Asset Allocation
Find the right asset allocation for Rick's Black Swan
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Rick's Black Swan, 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 6, 2026, the Rick's Black Swan returned 14.48% Year-To-Date and 15.16% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -2.64% | -0.21% | 7.86% | 7.47% | 23.05% | 19.90% | 11.79% | 13.33% |
Portfolio Rick's Black Swan | -3.82% | -1.14% | 14.48% | 15.21% | 31.77% | 23.89% | 16.51% | 15.16% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.04% | 0.28% | 1.53% | 1.78% | 3.87% | 4.64% | 3.42% | 2.18% |
DBC Invesco DB Commodity Index Tracking Fund | -2.18% | -3.53% | 30.72% | 29.51% | 39.56% | 13.78% | 11.98% | 8.48% |
GOVT iShares U.S. Treasury Bond ETF | -0.35% | -0.59% | -0.33% | -0.22% | 3.74% | 2.73% | -0.50% | 0.86% |
IAK iShares U.S. Insurance ETF | 3.19% | 2.61% | -0.36% | 3.38% | 0.77% | 18.24% | 12.47% | 12.09% |
IAU iShares Gold Trust | -3.63% | -8.61% | 0.06% | 2.63% | 30.01% | 29.73% | 17.65% | 12.97% |
PSCC Invesco S&P SmallCap Consumer Staples ETF | 1.46% | 0.51% | 7.16% | 6.18% | -2.82% | -1.02% | -0.20% | 6.30% |
USD ProShares Ultra Semiconductors | -16.84% | -6.95% | 69.08% | 62.79% | 196.23% | 111.77% | 61.72% | 58.18% |
UUP Invesco DB US Dollar Index Bullish Fund | 0.65% | 2.49% | 3.66% | 3.19% | 5.60% | 4.04% | 6.04% | 3.28% |
XAR SPDR S&P Aerospace & Defense ETF | -2.80% | 2.70% | 13.04% | 18.20% | 37.96% | 33.64% | 16.19% | 17.78% |
XLV State Street Health Care Select Sector SPDR ETF | 0.61% | 6.63% | -0.75% | 0.67% | 15.89% | 7.44% | 6.32% | 9.61% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 27, 2012, Rick's Black Swan's average daily return is +0.05%, while the average monthly return is +1.05%. At this rate, an investment would double in approximately 5.5 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +9.6%, while the worst month was Mar 2020 at -8.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Rick's Black Swan closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +6.1%, while the worst single day was Mar 16, 2020 at -7.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.14% | 1.98% | -3.59% | 8.42% | 5.28% | -2.98% | 14.48% | ||||||
| 2025 | 0.70% | 0.07% | -1.64% | -1.25% | 5.29% | 5.60% | 2.06% | 1.15% | 3.99% | 2.91% | 0.10% | 0.50% | 20.94% |
| 2024 | 2.36% | 5.25% | 4.57% | -2.48% | 4.83% | 1.73% | 1.63% | 1.28% | 0.91% | -0.20% | 3.43% | -1.71% | 23.47% |
| 2023 | 5.58% | -0.33% | 3.34% | -0.46% | 1.35% | 3.99% | 3.52% | -0.63% | -3.65% | -0.91% | 5.73% | 4.84% | 24.19% |
| 2022 | -3.94% | 2.36% | 2.56% | -4.88% | 0.77% | -4.72% | 4.50% | -4.11% | -6.59% | 6.19% | 6.17% | -4.04% | -6.75% |
| 2021 | 1.23% | 2.74% | 1.81% | 2.06% | 3.01% | 1.43% | -0.05% | 1.01% | -2.10% | 4.01% | 1.53% | 3.29% | 21.72% |
Benchmark Metrics
Rick's Black Swan has an annualized alpha of 4.49%, beta of 0.64, and R2 of 0.83 versus S&P 500 Index. Calculated based on daily prices since February 27, 2012.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (73.25%) than losses (60.01%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.49% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.64 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
- 4.49%
- Beta
- 0.64
- R²
- 0.83
- Upside Capture
- 73.25%
- Downside Capture
- 60.01%
Expense Ratio
Rick's Black Swan has an expense ratio of 0.41%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Rick's Black Swan ranks 81 for risk / return — in the top 81% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Rick's Black Swan and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.86 | 2.01 | +0.86 |
| Sortino ratioReturn per unit of downside risk | 3.71 | 2.71 | +1.00 |
| Omega ratioGain probability vs. loss probability | 1.55 | 1.36 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 5.04 | 2.69 | +2.36 |
| Martin ratioReturn relative to average drawdown | 21.85 | 12.34 | +9.51 |
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 |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.68 | 175.67 | 88.66 | 358.48 | 2,842.59 |
DBC Invesco DB Commodity Index Tracking Fund | 75 | 2.17 | 2.81 | 1.38 | 5.26 | 12.12 |
GOVT iShares U.S. Treasury Bond ETF | 26 | 0.89 | 1.33 | 1.15 | 1.12 | 3.25 |
IAK iShares U.S. Insurance ETF | 11 | 0.11 | 0.26 | 1.03 | 0.22 | 0.46 |
IAU iShares Gold Trust | 31 | 1.07 | 1.45 | 1.22 | 1.42 | 3.60 |
PSCC Invesco S&P SmallCap Consumer Staples ETF | 8 | -0.12 | -0.05 | 0.99 | -0.13 | -0.22 |
USD ProShares Ultra Semiconductors | 85 | 3.10 | 2.98 | 1.41 | 6.21 | 17.82 |
UUP Invesco DB US Dollar Index Bullish Fund | 32 | 1.01 | 1.46 | 1.18 | 1.69 | 4.49 |
XAR SPDR S&P Aerospace & Defense ETF | 47 | 1.51 | 2.16 | 1.25 | 2.37 | 6.72 |
XLV State Street Health Care Select Sector SPDR ETF | 34 | 1.14 | 1.80 | 1.20 | 1.63 | 3.92 |
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Dividends
Dividend yield
Rick's Black Swan provided a 2.03% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.03% | 2.08% | 2.37% | 2.41% | 0.98% | 0.66% | 0.84% | 1.49% | 1.30% | 0.78% | 0.78% | 0.84% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.86% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
DBC Invesco DB Commodity Index Tracking Fund | 2.55% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
GOVT iShares U.S. Treasury Bond ETF | 3.59% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
IAK iShares U.S. Insurance ETF | 2.64% | 1.69% | 1.49% | 1.44% | 1.69% | 2.26% | 2.07% | 1.84% | 2.33% | 1.62% | 1.68% | 1.62% |
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% |
PSCC Invesco S&P SmallCap Consumer Staples ETF | 2.08% | 2.35% | 1.88% | 1.49% | 1.29% | 1.21% | 1.59% | 1.77% | 0.94% | 1.25% | 1.48% | 1.34% |
USD ProShares Ultra Semiconductors | 0.27% | 0.39% | 0.10% | 0.05% | 0.30% | 0.00% | 0.14% | 0.72% | 0.93% | 0.32% | 0.46% | 0.39% |
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% |
XAR SPDR S&P Aerospace & Defense ETF | 0.32% | 0.40% | 0.66% | 0.54% | 0.50% | 0.83% | 0.63% | 0.75% | 1.19% | 0.76% | 1.09% | 2.31% |
XLV State Street Health Care Select Sector SPDR ETF | 1.64% | 1.60% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% |
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 Rick's Black Swan. 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 Rick's Black Swan was 22.38%, occurring on Mar 20, 2020. Recovery took 112 trading sessions.
The current Rick's Black Swan drawdown is 4.76%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -22.38%Mar 2020 | 29d | 5mo 11d | 6mo 10dFeb 2020 - Aug 2020 |
Bear market2022 | -15.54%Sep 2022 | 6mo 4d | 7mo 28d | 1y 1moMar 2022 - May 2023 |
Rate-hike selloffLate 2018 | -13.15%Dec 2018 | 2mo 21d | 3mo 12d | 6mo 3dOct 2018 - Apr 2019 |
2025 selloff2025 | -11.65%Apr 2025 | 2mo 14d | 1mo 21d | 4mo 5dJan 2025 - May 2025 |
2016 correction2016 | -11.49%Feb 2016 | 7mo 22d | 3mo 23d | 11mo 15dJun 2015 - Jun 2016 |
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 10 assets, with an effective number of assets of 10.00, 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 | 1.97 | 1.71 | 1.63 | 1.53 | 1.54 |
The portfolio has a diversification ratio of 1.54, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Rick's Black Swan correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Feb 27, 2012 | 0.88 |
Benchmark Correlations
Correlation vs. S&P 500 Index. USD has the highest benchmark correlation at 0.75, while GOVT has the lowest at -0.17.
Asset Correlations Table
| BIL | IAU | UUP | GOVT | DBC | PSCC | XLV | USD | IAK | XAR | |
|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.04 | 0.01 | 0.02 | 0.01 | -0.02 | -0.03 | 0.02 | -0.01 | 0.01 |
| IAU | 0.04 | 1.00 | -0.46 | 0.32 | 0.27 | 0.02 | 0.02 | 0.02 | -0.05 | 0.05 |
| UUP | 0.01 | -0.46 | 1.00 | -0.23 | -0.20 | -0.10 | -0.11 | -0.10 | -0.07 | -0.10 |
| GOVT | 0.02 | 0.32 | -0.23 | 1.00 | -0.16 | -0.09 | -0.09 | -0.15 | -0.26 | -0.13 |
| DBC | 0.01 | 0.27 | -0.20 | -0.16 | 1.00 | 0.15 | 0.13 | 0.20 | 0.22 | 0.22 |
| PSCC | -0.02 | 0.02 | -0.10 | -0.09 | 0.15 | 1.00 | 0.47 | 0.34 | 0.53 | 0.51 |
| XLV | -0.03 | 0.02 | -0.11 | -0.09 | 0.13 | 0.47 | 1.00 | 0.43 | 0.54 | 0.47 |
| USD | 0.02 | 0.02 | -0.10 | -0.15 | 0.20 | 0.34 | 0.43 | 1.00 | 0.36 | 0.50 |
| IAK | -0.01 | -0.05 | -0.07 | -0.26 | 0.22 | 0.53 | 0.54 | 0.36 | 1.00 | 0.58 |
| XAR | 0.01 | 0.05 | -0.10 | -0.13 | 0.22 | 0.51 | 0.47 | 0.50 | 0.58 | 1.00 |
Find what Rick's Black Swan is missing
See which holdings overlap, where Rick's Black Swan is concentrated, and which low-correlation assets could fill the gaps.
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