5 Rus
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
SBER.ME Sberbank of Russia | Financial Services | 25% |
ROSN Public Joint Stock Company Rosneft Oil Company | Energy | 25% |
MGNT.ME Public Joint Stock Company Magnit | Consumer Defensive | 25% |
PIKK.ME Public Joint Stock Company PIK-specialized homebuilder | Real Estate | 25% |
Performance
The chart shows the growth of an initial investment of $10,000 in 5 Rus, 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
Returns
As of Sep 23, 2023, the 5 Rus returned 12.22% Year-To-Date and 5.83% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.55% | 8.58% | 11.73% | 14.59% | 11.73% | 11.88% |
| 5 Rus | -5.98% | 0.89% | 14.95% | -1.70% | 9.04% | 6.09% |
| Portfolio components: | ||||||
SBER.ME Sberbank of Russia | -3.07% | -3.11% | 38.33% | 29.46% | 2.27% | 2.52% |
ROSN Public Joint Stock Company Rosneft Oil Company | -3.22% | 17.72% | 27.09% | 21.71% | 3.15% | 1.64% |
MGNT.ME Public Joint Stock Company Magnit | -8.34% | -3.84% | -4.08% | -31.46% | 5.27% | -9.77% |
PIKK.ME Public Joint Stock Company PIK-specialized homebuilder | -9.31% | -7.42% | -2.69% | -23.12% | 14.39% | 19.01% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| PIKK.ME | MGNT.ME | ROSN | SBER.ME | |
|---|---|---|---|---|
| PIKK.ME | 1.00 | 0.41 | 0.46 | 0.48 |
| MGNT.ME | 0.41 | 1.00 | 0.50 | 0.56 |
| ROSN | 0.46 | 0.50 | 1.00 | 0.66 |
| SBER.ME | 0.48 | 0.56 | 0.66 | 1.00 |
Dividend yield
5 Rus granted a 5.91% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 5 Rus | 5.91% | 1.86% | 7.71% | 6.72% | 6.99% | 10.05% | 3.18% | 2.96% | 2.21% | 6.86% | 2.79% | 2.50% |
| Portfolio components: | ||||||||||||
SBER.ME Sberbank of Russia | 9.88% | 0.00% | 6.37% | 7.35% | 7.35% | 8.07% | 3.55% | 1.58% | 0.63% | 8.28% | 3.75% | 3.39% |
ROSN Public Joint Stock Company Rosneft Oil Company | 10.81% | 7.45% | 5.12% | 5.33% | 8.00% | 7.08% | 5.08% | 4.54% | 5.23% | 10.99% | 5.65% | 5.11% |
MGNT.ME Public Joint Stock Company Magnit | 2.96% | 0.00% | 15.25% | 6.23% | 6.16% | 10.42% | 4.10% | 5.71% | 2.98% | 5.08% | 1.74% | 1.51% |
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% |
Expense Ratio
The 5 Rus 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
SBER.ME Sberbank of Russia | 4.82 | ||||
ROSN Public Joint Stock Company Rosneft Oil Company | 4.96 | ||||
MGNT.ME Public Joint Stock Company Magnit | 0.76 | ||||
PIKK.ME Public Joint Stock Company PIK-specialized homebuilder | 1.51 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the 5 Rus. 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 5 Rus is 70.56%, recorded on Mar 9, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -70.56% | Oct 27, 2021 | 93 | Mar 9, 2022 | — | — | — |
| -47.87% | Jan 22, 2020 | 39 | Mar 18, 2020 | 170 | Nov 18, 2020 | 209 |
| -43.2% | Oct 23, 2013 | 289 | Dec 16, 2014 | 410 | Aug 8, 2016 | 699 |
| -24.01% | Jan 26, 2018 | 159 | Sep 10, 2018 | 195 | Jun 20, 2019 | 354 |
| -22.98% | Feb 28, 2012 | 64 | Jun 1, 2012 | 146 | Dec 27, 2012 | 210 |
Volatility Chart
The current 5 Rus volatility is 5.45%, 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.