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shorting
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500

Performance

Performance Chart


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The earliest data available for this chart is Sep 13, 2011, corresponding to the inception date of BTAL

Returns By Period

As of May 28, 2025, the shorting returned 6.27% Year-To-Date and 34.39% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.12%6.51%-1.84%10.98%14.10%10.82%
shorting6.86%-0.40%6.72%44.73%44.62%34.46%
LLY
Eli Lilly and Company
-6.46%-17.83%-8.38%-10.34%37.90%27.00%
COST
Costco Wholesale Corporation
10.84%3.67%5.62%25.24%28.96%23.81%
PGR
The Progressive Corporation
17.96%2.76%5.92%37.88%31.58%29.17%
FICO
Fair Isaac Corporation
-18.63%-16.64%-31.18%16.95%32.10%33.87%
DOG
ProShares Short Dow30
1.59%-4.22%7.26%-3.93%-9.51%-10.28%
PSQ
ProShares Short QQQ
-2.79%-8.69%-3.62%-10.25%-16.56%-17.07%
HEI
HEICO Corporation
23.87%18.98%8.49%38.94%24.06%26.13%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
3.68%-4.10%4.64%3.98%-3.28%1.16%
EUO
ProShares UltraShort Euro
-14.89%2.62%-11.04%-3.48%1.62%1.50%
IAU
iShares Gold Trust
25.57%-1.68%24.89%39.49%13.46%10.45%
SO
The Southern Company
8.99%-1.97%-0.03%17.63%13.44%11.97%
YCS
ProShares UltraShort Yen
-11.14%4.22%-4.86%-7.63%17.39%5.73%
NVO
Novo Nordisk A/S
-18.97%9.55%-34.32%-47.82%17.70%11.50%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%
VMFXX
Vanguard Federal Money Market Fund
0.69%0.00%1.46%4.14%2.51%1.72%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20254.75%8.04%-3.73%0.54%-2.45%6.86%
20248.93%8.15%5.58%3.59%7.84%6.95%2.51%10.05%2.85%1.82%6.73%-2.86%82.02%
20235.58%1.23%6.94%5.56%3.52%6.98%2.73%7.60%2.42%6.12%8.67%3.95%81.35%
2022-2.18%-0.41%7.35%-2.64%2.43%-0.05%6.40%-0.45%-2.31%9.55%6.48%-0.47%25.24%
2021-0.27%-0.68%2.72%3.73%1.60%2.87%2.65%1.52%-4.32%5.73%-0.89%7.69%24.12%
20207.06%-6.17%-1.94%8.65%3.84%1.59%2.61%2.74%-0.21%-3.48%5.59%5.93%28.23%
20198.01%6.69%4.51%2.66%1.96%4.81%3.22%3.45%-0.56%1.00%4.75%2.18%51.65%
20181.73%0.25%1.35%2.58%3.84%1.52%5.88%6.74%1.21%-1.74%3.64%-4.14%24.84%
20171.85%4.89%0.06%1.94%2.27%-0.42%2.56%1.89%2.83%1.89%4.35%1.83%29.11%
2016-1.25%-0.54%4.10%-1.42%2.20%1.80%2.68%-2.42%-1.34%-2.13%1.04%4.26%6.87%
20151.51%2.80%2.41%-1.80%3.01%-0.28%3.20%-3.44%0.37%3.97%0.37%1.04%13.68%
2014-2.55%6.19%-0.65%0.28%0.38%2.53%-2.12%3.43%0.59%4.42%4.25%1.59%19.50%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

shorting has an expense ratio of 0.11%, which is considered low. 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

With an overall rank of 97, shorting is among the top 3% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of shorting is 9797
Overall Rank
The Sharpe Ratio Rank of shorting is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of shorting is 9797
Sortino Ratio Rank
The Omega Ratio Rank of shorting is 9797
Omega Ratio Rank
The Calmar Ratio Rank of shorting is 9696
Calmar Ratio Rank
The Martin Ratio Rank of shorting is 9595
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LLY
Eli Lilly and Company
-0.27-0.380.95-0.64-1.17
COST
Costco Wholesale Corporation
1.131.361.181.163.29
PGR
The Progressive Corporation
1.511.921.282.806.91
FICO
Fair Isaac Corporation
0.420.981.160.641.63
DOG
ProShares Short Dow30
-0.22-0.210.97-0.05-0.54
PSQ
ProShares Short QQQ
-0.40-0.370.95-0.10-0.82
HEI
HEICO Corporation
1.281.691.231.463.54
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
0.200.351.040.100.38
EUO
ProShares UltraShort Euro
-0.21-0.340.96-0.26-0.67
IAU
iShares Gold Trust
2.163.341.435.2314.12
SO
The Southern Company
0.911.261.161.172.71
YCS
ProShares UltraShort Yen
-0.29-0.250.97-0.34-0.66
NVO
Novo Nordisk A/S
-1.10-1.830.77-0.86-1.48
USD=X
USD Cash
VMFXX
Vanguard Federal Money Market Fund
3.20

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

shorting Sharpe ratios as of May 28, 2025 (values are recalculated daily):

  • 1-Year: 2.56
  • 5-Year: 3.05
  • 10-Year: 2.31
  • All Time: 2.21

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.55 to 1.08, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of shorting compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

shorting provided a 33.22% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio33.22%35.40%34.96%11.36%1.48%4.37%15.88%12.22%4.83%1.36%1.32%1.70%
LLY
Eli Lilly and Company
0.78%0.67%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%
COST
Costco Wholesale Corporation
0.47%0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%
PGR
The Progressive Corporation
1.77%0.48%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%
FICO
Fair Isaac Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.01%0.07%0.08%0.11%
DOG
ProShares Short Dow30
5.16%5.72%4.54%0.41%0.00%0.14%1.54%0.86%0.03%0.00%0.00%0.00%
PSQ
ProShares Short QQQ
6.86%7.15%6.01%0.35%0.00%0.31%1.75%0.94%0.02%0.00%0.00%0.00%
HEI
HEICO Corporation
0.07%0.09%0.11%0.12%0.12%0.12%0.12%0.14%0.08%0.22%0.28%1.02%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
3.37%3.49%6.14%1.00%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%
EUO
ProShares UltraShort Euro
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IAU
iShares 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%
SO
The Southern Company
3.29%3.47%3.96%3.78%3.82%4.13%3.86%5.42%4.78%4.52%4.60%4.24%
YCS
ProShares UltraShort Yen
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVO
Novo Nordisk A/S
2.35%1.68%1.00%1.20%1.34%1.86%2.14%2.47%2.12%3.93%1.31%1.96%
USD=X
USD Cash
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VMFXX
Vanguard Federal Money Market Fund
4.76%5.11%4.97%1.54%0.01%0.45%2.12%1.61%0.50%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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the shorting. 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 shorting was 21.13%, occurring on Mar 23, 2020. Recovery took 49 trading sessions.

The current shorting drawdown is 6.10%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.13%Feb 19, 202024Mar 23, 202049May 29, 202073
-11.69%Mar 3, 202527Apr 8, 2025
-10.79%Dec 4, 201815Dec 24, 201827Jan 30, 201942
-9.03%Jul 20, 201527Aug 25, 201546Oct 28, 201573
-8.83%Apr 8, 202230May 19, 202245Jul 21, 202275
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 15 assets, with an effective number of assets of 0.01, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCUSD=XVMFXXIAUEUOYCSSOBTALNVOLLYPGRCOSTHEIFICOPSQDOGPortfolio
^GSPC1.000.00-0.010.04-0.160.210.28-0.510.390.430.480.560.550.61-0.90-0.920.76
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.00
VMFXX-0.010.001.00-0.010.01-0.010.000.040.00-0.01-0.00-0.010.000.00-0.000.020.16
IAU0.040.00-0.011.00-0.40-0.410.120.010.090.01-0.010.020.030.04-0.03-0.020.04
EUO-0.160.000.01-0.401.000.37-0.110.10-0.16-0.01-0.05-0.06-0.08-0.100.130.14-0.02
YCS0.210.00-0.01-0.410.371.00-0.07-0.150.050.100.150.080.140.11-0.17-0.220.23
SO0.280.000.000.12-0.11-0.071.000.070.140.250.280.260.170.17-0.16-0.300.37
BTAL-0.510.000.040.010.10-0.150.071.00-0.13-0.11-0.12-0.17-0.32-0.290.450.46-0.22
NVO0.390.000.000.09-0.160.050.14-0.131.000.400.210.240.200.29-0.37-0.350.50
LLY0.430.00-0.010.01-0.010.100.25-0.110.401.000.300.310.220.27-0.38-0.400.64
PGR0.480.00-0.00-0.01-0.050.150.28-0.120.210.301.000.330.360.33-0.35-0.520.64
COST0.560.00-0.010.02-0.060.080.26-0.170.240.310.331.000.300.37-0.52-0.520.56
HEI0.550.000.000.03-0.080.140.17-0.320.200.220.360.301.000.46-0.45-0.550.58
FICO0.610.000.000.04-0.100.110.17-0.290.290.270.330.370.461.00-0.60-0.540.62
PSQ-0.900.00-0.00-0.030.13-0.17-0.160.45-0.37-0.38-0.35-0.52-0.45-0.601.000.74-0.67
DOG-0.920.000.02-0.020.14-0.22-0.300.46-0.35-0.40-0.52-0.52-0.55-0.540.741.00-0.73
Portfolio0.760.000.160.04-0.020.230.37-0.220.500.640.640.560.580.62-0.67-0.731.00
The correlation results are calculated based on daily price changes starting from Sep 14, 2011
Go to the full Correlations tool for more customization options