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Last updated Sep 23, 2023

Asset Allocation


ARBFX 20%PQTPX 20%QLEIX 20%PSLDX 20%QGMIX 20%AlternativesAlternativesEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
ARBFX
The Arbitrage Fund
Event Driven20%
PQTPX
PIMCO TRENDS Managed Futures Strategy Fund
Systematic Trend20%
QLEIX
AQR Long-Short Equity Fund
Long-Short20%
PSLDX
PIMCO StocksPLUS Long Duration Fund Class I
Diversified Portfolio, Actively Managed20%
QGMIX
AQR Macro Opportunities Fund
Macro Trading20%

Performance

The chart shows the growth of an initial investment of $10,000 in twitter, 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%AprilMayJuneJulyAugustSeptember
5.53%
8.61%
twitter
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the twitter returned 5.48% Year-To-Date and 6.80% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.29%8.79%12.52%16.97%8.17%9.26%
twitter1.66%23.05%5.48%7.30%7.36%6.80%
QLEIX
AQR Long-Short Equity Fund
4.66%20.36%20.92%38.38%8.76%8.66%
ARBFX
The Arbitrage Fund
1.13%3.73%2.62%3.35%2.65%2.32%
PSLDX
PIMCO StocksPLUS Long Duration Fund Class I
-3.77%196.28%7.23%8.83%6.81%11.29%
PQTPX
PIMCO TRENDS Managed Futures Strategy Fund
2.68%1.51%-3.94%-12.13%7.84%4.93%
QGMIX
AQR Macro Opportunities Fund
3.33%2.74%0.37%0.20%5.47%3.57%

Asset Correlations Table

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

PQTPXQGMIXARBFXQLEIXPSLDX
PQTPX1.000.30-0.030.070.01
QGMIX0.301.00-0.050.13-0.11
ARBFX-0.03-0.051.000.240.41
QLEIX0.070.130.241.000.35
PSLDX0.01-0.110.410.351.00

Sharpe Ratio

The current twitter Sharpe ratio is 0.30. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.30

The Sharpe ratio of twitter 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-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.30
0.81
twitter
Benchmark (^GSPC)
Portfolio components

Dividend yield

twitter granted a 7.29% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
twitter7.29%8.56%9.07%6.44%5.80%8.72%14.04%8.85%12.66%19.17%39.59%21.76%
QLEIX
AQR Long-Short Equity Fund
11.70%14.15%0.00%1.80%0.00%7.01%11.24%4.04%6.90%1.29%12.92%0.00%
ARBFX
The Arbitrage Fund
3.58%3.67%0.55%7.24%2.37%1.95%4.11%1.15%2.86%0.30%0.55%3.51%
PSLDX
PIMCO StocksPLUS Long Duration Fund Class I
2.68%2.71%40.46%16.59%23.51%29.91%54.56%32.10%37.49%80.00%184.46%105.29%
PQTPX
PIMCO TRENDS Managed Futures Strategy Fund
11.05%14.80%2.76%5.56%3.07%0.40%0.26%0.00%9.61%14.05%0.00%0.00%
QGMIX
AQR Macro Opportunities Fund
7.45%7.48%1.60%1.04%0.05%4.33%0.05%6.94%6.44%0.23%0.00%0.00%

Expense Ratio

The twitter has a high expense ratio of 1.21%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


1.51%
0.00%2.15%
1.43%
0.00%2.15%
1.30%
0.00%2.15%
1.20%
0.00%2.15%
0.61%
0.00%2.15%

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
QLEIX
AQR Long-Short Equity Fund
1.68
ARBFX
The Arbitrage Fund
0.43
PSLDX
PIMCO StocksPLUS Long Duration Fund Class I
0.02
PQTPX
PIMCO TRENDS Managed Futures Strategy Fund
-0.55
QGMIX
AQR Macro Opportunities Fund
0.12

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-0.53%
-9.93%
twitter
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the twitter. 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 twitter is 18.42%, recorded on Mar 24, 2023. It took 68 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.42%Dec 16, 202267Mar 24, 202368Jul 3, 2023135
-13.63%Feb 20, 202021Mar 19, 202095Aug 4, 2020116
-8.33%Jan 29, 2018229Dec 24, 2018122Jun 20, 2019351
-5.7%Mar 23, 2015109Aug 25, 2015140Mar 16, 2016249
-5.35%Mar 28, 2022130Sep 30, 202253Dec 15, 2022183

Volatility Chart

The current twitter volatility is 1.18%, 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.


0.00%5.00%10.00%15.00%20.00%AprilMayJuneJulyAugustSeptember
1.18%
3.41%
twitter
Benchmark (^GSPC)
Portfolio components