Boring Recession
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
GLD SPDR Gold Trust | Precious Metals, Gold | 16.67% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | Systematic Trend | 16.67% |
QQQ Invesco QQQ | Large Cap Blend Equities | 16.67% |
SPMO Invesco S&P 500® Momentum ETF | Large Cap Growth Equities | 16.67% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 16.67% |
VONG Vanguard Russell 1000 Growth ETF | Large Cap Blend Equities | 16.67% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Boring Recession, 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
The earliest data available for this chart is Oct 12, 2015, corresponding to the inception date of SPMO
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Boring Recession | 27.30% | 1.28% | 9.13% | 32.81% | 17.23% | N/A |
| Portfolio components: | ||||||
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 4.49% | -1.24% | -14.02% | -2.11% | 7.19% | 4.57% |
QQQ Invesco QQQ | 25.63% | 2.96% | 13.44% | 33.85% | 21.21% | 18.37% |
SPY SPDR S&P 500 ETF | 26.83% | 2.20% | 13.43% | 34.88% | 15.71% | 13.33% |
GLD SPDR Gold Trust | 24.30% | -3.04% | 7.58% | 30.48% | 11.49% | 7.59% |
VONG Vanguard Russell 1000 Growth ETF | 32.15% | 3.98% | 16.24% | 39.85% | 19.78% | 16.73% |
SPMO Invesco S&P 500® Momentum ETF | 47.91% | 2.49% | 18.92% | 57.54% | 20.47% | N/A |
Monthly Returns
The table below presents the monthly returns of Boring Recession, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.08% | 8.04% | 3.62% | -2.80% | 3.20% | 3.31% | -0.21% | 1.38% | 2.61% | -0.98% | 27.30% | ||
| 2023 | 3.61% | -0.68% | 2.63% | 2.54% | 1.74% | 5.16% | 2.31% | -0.88% | -3.12% | -1.03% | 5.44% | 3.71% | 23.17% |
| 2022 | -3.66% | 0.26% | 5.40% | -6.12% | -1.15% | -5.20% | 5.56% | -1.56% | -5.45% | 5.03% | 3.17% | -3.22% | -7.72% |
| 2021 | -1.05% | -0.31% | 1.79% | 5.71% | 1.22% | 1.53% | 1.74% | 2.48% | -3.89% | 6.81% | -2.90% | 3.21% | 17.02% |
| 2020 | 2.25% | -5.92% | -5.04% | 10.29% | 4.20% | 2.42% | 6.33% | 6.37% | -4.21% | -2.32% | 5.53% | 5.03% | 26.12% |
| 2019 | 5.82% | 2.53% | 3.34% | 2.72% | -3.52% | 6.43% | 1.95% | 2.30% | -2.06% | 0.95% | 2.29% | 2.44% | 27.77% |
| 2018 | 7.08% | -5.04% | -2.27% | 1.26% | 1.42% | 0.11% | 1.54% | 3.44% | 0.74% | -7.32% | -0.22% | -4.20% | -4.23% |
| 2017 | 2.66% | 4.20% | 0.02% | 1.65% | 1.47% | -0.92% | 1.81% | 1.52% | 0.10% | 5.32% | 2.38% | 1.90% | 24.29% |
| 2016 | -2.07% | 2.12% | 3.16% | -0.26% | 0.25% | 2.89% | 3.84% | -0.97% | 0.92% | -3.78% | -0.92% | 1.30% | 6.36% |
| 2015 | 2.69% | 0.28% | -2.11% | 0.80% |
Expense Ratio
Boring Recession features an expense ratio of 0.41%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Boring Recession is 50, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | -0.29 | -0.25 | 0.97 | -0.25 | -0.48 |
QQQ Invesco QQQ | 2.12 | 2.79 | 1.38 | 2.71 | 9.88 |
SPY SPDR S&P 500 ETF | 3.08 | 4.10 | 1.58 | 4.46 | 20.22 |
GLD SPDR Gold Trust | 2.14 | 2.86 | 1.37 | 4.10 | 13.62 |
VONG Vanguard Russell 1000 Growth ETF | 2.56 | 3.29 | 1.47 | 3.25 | 12.84 |
SPMO Invesco S&P 500® Momentum ETF | 3.40 | 4.38 | 1.61 | 4.57 | 19.03 |
Dividends
Dividend yield
Boring Recession provided a 0.47% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.47% | 2.68% | 7.60% | 0.88% | 0.68% | 4.17% | 2.27% | 1.15% | 2.64% | 1.06% | 0.78% | 0.68% |
| Portfolio components: | ||||||||||||
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 0.00% | 11.70% | 40.53% | 2.54% | 0.00% | 20.09% | 8.43% | 2.28% | 9.35% | 1.47% | 0.00% | 0.00% |
QQQ Invesco QQQ | 0.59% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
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% |
VONG Vanguard Russell 1000 Growth ETF | 0.58% | 0.71% | 0.98% | 0.58% | 0.77% | 1.03% | 1.18% | 1.19% | 1.48% | 1.47% | 1.43% | 1.28% |
SPMO Invesco S&P 500® Momentum ETF | 0.44% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Boring Recession. 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 Boring Recession was 22.33%, occurring on Mar 23, 2020. Recovery took 71 trading sessions.
The current Boring Recession drawdown is 0.55%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.33% | Feb 20, 2020 | 23 | Mar 23, 2020 | 71 | Jul 2, 2020 | 94 |
| -16.38% | Oct 4, 2018 | 56 | Dec 24, 2018 | 81 | Apr 23, 2019 | 137 |
| -14.75% | Mar 30, 2022 | 128 | Sep 30, 2022 | 168 | Jun 2, 2023 | 296 |
| -11.01% | Jan 29, 2018 | 9 | Feb 8, 2018 | 164 | Oct 3, 2018 | 173 |
| -10.42% | Jul 11, 2024 | 20 | Aug 7, 2024 | 35 | Sep 26, 2024 | 55 |
Volatility
Volatility Chart
The current Boring Recession volatility is 3.96%, 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.
Diversification
Asset Correlations Table
| GLD | MFTNX | SPMO | SPY | QQQ | VONG | |
|---|---|---|---|---|---|---|
| GLD | 1.00 | 0.04 | 0.07 | 0.02 | 0.03 | 0.03 |
| MFTNX | 0.04 | 1.00 | 0.15 | 0.12 | 0.11 | 0.12 |
| SPMO | 0.07 | 0.15 | 1.00 | 0.76 | 0.74 | 0.77 |
| SPY | 0.02 | 0.12 | 0.76 | 1.00 | 0.90 | 0.94 |
| QQQ | 0.03 | 0.11 | 0.74 | 0.90 | 1.00 | 0.97 |
| VONG | 0.03 | 0.12 | 0.77 | 0.94 | 0.97 | 1.00 |