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Всепогодный портфель

Last updated May 27, 2023

Asset Allocation


TLT 18%SHY 18%IAU 18%BTC-USD 10%QQQ 18%NOBL 18%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity

Performance

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


100.00%200.00%300.00%400.00%500.00%December2023FebruaryMarchAprilMay
500.96%
148.47%
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

Returns

As of May 27, 2023, the Всепогодный портфель returned 13.53% Year-To-Date and 13.72% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark0.86%9.53%6.09%1.14%6.19%6.74%
Всепогодный портфель-1.63%13.53%12.47%2.43%9.59%13.72%
QQQ
Invesco QQQ
8.01%31.04%23.72%13.58%10.97%11.95%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
-4.71%-0.95%-3.32%-2.53%6.43%7.21%
TLT
iShares 20+ Year Treasury Bond ETF
-4.80%2.57%-0.57%-12.75%-1.08%1.32%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.67%1.18%1.56%-0.50%0.59%0.45%
IAU
iShares Gold Trust
-2.09%6.74%11.84%4.80%5.61%2.87%
BTC-USD
Bitcoin
-8.65%61.47%64.76%-9.27%19.42%46.45%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

BTC-USDIAUNOBLQQQSHYTLT
BTC-USD1.000.070.060.120.01-0.01
IAU0.071.00-0.01-0.020.380.30
NOBL0.06-0.011.000.61-0.11-0.20
QQQ0.12-0.020.611.00-0.11-0.15
SHY0.010.38-0.11-0.111.000.57
TLT-0.010.30-0.20-0.150.571.00

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Всепогодный портфель Sharpe ratio is 1.05. A Sharpe ratio greater than 1.0 is considered acceptable.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.501.00December2023FebruaryMarchAprilMay
1.05
0.52
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

Dividend yield

Всепогодный портфель granted a 1.61% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Всепогодный портфель1.61%1.22%0.75%0.96%1.33%1.48%1.19%1.31%1.27%1.26%1.04%0.94%
QQQ
Invesco QQQ
0.75%0.80%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.38%
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.36%1.95%1.94%2.23%2.03%2.59%1.95%2.43%2.35%1.90%0.37%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.68%2.70%1.55%1.57%2.42%2.87%2.73%2.99%3.07%3.22%4.04%3.43%
SHY
iShares 1-3 Year Treasury Bond ETF
2.14%1.31%0.27%0.96%2.19%1.82%1.05%0.77%0.59%0.40%0.29%0.41%
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%

Expense Ratio

The Всепогодный портфель has a high expense ratio of 0.20%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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
QQQ
Invesco QQQ
0.75
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
0.03
TLT
iShares 20+ Year Treasury Bond ETF
-0.65
SHY
iShares 1-3 Year Treasury Bond ETF
-0.15
IAU
iShares Gold Trust
0.31
BTC-USD
Bitcoin
0.84

Drawdowns Chart

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


-24.00%-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%December2023FebruaryMarchAprilMay
-13.80%
-12.32%
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Всепогодный портфель. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Всепогодный портфель is 26.89%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.89%Nov 10, 2021345Oct 20, 2022
-26.72%Dec 5, 201314Dec 18, 2013898Jun 3, 2016912
-21.21%Dec 17, 2017374Dec 25, 2018176Jun 19, 2019550
-16.3%Feb 24, 202024Mar 18, 202042Apr 29, 202066
-7.54%Nov 30, 20132Dec 1, 20133Dec 4, 20135

Volatility Chart

The current Всепогодный портфель volatility is 1.67%, 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%December2023FebruaryMarchAprilMay
1.67%
2.86%
Всепогодный портфель
Benchmark (^GSPC)
Portfolio components