.180.200.271.000.340.340.370.43-0.42-0.37
HYZD0.110.150.000.010.330.340.370.341.000.430.430.46-0.53-0.52
HLT0.080.33-0.010.050.280.300.430.340.431.000.320.35-0.52-0.61
FTSL0.120.13-0.160.210.210.290.380.370.430.321.000.49-0.46-0.46
FPE0.050.12-0.390.370.280.270.340.430.460.350.491.00-0.50-0.51
WEBS0.03-0.120.11-0.18-0.44-0.31-0.59-0.42-0.53-0.52-0.46-0.501.000.53
FAZ-0.19-0.470.08-0.12-0.34-0.38-0.40-0.37-0.52-0.61-0.46-0.510.531.00
The correlation results are calculated based on daily price changes starting from Sep 2, 2022
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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