RiskOnRiskOff
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
QLD ProShares Ultra QQQ | Leveraged Equities, Leveraged | 0% |
TQQQ ProShares UltraPro QQQ | Leveraged Equities, Leveraged | 20% |
UUP Invesco DB US Dollar Index Bullish Fund | Currency | 80% |
Performance
Performance Chart
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The earliest data available for this chart is Feb 11, 2010, corresponding to the inception date of TQQQ
Returns By Period
As of Jun 2, 2025, the RiskOnRiskOff returned -6.49% Year-To-Date and 11.42% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 3.96% | -2.00% | 12.02% | 14.19% | 10.85% |
| RiskOnRiskOff | -6.49% | 3.53% | -4.36% | 4.13% | 11.87% | 11.42% |
| Portfolio components: | ||||||
UUP Invesco DB US Dollar Index Bullish Fund | -6.70% | -0.29% | -3.89% | 0.07% | 2.97% | 2.34% |
TQQQ ProShares UltraPro QQQ | -11.28% | 17.79% | -11.83% | 13.44% | 28.60% | 31.28% |
QLD ProShares Ultra QQQ | -3.22% | 11.96% | -3.14% | 17.80% | 26.33% | 27.25% |
Monthly Returns
The table below presents the monthly returns of RiskOnRiskOff, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.13% | -2.23% | -6.71% | -4.01% | 5.61% | -6.49% | |||||||
| 2024 | 2.95% | 3.67% | 1.32% | -1.12% | 2.31% | 5.02% | -2.50% | -1.29% | 0.89% | 2.05% | 4.64% | 2.28% | 21.81% |
| 2023 | 5.64% | 1.62% | 4.96% | -0.38% | 7.24% | 3.45% | 1.74% | 0.41% | -1.02% | -0.79% | 4.28% | 2.73% | 33.81% |
| 2022 | -4.32% | -2.29% | 2.62% | -3.27% | -2.33% | -1.10% | 8.55% | -1.97% | -3.87% | 1.29% | -1.20% | -7.60% | -15.21% |
| 2021 | 0.50% | 0.05% | 2.47% | 2.02% | -2.24% | 6.51% | 1.47% | 3.06% | -2.57% | 4.68% | 2.63% | 0.29% | 20.15% |
| 2020 | 2.60% | -3.02% | -6.14% | 8.97% | 4.38% | 3.88% | 1.53% | 7.74% | -4.86% | -2.02% | 4.66% | 1.79% | 19.87% |
| 2019 | 5.30% | 2.85% | 3.83% | 3.81% | -5.05% | 3.11% | 3.58% | -1.19% | 1.08% | 1.03% | 3.70% | 1.55% | 25.81% |
| 2018 | 2.87% | -0.08% | -3.34% | 1.65% | 5.56% | 1.02% | 1.66% | 4.44% | -0.16% | -3.53% | -0.11% | -4.39% | 5.17% |
| 2017 | 0.87% | 4.15% | 0.93% | 0.44% | 0.95% | -2.90% | 0.30% | 1.00% | 0.18% | 4.11% | -0.01% | -0.10% | 10.18% |
| 2016 | -3.42% | -2.16% | 0.01% | -3.34% | 4.89% | -1.51% | 4.08% | 1.18% | 0.89% | 1.45% | 2.85% | 1.12% | 5.79% |
| 2015 | 2.55% | 4.24% | 0.64% | -2.07% | 3.07% | -2.98% | 3.96% | -5.79% | -1.13% | 8.28% | 2.76% | -2.47% | 10.71% |
| 2014 | -0.14% | 1.26% | -1.52% | -1.08% | 3.43% | 1.29% | 2.42% | 4.17% | 2.37% | 2.08% | 4.29% | -0.01% | 19.97% |
Expense Ratio
RiskOnRiskOff has an expense ratio of 0.79%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of RiskOnRiskOff is 8, meaning it’s performing worse than 92% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
UUP Invesco DB US Dollar Index Bullish Fund | -0.00 | 0.09 | 1.01 | 0.03 | 0.07 |
TQQQ ProShares UltraPro QQQ | 0.18 | 0.68 | 1.09 | 0.13 | 0.33 |
QLD ProShares Ultra QQQ | 0.35 | 0.73 | 1.10 | 0.32 | 0.92 |
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Dividends
Dividend yield
RiskOnRiskOff provided a 4.12% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.12% | 3.83% | 5.41% | 0.82% | 0.00% | 0.00% | 1.63% | 0.89% | 0.08% | 0.00% | 0.00% | 0.01% |
| Portfolio components: | ||||||||||||
UUP Invesco DB US Dollar Index Bullish Fund | 4.80% | 4.48% | 6.45% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% | 0.00% | 0.00% |
TQQQ ProShares UltraPro QQQ | 1.41% | 1.27% | 1.26% | 0.57% | 0.00% | 0.00% | 0.06% | 0.11% | 0.00% | 0.00% | 0.01% | 0.03% |
QLD ProShares Ultra QQQ | 0.23% | 0.25% | 0.33% | 0.31% | 0.00% | 0.00% | 0.13% | 0.06% | 0.02% | 0.90% | 0.11% | 0.19% |
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 RiskOnRiskOff. 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 RiskOnRiskOff was 18.40%, occurring on Apr 21, 2025. The portfolio has not yet recovered.
The current RiskOnRiskOff drawdown is 8.52%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -18.4% | Dec 26, 2024 | 78 | Apr 21, 2025 | — | — | — |
| -18.03% | Feb 20, 2020 | 18 | Mar 16, 2020 | 68 | Jun 22, 2020 | 86 |
| -17.17% | Nov 22, 2021 | 277 | Dec 28, 2022 | 103 | May 26, 2023 | 380 |
| -14.54% | Feb 16, 2011 | 129 | Aug 19, 2011 | 119 | Feb 9, 2012 | 248 |
| -12.51% | Dec 2, 2015 | 49 | Feb 11, 2016 | 177 | Oct 24, 2016 | 226 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 3 assets, with an effective number of assets of 1.47, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | UUP | QLD | TQQQ | Portfolio | |
|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.20 | 0.90 | 0.90 | 0.74 |
| UUP | -0.20 | 1.00 | -0.17 | -0.17 | 0.30 |
| QLD | 0.90 | -0.17 | 1.00 | 1.00 | 0.85 |
| TQQQ | 0.90 | -0.17 | 1.00 | 1.00 | 0.85 |
| Portfolio | 0.74 | 0.30 | 0.85 | 0.85 | 1.00 |