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
The chart shows the growth of an initial investment of $10,000 in RiskOnRiskOff, 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 every 3 months.
The earliest data available for this chart is Feb 11, 2010, corresponding to the inception date of TQQQ
Returns By Period
As of Jan 5, 2025, the RiskOnRiskOff returned 4.03% Year-To-Date and 31.76% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.03% | -2.37% | 6.74% | 26.74% | 12.96% | 11.51% |
| RiskOnRiskOff | 4.03% | -5.54% | 1.75% | 78.61% | 29.27% | 31.25% |
| Portfolio components: | ||||||
UUP Invesco DB US Dollar Index Bullish Fund | 0.54% | 3.29% | 7.05% | 12.79% | 4.92% | 3.42% |
TQQQ ProShares UltraPro QQQ | 4.13% | -5.77% | 1.61% | 81.73% | 30.71% | 35.78% |
QLD ProShares Ultra QQQ | 2.81% | -3.46% | 4.19% | 56.59% | 29.26% | 29.66% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.78% | 14.11% | 2.31% | -13.76% | 17.76% | 17.91% | -7.32% | 0.41% | 5.80% | -3.96% | 14.62% | -0.52% | 56.45% |
| 2023 | 28.78% | -2.84% | 25.75% | -0.07% | 21.63% | 17.24% | 9.96% | -5.94% | -14.86% | -7.44% | 31.50% | 15.23% | 176.90% |
| 2022 | -25.05% | -14.69% | 10.57% | -35.82% | -9.08% | -25.62% | 35.94% | -15.46% | -28.03% | 7.50% | 10.78% | -24.15% | -77.07% |
| 2021 | -0.43% | -1.31% | 2.29% | 17.17% | -4.60% | 18.82% | 8.10% | 12.29% | -16.22% | 23.82% | 5.28% | 1.69% | 79.99% |
| 2020 | 7.61% | -16.31% | -34.42% | 39.67% | 16.62% | 16.29% | 20.28% | 32.96% | -17.95% | -9.70% | 32.29% | 14.26% | 100.34% |
| 2019 | 22.32% | 7.52% | 9.81% | 14.71% | -21.43% | 19.72% | 5.84% | -6.89% | 1.76% | 10.78% | 11.07% | 10.17% | 111.86% |
| 2018 | 23.60% | -5.33% | -11.96% | -0.09% | 15.14% | 2.02% | 6.72% | 15.90% | -1.43% | -23.88% | -2.49% | -23.42% | -16.23% |
| 2017 | 10.79% | 10.59% | 4.29% | 6.11% | 8.88% | -6.90% | 9.77% | 4.20% | -0.80% | 11.84% | 4.49% | 0.95% | 83.96% |
| 2016 | -14.91% | -4.49% | 12.41% | -7.25% | 9.77% | -5.52% | 15.27% | 2.35% | 4.12% | -2.69% | 1.68% | 2.11% | 9.05% |
| 2015 | -3.38% | 15.37% | -4.54% | 2.40% | 5.16% | -5.98% | 9.91% | -15.91% | -5.50% | 24.90% | 1.85% | -4.63% | 14.14% |
| 2014 | -3.40% | 8.45% | -5.22% | -1.58% | 8.66% | 5.74% | 2.78% | 10.76% | -0.76% | 4.79% | 10.42% | -4.79% | 39.75% |
Expense Ratio
RiskOnRiskOff features an expense ratio of 0.79%, 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 RiskOnRiskOff is 24, meaning it’s performing worse than 76% 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 | 2.17 | 3.33 | 1.41 | 3.00 | 8.50 |
TQQQ ProShares UltraPro QQQ | 1.48 | 1.94 | 1.26 | 1.68 | 6.27 |
QLD ProShares Ultra QQQ | 1.54 | 2.01 | 1.27 | 2.11 | 6.78 |
Dividends
Dividend yield
RiskOnRiskOff provided a 3.81% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.81% | 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 | 4.45% | 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 | 1.22% | 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 | 0.25% | 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.
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 79.69%, occurring on Dec 28, 2022. Recovery took 486 trading sessions.
The current RiskOnRiskOff drawdown is 11.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -79.69% | Nov 22, 2021 | 277 | Dec 28, 2022 | 486 | Dec 4, 2024 | 763 |
| -65.15% | Feb 20, 2020 | 22 | Mar 20, 2020 | 83 | Jul 20, 2020 | 105 |
| -52.44% | Aug 30, 2018 | 80 | Dec 24, 2018 | 217 | Nov 4, 2019 | 297 |
| -33.82% | Sep 3, 2020 | 14 | Sep 23, 2020 | 60 | Dec 17, 2020 | 74 |
| -33.59% | Jul 21, 2015 | 141 | Feb 9, 2016 | 157 | Sep 22, 2016 | 298 |
Volatility
Volatility Chart
The current RiskOnRiskOff volatility is 17.48%, 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
| UUP | QLD | TQQQ | |
|---|---|---|---|
| UUP | 1.00 | -0.18 | -0.18 |
| QLD | -0.18 | 1.00 | 1.00 |
| TQQQ | -0.18 | 1.00 | 1.00 |