Unlevered Stock/Trend/BTC
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Unlevered Stock/Trend/BTC, 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 Jan 2, 2014, corresponding to the inception date of PQTAX
Returns By Period
As of Nov 13, 2024, the Unlevered Stock/Trend/BTC returned 21.49% Year-To-Date and 15.15% of annualized return in the last 10 years.
| 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% |
| Unlevered Stock/Trend/BTC | 21.96% | 3.55% | 7.35% | 28.42% | 17.13% | 15.18% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 26.21% | 2.78% | 13.59% | 35.35% | 15.11% | 12.87% |
VUG Vanguard Growth ETF | 31.99% | 4.25% | 16.62% | 39.79% | 19.25% | 15.80% |
VXUS Vanguard Total International Stock ETF | 6.85% | -4.99% | -0.72% | 14.09% | 5.43% | 4.91% |
MFTFX Arrow Managed Futures Stragegy Fund | 4.20% | -1.27% | -14.29% | -2.33% | 6.95% | 4.32% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -4.73% | 3.50% | -5.09% | -1.18% | 4.40% | 2.29% |
AQMIX AQR Managed Futures Strategy Fund | 4.65% | 0.94% | -4.89% | 2.45% | 7.74% | 2.14% |
BTC-USD Bitcoin | 114.32% | 37.15% | 36.69% | 154.90% | 60.55% | 72.52% |
Monthly Returns
The table below presents the monthly returns of Unlevered Stock/Trend/BTC, 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 | 1.35% | 8.72% | 3.58% | -3.15% | 2.63% | 1.20% | -0.19% | 0.20% | 2.30% | -1.76% | 21.96% | ||
| 2023 | 6.28% | -0.23% | 1.64% | 2.14% | 1.73% | 5.48% | 1.59% | -2.20% | -1.99% | -0.55% | 4.84% | 4.18% | 24.93% |
| 2022 | -3.58% | -0.07% | 5.17% | -5.06% | -1.39% | -5.39% | 5.76% | -1.99% | -4.69% | 4.31% | 1.07% | -3.91% | -10.18% |
| 2021 | 0.20% | 4.32% | 4.48% | 4.24% | -0.90% | 1.16% | 1.57% | 2.66% | -2.84% | 7.92% | -3.79% | 1.42% | 21.74% |
| 2020 | 1.48% | -5.60% | -7.97% | 10.05% | 4.11% | 1.24% | 5.38% | 5.10% | -3.83% | 0.02% | 9.71% | 8.29% | 29.46% |
| 2019 | 4.30% | 2.92% | 3.20% | 4.64% | -0.39% | 8.11% | 1.47% | 0.53% | -1.76% | 1.08% | 1.47% | 2.04% | 30.94% |
| 2018 | 4.01% | -5.64% | -2.59% | 2.31% | -0.55% | -0.11% | 2.67% | 2.20% | -0.21% | -6.84% | -1.77% | -4.87% | -11.42% |
| 2017 | 1.63% | 4.15% | -0.37% | 2.14% | 5.57% | 0.82% | 2.29% | 4.06% | 0.13% | 6.09% | 6.32% | 4.68% | 44.29% |
| 2016 | -3.56% | 1.71% | 3.11% | 0.11% | 1.54% | 3.27% | 2.60% | -0.94% | 0.58% | -2.49% | 1.26% | 3.21% | 10.60% |
| 2015 | -1.67% | 3.77% | -0.68% | -0.10% | 0.30% | -1.30% | 2.40% | -5.12% | -1.06% | 5.69% | 2.05% | -1.58% | 2.28% |
| 2014 | -1.59% | 1.41% | -0.90% | 0.14% | 3.73% | 2.03% | -1.92% | 2.15% | -1.68% | 0.85% | 3.61% | -1.27% | 6.54% |
Expense Ratio
Unlevered Stock/Trend/BTC features an expense ratio of 0.49%, 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 Unlevered Stock/Trend/BTC is 8, indicating that it is in the bottom 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 2.08 | 2.81 | 1.38 | 0.98 | 12.16 |
VUG Vanguard Growth ETF | 1.82 | 2.37 | 1.33 | 0.82 | 8.45 |
VXUS Vanguard Total International Stock ETF | 0.42 | 0.67 | 1.08 | 0.11 | 2.17 |
MFTFX Arrow Managed Futures Stragegy Fund | -1.21 | -1.62 | 0.81 | -0.26 | -1.70 |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -1.02 | -1.34 | 0.84 | -0.10 | -1.23 |
AQMIX AQR Managed Futures Strategy Fund | -0.39 | -0.44 | 0.94 | 0.01 | -0.57 |
BTC-USD Bitcoin | 1.07 | 1.78 | 1.17 | 0.91 | 4.39 |
Dividends
Dividend yield
Unlevered Stock/Trend/BTC provided a 1.64% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.64% | 2.96% | 7.74% | 1.86% | 1.77% | 3.65% | 2.09% | 1.57% | 2.18% | 2.49% | 2.37% | 1.12% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.26% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% |
VUG Vanguard Growth ETF | 0.48% | 0.58% | 0.70% | 0.48% | 0.66% | 0.95% | 1.32% | 1.14% | 1.39% | 1.30% | 1.21% | 1.19% |
VXUS Vanguard Total International Stock ETF | 3.00% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
MFTFX Arrow Managed Futures Stragegy Fund | 0.00% | 11.76% | 41.05% | 2.31% | 0.00% | 20.02% | 7.84% | 2.12% | 9.36% | 1.20% | 0.00% | 0.00% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | 0.00% | 0.00% | 13.31% | 1.09% | 3.91% | 2.19% | 0.10% | 2.54% | 0.00% | 6.87% | 7.17% | 0.00% |
AQMIX AQR Managed Futures Strategy Fund | 8.04% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 4.49% | 4.50% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Unlevered Stock/Trend/BTC. 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 Unlevered Stock/Trend/BTC was 22.98%, occurring on Mar 23, 2020. Recovery took 121 trading sessions.
The current Unlevered Stock/Trend/BTC drawdown is 0.34%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.98% | Feb 20, 2020 | 33 | Mar 23, 2020 | 121 | Jul 22, 2020 | 154 |
| -19.84% | Jan 29, 2018 | 331 | Dec 25, 2018 | 174 | Jun 17, 2019 | 505 |
| -14.91% | Nov 9, 2021 | 338 | Oct 12, 2022 | 246 | Jun 15, 2023 | 584 |
| -9.62% | Jul 17, 2024 | 20 | Aug 5, 2024 | 74 | Oct 18, 2024 | 94 |
| -8.62% | Mar 23, 2015 | 156 | Aug 25, 2015 | 70 | Nov 3, 2015 | 226 |
Volatility
Volatility Chart
The current Unlevered Stock/Trend/BTC volatility is 3.94%, 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
| BTC-USD | AQMIX | PQTAX | MFTFX | VXUS | VUG | VTI | |
|---|---|---|---|---|---|---|---|
| BTC-USD | 1.00 | 0.00 | 0.03 | 0.03 | 0.13 | 0.13 | 0.13 |
| AQMIX | 0.00 | 1.00 | 0.62 | 0.66 | -0.01 | 0.02 | 0.03 |
| PQTAX | 0.03 | 0.62 | 1.00 | 0.53 | 0.04 | 0.06 | 0.07 |
| MFTFX | 0.03 | 0.66 | 0.53 | 1.00 | 0.07 | 0.10 | 0.11 |
| VXUS | 0.13 | -0.01 | 0.04 | 0.07 | 1.00 | 0.69 | 0.76 |
| VUG | 0.13 | 0.02 | 0.06 | 0.10 | 0.69 | 1.00 | 0.89 |
| VTI | 0.13 | 0.03 | 0.07 | 0.11 | 0.76 | 0.89 | 1.00 |