Asset Allocation
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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL US ENHANCED TLT, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.72% | -3.54% | -3.95% | -2.09% | 15.95% | 16.96% | 10.34% | 12.24% |
Portfolio HL US ENHANCED TLT | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.93% | 4.28% | 3.22% | 4.62% | 5.06% | 20.59% | |||||||
| 2024 | 5.78% | -2.25% | 0.78% | 3.98% | 1.40% | -1.73% | 6.56% | 8.75% | -0.61% | -0.39% | 0.77% | 4.03% | 29.87% |
| 2023 | -4.36% | -4.88% | -4.61% | 0.34% | -3.02% | 3.91% | 1.51% | 5.68% | 1.51% | -9.66% | 9.92% | 8.69% | 3.13% |
| 2022 | -6.23% | -3.97% | 4.17% | 10.29% | 2.97% | -0.01% | -1.16% | -4.23% | 7.97% | 9.35% | 15.32% | 15.46% | 58.52% |
| 2021 | -3.63% | -11.77% | 0.38% | 2.50% | 0.00% | 4.42% | 3.72% | -0.34% | 2.54% | 1.98% | 2.77% | -2.01% | -0.57% |
| 2020 | 7.69% | -0.35% | 16.26% | 5.59% | -1.76% | -1.57% | 4.43% | -5.05% | -0.95% | 5.98% | 0.21% | -1.23% | 31.26% |
Benchmark Metrics
HL US ENHANCED TLT has an annualized alpha of 27.02%, beta of -0.01, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since January 02, 2020.
- This portfolio captured 31.58% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -76.19%) — a profile typical of hedging or uncorrelated assets.
- Beta of -0.01 may look defensive, but with R² of 0.00 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 0.00 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 27.02%
- Beta
- -0.01
- R²
- 0.00
- Upside Capture
- 31.58%
- Downside Capture
- -76.19%
Return for Risk
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Dividends
Dividend yield
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 HL US ENHANCED TLT. 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 HL US ENHANCED TLT was 19.26%, occurring on Mar 18, 2021. Recovery took 286 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -19.26% | Mar 20, 2020 | 251 | Mar 18, 2021 | 286 | May 5, 2022 | 537 |
| -17.77% | Jan 3, 2023 | 100 | May 25, 2023 | 139 | Dec 13, 2023 | 239 |
| -10.69% | Jun 24, 2022 | 45 | Aug 26, 2022 | 38 | Oct 20, 2022 | 83 |
| -8.39% | Oct 15, 2024 | 22 | Nov 13, 2024 | 35 | Jan 6, 2025 | 57 |
| -7.52% | May 16, 2024 | 17 | Jun 10, 2024 | 30 | Jul 24, 2024 | 47 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Asset Correlations Table
| Benchmark | Portfolio | |
|---|---|---|
| Benchmark | 1.00 | -0.06 |
| Portfolio | -0.06 | 1.00 |