Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ARBFX The Arbitrage Fund | Event Driven | 20% |
PQTPX PIMCO TRENDS Managed Futures Strategy Fund | Systematic Trend | 20% |
QLEIX AQR Long-Short Equity Fund | Long-Short | 20% |
PSLDX PIMCO StocksPLUS Long Duration Fund Class I | Diversified Portfolio, Actively Managed | 20% |
QGMIX AQR Macro Opportunities Fund | Macro Trading | 20% |
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
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 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.29% | 8.79% | 12.52% | 16.97% | 8.17% | 9.26% |
| 1.66% | 23.05% | 5.48% | 7.30% | 7.36% | 6.80% | |
| Portfolio components: | ||||||
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% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| PQTPX | QGMIX | ARBFX | QLEIX | PSLDX | |
|---|---|---|---|---|---|
| PQTPX | 1.00 | 0.30 | -0.03 | 0.07 | 0.01 |
| QGMIX | 0.30 | 1.00 | -0.05 | 0.13 | -0.11 |
| ARBFX | -0.03 | -0.05 | 1.00 | 0.24 | 0.41 |
| QLEIX | 0.07 | 0.13 | 0.24 | 1.00 | 0.35 |
| PSLDX | 0.01 | -0.11 | 0.41 | 0.35 | 1.00 |
Dividend yield
twitter granted a 7.29% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 7.29% | 8.56% | 9.07% | 6.44% | 5.80% | 8.72% | 14.04% | 8.85% | 12.66% | 19.17% | 39.59% | 21.76% | |
| Portfolio components: | ||||||||||||
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.
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 | |
|---|---|---|---|---|---|
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.
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, 2022 | 67 | Mar 24, 2023 | 68 | Jul 3, 2023 | 135 |
| -13.63% | Feb 20, 2020 | 21 | Mar 19, 2020 | 95 | Aug 4, 2020 | 116 |
| -8.33% | Jan 29, 2018 | 229 | Dec 24, 2018 | 122 | Jun 20, 2019 | 351 |
| -5.7% | Mar 23, 2015 | 109 | Aug 25, 2015 | 140 | Mar 16, 2016 | 249 |
| -5.35% | Mar 28, 2022 | 130 | Sep 30, 2022 | 53 | Dec 15, 2022 | 183 |
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.