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Mixed Stack 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Mixed Stack 2

Last updated Nov 13, 2024

Created for tracking

Asset Allocation

BTAL 10%CTA 3.75%DBMF 3.75%KMLM 3.75%BTC-USD 5%VTI 25%VUG 25%RSST 20%TFPN 3.75%AlternativesAlternativesCryptocurrencyCryptocurrencyEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		Long-Short
10%
BTC-USD
Bitcoin
5%
CTA
Simplify Managed Futures Strategy ETF		Systematic Trend
3.75%
DBMF
iM DBi Managed Futures Strategy ETF		Hedge Fund, Actively Managed
3.75%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
3.75%
RSST
Return Stacked U.S. Stocks & Managed Futures ETF		Large Cap Blend Equities
20%
TFPN
Blueprint Chesapeake Multi-Asset Trend ETF		Global Allocation
3.75%
VTI
Vanguard Total Stock Market ETF		Large Cap Growth Equities
25%
VUG
Vanguard Growth ETF		Large Cap Growth Equities
25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Mixed Stack 2, 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
9.36%
12.76%
Mixed Stack 2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 6, 2023, corresponding to the inception date of RSST

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%
Mixed Stack 226.25%3.82%9.36%30.89%N/AN/A
Portfolio components:
RSST
Return Stacked U.S. Stocks & Managed Futures ETF		19.64%1.13%-0.12%25.14%N/AN/A
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		13.98%-1.38%4.09%-0.37%-2.04%0.55%
BTC-USD
Bitcoin		114.32%37.15%36.69%154.90%60.55%72.52%
CTA
Simplify Managed Futures Strategy ETF		15.88%0.38%-0.76%13.52%N/AN/A
DBMF
iM DBi Managed Futures Strategy ETF		7.67%-1.88%-6.05%3.45%6.52%N/A
KMLM
KFA Mount Lucas Index Strategy ETF		-2.50%0.32%-4.29%-8.74%N/AN/A
TFPN
Blueprint Chesapeake Multi-Asset Trend ETF		4.41%3.54%-1.09%2.64%N/AN/A
VTI
Vanguard Total Stock Market ETF		26.21%2.78%13.59%35.35%15.34%12.90%
VUG
Vanguard Growth ETF		31.99%4.25%16.62%39.79%19.49%15.84%

Monthly Returns

The table below presents the monthly returns of Mixed Stack 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.54%7.61%3.80%-2.05%4.04%2.68%-0.78%0.89%1.80%-1.44%26.25%
2023-1.38%0.20%5.11%2.68%6.65%

Expense Ratio

Mixed Stack 2 features an expense ratio of 0.57%, 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%
TFPN
Blueprint Chesapeake Multi-Asset Trend ETF
Expense ratio chart for TFPN: current value at 1.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.10%
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
Expense ratio chart for RSST: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
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%
DBMF
iM DBi Managed Futures Strategy ETF
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
CTA
Simplify Managed Futures Strategy ETF
Expense ratio chart for CTA: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%
VUG
Vanguard Growth ETF
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
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 Mixed Stack 2 is 15, indicating that it is in the bottom 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Mixed Stack 2 is 1515
Combined Rank
The Sharpe Ratio Rank of Mixed Stack 2 is 1717Sharpe Ratio Rank
The Sortino Ratio Rank of Mixed Stack 2 is 1616Sortino Ratio Rank
The Omega Ratio Rank of Mixed Stack 2 is 1717Omega Ratio Rank
The Calmar Ratio Rank of Mixed Stack 2 is 77Calmar Ratio Rank
The Martin Ratio Rank of Mixed Stack 2 is 1818Martin 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.

Mixed Stack 2
Sharpe ratio
The chart of Sharpe ratio for Mixed Stack 2, currently valued at 1.73, compared to the broader market0.002.004.006.001.73
Sortino ratio
The chart of Sortino ratio for Mixed Stack 2, currently valued at 2.30, compared to the broader market-2.000.002.004.006.002.30
Omega ratio
The chart of Omega ratio for Mixed Stack 2, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.802.001.30
Calmar ratio
The chart of Calmar ratio for Mixed Stack 2, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.66
Martin ratio
The chart of Martin ratio for Mixed Stack 2, currently valued at 8.47, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.47
^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
RSST
Return Stacked U.S. Stocks & Managed Futures ETF		0.600.921.120.191.93
BTAL
AGFiQ US Market Neutral Anti-Beta Fund		0.610.991.110.172.52
BTC-USD
Bitcoin		1.071.781.170.914.39
CTA
Simplify Managed Futures Strategy ETF		1.322.121.240.513.44
DBMF
iM DBi Managed Futures Strategy ETF		0.110.221.030.010.21
KMLM
KFA Mount Lucas Index Strategy ETF		-0.48-0.600.93-0.45-0.77
TFPN
Blueprint Chesapeake Multi-Asset Trend ETF		0.030.131.020.000.09
VTI
Vanguard Total Stock Market ETF		2.082.811.380.9812.16
VUG
Vanguard Growth ETF		1.822.371.330.828.45

Sharpe Ratio

The current Mixed Stack 2 Sharpe ratio is 1.79. 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 places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Mixed Stack 2 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
1.73
2.91
Mixed Stack 2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Mixed Stack 2 provided a 1.67% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.67%1.74%1.53%1.07%0.55%1.12%0.88%0.71%0.83%0.82%0.74%0.73%
Portfolio components:
RSST
Return Stacked U.S. Stocks & Managed Futures ETF		0.78%0.93%0.00%0.00%0.00%0.00%0.00%0.00%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%
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%
CTA
Simplify Managed Futures Strategy ETF		8.36%7.78%6.58%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBMF
iM DBi Managed Futures Strategy ETF		5.21%2.91%7.72%10.38%0.86%9.35%0.00%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%
TFPN
Blueprint Chesapeake Multi-Asset Trend ETF		0.94%0.98%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.27%
Mixed Stack 2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Mixed Stack 2. 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 Mixed Stack 2 was 9.59%, occurring on Aug 5, 2024. Recovery took 74 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.59%Jul 17, 202420Aug 5, 202474Oct 18, 202494
-3.9%Apr 12, 20248Apr 19, 202426May 15, 202434
-3.69%Sep 15, 202343Oct 27, 202311Nov 7, 202354
-2.76%Oct 30, 20246Nov 4, 20242Nov 6, 20248
-2.16%Dec 28, 202311Jan 7, 20243Jan 10, 202414

Volatility

Volatility Chart

The current Mixed Stack 2 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%
Mixed Stack 2
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.
BTC-USDCTAKMLMTFPNBTALDBMFVUGVTIRSST
BTC-USD1.000.080.040.09-0.260.110.160.220.18
CTA0.081.000.33-0.030.120.39-0.04-0.070.11
KMLM0.040.331.000.030.080.440.000.040.32
TFPN0.09-0.030.031.00-0.270.220.250.290.28
BTAL-0.260.120.08-0.271.00-0.11-0.44-0.56-0.40
DBMF0.110.390.440.22-0.111.000.210.290.55
VUG0.16-0.040.000.25-0.440.211.000.830.68
VTI0.22-0.070.040.29-0.560.290.831.000.77
RSST0.180.110.320.28-0.400.550.680.771.00
The correlation results are calculated based on daily price changes starting from Sep 7, 2023