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Risk-Adjusted Performance
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Current

Last updated Nov 13, 2024

Asset Allocation

KMLM 20%BTAL 13.17%BIL 15%VTI 20%GBTC 13.17%QMOM 5%VFMO 5%IDMO 5%VONG 5%SOXX 3%PICK 2.5%NTSX 13.17%AlternativesAlternativesBondBondCurrencyCurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds
15%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
13.17%
GBTC
Grayscale Bitcoin Trust (BTC)		Financial Services
13.17%
IDMO
Invesco S&P International Developed Momentum ETF		Global Equities
5%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
20%
NTSX
WisdomTree U.S. Efficient Core Fund		Diversified Portfolio, Actively Managed
13.17%
PICK
iShares MSCI Global Select Metals & Mining Producers ETF		Materials
2.50%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		All Cap Equities
5%
SOXX
iShares PHLX Semiconductor ETF		Technology Equities
3%
USD=X
USD Cash
-20%
VFMO
Vanguard U.S. Momentum Factor ETF		All Cap Equities
5%
VONG
Vanguard Russell 1000 Growth ETF		Large Cap Blend Equities
5%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Current, 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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.78%
12.75%
Current
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
Current30.71%5.63%9.78%39.46%N/AN/A
Portfolio components:
VTI
Vanguard Total Stock Market ETF		26.21%2.78%13.59%35.35%15.34%12.90%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		39.36%5.43%15.20%50.34%17.52%N/A
VFMO
Vanguard U.S. Momentum Factor ETF		33.71%5.61%15.27%48.84%17.29%N/A
IDMO
Invesco S&P International Developed Momentum ETF		14.49%-2.04%1.11%22.46%12.44%9.52%
VONG
Vanguard Russell 1000 Growth ETF		32.15%3.98%16.24%39.85%20.00%16.73%
SOXX
iShares PHLX Semiconductor ETF		14.25%-8.94%-4.98%29.81%23.83%23.72%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.57%0.40%2.57%5.29%2.27%1.55%
PICK
iShares MSCI Global Select Metals & Mining Producers ETF		-9.51%-8.31%-12.87%0.18%11.51%5.89%
NTSX
WisdomTree U.S. Efficient Core Fund		22.87%1.50%12.55%32.01%12.02%N/A
GBTC
Grayscale Bitcoin Trust (BTC)		105.98%35.88%21.23%160.07%47.55%N/A
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		13.98%-1.38%4.09%-0.37%-2.04%0.55%
KMLM
KFA Mount Lucas Index Strategy ETF		-2.50%0.32%-4.29%-8.74%N/AN/A
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%

Monthly Returns

The table below presents the monthly returns of Current, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.12%10.13%4.81%-3.19%3.79%0.03%0.82%0.03%1.97%-0.15%30.71%
20238.97%-2.10%8.83%1.40%-2.18%7.17%1.51%-0.68%-0.84%4.02%6.43%4.30%42.47%
2022-5.16%0.51%4.51%-4.15%-1.39%-8.83%6.68%-2.84%-5.68%5.44%-1.42%-4.47%-16.67%
20211.94%4.40%3.07%2.85%-4.35%1.01%3.09%2.73%-3.81%10.81%-2.58%-2.43%16.97%
20208.69%8.69%

Expense Ratio

Current features an expense ratio of 0.58%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

BTAL
AGFiQ US Market Neutral Anti-Beta Fund
Expense ratio chart for BTAL: current value at 2.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.11%
KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF
Expense ratio chart for QMOM: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
SOXX
iShares PHLX Semiconductor ETF
Expense ratio chart for SOXX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
PICK
iShares MSCI Global Select Metals & Mining Producers ETF
Expense ratio chart for PICK: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
IDMO
Invesco S&P International Developed Momentum ETF
Expense ratio chart for IDMO: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
NTSX
WisdomTree U.S. Efficient Core Fund
Expense ratio chart for NTSX: 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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
VFMO
Vanguard U.S. Momentum Factor ETF
Expense ratio chart for VFMO: 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%
VONG
Vanguard Russell 1000 Growth ETF
Expense ratio chart for VONG: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
VTI
Vanguard Total Stock Market ETF
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Current is 65, 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.

The Risk-Adjusted Performance Rank of Current is 6565
Combined Rank
The Sharpe Ratio Rank of Current is 6363Sharpe Ratio Rank
The Sortino Ratio Rank of Current is 6969Sortino Ratio Rank
The Omega Ratio Rank of Current is 6262Omega Ratio Rank
The Calmar Ratio Rank of Current is 6868Calmar Ratio Rank
The Martin Ratio Rank of Current is 6363Martin 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.

Current
Sharpe ratio
The chart of Sharpe ratio for Current, currently valued at 2.85, compared to the broader market0.002.004.006.002.85
Sortino ratio
The chart of Sortino ratio for Current, currently valued at 3.97, compared to the broader market-2.000.002.004.006.003.97
Omega ratio
The chart of Omega ratio for Current, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for Current, currently valued at 4.13, compared to the broader market0.005.0010.0015.004.13
Martin ratio
The chart of Martin ratio for Current, currently valued at 17.87, compared to the broader market0.0010.0020.0030.0040.0050.0060.0017.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF		2.713.631.513.9217.30
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		2.453.241.411.6517.25
VFMO
Vanguard U.S. Momentum Factor ETF		2.493.281.433.3315.37
IDMO
Invesco S&P International Developed Momentum ETF		1.241.701.231.707.14
VONG
Vanguard Russell 1000 Growth ETF		2.313.001.432.9011.43
SOXX
iShares PHLX Semiconductor ETF		0.831.271.171.132.86
BIL
SPDR Barclays 1-3 Month T-Bill ETF		19.38263.19152.95465.054,282.83
PICK
iShares MSCI Global Select Metals & Mining Producers ETF		-0.060.071.01-0.06-0.14
NTSX
WisdomTree U.S. Efficient Core Fund		2.473.371.442.0815.94
GBTC
Grayscale Bitcoin Trust (BTC)		2.362.831.352.938.76
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		0.050.181.020.040.18
KMLM
KFA Mount Lucas Index Strategy ETF		-0.86-1.120.87-0.35-1.40
USD=X
USD Cash		—————

Sharpe Ratio

The current Current Sharpe ratio is 2.77. 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 2.07 to 2.97, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Current 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.85
2.91
Current
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Current provided a 2.20% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio2.20%2.39%3.08%2.07%0.68%1.37%1.21%0.78%0.65%1.03%0.65%0.62%
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%
QMOM
Alpha Architect U.S. Quantitative Momentum ETF		0.63%0.87%1.59%0.13%0.08%0.01%0.05%0.13%0.33%0.01%0.00%0.00%
VFMO
Vanguard U.S. Momentum Factor ETF		0.64%0.89%1.72%0.81%0.45%1.23%0.70%0.00%0.00%0.00%0.00%0.00%
IDMO
Invesco S&P International Developed Momentum ETF		2.28%2.89%3.66%1.81%1.64%2.10%3.27%3.08%2.18%2.52%2.18%1.70%
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%
SOXX
iShares PHLX Semiconductor ETF		0.67%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.15%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
PICK
iShares MSCI Global Select Metals & Mining Producers ETF		3.96%4.19%6.93%5.89%2.27%5.51%4.77%2.41%1.15%15.77%2.88%3.39%
NTSX
WisdomTree U.S. Efficient Core Fund		1.04%1.21%1.36%0.82%0.92%1.53%0.62%0.00%0.00%0.00%0.00%0.00%
GBTC
Grayscale Bitcoin Trust (BTC)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.23%0.00%0.00%0.00%0.00%
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		5.39%6.14%1.00%0.00%0.00%0.88%0.39%0.00%0.00%0.00%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF		0.00%0.00%8.12%6.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USD=X
USD Cash		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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.08%
-0.27%
Current
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Current. 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 Current was 23.52%, occurring on Dec 28, 2022. Recovery took 220 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.52%Nov 10, 2021296Dec 28, 2022220Nov 1, 2023516
-10.12%Feb 22, 20219Mar 4, 2021114Aug 11, 2021123
-8.75%Jul 17, 202414Aug 5, 202452Oct 16, 202466
-5.77%Sep 7, 202117Sep 29, 202111Oct 14, 202128
-5.36%Jan 11, 202113Jan 27, 20218Feb 8, 202121

Volatility

Volatility Chart

The current Current volatility is 4.21%, 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%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.21%
3.75%
Current
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.
USD=XBILKMLMGBTCPICKBTALQMOMIDMOSOXXNTSXVONGVFMOVTI
USD=X0.000.000.000.000.000.000.000.000.000.000.000.000.00
BIL0.001.00-0.050.060.04-0.000.010.030.040.040.030.000.02
KMLM0.00-0.051.00-0.040.010.12-0.03-0.12-0.13-0.20-0.16-0.05-0.13
GBTC0.000.06-0.041.000.30-0.350.370.330.380.370.390.400.41
PICK0.000.040.010.301.00-0.480.530.660.480.500.450.610.58
BTAL0.00-0.000.12-0.35-0.481.00-0.51-0.46-0.58-0.55-0.56-0.62-0.63
QMOM0.000.01-0.030.370.53-0.511.000.680.640.630.660.900.74
IDMO0.000.03-0.120.330.66-0.460.681.000.620.680.670.740.74
SOXX0.000.04-0.130.380.48-0.580.640.621.000.740.830.720.80
NTSX0.000.04-0.200.370.50-0.550.630.680.741.000.890.750.91
VONG0.000.03-0.160.390.45-0.560.660.670.830.891.000.750.93
VFMO0.000.00-0.050.400.61-0.620.900.740.720.750.751.000.87
VTI0.000.02-0.130.410.58-0.630.740.740.800.910.930.871.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020