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Всепогодный портфель
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TLT 20%SHY 20%IAU 20%QQQ 20%NOBL 20%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin
0%
IAU
iShares Gold Trust
Precious Metals, Gold
20%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
Large Cap Growth Equities, Dividend
20%
QQQ
Invesco QQQ
Large Cap Blend Equities
20%
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds
20%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Всепогодный портфель, 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%JulyAugustSeptemberOctoberNovemberDecember
4.89%
9.23%
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 10, 2013, corresponding to the inception date of NOBL

Returns By Period

As of Dec 24, 2024, the Всепогодный портфель returned 11.21% Year-To-Date and 7.65% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
25.25%0.08%9.66%25.65%13.17%11.11%
Всепогодный портфель11.21%-1.56%4.89%11.63%7.46%7.65%
QQQ
Invesco QQQ
28.44%3.54%9.40%28.86%20.37%18.35%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
7.32%-5.86%4.76%7.93%8.07%9.31%
TLT
iShares 20+ Year Treasury Bond ETF
-7.87%-2.48%-5.19%-7.49%-6.24%-1.00%
SHY
iShares 1-3 Year Treasury Bond ETF
3.60%0.32%2.46%3.71%1.21%1.24%
IAU
iShares Gold Trust
26.24%-3.54%12.36%26.79%11.27%7.85%
BTC-USD
Bitcoin
124.03%-3.40%53.20%117.10%67.28%76.91%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.39%1.19%3.13%-2.58%2.53%1.47%2.74%2.00%2.60%-1.15%1.83%11.21%
20235.62%-2.76%5.05%0.82%-0.57%2.43%1.29%-1.55%-4.69%-0.65%6.06%4.36%15.80%
2022-3.82%-0.52%0.54%-5.80%-1.21%-3.73%3.87%-3.29%-6.50%1.28%5.79%-2.61%-15.54%
2021-1.72%-1.83%0.77%3.30%1.80%0.32%2.28%1.13%-3.56%3.48%0.45%1.89%8.36%
20202.65%-1.45%-2.15%6.71%2.67%2.21%5.60%1.98%-2.29%-1.79%3.91%2.42%21.90%
20193.59%1.24%2.09%0.93%-1.00%4.73%0.71%3.38%-0.40%1.47%0.71%1.31%20.28%
20182.42%-2.27%-0.36%-0.74%1.55%-0.13%0.77%1.48%-0.57%-2.95%1.40%-0.81%-0.35%
20172.41%2.59%0.31%1.53%1.31%-0.58%1.41%1.83%-0.63%1.02%1.50%1.33%14.89%
20160.52%3.12%2.30%0.40%-0.15%3.39%2.71%-0.77%0.05%-2.68%-2.58%0.10%6.35%
20152.86%-0.34%-0.88%-0.52%0.38%-1.95%0.99%-1.89%-0.76%4.12%-1.33%-0.66%-0.16%
20140.66%3.35%-0.88%0.70%1.28%2.04%-0.91%2.85%-1.79%1.41%2.27%0.41%11.85%
20133.01%-0.56%-0.05%2.37%

Expense Ratio

Всепогодный портфель has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for NOBL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Всепогодный портфель is 44, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Всепогодный портфель is 4444
Overall Rank
The Sharpe Ratio Rank of Всепогодный портфель is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of Всепогодный портфель is 4646
Sortino Ratio Rank
The Omega Ratio Rank of Всепогодный портфель is 4444
Omega Ratio Rank
The Calmar Ratio Rank of Всепогодный портфель is 1515
Calmar Ratio Rank
The Martin Ratio Rank of Всепогодный портфель is 6969
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Всепогодный портфель, currently valued at 1.62, compared to the broader market-6.00-4.00-2.000.002.004.001.622.07
The chart of Sortino ratio for Всепогодный портфель, currently valued at 2.21, compared to the broader market-6.00-4.00-2.000.002.004.006.002.212.76
The chart of Omega ratio for Всепогодный портфель, currently valued at 1.29, compared to the broader market0.400.600.801.001.201.401.601.801.291.39
The chart of Calmar ratio for Всепогодный портфель, currently valued at 0.83, compared to the broader market0.002.004.006.008.0010.0012.000.833.05
The chart of Martin ratio for Всепогодный портфель, currently valued at 12.34, compared to the broader market0.0010.0020.0030.0040.0050.0012.3413.27
Всепогодный портфель
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.762.271.320.827.86
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
0.801.181.140.203.61
TLT
iShares 20+ Year Treasury Bond ETF
0.150.311.040.010.43
SHY
iShares 1-3 Year Treasury Bond ETF
3.245.601.710.8814.19
IAU
iShares Gold Trust
0.841.201.150.394.20
BTC-USD
Bitcoin
1.562.301.231.377.28

The current Всепогодный портфель Sharpe ratio is 1.62. 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 1.33 to 2.19, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Всепогодный портфель 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.62
2.07
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Всепогодный портфель provided a 2.17% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.17%1.82%1.34%0.82%1.03%1.40%1.53%1.20%1.30%1.23%1.21%0.97%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.04%2.09%1.94%1.89%2.14%1.89%2.37%1.74%2.13%2.02%1.60%0.30%
TLT
iShares 20+ Year Treasury Bond ETF
4.29%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
SHY
iShares 1-3 Year Treasury Bond ETF
3.92%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.72%0.54%0.36%0.26%
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%
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%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.79%
-1.91%
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Всепогодный портфель. 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 Всепогодный портфель was 20.14%, occurring on Oct 20, 2022. Recovery took 503 trading sessions.

The current Всепогодный портфель drawdown is 2.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.14%Dec 28, 2021297Oct 20, 2022503Mar 6, 2024800
-11.8%Feb 24, 202024Mar 18, 202037Apr 24, 202061
-6.69%Sep 7, 201686Dec 1, 2016138Apr 18, 2017224
-6.14%Jan 23, 2015215Aug 25, 2015184Feb 25, 2016399
-6.04%Jan 29, 2018330Dec 24, 201843Feb 5, 2019373

Volatility

Volatility Chart

The current Всепогодный портфель volatility is 2.49%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.49%
3.82%
Всепогодный портфель
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-USDIAUQQQNOBLSHYTLT
BTC-USD1.000.080.130.080.01-0.01
IAU0.081.000.010.020.370.30
QQQ0.130.011.000.58-0.07-0.11
NOBL0.080.020.581.00-0.07-0.14
SHY0.010.37-0.07-0.071.000.58
TLT-0.010.30-0.11-0.140.581.00
The correlation results are calculated based on daily price changes starting from Oct 11, 2013
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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