Fake Alpha
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Trust | Precious Metals, Gold | 20% |
IWM iShares Russell 2000 ETF | Small Cap Growth Equities | 20% |
SCHG Schwab U.S. Large-Cap Growth ETF | Large Cap Growth Equities | 20% |
XLE Energy Select Sector SPDR Fund | Energy Equities | 20% |
XLV Health Care Select Sector SPDR Fund | Health & Biotech Equities | 20% |
Performance
Performance Chart
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The earliest data available for this chart is Dec 11, 2009, corresponding to the inception date of SCHG
Returns By Period
As of May 22, 2025, the Fake Alpha returned -1.32% Year-To-Date and 9.63% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.63% | 13.31% | -1.23% | 9.83% | 14.61% | 10.64% |
| Fake Alpha | -1.32% | 8.20% | -3.31% | 4.82% | 13.57% | 9.63% |
| Portfolio components: | ||||||
SCHG Schwab U.S. Large-Cap Growth ETF | -2.41% | 18.03% | -0.63% | 14.19% | 18.41% | 15.60% |
GLD SPDR Gold Trust | 26.30% | -3.10% | 25.02% | 36.39% | 13.38% | 10.22% |
XLE Energy Select Sector SPDR Fund | -3.47% | 3.38% | -13.45% | -9.73% | 21.25% | 4.26% |
XLV Health Care Select Sector SPDR Fund | -3.98% | -0.75% | -7.13% | -8.58% | 7.40% | 7.54% |
IWM iShares Russell 2000 ETF | -7.83% | 11.20% | -11.54% | -1.34% | 9.91% | 6.42% |
Monthly Returns
The table below presents the monthly returns of Fake Alpha, 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 | 3.66% | -1.69% | -3.45% | -1.74% | 2.06% | -1.32% | |||||||
| 2024 | 0.77% | 4.74% | 3.81% | -3.85% | 3.79% | 2.61% | 2.79% | 1.55% | 0.78% | -1.13% | 5.31% | -4.03% | 17.95% |
| 2023 | 5.00% | -3.42% | 2.73% | 1.39% | -0.74% | 5.54% | 3.74% | -1.41% | -3.78% | -2.81% | 7.00% | 4.99% | 18.90% |
| 2022 | -5.94% | -0.32% | 4.38% | -8.16% | 1.01% | -7.10% | 7.81% | -3.63% | -7.22% | 9.20% | 3.83% | -4.41% | -11.89% |
| 2021 | 1.15% | 1.80% | 2.00% | 4.36% | 1.04% | 2.83% | 1.17% | 2.36% | -3.77% | 6.33% | -2.10% | 3.85% | 22.68% |
| 2020 | -1.33% | -7.29% | -12.00% | 13.99% | 4.97% | 1.47% | 5.59% | 5.03% | -3.97% | -1.85% | 10.33% | 5.45% | 18.86% |
| 2019 | 7.96% | 2.62% | 0.44% | 1.25% | -5.40% | 7.26% | 0.08% | -1.76% | 0.57% | 2.98% | 3.48% | 3.27% | 24.39% |
| 2018 | 5.01% | -4.50% | -0.87% | 1.79% | 2.89% | 0.65% | 2.80% | 2.92% | 0.62% | -8.15% | 2.75% | -8.89% | -4.07% |
| 2017 | 1.53% | 3.12% | -0.21% | 1.00% | -0.19% | 1.82% | 1.68% | 0.15% | 2.94% | 0.56% | 2.56% | 0.91% | 16.98% |
| 2016 | -5.82% | 0.75% | 5.44% | 2.95% | 0.69% | 1.38% | 3.86% | -0.58% | 0.87% | -4.18% | 4.05% | 1.17% | 10.47% |
| 2015 | -0.52% | 3.99% | -0.05% | 0.11% | 1.25% | -0.98% | -0.67% | -5.40% | -4.79% | 7.25% | -0.02% | -2.88% | -3.32% |
| 2014 | -1.71% | 5.45% | -0.61% | 0.08% | 1.51% | 4.07% | -2.71% | 3.61% | -3.88% | 2.31% | -0.06% | 0.29% | 8.23% |
Expense Ratio
Fake Alpha has an expense ratio of 0.18%, which is considered low. 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 Fake Alpha is 14, meaning it’s performing worse than 86% 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 | |
|---|---|---|---|---|---|
SCHG Schwab U.S. Large-Cap Growth ETF | 0.57 | 1.00 | 1.14 | 0.65 | 2.15 |
GLD SPDR Gold Trust | 2.05 | 2.77 | 1.35 | 4.52 | 11.49 |
XLE Energy Select Sector SPDR Fund | -0.39 | -0.41 | 0.94 | -0.53 | -1.40 |
XLV Health Care Select Sector SPDR Fund | -0.54 | -0.64 | 0.92 | -0.50 | -1.24 |
IWM iShares Russell 2000 ETF | -0.06 | 0.10 | 1.01 | -0.04 | -0.13 |
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Dividends
Dividend yield
Fake Alpha provided a 1.38% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.38% | 1.31% | 1.39% | 1.44% | 1.38% | 1.74% | 2.00% | 1.56% | 1.36% | 1.26% | 1.52% | 1.21% |
| Portfolio components: | ||||||||||||
SCHG Schwab U.S. Large-Cap Growth ETF | 0.42% | 0.40% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% | 1.09% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLE Energy Select Sector SPDR Fund | 3.48% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% |
XLV Health Care Select Sector SPDR Fund | 1.78% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% | 1.35% |
IWM iShares Russell 2000 ETF | 1.21% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% |
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 Fake Alpha. 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 Fake Alpha was 32.37%, occurring on Mar 23, 2020. Recovery took 92 trading sessions.
The current Fake Alpha drawdown is 6.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.37% | Feb 20, 2020 | 23 | Mar 23, 2020 | 92 | Aug 3, 2020 | 115 |
| -19.54% | Nov 9, 2021 | 221 | Sep 26, 2022 | 211 | Jul 31, 2023 | 432 |
| -19.21% | Oct 2, 2018 | 58 | Dec 24, 2018 | 213 | Oct 29, 2019 | 271 |
| -18.17% | Jun 24, 2015 | 161 | Feb 11, 2016 | 128 | Aug 15, 2016 | 289 |
| -17.43% | Jul 25, 2011 | 50 | Oct 3, 2011 | 85 | Feb 3, 2012 | 135 |
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 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 | GLD | XLE | XLV | IWM | SCHG | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.04 | 0.61 | 0.75 | 0.85 | 0.95 | 0.94 |
| GLD | 0.04 | 1.00 | 0.11 | 0.03 | 0.05 | 0.04 | 0.19 |
| XLE | 0.61 | 0.11 | 1.00 | 0.43 | 0.63 | 0.50 | 0.69 |
| XLV | 0.75 | 0.03 | 0.43 | 1.00 | 0.64 | 0.69 | 0.78 |
| IWM | 0.85 | 0.05 | 0.63 | 0.64 | 1.00 | 0.79 | 0.89 |
| SCHG | 0.95 | 0.04 | 0.50 | 0.69 | 0.79 | 1.00 | 0.90 |
| Portfolio | 0.94 | 0.19 | 0.69 | 0.78 | 0.89 | 0.90 | 1.00 |