Tech-Test
Created for tracking
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Tech-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 Mar 8, 2022, corresponding to the inception date of CTA
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
Tech-Test | 19.74% | 1.78% | 8.22% | 29.37% | N/A | N/A |
Portfolio components: | ||||||
Vanguard Russell 1000 Growth ETF | 23.31% | 2.42% | 10.10% | 40.48% | 19.30% | 16.32% |
SPDR Gold Trust | 26.70% | 5.60% | 20.89% | 35.60% | 11.14% | 7.51% |
Bitcoin | 49.52% | 4.66% | -1.36% | 137.75% | 44.39% | 64.49% |
Vanguard Total International Stock ETF | 10.59% | 1.62% | 6.36% | 19.88% | 7.01% | 4.97% |
iM DBi Managed Futures Strategy ETF | 11.33% | 1.14% | 0.84% | 4.02% | 7.21% | N/A |
Simplify Managed Futures Strategy ETF | 10.95% | -2.21% | 5.32% | 2.63% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of Tech-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 | 1.44% | 6.49% | 3.12% | -0.46% | 3.51% | 3.23% | -1.32% | 0.84% | 19.74% | ||||
2023 | 5.53% | -0.11% | 2.02% | 1.98% | 2.05% | 4.58% | 2.22% | -1.42% | -1.39% | -0.34% | 5.55% | 2.79% | 25.73% |
2022 | 6.18% | -4.38% | -1.53% | -4.24% | 6.68% | -2.53% | -5.28% | 3.59% | 1.24% | -4.17% | -5.22% |
Expense Ratio
Tech-Test features an expense ratio of 0.32%, 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 Tech-Test is 51, 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 | |
---|---|---|---|---|---|
Vanguard Russell 1000 Growth ETF | 1.89 | 2.51 | 1.34 | 0.87 | 8.85 |
SPDR Gold Trust | 2.84 | 3.74 | 1.49 | 2.70 | 19.02 |
Bitcoin | 1.38 | 2.06 | 1.21 | 1.30 | 6.10 |
Vanguard Total International Stock ETF | 1.36 | 1.88 | 1.24 | 0.58 | 8.54 |
iM DBi Managed Futures Strategy ETF | 1.22 | 1.64 | 1.23 | 0.21 | 3.32 |
Simplify Managed Futures Strategy ETF | 1.31 | 2.10 | 1.24 | 0.38 | 3.87 |
Dividends
Dividend yield
Tech-Test granted a 2.32% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Tech-Test | 2.32% | 2.28% | 2.94% | 2.16% | 0.73% | 2.22% | 0.91% | 0.87% | 1.03% | 1.02% | 1.06% | 0.91% |
Portfolio components: | ||||||||||||
Vanguard Russell 1000 Growth ETF | 0.48% | 0.71% | 0.98% | 0.58% | 0.77% | 1.03% | 1.18% | 1.19% | 1.48% | 1.47% | 1.43% | 1.28% |
SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
Vanguard Total International Stock ETF | 2.90% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
iM DBi Managed Futures Strategy ETF | 4.11% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Simplify Managed Futures Strategy ETF | 7.86% | 7.78% | 6.58% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 Tech-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 Tech-Test was 13.46%, occurring on Jun 16, 2022. Recovery took 361 trading sessions.
The current Tech-Test drawdown is 1.59%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-13.46% | Mar 30, 2022 | 79 | Jun 16, 2022 | 361 | Jun 12, 2023 | 440 |
-9.56% | Jul 11, 2024 | 26 | Aug 5, 2024 | — | — | — |
-4.24% | Aug 1, 2023 | 87 | Oct 26, 2023 | 15 | Nov 10, 2023 | 102 |
-3.53% | Apr 12, 2024 | 8 | Apr 19, 2024 | 21 | May 10, 2024 | 29 |
-2.83% | Mar 10, 2022 | 5 | Mar 14, 2022 | 2 | Mar 16, 2022 | 7 |
Volatility
Volatility Chart
The current Tech-Test volatility is 3.81%, 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
DBMF | BTC-USD | GLD | CTA | VONG | VXUS | |
---|---|---|---|---|---|---|
DBMF | 1.00 | -0.05 | -0.18 | 0.35 | -0.07 | -0.09 |
BTC-USD | -0.05 | 1.00 | 0.12 | -0.06 | 0.29 | 0.32 |
GLD | -0.18 | 0.12 | 1.00 | -0.23 | 0.13 | 0.37 |
CTA | 0.35 | -0.06 | -0.23 | 1.00 | -0.15 | -0.25 |
VONG | -0.07 | 0.29 | 0.13 | -0.15 | 1.00 | 0.67 |
VXUS | -0.09 | 0.32 | 0.37 | -0.25 | 0.67 | 1.00 |