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P S and P Commodity Trend Indicators Strategy
P S and P Commodity Trend Indicators Strategy
live (public) 0.29% April 23
DXCTX: DireXion Commodity Strategy Fund, which uses exactly the S&P CTI. The fund started from 6/13/2008. The other similar fund is LSC: Elements S&P CTI ETN. It started 6/24/2008.
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% | 10.00% |
Precious metal | DBP (Invesco DB Precious Metals Fund) | 0.55% | 10.50% |
Agriculture | DBA (Invesco DB Agriculture Fund) | 0.05% | 42.00% |
* Day change on 02/29/2024.
Performance (As of 04/23/2024)
Since 10/01/2007
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P S and P Commodity Trend Indicators Strategy | 12.9% | -54.4% | -15.2% | -6.6% | -2.7% | -2.4% |
VFINX (Vanguard (S&P 500) Index) | 6.7% | 24.3% | 8.6% | 13.4% | 12.4% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 2.5% | 13.6% | 2.7% | 7.6% | 7.6% | 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(%) | 0.4 | 12.9 | -54.4 | -15.2 | -6.6 | -2.7 | -2.4 | 0.1 | -59.0 | 20.3 | 27.6 | 5.5 | -2.1 | 0.4 | -0.4 | 3.3 | -1.1 | -3.7 | 5.9 | -7.4 | -5.5 | 3.2 | 2.3 | 23.8 | 15.9 |
Sharpe Ratio | NA | 1.49 | -0.69 | -0.35 | -0.21 | -0.13 | NA | -0.03 | -0.75 | 1.22 | 1.88 | 0.52 | -0.51 | -0.12 | -0.15 | 0.3 | -0.18 | -0.55 | 0.99 | -0.97 | -0.44 | 0.24 | 0.14 | 1.08 | 0.92 |
Draw Down(%) | NA | 1.5 | 60.3 | 63.0 | 63.0 | 63.0 | NA | 63.0 | 60.0 | 10.3 | 7.1 | 8.0 | 8.3 | 6.4 | 7.1 | 10.8 | 7.9 | 8.6 | 4.4 | 10.8 | 16.6 | 16.8 | 10.2 | 14.9 | 3.8 |
Standard Deviation(%) | NA | 7.9 | 83.7 | 49.8 | 39.0 | 28.1 | NA | 23.5 | 83.9 | 15.6 | 14.6 | 10.1 | 6.7 | 7.6 | 7.3 | 10.5 | 6.5 | 6.7 | 5.9 | 7.7 | 12.4 | 13.1 | 15.6 | 21.3 | 16.7 |
Treynor Ratio | NA | 0.29 | -2.21 | -0.42 | -0.25 | -0.15 | NA | -0.04 | -2.97 | 0.49 | 0.41 | 0.91 | -0.3 | -0.04 | -0.04 | 0.09 | 0.1 | 0.77 | -1.06 | -0.79 | -0.2 | 0.09 | 0.37 | -2.92 | 0.2 |
Alpha | NA | 0.11 | -0.22 | -0.05 | -0.02 | 0.0 | NA | 0.01 | -0.26 | 0.04 | 0.0 | 0.02 | -0.02 | 0.01 | -0.01 | -0.01 | -0.02 | -0.02 | 0.02 | -0.03 | -0.02 | 0.0 | 0.01 | 0.08 | 0.05 |
Beta | NA | 0.4 | 0.26 | 0.42 | 0.33 | 0.26 | NA | 0.17 | 0.21 | 0.39 | 0.67 | 0.06 | 0.11 | 0.24 | 0.3 | 0.35 | -0.12 | -0.05 | -0.06 | 0.09 | 0.27 | 0.33 | 0.06 | -0.08 | 0.78 |
RSquared | NA | 0.31 | 0.0 | 0.06 | 0.05 | 0.05 | NA | 0.03 | 0.0 | 0.43 | 0.81 | 0.02 | 0.05 | 0.21 | 0.26 | 0.36 | 0.1 | 0.01 | 0.01 | 0.03 | 0.2 | 0.25 | 0.01 | 0.02 | 0.9 |
Sortino Ratio | NA | 2.55 | -0.7 | -0.36 | -0.21 | -0.14 | NA | -0.03 | -0.75 | 1.69 | 2.59 | 0.73 | -0.68 | -0.16 | -0.2 | 0.43 | -0.25 | -0.76 | 1.5 | -1.25 | -0.58 | 0.34 | 0.2 | 1.52 | 1.49 |
Yield(%) | N/A | 0.0 | 0.92 | 0.35 | 0.21 | 0.11 | N/A | 0.19 | 0.94 | 0.17 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.96 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 10/01/2007
Strategies
Asset Allocation Strategy | S and P Commodity Trend Indicators |