Highest sharpe PF

Asset Allocation

Position	Category/Sector	Target Weight
LCSIX LoCorr Long/Short Commodity Strategies Fund	Systematic Trend	25%
UUP Invesco DB US Dollar Index Bullish Fund	Currency	25%
QLENX AQR Long-Short Equity N	Long-Short	20%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	20%
IAU iShares Gold Trust	Gold, Precious Metals	10%

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 Highest sharpe PF, 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 3 months.

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Returns By Period

As of Jun 9, 2026, the Highest sharpe PF returned 7.86% Year-To-Date and 10.78% 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 Highest sharpe PF	0.59%	1.09%	7.86%	8.06%	19.41%	15.46%	13.06%	10.78%
Portfolio components:
IAU iShares Gold Trust	0.20%	-8.43%	0.26%	3.08%	30.27%	29.88%	17.71%	12.71%
LCSIX LoCorr Long/Short Commodity Strategies Fund	-0.45%	-0.45%	2.09%	1.61%	1.96%	-2.05%	1.00%	2.82%
QLENX AQR Long-Short Equity N	-1.02%	0.94%	-1.02%	2.01%	14.23%	26.61%	21.21%	11.59%
UUP Invesco DB US Dollar Index Bullish Fund	0.04%	2.52%	3.70%	3.08%	5.64%	4.21%	6.04%	3.19%
XLK State Street Technology Select Sector SPDR ETF	2.15%	4.93%	28.09%	25.10%	55.42%	31.33%	22.26%	25.04%

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

Monthly Returns

Based on dividend-adjusted daily data since Jul 17, 2013, Highest sharpe PF's average daily return is +0.04%, while the average monthly return is +0.86%. At this rate, an investment would double in approximately 6.7 years.

Historically, 74% of months were positive and 26% were negative. The best month was May 2026 with a return of +5.1%, while the worst month was Jun 2022 at -3.1%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Highest sharpe PF closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +3.4%, while the worst single day was Mar 16, 2020 at -4.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.05%	-0.17%	-1.63%	3.62%	5.08%	-1.15%							7.86%
2025	2.11%	-0.05%	-0.45%	-0.34%	2.67%	2.55%	1.43%	0.62%	3.64%	2.56%	-0.32%	0.99%	16.43%
2024	2.55%	1.39%	2.70%	-0.06%	2.25%	1.70%	-0.82%	-0.28%	1.09%	0.58%	2.24%	-0.12%	13.96%
2023	3.13%	0.32%	2.00%	0.14%	1.99%	1.42%	1.68%	0.51%	0.42%	0.42%	2.99%	0.52%	16.62%
2022	0.72%	0.28%	1.94%	-0.32%	0.52%	-3.07%	2.26%	-1.34%	-2.96%	3.31%	1.98%	-1.30%	1.80%
2021	0.17%	1.46%	2.99%	2.06%	1.33%	0.81%	1.18%	0.52%	-0.44%	2.26%	1.23%	3.02%	17.85%

Benchmark Metrics

Highest sharpe PF has an annualized alpha of 6.77%, beta of 0.30, and R2 of 0.67 versus S&P 500 Index. Calculated based on daily prices since July 17, 2013.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (38.45%) than losses (8.38%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 6.77% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.30 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: 6.77%

Beta: 0.30

R²: 0.67

Upside Capture: 38.45%

Downside Capture: 8.38%

Expense Ratio

Highest sharpe PF has a high expense ratio of 1.70%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

QLENX

AQR Long-Short Equity N

LCSIX

LoCorr Long/Short Commodity Strategies Fund

UUP

Invesco DB US Dollar Index Bullish Fund

IAU

iShares Gold Trust

XLK

State Street Technology Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Highest sharpe PF ranks 87 for risk / return — in the top 87% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

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 Highest sharpe PF and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.85	1.94	+0.91
Sortino ratioReturn per unit of downside risk	3.88	2.63	+1.25
Omega ratioGain probability vs. loss probability	1.57	1.35	+0.22
Calmar ratioReturn relative to maximum drawdown	4.65	2.59	+2.06
Martin ratioReturn relative to average drawdown	16.89	11.84	+5.04
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
IAU iShares Gold Trust	33	1.14	1.52	1.23	1.52	3.80
LCSIX LoCorr Long/Short Commodity Strategies Fund	6	0.35	0.52	1.07	0.57	1.09
QLENX AQR Long-Short Equity N	46	2.01	2.94	1.36	2.41	7.52
UUP Invesco DB US Dollar Index Bullish Fund	29	0.93	1.34	1.16	1.55	4.13
XLK State Street Technology Select Sector SPDR ETF	77	2.53	3.06	1.42	3.50	11.58

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.

Highest sharpe PF Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 2.85
5-Year: 2.06
10-Year: 1.66
All Time: 1.72

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 1.60 to 2.48, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Highest sharpe PF 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

Highest sharpe PF provided a 1.81% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.81%	1.87%	3.36%	6.47%	5.93%	1.91%	1.24%	0.87%	4.90%	2.08%	1.72%	3.18%
Portfolio components:
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%
LCSIX LoCorr Long/Short Commodity Strategies Fund	2.27%	2.32%	2.75%	1.88%	10.75%	7.14%	2.94%	0.54%	12.36%	0.02%	3.21%	7.36%
QLENX AQR Long-Short Equity N	1.65%	1.64%	7.13%	21.21%	14.09%	0.00%	1.59%	0.00%	6.09%	8.91%	2.87%	4.91%
UUP Invesco DB US Dollar Index Bullish Fund	3.31%	3.43%	4.48%	6.44%	0.89%	0.00%	0.00%	2.03%	1.08%	0.10%	0.00%	0.00%
XLK State Street Technology Select Sector SPDR ETF	0.41%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%

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 Highest sharpe PF. 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 Highest sharpe PF was 9.67%, occurring on Mar 16, 2020. Recovery took 69 trading sessions.

The current Highest sharpe PF drawdown is 2.40%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-9.67%Mar 2020	25d	3mo 9d	4mo 4dFeb 2020 - Jun 2020
2025 selloff2025	-7.58%Apr 2025	1mo 17d	1mo 8d	2mo 25dFeb 2025 - May 2025
Bear market2022	-5.78%Sep 2022	4mo 28d	3mo 25d	8mo 23dMay 2022 - Jan 2023
Rate-hike selloffLate 2018	-5.32%Dec 2018	2mo 21d	2mo	4mo 21dOct 2018 - Feb 2019
2024 pullback2024	-5.18%Aug 2024	27d	2mo 8d	3mo 5dJul 2024 - Oct 2024

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 5 assets, with an effective number of assets of 4.65, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.81	1.73	1.90	1.82	1.87

The portfolio has a diversification ratio of 1.87, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.

Highest sharpe PF correlation to the S&P 500 Index

Highest sharpe PF has a 0.71 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	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.78
Correlation (All Time) Calculated using the full available price history since Jul 17, 2013	0.75

Benchmark Correlations

Correlation vs. S&P 500 Index. XLK has the highest benchmark correlation at 0.89, while UUP has the lowest at -0.13.

-0.13

-0.03

0.02

0.50

0.89

Portfolio Correlations

Correlation vs. Highest sharpe PF. XLK has the highest portfolio correlation at 0.80, while UUP has the lowest at 0.05.

0.05

0.15

0.31

0.60

0.80

Asset Correlations Table

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

	LCSIX	IAU	UUP	QLENX	XLK
LCSIX	1.00	0.12	-0.05	0.00	-0.03
IAU	0.12	1.00	-0.46	-0.03	0.01
UUP	-0.05	-0.46	1.00	-0.06	-0.10
QLENX	0.00	-0.03	-0.06	1.00	0.42
XLK	-0.03	0.01	-0.10	0.42	1.00

The correlation results are calculated based on daily price changes starting from Jul 17, 2013

Diversification Analysis

Find what Highest sharpe PF is missing

See which holdings overlap, where Highest sharpe PF is concentrated, and which low-correlation assets could fill the gaps.

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