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ПОРТФЕЛЬ 4. Худшие
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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
AGRO.ME
Ros Agro PLC
Consumer Defensive
10%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
Financial Services
10%
MGNT.ME
Public Joint Stock Company Magnit
Consumer Defensive
10%
MVID.ME
Public Joint Stock Company M.video
Consumer Cyclical
10%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
Real Estate
10%
RTKMP.ME
Rostelecom PAO
Communication Services
10%
SIBN.ME
Gazprom Neft
Energy
10%
TCSG.ME
TCS Group Holding PLC
Financial Services
10%
TRMK
Trustmark Corporation
Financial Services
10%
VTBR.ME
VTB Bank
Financial Services
10%

Performance

Performance Chart

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


-30.00%-20.00%-10.00%0.00%10.00%20.00%MayJuneJulyAugustSeptemberOctober
-26.34%
15.83%
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 28, 2019, corresponding to the inception date of TCSG.ME

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
ПОРТФЕЛЬ 4. Худшие-15.41%-13.57%-26.34%-13.27%7.91%N/A
SIBN.ME
Gazprom Neft
-31.66%-21.57%-24.38%-24.44%9.07%24.27%
TRMK
Trustmark Corporation
28.82%11.19%20.29%80.04%3.61%7.14%
TCSG.ME
TCS Group Holding PLC
-32.53%-12.89%-26.22%-34.00%5.86%N/A
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
61.41%-10.48%7.12%43.27%52.74%38.38%
AGRO.ME
Ros Agro PLC
-10.51%-7.13%-23.77%-15.98%9.12%N/A
MVID.ME
Public Joint Stock Company M.video
-45.05%-15.13%-54.43%-51.80%-27.21%-1.30%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
-23.59%-16.03%-36.73%-25.68%3.87%18.28%
VTBR.ME
VTB Bank
-37.92%-17.67%-36.42%-41.76%-24.33%-9.08%
MGNT.ME
Public Joint Stock Company Magnit
-38.05%-26.10%-48.67%-24.70%4.50%-4.38%
RTKMP.ME
Rostelecom PAO
-7.04%-19.93%-29.63%-9.93%1.27%9.34%

Monthly Returns

The table below presents the monthly returns of ПОРТФЕЛЬ 4. Худшие, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20248.18%1.94%0.86%3.24%-4.67%7.62%-6.18%-12.60%2.97%-15.41%
20235.21%-5.46%2.41%5.51%3.39%-2.41%10.18%2.63%-5.43%7.84%4.38%-0.08%30.44%
2022-10.62%-44.14%35.45%2.00%13.17%15.58%-3.87%12.52%-17.85%13.77%0.14%-16.67%-23.88%
20213.04%10.57%5.29%3.38%9.75%2.95%0.74%5.74%3.63%5.48%-9.05%-2.23%45.09%
20201.84%-11.93%-26.61%12.25%8.48%5.50%3.73%5.91%-0.92%-3.77%17.55%5.10%9.43%
20190.34%2.47%8.57%11.62%

Expense Ratio

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

Risk-Adjusted Performance Rank

The current rank of ПОРТФЕЛЬ 4. Худшие is 0, indicating that it is in the bottom 0% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ПОРТФЕЛЬ 4. Худшие is 00
Combined Rank
The Sharpe Ratio Rank of ПОРТФЕЛЬ 4. Худшие is 00Sharpe Ratio Rank
The Sortino Ratio Rank of ПОРТФЕЛЬ 4. Худшие is 00Sortino Ratio Rank
The Omega Ratio Rank of ПОРТФЕЛЬ 4. Худшие is 00Omega Ratio Rank
The Calmar Ratio Rank of ПОРТФЕЛЬ 4. Худшие is 00Calmar Ratio Rank
The Martin Ratio Rank of ПОРТФЕЛЬ 4. Худшие is 00Martin 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.


ПОРТФЕЛЬ 4. Худшие
Sharpe ratio
The chart of Sharpe ratio for ПОРТФЕЛЬ 4. Худшие, currently valued at -0.70, compared to the broader market0.002.004.006.00-0.70
Sortino ratio
The chart of Sortino ratio for ПОРТФЕЛЬ 4. Худшие, currently valued at -0.88, compared to the broader market-2.000.002.004.006.00-0.88
Omega ratio
The chart of Omega ratio for ПОРТФЕЛЬ 4. Худшие, currently valued at 0.90, compared to the broader market0.801.001.201.401.601.802.000.90
Calmar ratio
The chart of Calmar ratio for ПОРТФЕЛЬ 4. Худшие, currently valued at -0.55, compared to the broader market0.005.0010.00-0.55
Martin ratio
The chart of Martin ratio for ПОРТФЕЛЬ 4. Худшие, currently valued at -1.60, compared to the broader market0.0010.0020.0030.0040.0050.0060.00-1.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SIBN.ME
Gazprom Neft
-1.10-1.510.82-0.85-1.95
TRMK
Trustmark Corporation
2.183.051.381.4910.01
TCSG.ME
TCS Group Holding PLC
-1.19-1.770.80-0.46-1.72
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
1.051.751.211.814.72
AGRO.ME
Ros Agro PLC
-0.33-0.270.97-0.40-0.77
MVID.ME
Public Joint Stock Company M.video
-1.15-1.760.78-0.57-1.87
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
-0.80-1.070.88-0.37-1.54
VTBR.ME
VTB Bank
-1.30-1.970.77-0.51-2.07
MGNT.ME
Public Joint Stock Company Magnit
-0.83-1.040.87-0.55-1.30
RTKMP.ME
Rostelecom PAO
-0.47-0.500.94-0.46-1.40

Sharpe Ratio

The current ПОРТФЕЛЬ 4. Худшие Sharpe ratio is -0.70. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of ПОРТФЕЛЬ 4. Худшие 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 Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-0.70
3.43
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ПОРТФЕЛЬ 4. Худшие provided a 6.82% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
ПОРТФЕЛЬ 4. Худшие6.82%8.85%4.13%7.20%4.78%4.90%4.60%3.40%2.97%3.55%6.16%2.40%
SIBN.ME
Gazprom Neft
13.31%10.38%18.67%9.18%7.83%6.21%7.80%8.47%0.26%5.05%6.93%9.12%
TRMK
Trustmark Corporation
2.62%3.30%2.64%2.83%3.37%2.67%3.24%2.89%2.58%3.99%3.75%3.43%
TCSG.ME
TCS Group Holding PLC
0.00%0.00%0.00%0.29%2.54%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
9.50%32.19%11.81%5.60%6.43%6.59%3.66%1.93%1.57%4.64%0.45%0.26%
AGRO.ME
Ros Agro PLC
12.17%0.00%0.00%12.36%4.60%5.87%3.14%8.19%6.78%3.93%0.00%0.00%
MVID.ME
Public Joint Stock Company M.video
0.00%0.00%0.00%16.68%4.21%6.43%0.00%0.00%5.16%10.06%36.47%4.62%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
0.00%0.00%0.00%4.09%7.60%5.67%12.07%0.00%0.00%0.00%2.22%0.00%
VTBR.ME
VTB Bank
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MGNT.ME
Public Joint Stock Company Magnit
10.97%7.45%0.00%14.43%5.37%4.87%7.77%2.89%3.93%1.97%3.29%1.10%
RTKMP.ME
Rostelecom PAO
19.64%35.17%8.20%6.57%5.84%10.68%8.36%9.63%9.43%5.87%8.49%5.49%

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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-28.93%
-0.54%
ПОРТФЕЛЬ 4. Худшие
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ПОРТФЕЛЬ 4. Худшие. 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 ПОРТФЕЛЬ 4. Худшие was 65.07%, occurring on Mar 9, 2022. Recovery took 564 trading sessions.

The current ПОРТФЕЛЬ 4. Худшие drawdown is 28.93%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-65.07%Oct 27, 202196Mar 9, 2022564May 2, 2024660
-45.41%Jan 21, 202042Mar 18, 2020188Dec 4, 2020230
-29.25%Jun 28, 202487Oct 28, 2024
-8.52%May 20, 202411Jun 3, 202418Jun 27, 202429
-6.05%Jun 15, 202125Jul 19, 202112Aug 4, 202137

Volatility

Volatility Chart

The current ПОРТФЕЛЬ 4. Худшие volatility is 7.74%, 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
7.74%
2.71%
ПОРТФЕЛЬ 4. Худшие
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.

TRMKTCSG.MEPIKK.MEAGRO.MEMVID.MEBSPB.MEMGNT.MESIBN.MEVTBR.MERTKMP.ME
TRMK1.000.100.070.110.090.110.130.150.150.16
TCSG.ME0.101.000.420.470.460.440.460.460.530.48
PIKK.ME0.070.421.000.470.500.500.500.470.550.56
AGRO.ME0.110.470.471.000.470.490.520.520.560.58
MVID.ME0.090.460.500.471.000.550.520.520.570.58
BSPB.ME0.110.440.500.490.551.000.540.530.590.61
MGNT.ME0.130.460.500.520.520.541.000.590.610.61
SIBN.ME0.150.460.470.520.520.530.591.000.640.65
VTBR.ME0.150.530.550.560.570.590.610.641.000.66
RTKMP.ME0.160.480.560.580.580.610.610.650.661.00
The correlation results are calculated based on daily price changes starting from Oct 29, 2019