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HF only

Last updated Feb 21, 2024

Asset Allocation


BRK-B 20%BLK 20%BX 20%MS 20%AMP 20%EquityEquity
PositionCategory/SectorWeight
BRK-B
Berkshire Hathaway Inc.
Financial Services

20%

BLK
BlackRock, Inc.
Financial Services

20%

BX
The Blackstone Group Inc.
Financial Services

20%

MS
Morgan Stanley
Financial Services

20%

AMP
Ameriprise Financial, Inc.
Financial Services

20%

Performance

The chart shows the growth of an initial investment of $10,000 in HF only, 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


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%SeptemberOctoberNovemberDecember2024February
19.62%
13.40%
HF only
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 22, 2007, corresponding to the inception date of BX

Returns

As of Feb 21, 2024, the HF only returned 1.29% Year-To-Date and 17.00% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
HF only1.29%4.39%19.62%17.60%23.76%17.00%
BRK-B
Berkshire Hathaway Inc.
14.16%10.94%16.14%32.09%14.71%13.69%
BLK
BlackRock, Inc.
-1.69%-0.91%21.54%14.66%15.95%13.18%
BX
The Blackstone Group Inc.
-2.77%6.90%30.68%39.68%35.04%21.25%
MS
Morgan Stanley
-7.58%0.99%5.13%-10.75%18.99%14.06%
AMP
Ameriprise Financial, Inc.
4.82%4.32%21.64%14.73%27.28%16.65%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.12%
20237.35%-2.20%-2.96%-7.54%14.85%9.83%

Sharpe Ratio

The current HF only Sharpe ratio is 0.89. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.89

The Sharpe ratio of HF only is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
0.89
1.75
HF only
Benchmark (^GSPC)
Portfolio components

Dividend yield

HF only granted a 2.08% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
HF only2.08%1.98%2.89%1.63%1.82%2.18%3.47%2.56%3.03%3.33%2.08%1.64%
BRK-B
Berkshire Hathaway Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BLK
BlackRock, Inc.
2.51%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%2.12%
BX
The Blackstone Group Inc.
2.65%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.63%3.67%
MS
Morgan Stanley
3.90%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
AMP
Ameriprise Financial, Inc.
1.36%1.40%1.57%1.47%2.10%2.29%3.38%1.91%2.63%2.43%1.71%1.75%

Expense Ratio

The HF only has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
BRK-B
Berkshire Hathaway Inc.
2.41
BLK
BlackRock, Inc.
0.72
BX
The Blackstone Group Inc.
1.15
MS
Morgan Stanley
-0.42
AMP
Ameriprise Financial, Inc.
0.62

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BXBRK-BMSBLKAMP
BX1.000.450.530.550.54
BRK-B0.451.000.590.600.62
MS0.530.591.000.640.71
BLK0.550.600.641.000.70
AMP0.540.620.710.701.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-0.57%
-1.08%
HF only
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the HF only. 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 HF only was 69.26%, occurring on Nov 20, 2008. Recovery took 1041 trading sessions.

The current HF only drawdown is 0.57%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-69.26%Oct 10, 2007283Nov 20, 20081041Jan 10, 20131324
-43.89%Feb 20, 202023Mar 23, 2020159Nov 5, 2020182
-32.52%May 20, 2015185Feb 11, 2016208Dec 7, 2016393
-29.2%Jan 29, 2018229Dec 24, 2018211Oct 25, 2019440
-26.79%Feb 10, 202289Jun 17, 2022311Sep 14, 2023400

Volatility Chart

The current HF only volatility is 4.18%, 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%7.00%8.00%SeptemberOctoberNovemberDecember2024February
4.18%
3.37%
HF only
Benchmark (^GSPC)
Portfolio components
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