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IRA

Last updated Sep 21, 2024

Asset Allocation

MFTNX 40%TMF 5%CCRV 15%TQQQ 20%GBTC 10%SVOL 10%AlternativesAlternativesBondBondCommodityCommodityEquityEquityVolatilityVolatility
PositionCategory/SectorWeight
AGG
iShares Core U.S. Aggregate Bond ETF		Total Bond Market
0%
CCRV
iShares Commodity Curve Carry Strategy ETF		Commodities
15%
GBTC
Grayscale Bitcoin Trust (BTC)		Financial Services
10%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		Systematic Trend
40%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
10%
TMF
Direxion Daily 20-Year Treasury Bull 3X		Leveraged Bonds, Leveraged
5%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
20%
VMFXX
Vanguard Federal Money Market Fund		Money Market
0%

Performance

Performance Chart

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

-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
-3.31%
8.95%
IRA
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL

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%
IRA19.54%1.22%-3.31%32.46%N/AN/A
Portfolio components:
GBTC
Grayscale Bitcoin Trust (BTC)		44.51%4.10%-12.20%164.71%31.40%N/A
TQQQ
ProShares UltraPro QQQ		39.35%2.56%12.40%99.19%35.50%35.04%
TMF
Direxion Daily 20-Year Treasury Bull 3X		-6.06%3.25%12.57%14.89%-26.45%-8.61%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		9.93%-0.68%-15.17%-10.22%7.43%5.38%
VMFXX
Vanguard Federal Money Market Fund		3.59%0.45%2.70%5.45%2.24%1.49%
CCRV
iShares Commodity Curve Carry Strategy ETF		5.10%1.63%-1.38%-0.95%N/AN/A
SVOL
Simplify Volatility Premium ETF		9.46%1.80%6.06%14.80%N/AN/A
AGG
iShares Core U.S. Aggregate Bond ETF		5.10%1.80%6.01%11.01%0.46%1.90%

Monthly Returns

The table below presents the monthly returns of IRA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.33%14.75%4.22%-6.09%2.37%1.39%-2.69%-2.07%19.54%
20239.55%1.08%6.47%3.44%3.69%11.21%3.17%-2.73%-2.35%-1.25%5.56%6.95%53.63%
2022-3.82%2.24%9.07%-6.60%-3.02%-7.80%8.07%-2.80%-7.56%2.69%-1.28%-5.32%-16.53%
20212.60%3.52%2.66%3.50%-4.72%14.88%-6.44%-0.09%15.46%

Expense Ratio

IRA has a high expense ratio of 0.98%, 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.

MFTNX
Arrow Managed Futures Strategy Fund Institutional Class
Expense ratio chart for MFTNX: current value at 1.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.56%
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%
SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
CCRV
iShares Commodity Curve Carry Strategy ETF
Expense ratio chart for CCRV: 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%
AGG
iShares Core U.S. Aggregate Bond ETF
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
VMFXX
Vanguard Federal Money Market Fund
Expense ratio chart for VMFXX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IRA is 24, indicating that it is in the bottom 24% 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 IRA is 2424
IRA
The Sharpe Ratio Rank of IRA is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of IRA is 2020Sortino Ratio Rank
The Omega Ratio Rank of IRA is 2020Omega Ratio Rank
The Calmar Ratio Rank of IRA is 4646Calmar Ratio Rank
The Martin Ratio Rank of IRA is 1414Martin 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.

IRA
Sharpe ratio
The chart of Sharpe ratio for IRA, currently valued at 1.72, compared to the broader market-1.000.001.002.003.004.001.72
Sortino ratio
The chart of Sortino ratio for IRA, currently valued at 2.32, compared to the broader market-2.000.002.004.006.002.32
Omega ratio
The chart of Omega ratio for IRA, 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 IRA, currently valued at 1.97, compared to the broader market0.002.004.006.008.0010.001.97
Martin ratio
The chart of Martin ratio for IRA, currently valued at 6.69, compared to the broader market0.0010.0020.0030.0040.006.69
^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
GBTC
Grayscale Bitcoin Trust (BTC)		2.973.171.392.5912.60
TQQQ
ProShares UltraPro QQQ		1.832.241.301.508.22
TMF
Direxion Daily 20-Year Treasury Bull 3X		0.501.001.120.271.23
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		-0.34-0.300.96-0.40-0.68
VMFXX
Vanguard Federal Money Market Fund		3.63————
CCRV
iShares Commodity Curve Carry Strategy ETF		-0.030.051.01-0.04-0.10
SVOL
Simplify Volatility Premium ETF		1.271.681.311.3810.25
AGG
iShares Core U.S. Aggregate Bond ETF		1.862.731.330.708.15

Sharpe Ratio

The current IRA Sharpe ratio is 1.72. 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 IRA 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 Ratio1.001.502.002.503.003.50AprilMayJuneJulyAugustSeptember
1.72
2.32
IRA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

IRA granted a 7.21% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
IRA7.21%7.80%23.21%5.42%0.11%8.10%3.47%0.96%3.74%0.59%0.01%0.03%
Portfolio components:
GBTC
Grayscale Bitcoin Trust (BTC)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.23%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.03%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		2.09%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		10.64%11.69%40.52%2.53%0.00%20.10%8.43%2.28%9.35%1.46%0.00%0.00%
VMFXX
Vanguard Federal Money Market Fund		5.30%4.97%1.54%0.01%0.45%2.12%1.61%0.50%0.00%0.00%0.00%0.01%
CCRV
iShares Commodity Curve Carry Strategy ETF		6.90%7.26%33.27%26.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SVOL
Simplify Volatility Premium ETF		16.09%16.36%18.21%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGG
iShares Core U.S. Aggregate Bond ETF		3.42%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

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.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-7.90%
-0.19%
IRA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the IRA. 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 IRA was 25.58%, occurring on Dec 28, 2022. Recovery took 114 trading sessions.

The current IRA drawdown is 7.90%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.58%Apr 5, 2022185Dec 28, 2022114Jun 12, 2023299
-17.04%Jul 17, 202416Aug 7, 2024———
-16.64%Nov 10, 202152Jan 25, 202244Mar 29, 202296
-8.45%Sep 15, 202315Oct 5, 202332Nov 20, 202347
-8.23%Apr 12, 202414May 1, 202443Jul 3, 202457

Volatility

Volatility Chart

The current IRA volatility is 6.36%, 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%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.36%
4.31%
IRA
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.
VMFXXCCRVGBTCMFTNXSVOLTQQQTMFAGG
VMFXX1.00-0.04-0.02-0.060.01-0.01-0.010.00
CCRV-0.041.000.110.290.190.13-0.13-0.06
GBTC-0.020.111.000.050.300.43-0.000.07
MFTNX-0.060.290.051.000.090.07-0.40-0.44
SVOL0.010.190.300.091.000.610.050.15
TQQQ-0.010.130.430.070.611.000.060.19
TMF-0.01-0.13-0.00-0.400.050.061.000.92
AGG0.00-0.060.07-0.440.150.190.921.00
The correlation results are calculated based on daily price changes starting from May 14, 2021