Hedge
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Hedge, 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
The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| Hedge | 0.42% | -3.71% | -1.86% | -1.89% | N/A | N/A |
| Portfolio components: | ||||||
DWSH AdvisorShares Dorsey Wright Short ETF | 2.70% | -3.86% | 0.14% | -1.43% | -20.62% | N/A |
HDGE AdvisorShares Ranger Equity Bear ETF | 0.37% | -8.03% | -4.42% | 1.54% | -20.03% | -16.00% |
SH ProShares Short S&P500 | -8.15% | 2.02% | -6.35% | -10.08% | -13.32% | -11.97% |
KMLM KFA Mount Lucas Index Strategy ETF | 2.32% | 1.79% | 3.55% | -3.41% | N/A | N/A |
PSQ ProShares Short QQQ | -7.59% | 5.28% | -4.78% | -13.07% | -19.15% | -17.46% |
Monthly Returns
The table below presents the monthly returns of Hedge, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.96% | -2.03% | -1.99% | 7.16% | -3.24% | 0.35% | 0.42% | ||||||
| 2023 | -13.97% | 2.50% | 2.73% | 1.37% | 1.30% | -8.60% | -7.82% | 5.43% | 7.74% | 7.15% | -8.69% | -10.44% | -22.00% |
| 2022 | 3.14% | 0.52% | -1.83% | 11.97% | 1.98% | 9.36% | -9.53% | 2.07% | 10.48% | -7.53% | -6.25% | 6.08% | 19.25% |
| 2021 | -6.03% | -3.92% | -4.39% | -2.90% | -1.19% | -3.48% | 2.41% | -0.31% | 3.13% | -1.88% | 2.69% | -5.37% | -19.76% |
| 2020 | -4.91% | -4.91% |
Expense Ratio
Hedge has a high expense ratio of 2.87%, 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
Risk-Adjusted Performance Rank
The current rank of Hedge is 2, indicating that it is in the bottom 2% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
DWSH AdvisorShares Dorsey Wright Short ETF | -0.06 | 0.06 | 1.01 | -0.03 | -0.07 |
HDGE AdvisorShares Ranger Equity Bear ETF | 0.13 | 0.32 | 1.04 | 0.07 | 0.22 |
SH ProShares Short S&P500 | -0.83 | -1.14 | 0.88 | -0.27 | -0.67 |
KMLM KFA Mount Lucas Index Strategy ETF | -0.24 | -0.24 | 0.97 | -0.11 | -0.31 |
PSQ ProShares Short QQQ | -0.76 | -1.04 | 0.89 | -0.28 | -0.76 |
Dividends
Dividend yield
Hedge granted a 8.33% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
| Hedge | 8.33% | 8.30% | 0.86% | 0.69% | 0.03% | 0.39% | 0.20% | 0.01% |
| Portfolio components: | ||||||||
DWSH AdvisorShares Dorsey Wright Short ETF | 10.01% | 10.28% | 0.00% | 0.00% | 0.00% | 0.14% | 0.12% | 0.00% |
HDGE AdvisorShares Ranger Equity Bear ETF | 9.54% | 9.58% | 0.00% | 0.00% | 0.00% | 0.22% | 0.00% | 0.00% |
SH ProShares Short S&P500 | 6.39% | 5.37% | 0.32% | 0.00% | 0.16% | 1.76% | 1.01% | 0.06% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% |
PSQ ProShares Short QQQ | 6.98% | 6.01% | 0.35% | 0.00% | 0.31% | 1.75% | 0.95% | 0.02% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Hedge. 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 Hedge was 30.45%, occurring on Jul 16, 2024. The portfolio has not yet recovered.
The current Hedge drawdown is 28.26%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -30.45% | Jun 17, 2022 | 521 | Jul 16, 2024 | — | — | — |
| -24.59% | Dec 3, 2020 | 279 | Jan 11, 2022 | 108 | Jun 16, 2022 | 387 |
Volatility
Volatility Chart
The current Hedge volatility is 4.28%, 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.
Diversification
Asset Correlations Table
| KMLM | DWSH | PSQ | HDGE | SH | |
|---|---|---|---|---|---|
| KMLM | 1.00 | 0.18 | 0.18 | 0.17 | 0.16 |
| DWSH | 0.18 | 1.00 | 0.61 | 0.85 | 0.71 |
| PSQ | 0.18 | 0.61 | 1.00 | 0.69 | 0.92 |
| HDGE | 0.17 | 0.85 | 0.69 | 1.00 | 0.74 |
| SH | 0.16 | 0.71 | 0.92 | 0.74 | 1.00 |