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(no name)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

(no name)

Last updated Nov 15, 2024

Asset Allocation

QQQ 30%BITO 30%XLF 20%XLRE 20%CryptocurrencyCryptocurrencyEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BITO
ProShares Bitcoin Strategy ETF		Technology Equities, Actively Managed, Blockchain
30%
BTC-USD
Bitcoin
0%
QQQ
Invesco QQQ		Large Cap Blend Equities
30%
XLF
Financial Select Sector SPDR Fund		Financials Equities
20%
XLRE
Real Estate Select Sector SPDR Fund		REIT
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in (no name), 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%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
20.55%
12.31%
(no name)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 19, 2021, corresponding to the inception date of BITO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
(no name)46.12%10.72%20.55%59.31%N/AN/A
Portfolio components:
QQQ
Invesco QQQ		24.75%3.63%12.88%32.82%21.02%18.32%
XLRE
Real Estate Select Sector SPDR Fund		9.75%-3.05%12.67%23.36%5.69%N/A
XLF
Financial Select Sector SPDR Fund		33.53%5.84%18.58%45.44%13.03%11.93%
BITO
ProShares Bitcoin Strategy ETF		95.84%30.09%30.56%114.14%N/AN/A
BTC-USD
Bitcoin		106.44%30.14%33.75%130.33%59.13%71.89%

Monthly Returns

The table below presents the monthly returns of (no name), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.24%16.41%6.50%-9.13%7.45%-1.17%4.63%-0.85%3.71%2.46%46.12%
202318.64%-1.68%8.67%1.61%-2.04%7.95%0.89%-4.68%-3.05%6.74%10.18%7.71%60.83%
2022-9.20%-0.15%5.32%-11.71%-5.98%-17.35%14.98%-8.29%-8.27%5.42%-0.06%-5.62%-36.99%
20210.49%-3.42%-2.69%-5.56%

Expense Ratio

(no name) features an expense ratio of 0.40%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BITO
ProShares Bitcoin Strategy ETF
Expense ratio chart for BITO: 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%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
XLRE
Real Estate Select Sector SPDR Fund
Expense ratio chart for XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
XLF
Financial Select Sector SPDR Fund
Expense ratio chart for XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of (no name) is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of (no name) is 1414
Combined Rank
The Sharpe Ratio Rank of (no name) is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of (no name) is 1414Sortino Ratio Rank
The Omega Ratio Rank of (no name) is 1414Omega Ratio Rank
The Calmar Ratio Rank of (no name) is 1212Calmar Ratio Rank
The Martin Ratio Rank of (no name) is 1919Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

(no name)
Sharpe ratio
The chart of Sharpe ratio for (no name), currently valued at 1.33, compared to the broader market0.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for (no name), currently valued at 1.98, compared to the broader market-2.000.002.004.006.001.98
Omega ratio
The chart of Omega ratio for (no name), currently valued at 1.24, compared to the broader market0.801.001.201.401.601.802.001.24
Calmar ratio
The chart of Calmar ratio for (no name), currently valued at 0.90, compared to the broader market0.005.0010.0015.000.90
Martin ratio
The chart of Martin ratio for (no name), currently valued at 7.84, compared to the broader market0.0010.0020.0030.0040.0050.007.84
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ		1.191.651.220.465.04
XLRE
Real Estate Select Sector SPDR Fund		1.001.431.180.154.04
XLF
Financial Select Sector SPDR Fund		2.393.511.431.8216.04
BITO
ProShares Bitcoin Strategy ETF		0.621.291.140.402.30
BTC-USD
Bitcoin		0.861.551.150.683.55

Sharpe Ratio

The current (no name) Sharpe ratio is 1.33. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.86 to 2.73, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of (no name) 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
1.33
2.66
(no name)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

(no name) provided a 16.61% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio16.61%5.73%1.39%0.98%1.20%1.21%1.45%1.20%1.49%0.90%0.74%0.60%
Portfolio components:
QQQ
Invesco QQQ		0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
XLRE
Real Estate Select Sector SPDR Fund		3.22%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
XLF
Financial Select Sector SPDR Fund		1.34%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%1.95%1.61%1.47%
BITO
ProShares Bitcoin Strategy ETF		51.71%15.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.30%
-0.87%
(no name)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the (no name). 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 (no name) was 44.48%, occurring on Nov 9, 2022. Recovery took 463 trading sessions.

The current (no name) drawdown is 1.30%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.48%Nov 10, 2021365Nov 9, 2022463Feb 15, 2024828
-10.99%Jul 23, 202414Aug 5, 202445Sep 19, 202459
-10.98%Mar 14, 202449May 1, 202475Jul 15, 2024124
-4.05%Mar 5, 20241Mar 5, 20243Mar 8, 20244
-3.76%Oct 30, 20246Nov 4, 20242Nov 6, 20248

Volatility

Volatility Chart

The current (no name) volatility is 7.71%, 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%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.71%
3.81%
(no name)
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-USDXLREBITOQQQXLF
BTC-USD1.000.200.710.300.28
XLRE0.201.000.250.470.58
BITO0.710.251.000.360.33
QQQ0.300.470.361.000.53
XLF0.280.580.330.531.00
The correlation results are calculated based on daily price changes starting from Oct 20, 2021