test
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
^NDX NASDAQ 100 | 50% | |
RYDAX Rydex Dow Jones Industrial Average Fund | Large Cap Value Equities | 50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in test, 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
The earliest data available for this chart is Dec 1, 2015, corresponding to the inception date of RYDAX
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 26.84% | 5.60% | 14.34% | 32.39% | 14.23% | 11.32% |
| test | 22.72% | 6.73% | 13.54% | 28.94% | 14.21% | N/A |
| Portfolio components: | ||||||
^NDX NASDAQ 100 | 26.17% | 6.34% | 11.53% | 33.71% | 20.47% | 17.33% |
RYDAX Rydex Dow Jones Industrial Average Fund | 18.95% | 7.12% | 15.32% | 23.90% | 7.43% | N/A |
Monthly Returns
The table below presents the monthly returns of test, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.50% | 3.82% | 1.62% | -4.76% | 4.37% | 3.71% | 1.39% | 1.50% | 2.15% | -1.14% | 6.19% | 22.72% | |
| 2023 | 6.73% | -2.21% | 5.87% | 1.47% | 2.11% | 5.54% | 3.57% | -1.88% | -4.32% | -1.75% | 9.86% | 5.10% | 33.27% |
| 2022 | -5.96% | -4.03% | 3.20% | -9.20% | -0.74% | -7.87% | 9.62% | -4.56% | -9.79% | 8.94% | 5.69% | -7.79% | -22.51% |
| 2021 | -0.89% | 1.58% | 4.07% | 4.28% | 0.38% | 3.15% | 1.99% | 2.80% | -5.04% | 6.83% | -0.88% | 2.55% | 22.33% |
| 2020 | 0.98% | -7.83% | -10.87% | 13.16% | 5.37% | 4.04% | 4.90% | 9.47% | -4.08% | -3.93% | 11.50% | 1.77% | 23.58% |
| 2019 | 8.12% | 3.31% | 2.00% | 3.99% | -7.43% | 7.38% | 1.65% | -1.75% | 1.34% | 2.37% | 3.96% | 1.07% | 28.20% |
| 2018 | 7.20% | -2.71% | -3.88% | 0.30% | 3.39% | 0.23% | 3.71% | 4.11% | 0.73% | -6.90% | 0.85% | -8.93% | -3.11% |
| 2017 | 2.84% | 4.61% | 0.63% | 2.03% | 2.14% | -0.47% | 3.33% | 1.18% | 0.94% | 4.41% | 2.98% | -0.45% | 26.85% |
| 2016 | -6.15% | -0.60% | 6.93% | -1.34% | 2.25% | -0.77% | 4.94% | 0.49% | 0.88% | -1.21% | 2.69% | 2.21% | 10.16% |
| 2015 | -2.62% | -2.62% |
Expense Ratio
test features an expense ratio of 0.79%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of test is 43, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
^NDX NASDAQ 100 | 1.85 | 2.46 | 1.33 | 2.41 | 8.66 |
RYDAX Rydex Dow Jones Industrial Average Fund | 2.14 | 3.05 | 1.40 | 3.86 | 11.77 |
Dividends
Dividend yield
test provided a 0.27% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.27% | 0.32% | 0.29% | 0.00% | 0.03% | 0.21% | 0.50% | 0.26% | 0.02% |
| Portfolio components: | |||||||||
^NDX NASDAQ 100 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RYDAX Rydex Dow Jones Industrial Average Fund | 0.55% | 0.65% | 0.58% | 0.00% | 0.07% | 0.42% | 1.00% | 0.53% | 0.04% |
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 test. 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 test was 32.27%, occurring on Mar 23, 2020. Recovery took 78 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.27% | Feb 20, 2020 | 23 | Mar 23, 2020 | 78 | Jul 14, 2020 | 101 |
| -27.66% | Jan 4, 2022 | 195 | Oct 12, 2022 | 294 | Dec 13, 2023 | 489 |
| -20.84% | Oct 4, 2018 | 56 | Dec 24, 2018 | 81 | Apr 23, 2019 | 137 |
| -14.14% | Dec 2, 2015 | 49 | Feb 11, 2016 | 104 | Jul 12, 2016 | 153 |
| -10.53% | Sep 3, 2020 | 14 | Sep 23, 2020 | 44 | Nov 24, 2020 | 58 |
Volatility
Volatility Chart
The current test volatility is 4.01%, 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
| RYDAX | ^NDX | |
|---|---|---|
| RYDAX | 1.00 | 0.72 |
| ^NDX | 0.72 | 1.00 |