LS
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in LS, 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 Sep 21, 2024, the LS returned 14.18% Year-To-Date and 10.74% 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 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| LS | 14.18% | 1.70% | 2.54% | 20.49% | 13.56% | 10.68% |
| Portfolio components: | ||||||
CSM Proshares Large Cap Core Plus | 18.89% | 2.96% | 7.55% | 33.12% | 14.04% | 11.82% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 15.40% | -2.78% | 8.01% | 3.74% | -1.95% | 0.97% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -3.13% | 1.39% | -5.28% | -3.49% | 5.00% | 3.21% |
MFTFX Arrow Managed Futures Stragegy Fund | 9.73% | -0.69% | -15.19% | -10.38% | 6.91% | 5.13% |
IDMO Invesco S&P International Developed Momentum ETF | 17.32% | 1.76% | 2.06% | 28.61% | 12.94% | 6.52% |
AQMIX AQR Managed Futures Strategy Fund | 4.52% | 1.66% | -5.32% | 0.55% | 6.71% | 3.03% |
QQQ Invesco QQQ | 18.15% | 1.60% | 8.25% | 35.53% | 21.23% | 18.04% |
Monthly Returns
The table below presents the monthly returns of LS, 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 | 2.19% | 6.41% | 2.90% | -2.66% | 1.77% | 2.13% | -0.72% | 0.46% | 14.18% | ||||
| 2023 | 4.09% | 0.31% | -0.17% | 1.68% | 2.36% | 4.77% | 1.60% | -1.41% | -1.79% | -1.42% | 3.85% | 3.34% | 18.30% |
| 2022 | -1.86% | -0.75% | 5.54% | -3.58% | 0.03% | -4.58% | 4.36% | -0.99% | -4.53% | 4.96% | 1.42% | -4.06% | -4.69% |
| 2021 | 0.23% | 0.83% | 2.97% | 4.36% | 0.60% | 1.73% | 1.06% | 2.50% | -2.39% | 5.87% | -2.49% | 3.61% | 20.21% |
| 2020 | 0.44% | -5.87% | -4.91% | 8.30% | 3.54% | 1.23% | 4.03% | 4.87% | -3.77% | -2.39% | 6.12% | 4.33% | 15.79% |
| 2019 | 4.76% | 2.15% | 2.95% | 3.29% | -4.26% | 4.64% | 2.10% | 0.59% | -0.98% | 0.44% | 3.05% | 2.08% | 22.50% |
| 2018 | 5.65% | -4.92% | -1.55% | 0.51% | 0.82% | 0.76% | 1.46% | 3.55% | 0.19% | -6.09% | -0.90% | -4.60% | -5.64% |
| 2017 | 1.60% | 3.30% | 0.40% | 0.81% | 1.41% | -0.62% | 1.87% | 0.66% | 0.53% | 3.88% | 2.26% | 1.48% | 18.96% |
| 2016 | -2.84% | 1.71% | 3.46% | -1.48% | 1.21% | 1.68% | 3.13% | -0.51% | 0.16% | -2.73% | 0.39% | 1.47% | 5.55% |
| 2015 | -0.41% | 3.00% | -0.38% | -0.40% | 0.46% | -2.48% | 2.83% | -4.18% | -1.04% | 4.92% | 0.90% | -2.02% | 0.85% |
| 2014 | -1.61% | 2.97% | -0.17% | 1.04% | 2.16% | 1.78% | -0.38% | 3.20% | -0.61% | 1.52% | 3.78% | 0.21% | 14.63% |
Expense Ratio
LS features an expense ratio of 0.80%, 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 LS is 33, 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 | |
|---|---|---|---|---|---|
CSM Proshares Large Cap Core Plus | 2.32 | 3.10 | 1.41 | 2.11 | 13.27 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0.30 | 0.53 | 1.06 | 0.16 | 0.73 |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | -0.36 | -0.42 | 0.95 | -0.16 | -0.63 |
MFTFX Arrow Managed Futures Stragegy Fund | -0.42 | -0.42 | 0.95 | -0.48 | -0.85 |
IDMO Invesco S&P International Developed Momentum ETF | 1.65 | 2.22 | 1.29 | 2.34 | 9.64 |
AQMIX AQR Managed Futures Strategy Fund | 0.11 | 0.21 | 1.03 | 0.08 | 0.21 |
QQQ Invesco QQQ | 1.86 | 2.47 | 1.33 | 2.39 | 8.81 |
Dividends
Dividend yield
LS granted a 2.64% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| LS | 2.64% | 3.06% | 7.78% | 1.63% | 1.65% | 3.39% | 1.78% | 1.30% | 1.86% | 2.53% | 2.88% | 0.88% |
| Portfolio components: | ||||||||||||
CSM Proshares Large Cap Core Plus | 0.82% | 1.17% | 1.37% | 0.78% | 1.21% | 1.41% | 1.54% | 1.28% | 1.49% | 1.67% | 1.39% | 1.22% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 5.32% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PQTAX PIMCO TRENDS Managed Futures Strategy Fund Class A | 0.00% | 0.00% | 14.61% | 2.22% | 4.46% | 2.18% | 0.11% | 2.54% | 0.00% | 7.65% | 10.21% | 0.00% |
MFTFX Arrow Managed Futures Stragegy Fund | 10.71% | 11.75% | 41.04% | 2.30% | 0.00% | 20.00% | 7.84% | 2.12% | 9.36% | 1.21% | 0.00% | 0.00% |
IDMO Invesco S&P International Developed Momentum ETF | 1.56% | 2.89% | 3.66% | 1.81% | 1.63% | 2.10% | 3.27% | 3.08% | 2.18% | 2.52% | 2.19% | 1.70% |
AQMIX AQR Managed Futures Strategy Fund | 8.05% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% | 9.10% | 1.01% |
QQQ Invesco QQQ | 0.49% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.01% |
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 LS. 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 LS was 20.38%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current LS drawdown is 1.87%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.38% | Feb 20, 2020 | 23 | Mar 23, 2020 | 82 | Jul 20, 2020 | 105 |
| -15.4% | Jan 29, 2018 | 229 | Dec 24, 2018 | 85 | Apr 29, 2019 | 314 |
| -10.47% | Mar 30, 2022 | 128 | Sep 30, 2022 | 168 | Jun 2, 2023 | 296 |
| -8.98% | Jul 11, 2024 | 18 | Aug 5, 2024 | — | — | — |
| -8.53% | Apr 27, 2015 | 85 | Aug 25, 2015 | 214 | Jun 30, 2016 | 299 |
Volatility
Volatility Chart
The current LS volatility is 3.62%, 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
| PQTAX | BTAL | IDMO | MFTFX | AQMIX | QQQ | CSM | |
|---|---|---|---|---|---|---|---|
| PQTAX | 1.00 | 0.02 | -0.02 | 0.55 | 0.65 | 0.03 | 0.00 |
| BTAL | 0.02 | 1.00 | -0.28 | 0.01 | 0.12 | -0.44 | -0.51 |
| IDMO | -0.02 | -0.28 | 1.00 | 0.07 | -0.03 | 0.48 | 0.52 |
| MFTFX | 0.55 | 0.01 | 0.07 | 1.00 | 0.68 | 0.09 | 0.08 |
| AQMIX | 0.65 | 0.12 | -0.03 | 0.68 | 1.00 | -0.00 | -0.02 |
| QQQ | 0.03 | -0.44 | 0.48 | 0.09 | -0.00 | 1.00 | 0.86 |
| CSM | 0.00 | -0.51 | 0.52 | 0.08 | -0.02 | 0.86 | 1.00 |