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PORTFOLIO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

PORTFOLIO

Last updated May 2, 2024

Asset Allocation

KMLM 20%TMF 20%BTC-USD 20%TQQQ 20%RPAR 26%AlternativesAlternativesBondBondCryptocurrencyCryptocurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds

-6%

BTC-USD
Bitcoin

20%

KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed

20%

RPAR
RPAR Risk Parity ETF		Hedge Fund, Actively Managed

26%

TMF
Direxion Daily 20-Year Treasury Bull 3X		Leveraged Bonds, Leveraged

20%

TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged

20%

S&P 500

Performance

Performance Chart

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

0.00%10.00%20.00%30.00%40.00%December2024FebruaryMarchAprilMay
27.51%
36.78%
PORTFOLIO
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.21%-4.30%18.42%21.82%11.27%10.33%
PORTFOLIO3.38%-9.38%28.56%23.87%N/AN/A
Portfolio components:
TQQQ
ProShares UltraPro QQQ		2.14%-16.69%50.90%90.96%25.74%35.70%
TMF
Direxion Daily 20-Year Treasury Bull 3X		-30.09%-12.81%7.79%-46.69%-25.29%-10.68%
RPAR
RPAR Risk Parity ETF		-2.47%-2.47%10.05%-1.50%N/AN/A
KMLM
KFA Mount Lucas Index Strategy ETF		7.39%2.52%-3.79%-0.23%N/AN/A
BTC-USD
Bitcoin		37.83%-16.42%64.39%103.11%58.62%63.13%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		1.75%0.42%2.63%5.32%1.93%1.27%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.46%10.83%6.05%-9.99%
2023-0.47%14.11%12.04%

Expense Ratio

PORTFOLIO has a high expense ratio of 0.71%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

TMF
Direxion Daily 20-Year Treasury Bull 3X
Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
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%
KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: 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%
RPAR
RPAR Risk Parity ETF
Expense ratio chart for RPAR: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

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.

PORTFOLIO
Sharpe ratio
The chart of Sharpe ratio for PORTFOLIO, currently valued at 1.71, compared to the broader market-1.000.001.002.003.004.005.001.71
Sortino ratio
The chart of Sortino ratio for PORTFOLIO, currently valued at 2.43, compared to the broader market-2.000.002.004.006.002.43
Omega ratio
The chart of Omega ratio for PORTFOLIO, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.801.26
Calmar ratio
No data
Martin ratio
The chart of Martin ratio for PORTFOLIO, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.007.65
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.74, compared to the broader market-1.000.001.002.003.004.005.001.74
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.002.004.006.008.001.33
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.79, compared to the broader market0.0010.0020.0030.0040.006.79
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TQQQ
ProShares UltraPro QQQ		1.001.531.191.235.44
TMF
Direxion Daily 20-Year Treasury Bull 3X		-0.67-0.780.91-0.47-1.61
RPAR
RPAR Risk Parity ETF		0.290.511.06-0.020.92
KMLM
KFA Mount Lucas Index Strategy ETF		0.000.081.010.020.00
BTC-USD
Bitcoin		4.224.071.472.0834.86
BIL
SPDR Barclays 1-3 Month T-Bill ETF		16.76398.99332.53242.167,823.95

Sharpe Ratio

The current PORTFOLIO Sharpe ratio is 1.71. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 2.12, 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 PORTFOLIO 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 Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
1.71
1.74
PORTFOLIO
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

PORTFOLIO granted a 1.56% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
PORTFOLIO1.56%1.34%3.02%1.94%0.28%0.14%0.22%0.04%0.00%0.00%0.01%0.11%
Portfolio components:
TQQQ
ProShares UltraPro QQQ		1.37%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X		4.00%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
RPAR
RPAR Risk Parity ETF		3.08%3.16%4.01%2.02%0.76%0.23%0.00%0.00%0.00%0.00%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF		0.00%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.18%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-27.32%
-4.49%
PORTFOLIO
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PORTFOLIO. 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 PORTFOLIO was 56.08%, occurring on Nov 9, 2022. The portfolio has not yet recovered.

The current PORTFOLIO drawdown is 27.32%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.08%Nov 10, 2021365Nov 9, 2022———
-12.34%Apr 16, 202134May 19, 202165Jul 23, 202199
-11.69%Feb 22, 202111Mar 4, 202137Apr 10, 202148
-10.96%Sep 7, 202122Sep 28, 202117Oct 15, 202139
-6.13%Jan 9, 202119Jan 27, 202112Feb 8, 202131

Volatility

Volatility Chart

The current PORTFOLIO volatility is 5.57%, 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%3.00%4.00%5.00%6.00%7.00%8.00%December2024FebruaryMarchAprilMay
5.57%
3.91%
PORTFOLIO
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.
BILBTC-USDKMLMTQQQTMFRPAR
BIL1.000.03-0.010.020.040.03
BTC-USD0.031.00-0.040.28-0.010.17
KMLM-0.01-0.041.00-0.16-0.35-0.27
TQQQ0.020.28-0.161.000.070.43
TMF0.04-0.01-0.350.071.000.61
RPAR0.030.17-0.270.430.611.00