1.54 10Y OMEGA RATIO uup wo currency

Asset Allocation

Position	Category/Sector	Target Weight
IAU iShares Gold Trust	Gold, Precious Metals	17%
MURGY Muenchener Rueckver Ges	Financial Services	17%
BTAL AGF U.S. Market Neutral Anti-Beta Fund	Equity Market Neutral, Long-Short	12%
GSY Invesco Ultra Short Duration ETF	Ultrashort Bond	8%
NVDA NVIDIA Corporation	Technology	8%
NECB Northeast Community Bancorp, Inc.	Financial Services	8%
LLY Eli Lilly and Company	Healthcare	7%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	Government Bonds, Long-Term Bond	5.50%
TPL Texas Pacific Land Corporation	Energy	5%
CWST Casella Waste Systems, Inc.	Industrials	5%
PGR The Progressive Corporation	Financial Services	4%
FICO Fair Isaac Corporation	Technology	3.50%

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 wo currency, 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 Jul 21, 2026, the 1.54 10Y OMEGA RATIO uup wo currency returned -0.40% Year-To-Date and 22.39% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	-0.19%	-0.76%	7.25%	8.73%	18.21%	17.95%	11.30%	13.09%	8.08%
Portfolio 1.54 10Y OMEGA RATIO uup wo currency	-0.44%	3.73%	-0.54%	-0.40%	6.45%	22.24%	22.00%	22.39%	18.95%
Portfolio components:
BTAL AGF U.S. Market Neutral Anti-Beta Fund	0.00%	10.49%	-12.25%	-15.84%	-25.57%	-9.44%	-4.30%	-4.60%	-3.86%
CWST Casella Waste Systems, Inc.	-2.23%	7.58%	-11.85%	-4.46%	-13.31%	2.21%	7.32%	26.34%	5.05%
FICO Fair Isaac Corporation	0.53%	15.26%	-19.36%	-25.24%	-18.02%	14.38%	18.50%	26.66%	20.55%
GSY Invesco Ultra Short Duration ETF	0.02%	0.35%	1.91%	2.11%	4.34%	5.39%	3.75%	2.88%	1.96%
IAU iShares Gold Trust	-0.20%	-5.02%	-12.66%	-7.17%	19.36%	26.56%	17.02%	11.43%	10.67%
LLY Eli Lilly and Company	-2.73%	4.40%	10.82%	7.08%	49.67%	36.36%	38.34%	32.37%	16.05%
MURGY Muenchener Rueckver Ges	-0.42%	11.24%	0.96%	-6.54%	-7.52%	20.20%	21.53%	18.87%	15.07%
NECB Northeast Community Bancorp, Inc.	0.94%	4.91%	18.43%	21.49%	21.09%	23.35%	24.33%	21.59%	8.18%
NVDA NVIDIA Corporation	0.23%	-3.52%	9.29%	9.13%	18.06%	66.27%	60.07%	65.23%	36.39%
PGR The Progressive Corporation	2.06%	3.64%	4.97%	-0.79%	-8.28%	23.12%	20.34%	23.82%	16.86%

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

Monthly Returns

Based on dividend-adjusted daily data since Sep 13, 2011, 1.54 10Y OMEGA RATIO uup wo currency's average daily return is +0.07%, while the average monthly return is +1.49%. At this rate, an investment would double in approximately 3.9 years.

Historically, 72% of months were positive and 28% were negative. The best month was Nov 2022 with a return of +9.4%, while the worst month was Dec 2024 at -7.7%. 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 wo currency closed higher 57% of trading days. The best single day was Mar 24, 2020 with a return of +7.0%, while the worst single day was Mar 12, 2020 at -6.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.59%	5.51%	-6.64%	-0.91%	-1.79%	2.14%	0.14%						-0.40%
2025	2.87%	4.70%	2.25%	3.16%	-2.51%	0.75%	-2.22%	0.06%	2.78%	0.43%	3.18%	1.83%	18.39%
2024	3.38%	5.88%	5.45%	-1.67%	8.44%	4.56%	2.12%	5.68%	1.86%	1.81%	5.87%	-7.73%	40.69%
2023	5.27%	-1.00%	4.18%	2.51%	4.23%	3.88%	2.00%	4.22%	-4.14%	1.46%	6.76%	1.34%	34.81%
2022	-1.36%	-1.14%	3.17%	-5.16%	1.78%	-0.58%	1.89%	-1.18%	-2.02%	6.76%	9.37%	-0.56%	10.59%
2021	-1.14%	1.75%	4.51%	1.15%	1.43%	2.12%	-0.21%	2.55%	-4.72%	6.72%	1.55%	2.79%	19.65%

Benchmark Metrics

1.54 10Y OMEGA RATIO uup wo currency has an annualized alpha of 12.43%, beta of 0.45, and R2 of 0.50 versus S&P 500 Index. Calculated based on daily prices since September 13, 2011.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (69.78%) than losses (15.71%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 12.43% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.45 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: 12.43%

Beta: 0.45

R²: 0.50

Upside Capture: 69.78%

Downside Capture: 15.71%

See how alpha, beta & R² have trended over time →

Expense Ratio

1.54 10Y OMEGA RATIO uup wo currency has an expense ratio of 0.24%, 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.

BTAL

AGF U.S. Market Neutral Anti-Beta Fund

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 wo currency ranks 11 for risk / return — in the bottom 11% 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 wo currency and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.67	1.45	-0.78
Sortino ratioReturn per unit of downside risk	0.99	2.03	-1.03
Omega ratioGain probability vs. loss probability	1.12	1.26	-0.14
Calmar ratioReturn relative to maximum drawdown	0.62	2.01	-1.39
Martin ratioReturn relative to average drawdown	1.39	8.68	-7.30

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
BTAL AGF U.S. Market Neutral Anti-Beta Fund	2	-1.09	-1.58	0.83	-0.74	-1.39
CWST Casella Waste Systems, Inc.	29	-0.38	-0.34	0.96	-0.41	-0.75
FICO Fair Isaac Corporation	31	-0.36	-0.20	0.97	-0.36	-0.68
GSY Invesco Ultra Short Duration ETF	99	10.54	24.19	5.84	72.75	324.54
IAU iShares Gold Trust	25	0.70	1.04	1.15	0.74	1.72
LLY Eli Lilly and Company	80	1.30	1.90	1.25	2.15	5.36
MURGY Muenchener Rueckver Ges	31	-0.34	-0.31	0.96	-0.30	-0.60
NECB Northeast Community Bancorp, Inc.	69	0.79	1.33	1.15	1.37	2.89
NVDA NVIDIA Corporation	62	0.51	0.95	1.11	0.90	1.90
PGR The Progressive Corporation	30	-0.33	-0.28	0.96	-0.42	-0.71

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. Learn how to interpret the Sharpe ratio.

The current 1.54 10Y OMEGA RATIO uup wo currency Sharpe ratio is 0.67 as of Jul 21, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 1.99, 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 wo currency 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 wo currency provided a 2.48% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.48%	2.00%	1.96%	2.02%	1.43%	1.12%	1.07%	1.27%	1.28%	2.37%	2.33%	1.48%
Portfolio components:
BTAL AGF U.S. Market Neutral Anti-Beta Fund	2.96%	2.49%	3.49%	6.14%	1.01%	0.00%	0.00%	0.88%	0.39%	0.00%	0.00%	0.00%
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	4.64%	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	4.71%	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.	3.92%	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	6.55%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%

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 wo currency. 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 wo currency was 20.75%, occurring on Mar 23, 2020. Recovery took 66 trading sessions.

The current 1.54 10Y OMEGA RATIO uup wo currency drawdown is 7.07%.

Drawdown	Fall	Recovery	Underwater	Related event
-20.75%Mar 2020	1mo 2d	3mo 4d	4mo 6dFeb 2020 - Jun 2020	COVID crash2020
-12.27%Dec 2018	2mo 24d	2mo 19d	5mo 13dOct 2018 - Mar 2019	Rate-hike selloffLate 2018
-10.41%Jun 2026	3mo 18d	—	4mo 21dMar 2026 - now	—
-8.47%May 2022	1mo 9d	5mo 22d	7mo 1dMar 2022 - Oct 2022	Bear market2022
-8.12%Dec 2024	24d	2mo 25d	3mo 19dNov 2024 - Mar 2025	—

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 12 assets, with an effective number of assets of 9.33, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	2.89	2.54	2.44	2.27	2.32

The portfolio has a diversification ratio of 2.32, 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 wo currency correlation to the S&P 500 Index

1.54 10Y OMEGA RATIO uup wo currency has a 0.41 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	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (10Y) Calculated over the trailing 10-year period	0.63
Correlation (All Time) Calculated using the full available price history since Sep 13, 2011	0.63

Benchmark Correlations

Correlation vs. S&P 500 Index. NVDA has the highest benchmark correlation at 0.61, while BTAL has the lowest at -0.52.

-0.52

-0.21

0.04

0.06

0.15

0.30

0.39

0.41

0.43

0.48

Portfolio Correlations

Correlation vs. 1.54 10Y OMEGA RATIO uup wo currency. MURGY has the highest portfolio correlation at 0.61, while BTAL has the lowest at -0.21.

-0.21

0.03

0.08

0.27

0.34

0.39

0.39

0.42

0.44

0.49

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	BTAL	CWST	PGR	NVDA	MURGY	FICO
GSY	1.00	0.14	0.01	0.15	0.02	0.03	-0.03	0.01	0.00	0.02	0.05	0.05
IAU	0.14	1.00	0.02	0.22	0.03	0.02	-0.01	0.05	-0.02	0.03	0.11	0.03
NECB	0.01	0.02	1.00	0.02	0.09	0.02	-0.13	0.09	0.06	0.06	0.11	0.09
ZROZ	0.15	0.22	0.02	1.00	-0.13	-0.06	0.18	-0.07	-0.15	-0.11	-0.15	-0.09
TPL	0.02	0.03	0.09	-0.13	1.00	0.09	-0.25	0.16	0.16	0.19	0.17	0.18
LLY	0.03	0.02	0.02	-0.06	0.09	1.00	-0.11	0.23	0.27	0.21	0.22	0.25
BTAL	-0.03	-0.01	-0.13	0.18	-0.25	-0.11	1.00	-0.15	-0.07	-0.38	-0.25	-0.26
CWST	0.01	0.05	0.09	-0.07	0.16	0.23	-0.15	1.00	0.27	0.18	0.25	0.31
PGR	0.00	-0.02	0.06	-0.15	0.16	0.27	-0.07	0.27	1.00	0.17	0.31	0.31
NVDA	0.02	0.03	0.06	-0.11	0.19	0.21	-0.38	0.18	0.17	1.00	0.25	0.40
MURGY	0.05	0.11	0.11	-0.15	0.17	0.22	-0.25	0.25	0.31	0.25	1.00	0.30
FICO	0.05	0.03	0.09	-0.09	0.18	0.25	-0.26	0.31	0.31	0.40	0.30	1.00

The correlation results are calculated based on daily price changes starting from Sep 13, 2011

Diversification Analysis

Find what 1.54 10Y OMEGA RATIO uup wo currency is missing

See which holdings overlap, where 1.54 10Y OMEGA RATIO uup wo currency is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification