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ПОРТФЕЛЬ 4. Худшие

Last updated Oct 3, 2023

Asset Allocation


SIBN.ME 10%TRMK 10%TCSG.ME 10%BSPB.ME 10%AGRO.ME 10%MVID.ME 10%PIKK.ME 10%VTBR.ME 10%MGNT.ME 10%RTKMP.ME 10%EquityEquity
PositionCategory/SectorWeight
SIBN.ME
Gazprom Neft
Energy10%
TRMK
Trustmark Corporation
Financial Services10%
TCSG.ME
TCS Group Holding PLC
Financial Services10%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
Financial Services10%
AGRO.ME
Ros Agro PLC
Consumer Defensive10%
MVID.ME
Public Joint Stock Company M.video
Consumer Cyclical10%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
Real Estate10%
VTBR.ME
VTB Bank
Financial Services10%
MGNT.ME
Public Joint Stock Company Magnit
Consumer Defensive10%
RTKMP.ME
Rostelecom PAO
Communication Services10%

Performance

The chart shows the growth of an initial investment of $10,000 in ПОРТФЕЛЬ 4. Худшие, 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


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
8.26%
3.40%
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-6.34%3.14%10.16%14.98%8.45%N/A
ПОРТФЕЛЬ 4. Худшие-8.09%6.99%8.49%-5.71%9.49%N/A
SIBN.ME
Gazprom Neft
5.51%25.47%22.93%45.25%14.29%N/A
TRMK
Trustmark Corporation
-9.66%-9.13%-36.91%-28.80%-8.36%N/A
TCSG.ME
TCS Group Holding PLC
-13.58%4.54%-5.03%-25.12%15.73%N/A
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
-1.30%60.06%119.16%117.99%42.43%N/A
AGRO.ME
Ros Agro PLC
-8.09%31.30%30.70%-10.24%7.55%N/A
MVID.ME
Public Joint Stock Company M.video
-8.51%-21.74%-14.27%-31.19%-21.76%N/A
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
-13.11%-9.27%-9.22%-24.59%12.39%N/A
VTBR.ME
VTB Bank
-14.65%1.80%12.95%-5.00%-20.01%N/A
MGNT.ME
Public Joint Stock Company Magnit
-12.32%-3.56%-6.38%-34.98%8.86%N/A
RTKMP.ME
Rostelecom PAO
-7.53%-10.02%-8.24%-26.92%-4.42%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.41%5.51%0.90%-2.47%9.21%1.79%-6.18%

Sharpe Ratio

The current ПОРТФЕЛЬ 4. Худшие Sharpe ratio is -0.05. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.05

The Sharpe ratio of ПОРТФЕЛЬ 4. Худшие 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 Ratio-0.500.000.501.001.50MayJuneJulyAugustSeptemberOctober
-0.19
0.96
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

Dividend yield

ПОРТФЕЛЬ 4. Худшие granted a 5.86% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
ПОРТФЕЛЬ 4. Худшие5.86%4.26%7.93%5.76%6.32%7.30%5.37%4.53%5.66%10.48%5.23%6.62%
SIBN.ME
Gazprom Neft
14.31%19.89%12.02%11.37%9.73%13.03%15.37%0.52%10.17%14.74%20.78%12.93%
TRMK
Trustmark Corporation
4.30%2.71%3.00%3.67%3.01%3.76%3.45%3.17%5.08%4.95%4.71%5.83%
TCSG.ME
TCS Group Holding PLC
0.00%0.00%0.29%2.55%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
12.95%11.81%5.60%6.88%7.51%4.61%2.45%2.06%6.21%0.64%0.37%0.31%
AGRO.ME
Ros Agro PLC
0.00%0.00%12.36%5.35%7.25%4.08%11.07%9.81%6.08%0.00%0.00%0.00%
MVID.ME
Public Joint Stock Company M.video
0.00%0.00%16.68%4.83%7.69%0.00%0.00%6.55%13.66%57.68%9.50%31.94%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
0.00%0.00%4.09%7.97%6.45%14.64%0.00%0.00%0.00%3.09%0.00%0.00%
VTBR.ME
VTB Bank
0.00%0.00%2.90%2.10%2.53%11.02%2.90%1.88%1.78%2.13%3.65%2.14%
MGNT.ME
Public Joint Stock Company Magnit
2.92%0.00%15.25%6.23%6.16%10.42%4.10%5.71%2.98%5.08%1.74%1.51%
RTKMP.ME
Rostelecom PAO
24.16%8.20%7.07%6.67%12.91%11.40%14.31%15.56%10.61%16.47%11.51%11.49%

Expense Ratio

The ПОРТФЕЛЬ 4. Худшие 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
SIBN.ME
Gazprom Neft
4.85
TRMK
Trustmark Corporation
-0.85
TCSG.ME
TCS Group Holding PLC
0.69
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
6.21
AGRO.ME
Ros Agro PLC
1.92
MVID.ME
Public Joint Stock Company M.video
0.67
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
1.16
VTBR.ME
VTB Bank
1.97
MGNT.ME
Public Joint Stock Company Magnit
0.54
RTKMP.ME
Rostelecom PAO
1.63

Asset Correlations Table

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

TRMKTCSG.MEPIKK.MEBSPB.MEAGRO.MEMVID.MEMGNT.MESIBN.MERTKMP.MEVTBR.ME
TRMK1.000.130.080.150.150.110.150.190.180.18
TCSG.ME0.131.000.400.390.460.460.410.460.440.51
PIKK.ME0.080.401.000.470.480.520.480.490.530.55
BSPB.ME0.150.390.471.000.470.530.530.530.600.55
AGRO.ME0.150.460.480.471.000.480.510.550.570.56
MVID.ME0.110.460.520.530.481.000.510.530.560.57
MGNT.ME0.150.410.480.530.510.511.000.570.590.58
SIBN.ME0.190.460.490.530.550.530.571.000.620.66
RTKMP.ME0.180.440.530.600.570.560.590.621.000.64
VTBR.ME0.180.510.550.550.560.570.580.660.641.00

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-30.06%
-11.82%
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the ПОРТФЕЛЬ 4. Худшие. 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 ПОРТФЕЛЬ 4. Худшие is 58.68%, recorded on Mar 9, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-58.68%Oct 27, 202196Mar 9, 2022
-45.42%Jan 21, 202042Mar 18, 2020188Dec 4, 2020230
-5.77%Jun 15, 202125Jul 19, 202111Aug 3, 202136
-5.42%Jan 21, 20217Jan 29, 20216Feb 8, 202113
-5.23%Mar 17, 20215Mar 23, 202115Apr 13, 202120

Volatility Chart

The current ПОРТФЕЛЬ 4. Худшие volatility is 5.89%, 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%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
5.89%
3.34%
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components