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5 Rus
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SBER.ME 25%ROSN 25%MGNT.ME 25%PIKK.ME 25%EquityEquity
PositionCategory/SectorWeight
MGNT.ME
Public Joint Stock Company Magnit
Consumer Defensive

25%

PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
Real Estate

25%

ROSN
Public Joint Stock Company Rosneft Oil Company
Energy

25%

SBER.ME
Sberbank of Russia
Financial Services

25%

S&P 500

Performance

Performance Chart

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


220.00%240.00%260.00%280.00%300.00%320.00%340.00%FebruaryMarchAprilMayJuneJuly
252.93%
335.04%
5 Rus
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 29, 2007, corresponding to the inception date of PIKK.ME

Returns By Period

As of Jul 22, 2024, the 5 Rus returned 12.17% Year-To-Date and 9.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
5 Rus11.83%-1.18%6.82%24.88%11.84%10.18%
SBER.ME
Sberbank of Russia
21.84%5.29%18.92%36.41%5.81%10.69%
ROSN
Public Joint Stock Company Rosneft Oil Company
1.98%3.83%-1.89%27.41%6.99%6.07%
MGNT.ME
Public Joint Stock Company Magnit
-5.49%-5.04%-9.74%14.70%9.96%-7.92%
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
27.94%-8.60%18.86%13.71%12.52%20.35%

Monthly Returns

The table below presents the monthly returns of 5 Rus, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.62%6.69%0.44%1.24%0.24%4.53%11.83%
20239.61%-3.53%6.27%2.65%4.49%1.39%4.22%0.37%-7.65%7.64%6.31%3.43%39.73%
2022-11.29%-59.27%61.44%8.76%11.83%20.67%-4.68%7.21%-22.12%13.56%0.98%-15.67%-34.11%
20211.03%9.25%8.37%-1.78%11.88%4.33%0.79%5.90%9.59%2.43%-13.77%-2.54%38.08%
20203.77%-15.72%-22.44%11.55%10.39%4.67%3.48%2.35%2.72%-5.35%20.76%8.22%17.63%
201913.33%-4.67%0.34%5.70%0.17%8.75%0.96%-7.30%3.84%-2.16%3.01%8.78%32.97%
20186.13%-0.98%-5.97%-6.11%3.30%-1.09%0.91%-9.01%8.31%-2.10%-4.14%-1.48%-12.83%
2017-1.96%-4.87%4.95%-2.77%0.24%-3.22%1.60%9.01%4.17%-7.50%-2.37%3.43%-0.50%
2016-2.18%6.60%14.54%7.17%-3.13%6.83%0.91%5.06%6.58%0.04%-0.73%14.29%69.89%
2015-11.47%26.59%-1.30%18.57%-7.07%-3.14%-9.39%2.37%-5.08%12.07%2.14%-11.74%5.01%
2014-12.52%3.32%-2.33%-8.75%16.03%2.29%-8.76%2.31%3.23%4.27%-11.54%-18.90%-31.09%
20138.94%-4.81%-4.20%1.52%0.63%-0.56%5.09%-5.03%9.11%2.47%-2.51%4.59%14.83%

Expense Ratio

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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 5 Rus is 24, indicating that it is in the bottom 24% 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 5 Rus is 2424
5 Rus
The Sharpe Ratio Rank of 5 Rus is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of 5 Rus is 2020Sortino Ratio Rank
The Omega Ratio Rank of 5 Rus is 1919Omega Ratio Rank
The Calmar Ratio Rank of 5 Rus is 1616Calmar Ratio Rank
The Martin Ratio Rank of 5 Rus is 4545Martin 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.


5 Rus
Sharpe ratio
The chart of Sharpe ratio for 5 Rus, currently valued at 1.07, compared to the broader market-1.000.001.002.003.004.001.07
Sortino ratio
The chart of Sortino ratio for 5 Rus, currently valued at 1.65, compared to the broader market-2.000.002.004.006.001.65
Omega ratio
The chart of Omega ratio for 5 Rus, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for 5 Rus, currently valued at 0.63, compared to the broader market0.002.004.006.008.000.63
Martin ratio
The chart of Martin ratio for 5 Rus, currently valued at 5.66, compared to the broader market0.0010.0020.0030.0040.005.66
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SBER.ME
Sberbank of Russia
1.522.291.280.797.36
ROSN
Public Joint Stock Company Rosneft Oil Company
0.871.441.180.815.48
MGNT.ME
Public Joint Stock Company Magnit
0.540.931.120.241.87
PIKK.ME
Public Joint Stock Company PIK-specialized homebuilder
0.470.941.100.231.43

Sharpe Ratio

The current 5 Rus Sharpe ratio is 1.02. 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 1.31 to 2.07, 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 5 Rus 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.07
1.99
5 Rus
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

5 Rus granted a 7.64% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
5 Rus7.64%6.54%1.62%7.26%6.00%5.69%7.80%2.23%2.00%1.41%4.48%1.71%
SBER.ME
Sberbank of Russia
11.44%9.20%0.00%6.37%6.90%6.28%6.44%2.66%1.14%0.44%5.83%2.54%
ROSN
Public Joint Stock Company Rosneft Oil Company
11.15%9.49%6.49%4.16%4.15%5.93%4.91%3.37%2.92%3.24%6.56%3.20%
MGNT.ME
Public Joint Stock Company Magnit
7.96%7.45%0.00%14.43%5.37%4.87%7.77%2.89%3.93%1.97%3.29%1.10%
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%

Drawdowns

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-16.87%
-1.97%
5 Rus
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 5 Rus. 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 5 Rus was 77.58%, occurring on Mar 9, 2022. The portfolio has not yet recovered.

The current 5 Rus drawdown is 16.62%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-77.58%Oct 27, 202193Mar 9, 2022
-47.87%Jan 22, 202039Mar 18, 2020170Nov 18, 2020209
-43.22%Oct 23, 2013289Dec 16, 2014410Aug 8, 2016699
-24.01%Jan 26, 2018159Sep 10, 2018195Jun 20, 2019354
-22.98%Feb 28, 201264Jun 1, 2012146Dec 27, 2012210

Volatility

Volatility Chart

The current 5 Rus volatility is 11.60%, 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%FebruaryMarchAprilMayJuneJuly
11.60%
2.94%
5 Rus
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.

PIKK.MEMGNT.MEROSNSBER.ME
PIKK.ME1.000.420.460.50
MGNT.ME0.421.000.510.57
ROSN0.460.511.000.67
SBER.ME0.500.570.671.00
The correlation results are calculated based on daily price changes starting from Jan 4, 2012