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CURRENT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

CURRENT

Last updated May 1, 2024

Asset Allocation

KMLM 20%TMF 20%UGL 20%BTC-USD 20%TQQQ 20%AlternativesAlternativesBondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin

20%

KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed

20%

TMF
Direxion Daily 20-Year Treasury Bull 3X		Leveraged Bonds, Leveraged

20%

TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged

20%

UGL
ProShares Ultra Gold		Leveraged Commodities, Leveraged, Gold

20%

S&P 500

Performance

Performance Chart

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

10.00%20.00%30.00%40.00%50.00%December2024FebruaryMarchApril
41.82%
37.25%
CURRENT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.57%-4.16%20.07%20.82%11.56%10.37%
CURRENT8.97%-7.08%32.94%30.06%N/AN/A
Portfolio components:
KMLM
KFA Mount Lucas Index Strategy ETF		8.05%3.15%-3.20%0.39%N/AN/A
TQQQ
ProShares UltraPro QQQ		4.39%-14.86%54.22%95.16%27.46%36.01%
TMF
Direxion Daily 20-Year Treasury Bull 3X		-31.54%-14.61%5.56%-47.80%-25.49%-10.87%
BTC-USD
Bitcoin		43.47%-13.01%71.11%111.42%61.50%63.74%
UGL
ProShares Ultra Gold		19.18%3.23%27.21%16.21%16.33%4.88%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.65%11.01%8.34%
20233.41%12.71%10.61%

Expense Ratio

CURRENT has a high expense ratio of 0.78%, 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.

TMF
Direxion Daily 20-Year Treasury Bull 3X
Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: 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%
UGL
ProShares Ultra Gold
Expense ratio chart for UGL: 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%
KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

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.

CURRENT
Sharpe ratio
The chart of Sharpe ratio for CURRENT, currently valued at 2.68, compared to the broader market-1.000.001.002.003.004.005.002.68
Sortino ratio
The chart of Sortino ratio for CURRENT, currently valued at 3.64, compared to the broader market-2.000.002.004.006.003.64
Omega ratio
The chart of Omega ratio for CURRENT, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for CURRENT, currently valued at 1.66, compared to the broader market0.002.004.006.008.0010.001.66
Martin ratio
The chart of Martin ratio for CURRENT, currently valued at 13.60, compared to the broader market0.0010.0020.0030.0040.0013.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.78, compared to the broader market-1.000.001.002.003.004.005.001.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.58, compared to the broader market-2.000.002.004.006.002.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.002.004.006.008.0010.001.36
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.92, compared to the broader market0.0010.0020.0030.0040.006.92
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KMLM
KFA Mount Lucas Index Strategy ETF		-0.08-0.031.000.15-0.11
TQQQ
ProShares UltraPro QQQ		1.311.841.223.717.21
TMF
Direxion Daily 20-Year Treasury Bull 3X		-0.57-0.580.940.58-1.39
BTC-USD
Bitcoin		4.764.381.500.0639.99
UGL
ProShares Ultra Gold		2.142.951.360.0111.68

Sharpe Ratio

The current CURRENT Sharpe ratio is 2.68. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.21 to 2.18, 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 CURRENT 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 Ratio1.001.502.002.503.00December2024FebruaryMarchApril
2.68
1.78
CURRENT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

CURRENT granted a 1.08% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
CURRENT1.08%0.82%2.06%1.41%0.10%0.20%0.32%0.08%0.00%0.00%0.01%0.11%
Portfolio components:
KMLM
KFA Mount Lucas Index Strategy ETF		0.00%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.34%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X		4.08%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UGL
ProShares Ultra Gold		0.00%0.00%0.00%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.

-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchApril
-16.59%
-4.16%
CURRENT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the CURRENT. 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 CURRENT was 53.51%, occurring on Nov 9, 2022. The portfolio has not yet recovered.

The current CURRENT drawdown is 16.59%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.51%Nov 10, 2021365Nov 9, 2022———
-12.5%Feb 22, 202111Mar 4, 202137Apr 10, 202148
-12.12%Sep 7, 202122Sep 28, 202120Oct 18, 202142
-9.95%Apr 16, 202134May 19, 202167Jul 25, 2021101
-6.21%Jan 9, 202119Jan 27, 202112Feb 8, 202131

Volatility

Volatility Chart

The current CURRENT volatility is 5.51%, 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%December2024FebruaryMarchApril
5.51%
3.95%
CURRENT
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.
BTC-USDUGLTQQQKMLMTMF
BTC-USD1.000.060.28-0.04-0.01
UGL0.061.000.09-0.120.27
TQQQ0.280.091.00-0.170.07
KMLM-0.04-0.12-0.171.00-0.35
TMF-0.010.270.07-0.351.00