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test

Last updated Nov 15, 2024

test

Asset Allocation

JAAA 5%USCI 7%VONE 12%GABF 12%XFLT 11%OUSM 10%SDOG 10%PGZ 5%ATMP 5%PUTW 5%REZ 10%SVOL 8%BondBondCommodityCommodityEquityEquityMulti-AssetMulti-AssetReal EstateReal EstateVolatilityVolatility
PositionCategory/SectorWeight
ATMP
Barclays ETN+ Select MLP ETN		MLPs
5%
GABF
Gabelli Financial Services Opportunities ETF		Financials Equities
12%
JAAA
Janus Henderson AAA CLO ETF		Ultrashort Bond
5%
OUSM
OShares U.S. Small-Cap Quality Dividend ETF		Small Cap Blend Equities, Dividend
10%
PGZ
Principal Real Estate Income Fund		Financial Services
5%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		Hedge Fund
5%
REZ
iShares Residential Real Estate ETF		REIT
10%
SDOG
ALPS Sector Dividend Dogs ETF		Large Cap Value Equities, Dividend
10%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
8%
USCI
United States Commodity Index Fund		Commodities
7%
VONE
Vanguard Russell 1000 ETF		Large Cap Blend Equities
12%
XFLT
XAI Octagon Floating Rate & Alternative Income Term Trust		Financial Services
11%

Performance

Performance Chart

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.42%
12.31%
test
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 9, 2022, corresponding to the inception date of GABF

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%
test21.42%1.99%11.42%28.70%N/AN/A
Portfolio components:
VONE
Vanguard Russell 1000 ETF		25.71%2.62%13.15%34.08%15.35%13.04%
GABF
Gabelli Financial Services Opportunities ETF		47.60%6.65%26.50%64.88%N/AN/A
OUSM
OShares U.S. Small-Cap Quality Dividend ETF		18.47%1.98%9.59%29.03%11.63%N/A
SDOG
ALPS Sector Dividend Dogs ETF		19.23%-0.54%11.28%30.53%9.60%8.48%
REZ
iShares Residential Real Estate ETF		18.99%-0.86%15.83%32.61%5.22%7.64%
PGZ
Principal Real Estate Income Fund		22.97%-3.61%9.11%28.68%-3.89%3.40%
ATMP
Barclays ETN+ Select MLP ETN		37.48%6.08%17.64%39.46%20.45%6.12%
USCI
United States Commodity Index Fund		12.51%1.16%3.11%7.56%12.00%1.56%
JAAA
Janus Henderson AAA CLO ETF		6.58%0.66%3.43%8.02%N/AN/A
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		18.20%2.55%8.59%21.97%8.92%N/A
SVOL
Simplify Volatility Premium ETF		9.41%2.26%3.18%12.32%N/AN/A
XFLT
XAI Octagon Floating Rate & Alternative Income Term Trust		10.40%2.04%4.64%13.66%8.62%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.19%2.24%3.63%-2.34%3.67%1.28%3.42%2.27%1.35%0.12%21.42%
20237.82%-2.34%-1.62%1.35%-1.75%5.54%3.43%-0.70%-2.46%-2.19%6.29%4.82%18.84%
20223.34%-7.66%6.26%-2.32%-9.16%6.38%5.23%-4.00%-3.30%

Expense Ratio

test features an expense ratio of 0.35%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

USCI
United States Commodity Index Fund
Expense ratio chart for USCI: current value at 1.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.03%
ATMP
Barclays ETN+ Select MLP ETN
Expense ratio chart for ATMP: 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%
SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
OUSM
OShares U.S. Small-Cap Quality Dividend ETF
Expense ratio chart for OUSM: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
REZ
iShares Residential Real Estate ETF
Expense ratio chart for REZ: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
Expense ratio chart for PUTW: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
SDOG
ALPS Sector Dividend Dogs ETF
Expense ratio chart for SDOG: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
JAAA
Janus Henderson AAA CLO ETF
Expense ratio chart for JAAA: current value at 0.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.21%
GABF
Gabelli Financial Services Opportunities ETF
Expense ratio chart for GABF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VONE
Vanguard Russell 1000 ETF
Expense ratio chart for VONE: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of test is 94, placing it in the top 6% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of test is 9494
Combined Rank
The Sharpe Ratio Rank of test is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of test is 9393Sortino Ratio Rank
The Omega Ratio Rank of test is 9595Omega Ratio Rank
The Calmar Ratio Rank of test is 9292Calmar Ratio Rank
The Martin Ratio Rank of test is 9696Martin 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.

test
Sharpe ratio
The chart of Sharpe ratio for test, currently valued at 3.35, compared to the broader market0.002.004.006.003.35
Sortino ratio
The chart of Sortino ratio for test, currently valued at 4.55, compared to the broader market-2.000.002.004.006.004.55
Omega ratio
The chart of Omega ratio for test, currently valued at 1.65, compared to the broader market0.801.001.201.401.601.802.001.65
Calmar ratio
The chart of Calmar ratio for test, currently valued at 5.85, compared to the broader market0.005.0010.0015.005.85
Martin ratio
The chart of Martin ratio for test, currently valued at 28.59, compared to the broader market0.0010.0020.0030.0040.0050.0028.59
^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
VONE
Vanguard Russell 1000 ETF		2.793.711.523.9918.08
GABF
Gabelli Financial Services Opportunities ETF		3.895.161.706.6431.68
OUSM
OShares U.S. Small-Cap Quality Dividend ETF		2.032.931.354.1112.22
SDOG
ALPS Sector Dividend Dogs ETF		2.523.561.442.2516.82
REZ
iShares Residential Real Estate ETF		1.962.741.331.478.66
PGZ
Principal Real Estate Income Fund		2.363.461.431.2013.69
ATMP
Barclays ETN+ Select MLP ETN		2.974.061.535.8519.22
USCI
United States Commodity Index Fund		0.570.861.100.652.06
JAAA
Janus Henderson AAA CLO ETF		10.4922.496.8324.51247.88
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		2.433.241.512.9114.20
SVOL
Simplify Volatility Premium ETF		1.031.401.261.137.37
XFLT
XAI Octagon Floating Rate & Alternative Income Term Trust		1.341.861.281.793.76

Sharpe Ratio

The current test Sharpe ratio is 3.35. 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 test 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.35
2.66
test
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

test provided a 5.88% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio5.88%6.16%5.43%3.10%3.56%3.00%3.56%2.20%2.05%1.83%1.48%1.28%
Portfolio components:
VONE
Vanguard Russell 1000 ETF		1.21%1.40%1.59%1.16%1.45%1.66%1.96%1.69%1.89%1.89%1.68%1.70%
GABF
Gabelli Financial Services Opportunities ETF		3.35%4.95%1.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
OUSM
OShares U.S. Small-Cap Quality Dividend ETF		1.27%1.64%1.99%1.55%2.02%1.99%2.62%2.17%0.00%0.00%0.00%0.00%
SDOG
ALPS Sector Dividend Dogs ETF		3.71%4.30%3.86%3.62%3.62%3.37%4.03%3.27%3.32%3.61%3.36%3.45%
REZ
iShares Residential Real Estate ETF		2.22%2.94%3.37%1.81%3.17%2.90%3.63%3.57%5.54%3.18%3.13%3.92%
PGZ
Principal Real Estate Income Fund		12.12%13.33%11.86%6.33%10.34%6.25%7.98%9.51%10.90%10.40%8.98%3.96%
ATMP
Barclays ETN+ Select MLP ETN		4.55%5.62%5.50%8.75%14.62%8.48%6.51%5.56%5.47%8.02%3.56%2.89%
USCI
United States Commodity Index Fund		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JAAA
Janus Henderson AAA CLO ETF		6.39%6.10%2.77%1.21%0.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PUTW
WisdomTree CBOE S&P 500 PutWrite Strategy Fund		11.00%8.94%3.27%0.00%1.43%1.47%6.46%3.52%2.27%0.00%0.00%0.00%
SVOL
Simplify Volatility Premium ETF		16.34%16.37%18.31%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XFLT
XAI Octagon Floating Rate & Alternative Income Term Trust		14.59%13.61%13.86%9.82%10.64%10.63%11.33%1.47%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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-0.87%
test
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the test. 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 test was 13.97%, occurring on Sep 30, 2022. Recovery took 84 trading sessions.

The current test drawdown is 1.05%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.97%Aug 17, 202232Sep 30, 202284Feb 1, 2023116
-9.85%Jun 8, 20227Jun 16, 202239Aug 12, 202246
-9.44%Feb 3, 202334Mar 23, 202374Jul 11, 2023108
-6.61%Jul 27, 202366Oct 27, 202322Nov 29, 202388
-4.9%Aug 1, 20243Aug 5, 202410Aug 19, 202413

Volatility

Volatility Chart

The current test volatility is 2.73%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.73%
3.81%
test
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.
JAAAUSCIXFLTPGZSVOLATMPREZPUTWGABFSDOGVONEOUSM
JAAA1.000.120.080.070.060.090.100.080.090.120.070.11
USCI0.121.000.070.110.140.410.130.170.220.260.230.22
XFLT0.080.071.000.190.240.220.180.240.220.250.260.26
PGZ0.070.110.191.000.370.360.560.400.430.480.450.50
SVOL0.060.140.240.371.000.380.430.600.560.500.660.56
ATMP0.090.410.220.360.381.000.420.430.550.630.500.56
REZ0.100.130.180.560.430.421.000.530.560.660.580.65
PUTW0.080.170.240.400.600.430.531.000.660.620.830.68
GABF0.090.220.220.430.560.550.560.661.000.770.790.84
SDOG0.120.260.250.480.500.630.660.620.771.000.750.87
VONE0.070.230.260.450.660.500.580.830.790.751.000.83
OUSM0.110.220.260.500.560.560.650.680.840.870.831.00
The correlation results are calculated based on daily price changes starting from May 10, 2022