ETFs
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
EDV Vanguard Extended Duration Treasury ETF | Government Bonds | 20% |
FALN iShares Fallen Angels USD Bond ETF | High Yield Bonds | 20% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 20% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 20% |
TMF Direxion Daily 20-Year Treasury Bull 3X | Leveraged Bonds, Leveraged | 20% |
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Jun 17, 2016, corresponding to the inception date of FALN
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| ETFs | -1.25% | 2.99% | -6.86% | 0.03% | -7.78% | N/A |
| Portfolio components: | ||||||
TLT iShares 20+ Year Treasury Bond ETF | 1.08% | 1.10% | -3.86% | 0.64% | -9.36% | -0.54% |
TMF Direxion Daily 20-Year Treasury Bull 3X | -3.12% | 1.83% | -18.58% | -15.30% | -36.24% | -13.14% |
SPY SPDR S&P 500 ETF | -3.42% | 7.58% | -5.06% | 9.73% | 15.77% | 12.35% |
EDV Vanguard Extended Duration Treasury ETF | -1.39% | 1.71% | -8.18% | -3.20% | -13.56% | -1.59% |
FALN iShares Fallen Angels USD Bond ETF | -0.08% | 2.71% | -0.81% | 5.23% | 6.55% | N/A |
Monthly Returns
The table below presents the monthly returns of ETFs, 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 | 0.85% | 5.86% | -3.03% | -2.41% | -2.26% | -1.25% | |||||||
| 2024 | -2.30% | -1.47% | 1.64% | -8.17% | 4.01% | 2.16% | 4.17% | 2.76% | 2.57% | -6.27% | 3.27% | -7.13% | -5.79% |
| 2023 | 9.97% | -6.37% | 5.74% | 0.35% | -3.60% | 1.94% | -2.24% | -3.87% | -9.36% | -6.76% | 13.16% | 11.18% | 7.29% |
| 2022 | -5.95% | -2.84% | -4.83% | -12.50% | -2.36% | -4.51% | 5.07% | -6.11% | -11.18% | -4.79% | 9.07% | -4.29% | -38.22% |
| 2021 | -4.08% | -5.25% | -3.78% | 3.62% | 0.12% | 5.47% | 4.59% | 0.30% | -4.26% | 4.08% | 2.27% | -1.12% | 1.15% |
| 2020 | 8.42% | 5.22% | 1.24% | 6.15% | -0.27% | 0.95% | 7.32% | -3.94% | -0.45% | -3.84% | 4.95% | 0.11% | 27.96% |
| 2019 | 2.96% | -0.49% | 6.38% | -1.18% | 5.53% | 2.60% | 0.73% | 12.03% | -3.02% | -0.99% | 0.33% | -2.36% | 23.78% |
| 2018 | -2.00% | -4.70% | 2.44% | -2.26% | 2.44% | 0.80% | -0.69% | 2.05% | -2.87% | -5.10% | 1.66% | 4.13% | -4.51% |
| 2017 | 1.45% | 2.59% | -0.69% | 2.01% | 2.42% | 0.91% | -0.11% | 3.75% | -2.01% | 0.47% | 1.33% | 2.32% | 15.27% |
| 2016 | 3.23% | 3.43% | -0.64% | -1.53% | -5.00% | -7.52% | 0.68% | -7.61% |
Expense Ratio
ETFs has an expense ratio of 0.33%, 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 ETFs is 5, meaning it’s performing worse than 95% 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 | |
|---|---|---|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | 0.01 | 0.09 | 1.01 | -0.00 | -0.01 |
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.39 | -0.31 | 0.96 | -0.19 | -0.71 |
SPY SPDR S&P 500 ETF | 0.50 | 0.88 | 1.13 | 0.56 | 2.17 |
EDV Vanguard Extended Duration Treasury ETF | -0.19 | -0.14 | 0.98 | -0.07 | -0.37 |
FALN iShares Fallen Angels USD Bond ETF | 0.76 | 1.05 | 1.16 | 0.82 | 4.06 |
Loading data...
Dividends
Dividend yield
ETFs provided a 4.25% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.25% | 4.14% | 3.30% | 2.86% | 1.64% | 3.19% | 2.76% | 3.01% | 2.91% | 2.70% | 1.78% | 1.53% |
| Portfolio components: | ||||||||||||
TLT iShares 20+ Year Treasury Bond ETF | 4.35% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
TMF Direxion Daily 20-Year Treasury Bull 3X | 4.37% | 4.29% | 2.82% | 1.62% | 0.13% | 2.23% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.27% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
EDV Vanguard Extended Duration Treasury ETF | 4.81% | 4.65% | 3.55% | 3.28% | 1.95% | 5.54% | 3.51% | 2.90% | 2.92% | 5.32% | 4.24% | 3.12% |
FALN iShares Fallen Angels USD Bond ETF | 6.44% | 6.24% | 5.37% | 5.08% | 3.40% | 5.14% | 5.35% | 5.97% | 6.98% | 3.55% | 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.
Loading data...
Worst Drawdowns
The table below displays the maximum drawdowns of the ETFs. 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 ETFs was 49.40%, occurring on Oct 19, 2023. The portfolio has not yet recovered.
The current ETFs drawdown is 40.31%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.4% | Dec 6, 2021 | 471 | Oct 19, 2023 | — | — | — |
| -24.64% | Mar 10, 2020 | 7 | Mar 18, 2020 | 83 | Jul 16, 2020 | 90 |
| -17.64% | Aug 7, 2020 | 154 | Mar 18, 2021 | 181 | Dec 3, 2021 | 335 |
| -16.2% | Jul 11, 2016 | 111 | Dec 14, 2016 | 569 | Mar 22, 2019 | 680 |
| -8.15% | Sep 5, 2019 | 48 | Nov 11, 2019 | 51 | Jan 27, 2020 | 99 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | SPY | FALN | EDV | TLT | TMF | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 1.00 | 0.63 | -0.11 | -0.11 | -0.11 | 0.13 |
| SPY | 1.00 | 1.00 | 0.63 | -0.11 | -0.11 | -0.11 | 0.13 |
| FALN | 0.63 | 0.63 | 1.00 | 0.19 | 0.19 | 0.18 | 0.38 |
| EDV | -0.11 | -0.11 | 0.19 | 1.00 | 0.99 | 0.99 | 0.95 |
| TLT | -0.11 | -0.11 | 0.19 | 0.99 | 1.00 | 1.00 | 0.95 |
| TMF | -0.11 | -0.11 | 0.18 | 0.99 | 1.00 | 1.00 | 0.95 |
| Portfolio | 0.13 | 0.13 | 0.38 | 0.95 | 0.95 | 0.95 | 1.00 |