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Roth Trio
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Risk-Adjusted Performance
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Volatility
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Roth Trio

Last updated Nov 13, 2024

Asset Allocation

MFTNX 28.6%CCRV 14.3%SPY 28.6%TQQQ 14.3%REMIX 14.3%SVOL 14.3%AlternativesAlternativesBondBondCommodityCommodityEquityEquityMulti-AssetMulti-AssetVolatilityVolatility
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
-14.40%
CCRV
iShares Commodity Curve Carry Strategy ETF		Commodities
14.30%
CSAIX
Credit Suisse Managed Futures Strategy Fund		Systematic Trend
0%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		Systematic Trend
28.60%
REMIX
Standpoint Multi-Asset Fund Investor Class		Macro Trading
14.30%
SPY
SPDR S&P 500 ETF		Large Cap Growth Equities
28.60%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
14.30%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
14.30%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Roth Trio, 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%JuneJulyAugustSeptemberOctoberNovember
3.13%
12.76%
Roth Trio
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		25.48%2.14%12.76%33.14%13.96%11.39%
Roth Trio21.23%1.11%3.13%25.73%N/AN/A
Portfolio components:
REMIX
Standpoint Multi-Asset Fund Investor Class		13.29%-0.26%-1.57%14.81%N/AN/A
SPY
SPDR S&P 500 ETF		26.77%2.15%13.38%34.82%15.86%13.33%
SVOL
Simplify Volatility Premium ETF		9.71%2.21%3.46%12.92%N/AN/A
CCRV
iShares Commodity Curve Carry Strategy ETF		3.85%-3.98%-4.38%0.66%N/AN/A
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		4.49%-1.24%-14.02%-2.11%7.19%4.57%
TQQQ
ProShares UltraPro QQQ		63.76%7.81%30.34%94.21%35.83%35.69%
CSAIX
Credit Suisse Managed Futures Strategy Fund		-6.14%-0.23%-8.80%-4.10%0.57%-0.50%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.57%0.40%2.57%5.29%2.27%1.55%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.33%9.88%3.54%-4.00%2.43%2.85%-1.73%-0.29%1.73%-4.30%21.23%
20235.17%0.93%1.36%3.11%4.19%8.31%3.97%-2.00%-2.23%-4.11%4.76%3.98%30.25%
2022-2.61%0.51%9.23%-5.44%0.21%-6.11%6.97%-1.87%-7.50%5.32%2.35%-4.80%-5.21%
20214.28%3.13%1.13%3.11%-3.63%10.26%-5.84%5.06%17.88%

Expense Ratio

Roth Trio has a high expense ratio of 0.94%, 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%
REMIX
Standpoint Multi-Asset Fund Investor Class
Expense ratio chart for REMIX: current value at 1.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.55%
CSAIX
Credit Suisse Managed Futures Strategy Fund
Expense ratio chart for CSAIX: current value at 1.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.30%
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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Roth Trio is 14, indicating that it is in the bottom 14% 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 Roth Trio is 1414
Combined Rank
The Sharpe Ratio Rank of Roth Trio is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of Roth Trio is 1111Sortino Ratio Rank
The Omega Ratio Rank of Roth Trio is 1414Omega Ratio Rank
The Calmar Ratio Rank of Roth Trio is 2020Calmar Ratio Rank
The Martin Ratio Rank of Roth Trio is 1010Martin 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.

Roth Trio
Sharpe ratio
The chart of Sharpe ratio for Roth Trio, currently valued at 1.55, compared to the broader market0.002.004.006.001.55
Sortino ratio
The chart of Sortino ratio for Roth Trio, currently valued at 2.07, compared to the broader market-2.000.002.004.006.002.07
Omega ratio
The chart of Omega ratio for Roth Trio, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.802.001.28
Calmar ratio
The chart of Calmar ratio for Roth Trio, currently valued at 1.63, compared to the broader market0.005.0010.0015.001.63
Martin ratio
The chart of Martin ratio for Roth Trio, currently valued at 5.33, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.33
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
REMIX
Standpoint Multi-Asset Fund Investor Class		1.191.661.221.434.87
SPY
SPDR S&P 500 ETF		3.074.091.584.4520.18
SVOL
Simplify Volatility Premium ETF		1.091.471.271.197.79
CCRV
iShares Commodity Curve Carry Strategy ETF		0.030.151.020.040.11
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		-0.29-0.250.97-0.25-0.48
TQQQ
ProShares UltraPro QQQ		2.062.431.332.088.58
CSAIX
Credit Suisse Managed Futures Strategy Fund		-0.62-0.760.91-0.20-1.11
BIL
SPDR Barclays 1-3 Month T-Bill ETF		20.42273.58158.96483.904,456.44

Sharpe Ratio

The current Roth Trio Sharpe ratio is 1.55. 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 2.07 to 2.97, 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 Roth Trio 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.55
2.91
Roth Trio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Roth Trio provided a 3.17% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.17%6.68%19.37%6.15%0.55%5.96%2.77%1.07%3.25%1.01%0.54%0.52%
Portfolio components:
REMIX
Standpoint Multi-Asset Fund Investor Class		0.54%0.62%0.34%4.63%1.09%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF		1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
SVOL
Simplify Volatility Premium ETF		16.29%16.37%18.31%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CCRV
iShares Commodity Curve Carry Strategy ETF		6.99%7.26%33.27%26.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class		0.00%11.70%40.53%2.54%0.00%20.09%8.43%2.28%9.35%1.47%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.16%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
CSAIX
Credit Suisse Managed Futures Strategy Fund		0.55%0.52%4.51%8.84%0.00%1.75%0.00%0.00%0.00%4.83%0.34%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%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.

-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.40%
-0.27%
Roth Trio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Roth Trio. 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 Roth Trio was 16.13%, occurring on Aug 5, 2024. The portfolio has not yet recovered.

The current Roth Trio drawdown is 4.50%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.13%Jul 11, 202418Aug 5, 2024———
-15.51%Apr 5, 2022124Sep 30, 2022164May 26, 2023288
-10.64%Nov 26, 202141Jan 25, 202237Mar 18, 202278
-9.61%Sep 15, 202332Oct 30, 202335Dec 19, 202367
-6.16%Aug 1, 202314Aug 18, 202318Sep 14, 202332

Volatility

Volatility Chart

The current Roth Trio volatility is 5.44%, 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%JuneJulyAugustSeptemberOctoberNovember
5.44%
3.75%
Roth Trio
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.
BILCCRVCSAIXMFTNXSVOLTQQQSPYREMIX
BIL1.00-0.04-0.01-0.03-0.030.020.02-0.01
CCRV-0.041.000.080.260.170.110.190.32
CSAIX-0.010.081.000.62-0.00-0.06-0.050.40
MFTNX-0.030.260.621.000.120.090.130.59
SVOL-0.030.17-0.000.121.000.620.680.47
TQQQ0.020.11-0.060.090.621.000.930.58
SPY0.020.19-0.050.130.680.931.000.66
REMIX-0.010.320.400.590.470.580.661.00
The correlation results are calculated based on daily price changes starting from May 14, 2021