1.54 10Y OMEGA RATIO uup without currency without btal

Asset Allocation

Position	Category/Sector	Target Weight
IAU iShares Gold Trust	Gold, Precious Metals	23%
MURGY Muenchener Rueckver Ges	Financial Services	20%
GSY Invesco Ultra Short Duration ETF	Ultrashort Bond	8%
NVDA NVIDIA Corporation	Technology	8%
NECB Northeast Community Bancorp, Inc.	Financial Services	8%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	Government Bonds, Long-Term Bond	6%
PGR The Progressive Corporation	Financial Services	6%
LLY Eli Lilly and Company	Healthcare	6%
TPL Texas Pacific Land Corporation	Energy	6%
CWST Casella Waste Systems, Inc.	Industrials	5%
FICO Fair Isaac Corporation	Technology	4%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 1.54 10Y OMEGA RATIO uup without currency without btal, 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 year.

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Returns By Period

As of Jun 6, 2026, the 1.54 10Y OMEGA RATIO uup without currency without btal returned -1.04% Year-To-Date and 25.02% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio 1.54 10Y OMEGA RATIO uup without currency without btal	0.44%	-3.03%	-1.04%	1.42%	8.20%	27.58%	23.87%	25.02%
Portfolio components:
CWST Casella Waste Systems, Inc.	2.69%	0.54%	-12.29%	-9.17%	-26.32%	-2.50%	5.40%	27.75%
FICO Fair Isaac Corporation	6.16%	7.22%	-28.59%	-31.42%	-31.98%	15.94%	19.71%	26.67%
GSY Invesco Ultra Short Duration ETF	0.04%	0.28%	1.61%	1.94%	4.52%	5.44%	3.65%	2.86%
IAU iShares Gold Trust	0.20%	-8.43%	0.26%	3.08%	30.27%	29.88%	17.71%	12.71%
LLY Eli Lilly and Company	1.57%	21.37%	7.29%	15.58%	50.32%	38.07%	39.75%	33.71%
MURGY Muenchener Rueckver Ges	0.81%	-12.76%	-18.26%	-13.05%	-18.32%	16.96%	16.63%	15.71%
NECB Northeast Community Bancorp, Inc.	1.83%	2.21%	12.47%	15.96%	16.71%	25.44%	19.31%	20.28%
NVDA NVIDIA Corporation	1.73%	-2.94%	12.01%	12.58%	47.43%	75.35%	64.54%	68.47%
PGR The Progressive Corporation	-1.84%	3.23%	-6.42%	-4.51%	-23.65%	18.74%	18.76%	23.25%
TPL Texas Pacific Land Corporation	1.63%	0.65%	38.29%	31.79%	7.42%	38.29%	19.99%	37.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Nov 5, 2009, 1.54 10Y OMEGA RATIO uup without currency without btal's average daily return is +0.08%, while the average monthly return is +1.58%. At this rate, an investment would double in approximately 3.7 years.

Historically, 69% of months were positive and 31% were negative. The best month was Nov 2022 with a return of +11.1%, while the worst month was Mar 2020 at -9.6%. The longest winning streak lasted 24 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 1.54 10Y OMEGA RATIO uup without currency without btal closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +8.4%, while the worst single day was Mar 12, 2020 at -7.5%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.36%	7.03%	-7.56%	0.13%	-1.82%	-0.60%							-1.04%
2025	3.93%	4.35%	2.39%	4.03%	-2.02%	1.47%	-1.75%	0.34%	3.77%	0.92%	3.27%	2.01%	24.92%
2024	2.38%	6.45%	6.46%	-2.40%	8.92%	4.46%	2.93%	5.84%	2.66%	2.01%	7.08%	-8.74%	43.64%
2023	6.84%	-1.31%	4.21%	2.18%	4.40%	4.37%	2.54%	3.75%	-4.75%	1.50%	7.61%	2.13%	38.30%
2022	-1.76%	-0.66%	2.98%	-6.82%	1.81%	-2.07%	3.36%	-0.90%	-2.93%	7.43%	11.06%	-1.02%	9.61%
2021	-2.16%	3.40%	5.58%	1.45%	1.72%	1.40%	-0.51%	2.50%	-5.17%	7.17%	0.97%	3.01%	20.48%

Benchmark Metrics

1.54 10Y OMEGA RATIO uup without currency without btal has an annualized alpha of 12.47%, beta of 0.55, and R2 of 0.56 versus S&P 500 Index. Calculated based on daily prices since November 05, 2009.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (82.50%) than losses (33.33%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 12.47% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.55 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 12.47%

Beta: 0.55

R²: 0.56

Upside Capture: 82.50%

Downside Capture: 33.33%

Expense Ratio

1.54 10Y OMEGA RATIO uup without currency without btal has an expense ratio of 0.08%, 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.

IAU

iShares Gold Trust

GSY

Invesco Ultra Short Duration ETF

ZROZ

PIMCO 25+ Year Zero Coupon US Treasury Index Fund

Return for Risk

Risk / Return Rank

1.54 10Y OMEGA RATIO uup without currency without btal ranks 8 for risk / return — in the bottom 8% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for 1.54 10Y OMEGA RATIO uup without currency without btal and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.70	1.94	-1.23
Sortino ratioReturn per unit of downside risk	1.03	2.63	-1.60
Omega ratioGain probability vs. loss probability	1.13	1.35	-0.22
Calmar ratioReturn relative to maximum drawdown	0.82	2.59	-1.77
Martin ratioReturn relative to average drawdown	2.09	11.84	-9.76
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CWST Casella Waste Systems, Inc.	13	-0.77	-1.00	0.88	-0.70	-1.20
FICO Fair Isaac Corporation	17	-0.63	-0.69	0.91	-0.62	-1.18
GSY Invesco Ultra Short Duration ETF	100	11.26	27.35	6.54	75.72	373.96
IAU iShares Gold Trust	33	1.14	1.52	1.23	1.52	3.80
LLY Eli Lilly and Company	77	1.33	1.90	1.26	2.14	5.32
MURGY Muenchener Rueckver Ges	10	-0.81	-1.01	0.88	-0.72	-1.64
NECB Northeast Community Bancorp, Inc.	61	0.71	1.21	1.14	1.01	2.06
NVDA NVIDIA Corporation	77	1.37	1.94	1.24	2.36	5.73
PGR The Progressive Corporation	6	-1.04	-1.41	0.84	-0.94	-1.43
TPL Texas Pacific Land Corporation	47	0.16	0.56	1.07	0.24	0.45

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

1.54 10Y OMEGA RATIO uup without currency without btal Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 0.70
5-Year: 1.81
10-Year: 1.90
All Time: 1.59

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.64 to 2.53, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of 1.54 10Y OMEGA RATIO uup without currency without btal compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

1.54 10Y OMEGA RATIO uup without currency without btal provided a 2.55% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.55%	1.87%	1.68%	1.40%	1.45%	1.33%	1.21%	1.30%	1.37%	2.69%	2.65%	1.64%
Portfolio components:
CWST Casella Waste Systems, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FICO Fair Isaac Corporation	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.01%	0.07%	0.08%
GSY Invesco Ultra Short Duration ETF	4.34%	4.56%	5.31%	4.95%	1.70%	0.58%	1.45%	2.71%	2.30%	1.80%	1.21%	1.17%
IAU iShares 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%
LLY Eli Lilly and Company	0.56%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%
MURGY Muenchener Rueckver Ges	5.38%	3.31%	3.21%	2.98%	3.73%	2.68%	2.50%	2.44%	3.39%	10.17%	9.45%	4.25%
NECB Northeast Community Bancorp, Inc.	4.00%	4.20%	2.29%	1.01%	2.82%	1.82%	1.09%	1.00%	1.08%	1.19%	1.52%	1.69%
NVDA NVIDIA Corporation	0.14%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%
PGR The Progressive Corporation	6.94%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%
TPL Texas Pacific Land Corporation	0.57%	0.74%	1.37%	0.83%	1.37%	0.88%	2.20%	0.22%	0.55%	0.30%	0.10%	0.22%

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 1.54 10Y OMEGA RATIO uup without currency without btal. 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 1.54 10Y OMEGA RATIO uup without currency without btal was 24.22%, occurring on Mar 20, 2020. Recovery took 70 trading sessions.

The current 1.54 10Y OMEGA RATIO uup without currency without btal drawdown is 10.06%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-24.22%Mar 2020	29d	3mo 12d	4mo 11dFeb 2020 - Jun 2020
Rate-hike selloffLate 2018	-14.64%Dec 2018	2mo 21d	2mo 21d	5mo 12dOct 2018 - Mar 2019
2011 correction2011	-11.31%Sep 2011	4mo 24d	4mo 4d	8mo 28dMay 2011 - Jan 2012
Bear market2022	-11.18%May 2022	1mo 9d	5mo 29d	7mo 8dMar 2022 - Nov 2022
2010 correction2010	-10.81%Jun 2010	1mo 25d	3mo 21d	5mo 16dApr 2010 - Sep 2010

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 11 assets, with an effective number of assets of 7.66, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	2.35	2.14	2.04	1.97	2.01

The portfolio has a diversification ratio of 2.01, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.

1.54 10Y OMEGA RATIO uup without currency without btal correlation to the S&P 500 Index

1.54 10Y OMEGA RATIO uup without currency without btal has a 0.53 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.53
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (10Y) Calculated over the trailing 10-year period	0.68
Correlation (All Time) Calculated using the full available price history since Nov 5, 2009	0.68

Benchmark Correlations

Correlation vs. S&P 500 Index. NVDA has the highest benchmark correlation at 0.61, while ZROZ has the lowest at -0.24.

-0.24

0.02

0.06

0.17

0.31

0.40

0.43

0.48

0.50

0.59

0.61

Portfolio Correlations

Correlation vs. 1.54 10Y OMEGA RATIO uup without currency without btal. MURGY has the highest portfolio correlation at 0.65, while ZROZ has the lowest at -0.03.

-0.03

0.08

0.28

0.38

0.39

0.42

0.43

0.44

0.51

0.59

0.65

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	GSY	IAU	NECB	ZROZ	TPL	LLY	CWST	PGR	NVDA	MURGY	FICO
GSY	1.00	0.11	0.01	0.14	0.01	0.03	0.02	-0.00	0.02	0.04	0.04
IAU	0.11	1.00	0.03	0.20	0.04	0.02	0.06	-0.01	0.02	0.11	0.04
NECB	0.01	0.03	1.00	0.00	0.10	0.03	0.09	0.06	0.07	0.12	0.11
ZROZ	0.14	0.20	0.00	1.00	-0.13	-0.09	-0.09	-0.18	-0.12	-0.18	-0.11
TPL	0.01	0.04	0.10	-0.13	1.00	0.10	0.16	0.17	0.19	0.18	0.18
LLY	0.03	0.02	0.03	-0.09	0.10	1.00	0.23	0.29	0.22	0.24	0.27
CWST	0.02	0.06	0.09	-0.09	0.16	0.23	1.00	0.28	0.20	0.26	0.32
PGR	-0.00	-0.01	0.06	-0.18	0.17	0.29	0.28	1.00	0.22	0.34	0.34
NVDA	0.02	0.02	0.07	-0.12	0.19	0.22	0.20	0.22	1.00	0.27	0.41
MURGY	0.04	0.11	0.12	-0.18	0.18	0.24	0.26	0.34	0.27	1.00	0.32
FICO	0.04	0.04	0.11	-0.11	0.18	0.27	0.32	0.34	0.41	0.32	1.00

The correlation results are calculated based on daily price changes starting from Nov 5, 2009

Diversification Analysis

Find what 1.54 10Y OMEGA RATIO uup without currency without btal is missing

See which holdings overlap, where 1.54 10Y OMEGA RATIO uup without currency without btal is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification