ETFs
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in ETFs, 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 Quarterly
The earliest data available for this chart is Jun 17, 2016, corresponding to the inception date of FALN
Returns
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| ETFs | 0.48% | 9.79% | -4.59% | -6.85% | -0.01% | N/A |
| Portfolio components: | ||||||
TLT iShares 20+ Year Treasury Bond ETF | -2.06% | 5.89% | -5.54% | -10.46% | -2.28% | 1.48% |
TMF Direxion Daily 20-Year Treasury Bull 3X | -25.15% | 16.42% | -26.05% | -43.83% | -20.41% | -6.68% |
SPY SPDR S&P 500 ETF | 21.67% | 5.25% | 7.82% | 17.97% | 13.69% | 11.83% |
EDV Vanguard Extended Duration Treasury ETF | -3.96% | 8.49% | -7.89% | -15.49% | -3.56% | 1.96% |
FALN iShares Fallen Angels USD Bond ETF | 10.72% | 3.47% | 6.30% | 9.98% | 5.86% | N/A |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -3.60% | 1.84% | -2.24% | -3.87% | -9.46% | -6.56% | 13.20% |
Dividend yield
ETFs granted a 3.10% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ETFs | 3.10% | 2.57% | 1.61% | 2.83% | 2.59% | 2.74% | 2.84% | 2.70% | 1.78% | 1.53% | 2.03% | 2.48% |
| Portfolio components: | ||||||||||||
TLT iShares 20+ Year Treasury Bond ETF | 3.48% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% | 2.68% |
TMF Direxion Daily 20-Year Treasury Bull 3X | 0.32% | 0.16% | 0.01% | 0.42% | 0.09% | 0.15% | 0.04% | 0.00% | 0.00% | 0.00% | 0.06% | 0.02% |
SPY SPDR S&P 500 ETF | 1.41% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% | 2.18% |
EDV Vanguard Extended Duration Treasury ETF | 4.93% | 3.28% | 1.95% | 5.54% | 3.51% | 2.90% | 2.92% | 5.32% | 4.24% | 3.12% | 5.03% | 7.54% |
FALN iShares Fallen Angels USD Bond ETF | 5.37% | 5.08% | 3.40% | 5.14% | 5.35% | 5.97% | 6.98% | 3.55% | 0.00% | 0.00% | 0.00% | 0.00% |
Expense Ratio
The ETFs has a high expense ratio of 0.33%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | -0.58 | ||||
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.82 | ||||
SPY SPDR S&P 500 ETF | 1.38 | ||||
EDV Vanguard Extended Duration Treasury ETF | -0.62 | ||||
FALN iShares Fallen Angels USD Bond ETF | 1.38 |
Asset Correlations Table
| FALN | SPY | EDV | TMF | TLT | |
|---|---|---|---|---|---|
| FALN | 1.00 | 0.63 | 0.13 | 0.12 | 0.12 |
| SPY | 0.63 | 1.00 | -0.15 | -0.16 | -0.16 |
| EDV | 0.13 | -0.15 | 1.00 | 0.99 | 0.99 |
| TMF | 0.12 | -0.16 | 0.99 | 1.00 | 1.00 |
| TLT | 0.12 | -0.16 | 0.99 | 1.00 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 49.56%, occurring on Oct 19, 2023. The portfolio has not yet recovered.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.56% | Aug 7, 2020 | 806 | Oct 19, 2023 | — | — | — |
| -24.64% | Mar 10, 2020 | 7 | Mar 18, 2020 | 83 | Jul 16, 2020 | 90 |
| -16.2% | Jul 11, 2016 | 111 | Dec 14, 2016 | 569 | Mar 22, 2019 | 680 |
| -8.19% | Sep 5, 2019 | 48 | Nov 11, 2019 | 51 | Jan 27, 2020 | 99 |
| -3.35% | Jul 5, 2019 | 5 | Jul 11, 2019 | 15 | Aug 1, 2019 | 20 |
Volatility Chart
The current ETFs volatility is 5.94%, 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.