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

optimized sharpe with oxford

Last updated Sep 21, 2024

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

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/SectorWeight
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 Quarterly

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
3.41%
8.95%
optimized sharpe with oxford
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 7, 2019, corresponding to the inception date of WEBS

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%
optimized sharpe with oxford7.81%0.15%3.41%6.68%N/AN/A
Portfolio components:
ACGL
Arch Capital Group Ltd.		52.47%6.32%24.88%39.87%22.57%20.20%
AMAT
Applied Materials, Inc.		19.21%-4.02%-8.26%42.19%31.71%26.09%
HLT
Hilton Worldwide Holdings Inc.		23.64%4.15%6.47%52.68%19.06%16.71%
MRK
Merck & Co., Inc.		9.53%1.20%-4.19%13.11%10.93%10.72%
PR
Permian Resources Corporation		5.94%-1.91%-16.77%10.67%24.42%N/A
GKOS
Glaukos Corporation		60.75%-1.75%45.07%69.74%11.65%N/A
WEBS
Daily Dow Jones Internet Bear 3X Shares		-31.74%-13.04%-6.43%-58.88%N/AN/A
TMV
Direxion Daily 20-Year Treasury Bear 3X		-1.58%-3.43%-15.67%-27.01%2.76%-11.80%
FTSL
First Trust Senior Loan Fund		5.60%0.85%3.74%8.74%4.74%3.95%
BNDX
Vanguard Total International Bond ETF		3.18%0.91%3.23%9.24%-0.17%2.14%
FPE
First Trust Preferred Securities & Income ETF		12.12%2.71%7.15%19.77%3.73%5.20%
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF		11.34%1.64%6.96%17.12%2.84%3.59%
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund		6.76%1.16%3.68%11.13%4.39%4.15%
FAZ
Direxion Daily Financial Bear 3X Shares		-40.11%-8.74%-21.83%-56.78%-50.19%-43.60%

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
20242.03%1.01%1.86%1.71%1.60%-0.80%-0.72%1.18%7.81%
20230.05%0.73%-3.58%1.96%-2.64%1.87%-0.25%1.91%2.75%1.88%-2.87%-0.41%1.13%
20224.43%0.22%-0.72%6.20%1.98%-0.47%-1.11%0.47%0.36%3.75%0.88%1.22%18.33%
20210.17%4.55%1.55%-1.26%0.56%0.47%-1.36%-1.07%1.76%0.05%-1.21%2.36%6.60%
2020-2.47%-1.40%-16.31%9.59%0.33%-2.16%0.03%0.87%-1.26%0.39%3.51%4.00%-6.79%
2019-0.62%2.77%2.13%

Expense Ratio

optimized sharpe with oxford features an expense ratio of 0.56%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

WEBS
Daily Dow Jones Internet Bear 3X Shares
Expense ratio chart for WEBS: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
FAZ
Direxion Daily Financial Bear 3X Shares
Expense ratio chart for FAZ: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
TMV
Direxion Daily 20-Year Treasury Bear 3X
Expense ratio chart for TMV: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
FTSL
First Trust Senior Loan Fund
Expense ratio chart for FTSL: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
FPE
First Trust Preferred Securities & Income ETF
Expense ratio chart for FPE: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund
Expense ratio chart for HYZD: current value at 0.43% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.43%
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF
Expense ratio chart for HYEM: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
BNDX
Vanguard Total International Bond ETF
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of optimized sharpe with oxford is 18, indicating that it is in the bottom 18% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of optimized sharpe with oxford is 1818
optimized sharpe with oxford
The Sharpe Ratio Rank of optimized sharpe with oxford is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of optimized sharpe with oxford is 1616Sortino Ratio Rank
The Omega Ratio Rank of optimized sharpe with oxford is 1616Omega Ratio Rank
The Calmar Ratio Rank of optimized sharpe with oxford is 3434Calmar Ratio Rank
The Martin Ratio Rank of optimized sharpe with oxford is 88Martin 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.

optimized sharpe with oxford
Sharpe ratio
The chart of Sharpe ratio for optimized sharpe with oxford, currently valued at 1.47, compared to the broader market-1.000.001.002.003.004.001.47
Sortino ratio
The chart of Sortino ratio for optimized sharpe with oxford, currently valued at 2.20, compared to the broader market-2.000.002.004.006.002.20
Omega ratio
The chart of Omega ratio for optimized sharpe with oxford, currently valued at 1.27, compared to the broader market0.801.001.201.401.601.801.27
Calmar ratio
The chart of Calmar ratio for optimized sharpe with oxford, currently valued at 1.65, compared to the broader market0.002.004.006.008.0010.001.65
Martin ratio
The chart of Martin ratio for optimized sharpe with oxford, currently valued at 4.39, compared to the broader market0.0010.0020.0030.0040.004.39
^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
ACGL
Arch Capital Group Ltd.		1.772.411.302.135.92
AMAT
Applied Materials, Inc.		1.041.551.201.323.84
HLT
Hilton Worldwide Holdings Inc.		2.423.191.394.1112.12
MRK
Merck & Co., Inc.		0.600.911.140.742.06
PR
Permian Resources Corporation		0.330.661.080.390.86
GKOS
Glaukos Corporation		1.582.621.321.767.93
WEBS
Daily Dow Jones Internet Bear 3X Shares		-0.91-1.470.84-0.56-1.05
TMV
Direxion Daily 20-Year Treasury Bear 3X		-0.47-0.400.96-0.48-0.72
FTSL
First Trust Senior Loan Fund		4.005.951.977.9749.63
BNDX
Vanguard Total International Bond ETF		2.033.101.360.678.15
FPE
First Trust Preferred Securities & Income ETF		3.785.731.811.2021.84
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF		3.004.571.591.0523.71
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund		2.143.231.413.8919.44
FAZ
Direxion Daily Financial Bear 3X Shares		-1.38-2.450.75-0.54-1.12

Sharpe Ratio

The current optimized sharpe with oxford Sharpe ratio is 1.47. 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 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
1.47
2.32
optimized sharpe with oxford
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

optimized sharpe with oxford granted a 4.43% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
optimized sharpe with oxford4.43%4.94%3.30%2.73%3.00%3.38%3.46%3.11%3.33%3.33%3.26%2.49%
Portfolio components:
ACGL
Arch Capital Group Ltd.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AMAT
Applied Materials, Inc.		0.75%0.75%1.05%0.60%1.01%1.36%2.14%0.78%1.24%2.14%1.61%2.21%
HLT
Hilton Worldwide Holdings Inc.		0.27%0.33%0.36%0.00%0.13%0.54%0.84%0.75%1.03%0.65%0.00%0.00%
MRK
Merck & Co., Inc.		2.63%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.42%3.11%3.45%
PR
Permian Resources Corporation		4.89%2.69%0.52%0.00%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		5.98%8.51%0.20%0.00%1.13%0.12%0.00%0.00%0.00%0.00%0.00%0.00%
TMV
Direxion Daily 20-Year Treasury Bear 3X		4.09%3.87%0.00%0.00%0.52%2.25%0.89%0.00%0.00%0.00%0.00%0.00%
FTSL
First Trust Senior Loan Fund		7.04%7.59%4.77%3.17%3.48%4.43%4.29%3.64%3.70%3.95%3.74%2.64%
BNDX
Vanguard Total International Bond ETF		4.68%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
FPE
First Trust Preferred Securities & Income ETF		4.94%6.03%5.67%4.48%4.88%5.32%6.14%5.39%5.97%5.49%6.00%4.69%
HYEM
VanEck Vectors Emerging Markets High Yield Bond ETF		5.91%6.27%6.47%5.33%5.56%6.14%5.71%5.86%6.25%7.64%6.77%6.14%
HYZD
WisdomTree Interest Rate Hedged High Yield Bond Fund		6.08%5.94%5.14%4.02%5.13%5.50%5.58%4.94%5.07%4.38%3.82%0.10%
FAZ
Direxion Daily Financial Bear 3X Shares		5.09%4.88%0.00%0.00%0.62%1.63%0.56%0.00%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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.01%
-0.19%
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 20.97%, occurring on Mar 24, 2020. Recovery took 52 trading sessions.

The current optimized sharpe with oxford drawdown is 1.01%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.97%Jan 2, 202057Mar 24, 202052Jun 8, 2020109
-18.6%Jun 9, 202022Jul 9, 2020387Jan 20, 2022409
-8.07%Jun 15, 20227Jun 24, 202293Nov 4, 2022100
-5.77%Mar 15, 202211Mar 29, 202216Apr 21, 202227
-5.51%Mar 3, 202316Mar 24, 2023124Sep 21, 2023140

Volatility

Volatility Chart

The current optimized sharpe with oxford volatility is 1.20%, 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%AprilMayJuneJulyAugustSeptember
1.20%
4.31%
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.
MRKBNDXTMVPRGKOSACGLHYEMFTSLHYZDAMATHLTFPEWEBSFAZ
MRK1.000.040.060.100.130.260.130.150.140.080.100.13-0.12-0.28
BNDX0.041.00-0.76-0.090.05-0.060.300.13-0.010.07-0.020.31-0.150.02
TMV0.06-0.761.000.180.080.19-0.200.000.090.070.13-0.180.02-0.19
PR0.10-0.090.181.000.180.230.190.240.250.250.320.22-0.21-0.40
GKOS0.130.050.080.181.000.210.210.270.330.360.320.32-0.47-0.37
ACGL0.26-0.060.190.230.211.000.220.250.270.250.430.24-0.23-0.62
HYEM0.130.30-0.200.190.210.221.000.400.370.310.370.43-0.41-0.37
FTSL0.150.130.000.240.270.250.401.000.420.360.350.46-0.43-0.45
HYZD0.14-0.010.090.250.330.270.370.421.000.400.390.44-0.49-0.49
AMAT0.080.070.070.250.360.250.310.360.401.000.450.39-0.62-0.50
HLT0.10-0.020.130.320.320.430.370.350.390.451.000.34-0.44-0.62
FPE0.130.31-0.180.220.320.240.430.460.440.390.341.00-0.51-0.48
WEBS-0.12-0.150.02-0.21-0.47-0.23-0.41-0.43-0.49-0.62-0.44-0.511.000.51
FAZ-0.280.02-0.19-0.40-0.37-0.62-0.37-0.45-0.49-0.50-0.62-0.480.511.00
The correlation results are calculated based on daily price changes starting from Nov 8, 2019