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Schd
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Risk-Adjusted Performance
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Schd

Last updated Nov 14, 2024

Asset Allocation

QQQ 50%BITO 10%JEPQ 10%GLDI 10%USOI 10%SLVO 10%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BITO
ProShares Bitcoin Strategy ETF		Technology Equities, Actively Managed, Blockchain
10%
GLDI
Credit Suisse X-Links Gold Shares Covered Call ETN		Precious Metals
10%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
10%
QQQ
Invesco QQQ		Large Cap Blend Equities
50%
SLVO
Credit Suisse X-Links Silver Shares Covered Call ETN		Precious Metals
10%
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN		Commodities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Schd, 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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.98%
12.32%
Schd
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 4, 2022, corresponding to the inception date of JEPQ

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
Schd29.24%4.88%11.98%35.70%N/AN/A
Portfolio components:
GLDI
Credit Suisse X-Links Gold Shares Covered Call ETN		15.57%-2.42%7.19%20.94%8.78%5.71%
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN		8.71%0.64%-3.63%2.61%-7.65%N/A
SLVO
Credit Suisse X-Links Silver Shares Covered Call ETN		23.95%-1.89%7.64%26.44%8.44%3.84%
BITO
ProShares Bitcoin Strategy ETF		95.84%30.09%30.56%114.14%N/AN/A
QQQ
Invesco QQQ		24.75%3.63%12.88%32.82%21.02%18.32%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		23.12%4.02%10.33%27.93%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.46%7.93%4.23%-4.33%5.85%2.80%0.01%-0.42%2.81%1.65%29.24%
202310.62%-1.53%9.25%1.07%2.23%4.86%3.83%-1.59%-3.30%2.00%7.75%3.80%45.35%
2022-5.86%-10.07%9.42%-6.56%-7.18%4.08%3.63%-4.65%-17.39%

Expense Ratio

Schd features an expense ratio of 0.44%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BITO
ProShares Bitcoin Strategy ETF
Expense ratio chart for BITO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
Expense ratio chart for USOI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
GLDI
Credit Suisse X-Links Gold Shares Covered Call ETN
Expense ratio chart for GLDI: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
SLVO
Credit Suisse X-Links Silver Shares Covered Call ETN
Expense ratio chart for SLVO: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Schd is 56, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Schd is 5656
Combined Rank
The Sharpe Ratio Rank of Schd is 6464Sharpe Ratio Rank
The Sortino Ratio Rank of Schd is 5656Sortino Ratio Rank
The Omega Ratio Rank of Schd is 6161Omega Ratio Rank
The Calmar Ratio Rank of Schd is 5555Calmar Ratio Rank
The Martin Ratio Rank of Schd is 4343Martin 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.

Schd
Sharpe ratio
The chart of Sharpe ratio for Schd, currently valued at 2.61, compared to the broader market0.002.004.006.002.61
Sortino ratio
The chart of Sortino ratio for Schd, currently valued at 3.40, compared to the broader market-2.000.002.004.006.003.40
Omega ratio
The chart of Omega ratio for Schd, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.802.001.46
Calmar ratio
The chart of Calmar ratio for Schd, currently valued at 3.37, compared to the broader market0.005.0010.0015.003.37
Martin ratio
The chart of Martin ratio for Schd, currently valued at 13.33, compared to the broader market0.0010.0020.0030.0040.0050.0013.33
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GLDI
Credit Suisse X-Links Gold Shares Covered Call ETN		2.222.931.424.1416.37
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN		0.050.211.030.060.19
SLVO
Credit Suisse X-Links Silver Shares Covered Call ETN		1.441.991.262.225.91
BITO
ProShares Bitcoin Strategy ETF		2.232.801.334.359.58
QQQ
Invesco QQQ		1.912.551.352.438.85
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.292.991.472.6011.26

Sharpe Ratio

The current Schd Sharpe ratio is 2.75. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.86 to 2.74, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Schd with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.61
2.66
Schd
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Schd provided a 11.39% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio11.39%8.15%8.73%5.87%11.03%3.54%2.91%2.73%4.07%3.03%3.59%2.78%
Portfolio components:
GLDI
Credit Suisse X-Links Gold Shares Covered Call ETN		11.38%10.02%13.72%10.65%14.25%7.24%5.34%7.77%17.26%10.06%12.36%11.33%
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN		20.96%26.72%42.78%20.48%67.99%17.11%13.08%6.31%0.00%0.00%0.00%0.00%
SLVO
Credit Suisse X-Links Silver Shares Covered Call ETN		17.51%16.50%17.33%25.41%25.30%7.31%6.11%9.06%18.16%15.26%16.48%11.39%
BITO
ProShares Bitcoin Strategy ETF		51.71%15.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ		0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.37%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.83%
-0.87%
Schd
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Schd. 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 Schd was 20.56%, occurring on Oct 14, 2022. Recovery took 148 trading sessions.

The current Schd drawdown is 0.27%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.56%May 5, 2022113Oct 14, 2022148May 18, 2023261
-10.96%Jul 17, 202414Aug 5, 202449Oct 14, 202463
-6.27%Apr 12, 202414May 1, 202410May 15, 202424
-6.01%Jul 20, 202355Oct 5, 202322Nov 6, 202377
-2.65%Dec 28, 20235Jan 4, 202410Jan 19, 202415

Volatility

Volatility Chart

The current Schd volatility is 4.04%, 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.

2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.04%
3.81%
Schd
Benchmark (^GSPC)
Portfolio components

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.
USOIBITOGLDISLVOJEPQQQQ
USOI1.000.070.170.210.090.09
BITO0.071.000.130.180.360.36
GLDI0.170.131.000.700.150.17
SLVO0.210.180.701.000.210.23
JEPQ0.090.360.150.211.000.97
QQQ0.090.360.170.230.971.00
The correlation results are calculated based on daily price changes starting from May 5, 2022