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 May 5, 2025, the RiskOnRiskOff returned -9.68% Year-To-Date and 11.36% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.31% | 12.07% | -0.74% | 10.90% | 14.73% | 10.57% |
| RiskOnRiskOff | -9.68% | 4.64% | -4.05% | 2.54% | 12.14% | 11.36% |
| Portfolio components: | ||||||
UUP Invesco DB US Dollar Index Bullish Fund | -6.42% | -2.58% | -1.87% | 0.43% | 2.74% | 2.51% |
TQQQ ProShares UltraPro QQQ | -24.67% | 44.63% | -15.69% | 6.22% | 29.64% | 30.18% |
QLD ProShares Ultra QQQ | -13.56% | 30.26% | -6.06% | 12.53% | 26.94% | 26.52% |
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% | 2.00% | -9.68% | |||||||
| 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 | -0.10 | -0.08 | 0.99 | -0.08 | -0.23 |
TQQQ ProShares UltraPro QQQ | 0.19 | 0.78 | 1.11 | 0.24 | 0.67 |
QLD ProShares Ultra QQQ | 0.36 | 0.84 | 1.12 | 0.43 | 1.29 |
Dividends
Dividend yield
RiskOnRiskOff provided a 4.16% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.16% | 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 | 4.78% | 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 | 1.66% | 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 | 0.26% | 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 18.40%, occurring on Apr 21, 2025. The portfolio has not yet recovered.
The current RiskOnRiskOff drawdown is 11.64%.
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 current RiskOnRiskOff volatility is 10.01%, 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
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 | -0.21 | 0.90 | 0.90 | 0.74 |
| UUP | -0.21 | 1.00 | -0.17 | -0.17 | 0.29 |
| 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 | 0.29 | 0.85 | 0.85 | 1.00 |