Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
FFRHX Fidelity Floating Rate High Income Fund | High Yield Bonds | 14.29% |
FTSL First Trust Senior Loan Fund | High Yield Bonds, Actively Managed | 14.29% |
GLD SPDR Gold Shares | Gold, Precious Metals | 14.29% |
LFRIX Lord Abbett Floating Rate Fund | Bank Loan | 14.29% |
NFIAX Neuberger Berman Floating Rate Income Fund | Bank Loan | 14.29% |
PRFRX T. Rowe Price Floating Rate Fund | High Yield Bonds | 14.29% |
PRWCX T. Rowe Price Capital Appreciation Fund | Diversified Portfolio | 14.29% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Base PRWCX+HY+GLD, 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.
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The earliest data available for this chart is May 2, 2013, corresponding to the inception date of FTSL
Returns By Period
As of Apr 4, 2026, the Base PRWCX+HY+GLD returned 0.36% Year-To-Date and 7.23% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio Base PRWCX+HY+GLD | -0.32% | -1.69% | 0.36% | 4.56% | 15.59% | 12.10% | 8.34% | 7.23% |
| Portfolio components: | ||||||||
FFRHX Fidelity Floating Rate High Income Fund | -0.11% | -0.11% | -0.61% | 0.77% | 5.70% | 6.96% | 5.18% | 4.98% |
FTSL First Trust Senior Loan Fund | -0.06% | 0.46% | -0.75% | 0.83% | 7.24% | 7.05% | 4.88% | 4.49% |
NFIAX Neuberger Berman Floating Rate Income Fund | 0.00% | -0.22% | -0.72% | 0.64% | 5.31% | 7.13% | 4.78% | 4.48% |
PRFRX T. Rowe Price Floating Rate Fund | -0.11% | -0.22% | 0.05% | 3.46% | 13.45% | 10.22% | 7.20% | 5.67% |
LFRIX Lord Abbett Floating Rate Fund | 0.00% | -0.13% | -0.80% | 1.07% | 5.61% | 7.45% | 5.18% | 4.57% |
GLD SPDR Gold Shares | -1.92% | -7.88% | 8.35% | 20.07% | 53.51% | 32.51% | 21.53% | 13.97% |
PRWCX T. Rowe Price Capital Appreciation Fund | 0.03% | -2.61% | -2.85% | 5.47% | 23.43% | 13.82% | 9.30% | 11.46% |
Monthly Returns
Based on dividend-adjusted daily data since May 3, 2013, Base PRWCX+HY+GLD's average daily return is +0.02%, while the average monthly return is +0.50%. At this rate, your investment would double in approximately 11.6 years.
Historically, 70% of months were positive and 30% were negative. The best month was Apr 2020 with a return of +5.5%, while the worst month was Mar 2020 at -9.6%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Base PRWCX+HY+GLD closed higher 57% of trading days. The best single day was Mar 26, 2020 with a return of +3.3%, while the worst single day was Mar 18, 2020 at -4.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.81% | 0.70% | -2.13% | 0.03% | 0.36% | ||||||||
| 2025 | 1.98% | 0.15% | 0.91% | 0.84% | 1.55% | 1.18% | 0.81% | 1.23% | 2.35% | 1.10% | 1.31% | 1.86% | 16.38% |
| 2024 | 0.25% | 1.17% | 1.94% | 0.41% | 1.22% | 0.23% | 1.72% | 0.88% | 1.50% | 1.00% | 0.81% | -0.22% | 11.46% |
| 2023 | 3.49% | -0.63% | 1.62% | 0.76% | -0.34% | 1.73% | 1.49% | 0.58% | -0.64% | 0.44% | 2.27% | 1.90% | 13.35% |
| 2022 | -0.69% | 0.35% | 0.44% | -1.25% | -2.28% | -2.95% | 2.24% | -0.01% | -3.28% | 1.25% | 2.77% | 0.07% | -3.49% |
| 2021 | -0.07% | -0.18% | 0.46% | 1.49% | 1.57% | -0.76% | 0.62% | 0.62% | -0.39% | 1.09% | -0.64% | 1.47% | 5.37% |
Benchmark Metrics
Base PRWCX+HY+GLD has an annualized alpha of 4.14%, beta of 0.15, and R² of 0.36 versus S&P 500 Index. Calculated based on daily prices since May 03, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (26.29%) than losses (15.08%) — typical of diversified or defensive assets.
- Beta of 0.15 may look defensive, but with R² of 0.36 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.36 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 4.14%
- Beta
- 0.15
- R²
- 0.36
- Upside Capture
- 26.29%
- Downside Capture
- 15.08%
Expense Ratio
Base PRWCX+HY+GLD has an expense ratio of 0.70%, 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.
Return for Risk
Risk / Return Rank
Base PRWCX+HY+GLD ranks 91 for risk / return — in the top 91% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.51 | 0.88 | +1.63 |
Sortino ratioReturn per unit of downside risk | 3.45 | 1.37 | +2.08 |
Omega ratioGain probability vs. loss probability | 1.57 | 1.21 | +0.36 |
Calmar ratioReturn relative to maximum drawdown | 3.19 | 1.39 | +1.80 |
Martin ratioReturn relative to average drawdown | 12.91 | 6.43 | +6.48 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
FFRHX Fidelity Floating Rate High Income Fund | 75 | 1.46 | 2.06 | 1.49 | 1.77 | 8.52 |
FTSL First Trust Senior Loan Fund | 74 | 1.55 | 2.04 | 1.42 | 2.04 | 7.29 |
NFIAX Neuberger Berman Floating Rate Income Fund | 89 | 1.77 | 2.72 | 1.63 | 2.54 | 10.75 |
PRFRX T. Rowe Price Floating Rate Fund | 99 | 3.62 | 7.25 | 2.37 | 6.05 | 28.87 |
LFRIX Lord Abbett Floating Rate Fund | 85 | 1.67 | 2.41 | 1.61 | 2.41 | 9.19 |
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
PRWCX T. Rowe Price Capital Appreciation Fund | 79 | 1.24 | 2.32 | 1.33 | 2.57 | 10.42 |
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Dividends
Dividend yield
Base PRWCX+HY+GLD provided a 7.89% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 7.89% | 8.10% | 6.97% | 6.30% | 4.28% | 3.77% | 3.95% | 4.39% | 4.47% | 3.81% | 3.40% | 4.33% |
| Portfolio components: | ||||||||||||
FFRHX Fidelity Floating Rate High Income Fund | 6.75% | 7.41% | 6.94% | 8.24% | 3.81% | 2.74% | 3.84% | 5.15% | 4.74% | 4.05% | 4.44% | 3.69% |
FTSL First Trust Senior Loan Fund | 6.58% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
NFIAX Neuberger Berman Floating Rate Income Fund | 6.24% | 6.84% | 8.05% | 6.89% | 3.97% | 3.36% | 3.68% | 4.71% | 4.32% | 3.44% | 3.46% | 4.05% |
PRFRX T. Rowe Price Floating Rate Fund | 12.92% | 12.91% | 8.17% | 9.57% | 4.03% | 3.86% | 4.00% | 4.84% | 4.87% | 4.04% | 4.07% | 4.07% |
LFRIX Lord Abbett Floating Rate Fund | 6.54% | 7.20% | 7.68% | 7.63% | 3.95% | 4.01% | 4.64% | 5.71% | 5.60% | 4.65% | 4.64% | 4.72% |
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PRWCX T. Rowe Price Capital Appreciation Fund | 16.18% | 15.72% | 10.38% | 4.15% | 9.44% | 9.23% | 7.97% | 5.83% | 7.46% | 6.82% | 3.51% | 9.86% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Base PRWCX+HY+GLD. 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 Base PRWCX+HY+GLD was 19.74%, occurring on Mar 23, 2020. Recovery took 87 trading sessions.
The current Base PRWCX+HY+GLD drawdown is 3.06%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.74% | Feb 24, 2020 | 21 | Mar 23, 2020 | 87 | Jul 27, 2020 | 108 |
| -7.72% | Apr 14, 2022 | 127 | Oct 14, 2022 | 115 | Mar 31, 2023 | 242 |
| -4.55% | May 18, 2015 | 172 | Jan 21, 2016 | 53 | Apr 7, 2016 | 225 |
| -4.19% | Jan 29, 2026 | 40 | Mar 26, 2026 | — | — | — |
| -3.48% | Oct 3, 2018 | 57 | Dec 24, 2018 | 24 | Jan 30, 2019 | 81 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 7 assets, with an effective number of assets of 7.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | GLD | FTSL | PRWCX | NFIAX | PRFRX | LFRIX | FFRHX | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | 0.37 | 0.93 | 0.22 | 0.24 | 0.27 | 0.28 | 0.49 |
| GLD | 0.01 | 1.00 | 0.06 | 0.02 | -0.01 | 0.01 | -0.03 | -0.00 | 0.69 |
| FTSL | 0.37 | 0.06 | 1.00 | 0.36 | 0.31 | 0.30 | 0.32 | 0.34 | 0.40 |
| PRWCX | 0.93 | 0.02 | 0.36 | 1.00 | 0.23 | 0.25 | 0.27 | 0.28 | 0.53 |
| NFIAX | 0.22 | -0.01 | 0.31 | 0.23 | 1.00 | 0.70 | 0.71 | 0.70 | 0.42 |
| PRFRX | 0.24 | 0.01 | 0.30 | 0.25 | 0.70 | 1.00 | 0.69 | 0.68 | 0.44 |
| LFRIX | 0.27 | -0.03 | 0.32 | 0.27 | 0.71 | 0.69 | 1.00 | 0.70 | 0.43 |
| FFRHX | 0.28 | -0.00 | 0.34 | 0.28 | 0.70 | 0.68 | 0.70 | 1.00 | 0.45 |
| Portfolio | 0.49 | 0.69 | 0.40 | 0.53 | 0.42 | 0.44 | 0.43 | 0.45 | 1.00 |