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ПОРТФЕЛЬ 4.Худшие

Last updated Sep 21, 2023

Asset Allocation


SIBN.ME 11.11%BSPB.ME 11.11%AGRO.ME 11.11%MVID.ME 11.11%PIKK.ME 11.11%VTBR.ME 11.11%MGNT.ME 11.11%RTKMP.ME 11.11%SBERP.ME 11.11%EquityEquity
PositionCategory/SectorWeight
SIBN.ME
Gazprom Neft
Energy11.11%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
Financial Services11.11%
AGRO.ME
Ros Agro PLC
Consumer Defensive11.11%
MVID.ME
Public Joint Stock Company M.video
Consumer Cyclical11.11%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
Real Estate11.11%
VTBR.ME
VTB Bank
Financial Services11.11%
MGNT.ME
Public Joint Stock Company Magnit
Consumer Defensive11.11%
RTKMP.ME
Rostelecom PAO
Communication Services11.11%
SBERP.ME
Sberbank of Russia
11.11%

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%AprilMayJuneJulyAugustSeptember
11.63%
10.38%
ПОРТФЕЛЬ 4.Худшие
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the ПОРТФЕЛЬ 4.Худшие returned 22.59% Year-To-Date and 10.38% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.01%13.40%13.34%11.69%11.12%
ПОРТФЕЛЬ 4.Худшие-6.23%10.65%22.59%4.35%9.66%10.38%
SIBN.ME
Gazprom Neft
-1.58%22.77%18.25%43.19%19.49%19.44%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
3.29%67.58%126.35%111.42%37.91%23.72%
AGRO.ME
Ros Agro PLC
-2.57%24.27%28.57%-10.36%8.10%13.73%
MVID.ME
Public Joint Stock Company M.video
-13.22%-15.63%-8.59%-33.61%-16.76%-0.83%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
-12.46%-8.53%-4.89%-27.91%13.91%13.53%
VTBR.ME
VTB Bank
-9.00%10.82%17.22%-6.16%-14.56%-10.96%
MGNT.ME
Public Joint Stock Company Magnit
-8.64%-3.49%-3.57%-28.43%4.49%-10.16%
RTKMP.ME
Rostelecom PAO
-8.75%-12.08%-6.68%-23.85%1.21%-0.29%
SBERP.ME
Sberbank of Russia
-4.45%10.82%55.58%55.29%8.69%18.08%

Asset Correlations Table

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

AGRO.MEMVID.MEPIKK.MEMGNT.MEBSPB.MESIBN.MEVTBR.MERTKMP.MESBERP.ME
AGRO.ME1.000.370.370.400.380.430.440.450.45
MVID.ME0.371.000.460.440.470.480.480.520.51
PIKK.ME0.370.461.000.450.460.470.520.530.53
MGNT.ME0.400.440.451.000.480.520.530.550.56
BSPB.ME0.380.470.460.481.000.530.540.600.58
SIBN.ME0.430.480.470.520.531.000.610.620.64
VTBR.ME0.440.480.520.530.540.611.000.620.70
RTKMP.ME0.450.520.530.550.600.620.621.000.65
SBERP.ME0.450.510.530.560.580.640.700.651.00

Sharpe Ratio

The current ПОРТФЕЛЬ 4.Худшие Sharpe ratio is 0.43. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.43

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-0.500.000.501.001.50AprilMayJuneJulyAugustSeptember
0.43
1.03
ПОРТФЕЛЬ 4.Худшие
Benchmark (^GSPC)
Portfolio components

Dividend yield

ПОРТФЕЛЬ 4.Худшие granted a 7.27% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
ПОРТФЕЛЬ 4.Худшие7.27%4.43%9.28%6.75%7.73%8.84%6.12%4.95%5.83%12.67%6.07%7.49%
SIBN.ME
Gazprom Neft
15.32%19.89%12.02%11.37%9.73%13.03%15.37%0.52%10.17%14.74%20.78%12.93%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
12.91%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
24.47%8.20%7.07%6.67%12.91%11.40%14.31%15.56%10.61%16.47%11.51%11.49%
SBERP.ME
Sberbank of Russia
9.85%0.00%7.58%9.37%9.31%10.40%4.90%2.47%0.98%14.25%7.04%7.08%

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
4.04
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
4.88
AGRO.ME
Ros Agro PLC
1.27
MVID.ME
Public Joint Stock Company M.video
0.07
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
0.50
VTBR.ME
VTB Bank
1.19
MGNT.ME
Public Joint Stock Company Magnit
0.53
RTKMP.ME
Rostelecom PAO
1.51
SBERP.ME
Sberbank of Russia
4.63

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%AprilMayJuneJulyAugustSeptember
-27.67%
-4.07%
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 64.06%, recorded on Mar 9, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-64.06%Oct 27, 202193Mar 9, 2022
-46.66%Jan 22, 202039Mar 18, 2020204Jan 8, 2021243
-35.06%Dec 2, 201411Dec 16, 201473Apr 6, 201584
-28.47%May 26, 201564Aug 24, 2015143Mar 17, 2016207
-23.92%Feb 27, 2018139Sep 10, 2018197Jun 20, 2019336

Volatility Chart

The current ПОРТФЕЛЬ 4.Худшие volatility is 5.78%, 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%12.00%AprilMayJuneJulyAugustSeptember
5.78%
2.94%
ПОРТФЕЛЬ 4.Худшие
Benchmark (^GSPC)
Portfolio components