RFR
For the FIRST time, I'm creating a plausible portfolio. How?
Shorting tqqq and sqqq has ctb. But, money. Which will pocket in rfr. And rfr is slightly higher (at least historically). So, according to my stupid calculations, sqqq doesn't even pocket rfr, but tqqq loses them (or else somehow tqqq violates every single thing we know). Then, short both, pocket rfr, and buy rpifx, to "outpreform rpifx". Note, please weekly adjust these calculations.
I have no idea if this works in real life. But at least I have no idea. Usually, I know for sure it doesn't. But now, I'm only 90% it doesn't. The 90% comes from free lunch, common sense, and uhhhhh if we choose "no rebalance" on this portfolio, something wonky happens, so why should we trust portfolioslab?
Edit: I was, not unusually, wrong. Although this strategy may give a small edge, it is certainly not enough to leverage. Takeaways:
Portfolioslab is right in this backtest. However, funnily enough, daily adjustments give a much more worse return, albeit a "lower" risk. However, sqqq does pocket rfr, just not in the same rate as tqqq (expense ratios), and historically, tqqq's lost rfr is lower than sqqq's gained rfr. Nevertheless, this is not reliable information as in the past year, this strategy has been slowly treading lower.
Brokers don't know -tqqq and -sqqq cancel out. THerefore, it is impossible to leverage
Brokers can charge higher than ctb. A way to mitigate this is to be charged a standard ctb with synethic shorts. However, options have fees.
Therefore, this portfolio, albeit being correct, is nothing special.
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
RPIFX T. Rowe Price Institutional Floating Rate Fund | Bank Loan | 120% |
SQQQ ProShares UltraPro Short QQQ | Leveraged Equities, Leveraged | -50% |
TQQQ ProShares UltraPro QQQ | Leveraged Equities, Leveraged | -50% |
USD=X USD Cash | 80% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in RFR, 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.
The earliest data available for this chart is Feb 11, 2010, corresponding to the inception date of TQQQ
Returns By Period
As of Jan 25, 2025, the RFR returned 0.72% Year-To-Date and 12.96% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 2.22% | 0.69% | 10.04% | 22.93% | 12.98% | 11.70% |
| RFR | 0.72% | 2.21% | 15.96% | 27.33% | 18.69% | 12.93% |
| Portfolio components: | ||||||
TQQQ ProShares UltraPro QQQ | 9.63% | 2.47% | 33.39% | 58.67% | 28.78% | 35.90% |
SQQQ ProShares UltraPro Short QQQ | -10.31% | -4.19% | -35.33% | -50.31% | -56.75% | -51.73% |
USD=X USD Cash | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 0.11% | 0.75% | 7.55% | 16.58% | 11.24% | 8.63% |
Monthly Returns
The table below presents the monthly returns of RFR, 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 | 2.43% | 1.06% | 0.70% | 1.89% | 3.37% | -0.82% | 3.67% | 3.80% | 2.66% | 2.46% | 1.29% | 1.37% | 26.58% |
| 2023 | 1.22% | 3.69% | -5.35% | 2.48% | -1.89% | -0.08% | 1.94% | 3.86% | 2.27% | 1.80% | 1.00% | -1.81% | 9.09% |
| 2022 | -0.03% | -0.35% | 10.01% | -5.45% | 3.27% | -10.39% | 1.58% | 8.34% | 1.31% | 6.22% | 4.68% | 5.11% | 24.94% |
| 2021 | 2.77% | 1.98% | 3.90% | -0.21% | 2.77% | -3.67% | 0.68% | -0.28% | 3.94% | -0.55% | -0.45% | 1.28% | 12.56% |
| 2020 | 1.14% | 1.65% | 14.60% | 3.86% | -2.49% | -5.19% | 1.44% | -10.84% | 16.45% | 3.45% | 1.76% | -1.47% | 23.58% |
| 2019 | 1.93% | -0.24% | -2.40% | 0.91% | 3.11% | 0.96% | 1.72% | 3.36% | 1.53% | 0.19% | -1.08% | -1.12% | 9.07% |
| 2018 | -0.74% | 4.29% | 4.03% | 3.07% | -0.54% | 0.24% | 1.78% | -1.15% | 1.36% | 1.51% | 2.27% | -8.26% | 7.49% |
| 2017 | 0.10% | -1.72% | -1.28% | 0.32% | -0.46% | 2.15% | 0.48% | -0.19% | 1.22% | 0.11% | -0.21% | 0.49% | 0.96% |
| 2016 | -0.13% | 0.36% | 7.35% | 1.92% | 2.01% | 0.98% | -0.74% | 0.12% | 0.33% | 0.91% | 0.87% | 1.75% | 16.64% |
| 2015 | 1.32% | 1.84% | 1.81% | 1.76% | 0.54% | 0.96% | 0.33% | 3.78% | 0.10% | -6.07% | -0.99% | 1.54% | 6.78% |
| 2014 | 1.48% | 0.67% | 1.44% | 1.85% | 0.04% | -0.77% | 0.64% | -1.03% | 0.40% | 2.15% | -1.42% | 0.84% | 6.39% |
Expense Ratio
RFR has an expense ratio of -0.27%, which is considered low compared to other funds. 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
With an overall rank of 97, RFR is among the top 3% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
TQQQ ProShares UltraPro QQQ | 0.96 | 1.47 | 1.20 | 1.19 | 3.88 |
SQQQ ProShares UltraPro Short QQQ | -0.89 | -1.33 | 0.85 | -0.47 | -1.38 |
USD=X USD Cash | — | — | — | — | — |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 4.65 | 17.87 | 5.28 | 20.25 | 112.22 |
Dividends
Dividend yield
RFR provided a 11.49% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 11.49% | 12.04% | 16.15% | 12.80% | 7.95% | 9.23% | 10.33% | 10.14% | 5.98% | 5.18% | 5.35% | 5.23% |
| Portfolio components: | ||||||||||||
TQQQ ProShares UltraPro QQQ | 1.16% | 1.27% | 1.26% | 0.57% | 0.00% | 0.00% | 0.06% | 0.11% | 0.00% | 0.00% | 0.01% | 0.03% |
SQQQ ProShares UltraPro Short QQQ | 11.41% | 10.23% | 8.01% | 0.28% | 0.00% | 2.15% | 2.92% | 1.47% | 0.14% | 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% |
RPIFX T. Rowe Price Institutional Floating Rate Fund | 14.81% | 14.83% | 17.33% | 11.02% | 6.62% | 8.59% | 9.85% | 9.11% | 5.04% | 4.32% | 4.46% | 4.37% |
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 RFR. 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 RFR was 24.58%, occurring on Oct 25, 2010. Recovery took 1134 trading sessions.
The current RFR drawdown is 0.14%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.58% | Feb 12, 2010 | 182 | Oct 25, 2010 | 1134 | Feb 27, 2015 | 1316 |
| -24.2% | Jun 3, 2022 | 10 | Jun 16, 2022 | 88 | Oct 18, 2022 | 98 |
| -23.83% | Dec 4, 2018 | 15 | Dec 24, 2018 | 199 | Sep 27, 2019 | 214 |
| -23.4% | Apr 22, 2020 | 96 | Sep 2, 2020 | 49 | Nov 10, 2020 | 145 |
| -18.13% | May 5, 2022 | 14 | May 24, 2022 | 7 | Jun 2, 2022 | 21 |
Volatility
Volatility Chart
The current RFR volatility is 1.43%, 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
| USD=X | RPIFX | SQQQ | TQQQ | |
|---|---|---|---|---|
| USD=X | 0.00 | 0.00 | 0.00 | 0.00 |
| RPIFX | 0.00 | 1.00 | -0.19 | 0.20 |
| SQQQ | 0.00 | -0.19 | 1.00 | -0.97 |
| TQQQ | 0.00 | 0.20 | -0.97 | 1.00 |