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P S and P Diversified Trend Indicators
P S and P Diversified Trend Indicators
live (public) 0.22% April 17
Comparable mutual fund: RYMFX (Guggenheim Managed Futures Strategy)
Comparable ETF: WDTI (WisdomTree Managed Futures)
Compare this portfolio with the two funds
Delayed
Holdings (As of 02/29/2024)
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| Asset | Fund in this portfolio | Price change* | Percentage |
|---|---|---|---|
| Industrial metal | DBB (Invesco DB Base Metals Fund) | 0.76% | 5.00% |
| Precious metal | DBP (Invesco DB Precious Metals Fund) | 0.55% | 5.25% |
| Agriculture | DBA (Invesco DB Agriculture Fund) | 0.05% | 21.00% |
| Euro | FXE (Invesco CurrencyShares® Euro Currency Trust) | 0.32% | 13.00% |
| Japanese Yen | FXY (Invesco CurrencyShares® Japanese Yen Trust) | 0.46% | -12.00% |
| British Pound | FXB (Invesco CurrencyShares® British Pound Sterling Trust) | 0.28% | 5.00% |
| Swiss Franc | FXF (Invesco CurrencyShares® Swiss Franc Trust) | 0.63% | -2.00% |
| Australian Dollar | FXC (Invesco CurrencyShares® Canadian Dollar Trust) | 0.04% | 2.00% |
| Canadian Dollar | FXA (Invesco CurrencyShares® Australian Dollar Trust) | 0.11% | -1.00% |
| U.S treasury bond | IEF (iShares 7-10 Year Treasury Bond ETF) | 0.20% | 7.50% |
| U.S treasury note | SHY (iShares 1-3 Year Treasury Bond ETF) | 0.06% | 7.50% |
* Day change on 02/29/2024.
Previous
Performance (As of 04/17/2024)
Since 10/01/2007
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| P S and P Diversified Trend Indicators | 5.4% | -29.7% | -4.8% | -1.3% | 0.2% | 0.1% |
| VFINX (Vanguard (S&P 500) Index) | 5.7% | 22.7% | 7.9% | 13.4% | 12.6% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 1.7% | 12.8% | 2.3% | 7.6% | 7.7% | 9.6% |
* YTD: Year to Date
** AR: Annualized Return
| Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | Since 10/01/2007 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.0 | 5.4 | -29.7 | -4.8 | -1.3 | 0.2 | 0.1 | 1.5 | -33.5 | 16.1 | 14.7 | 3.7 | -2.6 | 1.4 | -1.8 | 4.0 | -0.1 | 0.8 | 5.7 | -4.1 | 0.2 | 0.6 | -0.8 | 18.3 | 9.4 |
| Sharpe Ratio | NA | 1.03 | -0.91 | -0.31 | -0.16 | -0.06 | NA | 0.07 | -1.03 | 1.63 | 1.9 | 0.58 | -1.09 | 0.02 | -0.56 | 0.68 | -0.04 | 0.19 | 1.51 | -0.92 | 0.02 | 0.06 | -0.09 | 1.37 | 0.92 |
| Draw Down(%) | NA | 1.6 | 34.6 | 37.3 | 37.3 | 37.3 | NA | 37.3 | 34.9 | 5.1 | 3.9 | 4.5 | 4.7 | 2.9 | 4.4 | 5.7 | 5.0 | 5.8 | 2.2 | 6.3 | 8.1 | 7.8 | 6.0 | 8.0 | 2.4 |
| Standard Deviation(%) | NA | 4.2 | 36.6 | 22.2 | 17.6 | 12.8 | NA | 11.2 | 36.8 | 9.0 | 7.7 | 5.9 | 3.7 | 4.3 | 4.3 | 5.6 | 4.5 | 4.1 | 3.8 | 4.5 | 7.1 | 7.5 | 9.7 | 12.7 | 9.6 |
| Treynor Ratio | NA | 0.84 | 1.35 | -0.37 | -0.14 | -0.05 | NA | 0.02 | 2.44 | 0.31 | 0.42 | 0.18 | -0.25 | 0.0 | -0.87 | 0.38 | -0.01 | 0.07 | 0.3 | -0.07 | 0.0 | 0.01 | -0.01 | 0.2 | 0.08 |
| Alpha | NA | 0.05 | -0.13 | -0.02 | -0.01 | 0.0 | NA | 0.0 | -0.16 | 0.03 | 0.05 | 0.01 | -0.02 | 0.01 | -0.01 | 0.02 | 0.0 | 0.0 | 0.02 | 0.01 | 0.02 | 0.02 | 0.01 | 0.04 | 0.03 |
| Beta | NA | 0.05 | -0.25 | 0.19 | 0.2 | 0.15 | NA | 0.32 | -0.15 | 0.48 | 0.35 | 0.19 | 0.16 | 0.23 | 0.03 | 0.1 | 0.15 | 0.11 | 0.19 | 0.57 | 0.77 | 0.84 | 0.81 | 0.89 | 1.09 |
| RSquared | NA | 0.02 | 0.01 | 0.02 | 0.02 | 0.02 | NA | 0.11 | 0.0 | 0.49 | 0.21 | 0.05 | 0.13 | 0.33 | 0.01 | 0.03 | 0.12 | 0.08 | 0.17 | 0.51 | 0.68 | 0.7 | 0.72 | 0.79 | 0.85 |
| Sortino Ratio | NA | 1.67 | -0.91 | -0.32 | -0.17 | -0.07 | NA | 0.08 | -1.03 | 2.3 | 2.58 | 0.82 | -1.4 | 0.02 | -0.76 | 1.03 | -0.05 | 0.26 | 2.29 | -1.2 | 0.03 | 0.09 | -0.13 | 2.01 | 1.44 |
| Yield(%) | N/A | 0.28 | 1.25 | 0.52 | 0.33 | 0.22 | N/A | 0.36 | 1.18 | 0.19 | 0.04 | 0.06 | 0.01 | 0.03 | 0.13 | 0.14 | 0.12 | 0.19 | 0.08 | 0.15 | 0.25 | 0.31 | 0.39 | 0.94 | 1.28 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 10/01/2007
Strategies
| Asset Allocation Strategy | S and P Diversified Trend Indicators |
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