Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Shares | Gold, Precious Metals | 33.33% |
SPY State Street SPDR S&P 500 ETF | S&P 500 | 33.33% |
TBT ProShares UltraShort 20+ Year Treasury | Leveraged Bonds, Leveraged | 33.33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Macro Sep-2025, 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.
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The earliest data available for this chart is May 1, 2008, corresponding to the inception date of TBT
Returns By Period
As of Apr 11, 2026, the Macro Sep-2025 returned 3.83% Year-To-Date and 11.65% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.16% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Macro Sep-2025 | 0.16% | -1.21% | 3.83% | 10.70% | 23.95% | 23.67% | 17.85% | 11.65% |
| Portfolio components: | ||||||||
SPY State Street SPDR S&P 500 ETF | -0.07% | 2.29% | -0.09% | 4.64% | 28.71% | 19.89% | 12.07% | 14.53% |
GLD SPDR Gold Shares | -0.18% | -6.37% | 10.30% | 18.42% | 46.72% | 32.89% | 21.77% | 13.80% |
TBT ProShares UltraShort 20+ Year Treasury | 0.77% | 1.11% | 1.05% | 8.74% | -0.91% | 13.20% | 13.94% | 1.41% |
Monthly Returns
Based on dividend-adjusted daily data since May 2, 2008, Macro Sep-2025's average daily return is +0.02%, while the average monthly return is +0.46%. At this rate, an investment would double in approximately 12.6 years.
Historically, 62% of months were positive and 38% were negative. The best month was Jan 2009 with a return of +8.2%, while the worst month was Sep 2011 at -13.4%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 7 months.
On a daily basis, Macro Sep-2025 closed higher 53% of trading days. The best single day was Mar 17, 2020 with a return of +5.7%, while the worst single day was Dec 1, 2008 at -7.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.71% | 0.18% | -3.00% | 2.04% | 3.83% | ||||||||
| 2025 | 3.04% | -3.00% | 2.40% | 2.28% | 4.59% | 0.22% | 1.53% | 2.59% | 3.09% | 1.23% | 1.97% | 2.89% | 25.12% |
| 2024 | 1.86% | 3.78% | 3.54% | 4.66% | 0.31% | 0.02% | 0.13% | 0.25% | 1.66% | 5.44% | -0.42% | 3.71% | 27.71% |
| 2023 | -0.68% | 0.47% | 0.84% | 0.70% | 1.82% | 1.57% | 3.82% | 1.38% | 3.42% | 5.45% | -2.30% | -2.37% | 14.74% |
| 2022 | 0.16% | 1.97% | 5.15% | 3.50% | 0.30% | -2.01% | 0.44% | 0.38% | 1.78% | 6.53% | -0.39% | 0.47% | 19.52% |
| 2021 | 0.93% | 3.01% | 5.30% | 1.31% | 2.83% | -4.53% | -0.92% | 1.00% | -0.99% | 1.03% | -2.44% | 3.85% | 10.42% |
Benchmark Metrics
Macro Sep-2025 has an annualized alpha of 0.73%, beta of 0.48, and R² of 0.47 versus S&P 500 Index. Calculated based on daily prices since May 02, 2008.
- This portfolio participated in 37.36% of S&P 500 Index downside but only 35.40% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.48 may look defensive, but with R² of 0.47 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.47 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 0.73%
- Beta
- 0.48
- R²
- 0.47
- Upside Capture
- 35.40%
- Downside Capture
- 37.36%
Expense Ratio
Macro Sep-2025 has an expense ratio of 0.47%, 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.
Return for Risk
Risk / Return Rank
Macro Sep-2025 ranks 32 for risk / return — below 32% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.06 | 2.23 | -0.17 |
Sortino ratioReturn per unit of downside risk | 2.68 | 3.12 | -0.43 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.42 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 3.72 | 4.05 | -0.33 |
Martin ratioReturn relative to average drawdown | 13.33 | 17.91 | -4.58 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 66 | 2.35 | 3.26 | 1.44 | 4.32 | 18.78 |
GLD SPDR Gold Shares | 39 | 1.82 | 2.24 | 1.34 | 3.06 | 10.54 |
TBT ProShares UltraShort 20+ Year Treasury | 7 | -0.09 | 0.02 | 1.00 | 0.15 | 0.28 |
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Dividends
Dividend yield
Macro Sep-2025 provided a 1.35% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.35% | 1.43% | 1.95% | 2.13% | 0.69% | 0.40% | 0.61% | 1.29% | 1.01% | 0.60% | 0.68% | 0.69% |
| Portfolio components: | ||||||||||||
SPY State Street SPDR S&P 500 ETF | 1.09% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TBT ProShares UltraShort 20+ Year Treasury | 2.95% | 3.21% | 4.64% | 4.98% | 0.42% | 0.00% | 0.32% | 2.12% | 0.99% | 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 Macro Sep-2025. 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 Macro Sep-2025 was 32.25%, occurring on Dec 23, 2008. Recovery took 533 trading sessions.
The current Macro Sep-2025 drawdown is 4.45%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.25% | May 29, 2008 | 146 | Dec 23, 2008 | 533 | Feb 4, 2011 | 679 |
| -29.43% | May 2, 2011 | 2238 | Mar 23, 2020 | 248 | Mar 17, 2021 | 2486 |
| -8.57% | Jan 30, 2026 | 39 | Mar 26, 2026 | — | — | — |
| -8.17% | Feb 20, 2025 | 32 | Apr 4, 2025 | 10 | Apr 21, 2025 | 42 |
| -7.85% | Oct 25, 2022 | 37 | Dec 15, 2022 | 82 | Apr 17, 2023 | 119 |
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 3 assets, with an effective number of assets of 3.00, 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
| Benchmark | GLD | TBT | SPY | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.05 | 0.26 | 1.00 | 0.59 |
| GLD | 0.05 | 1.00 | -0.20 | 0.05 | 0.25 |
| TBT | 0.26 | -0.20 | 1.00 | 0.26 | 0.78 |
| SPY | 1.00 | 0.05 | 0.26 | 1.00 | 0.59 |
| Portfolio | 0.59 | 0.25 | 0.78 | 0.59 | 1.00 |