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Hedge
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


KMLM 10%DWSH 40%HDGE 35%SH 10%PSQ 5%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
DWSH
AdvisorShares Dorsey Wright Short ETF
Inverse Equities, Actively Managed

40%

HDGE
AdvisorShares Ranger Equity Bear ETF
Inverse Equities, Actively Managed

35%

KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed

10%

PSQ
ProShares Short QQQ
Inverse Equities

5%

SH
ProShares Short S&P500
Inverse Equities

10%

S&P 500

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


-5.00%0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
-0.01%
14.20%
Hedge
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 2, 2020, corresponding to the inception date of KMLM

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
Hedge3.92%1.40%-0.02%-5.57%N/AN/A
DWSH
AdvisorShares Dorsey Wright Short ETF
5.68%4.06%0.68%-7.07%-20.51%N/A
HDGE
AdvisorShares Ranger Equity Bear ETF
8.82%1.66%3.88%1.26%-19.08%-15.46%
SH
ProShares Short S&P500
-8.55%-2.33%-9.40%-13.05%-14.13%-12.23%
KMLM
KFA Mount Lucas Index Strategy ETF
-0.07%-3.13%-0.93%-7.60%N/AN/A
PSQ
ProShares Short QQQ
-10.05%-4.77%-12.47%-20.82%-21.49%-18.66%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.96%-2.03%-1.99%7.15%-3.23%3.92%
2023-13.97%2.50%2.70%1.37%1.30%-8.64%-7.82%5.43%7.68%7.15%-8.69%-10.51%-22.16%
20223.14%0.52%-1.83%11.97%1.98%9.36%-9.53%2.07%10.48%-7.53%-6.25%6.07%19.24%
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.


Expense ratio chart for DWSH: current value at 3.67% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%3.67%
Expense ratio chart for HDGE: current value at 3.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%3.36%
Expense ratio chart for PSQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for SH: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Hedge is 1, indicating that it is in the bottom 1% 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 Hedge is 11
Hedge
The Sharpe Ratio Rank of Hedge is 11Sharpe Ratio Rank
The Sortino Ratio Rank of Hedge is 11Sortino Ratio Rank
The Omega Ratio Rank of Hedge is 11Omega Ratio Rank
The Calmar Ratio Rank of Hedge is 11Calmar Ratio Rank
The Martin Ratio Rank of Hedge is 11Martin 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.


Hedge
Sharpe ratio
The chart of Sharpe ratio for Hedge, currently valued at -0.46, compared to the broader market0.002.004.00-0.46
Sortino ratio
The chart of Sortino ratio for Hedge, currently valued at -0.53, compared to the broader market-2.000.002.004.006.00-0.53
Omega ratio
The chart of Omega ratio for Hedge, currently valued at 0.94, compared to the broader market0.801.001.201.401.601.800.94
Calmar ratio
The chart of Calmar ratio for Hedge, currently valued at -0.26, compared to the broader market0.002.004.006.008.0010.00-0.26
Martin ratio
The chart of Martin ratio for Hedge, currently valued at -0.61, compared to the broader market0.0010.0020.0030.0040.0050.00-0.61
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DWSH
AdvisorShares Dorsey Wright Short ETF
-0.42-0.440.95-0.24-0.57
HDGE
AdvisorShares Ranger Equity Bear ETF
-0.13-0.031.00-0.07-0.23
SH
ProShares Short S&P500
-1.28-1.790.81-0.44-1.20
KMLM
KFA Mount Lucas Index Strategy ETF
-0.58-0.710.91-0.29-0.88
PSQ
ProShares Short QQQ
-1.45-2.080.77-0.52-1.56

Sharpe Ratio

The current Hedge Sharpe ratio is -0.46. 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 1.43 to 2.37, 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 Hedge 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 Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
-0.46
2.21
Hedge
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Hedge granted a 7.70% dividend yield in the last twelve months.


TTM2023202220212020201920182017
Hedge7.70%8.06%0.85%0.69%0.02%0.32%0.16%0.01%
DWSH
AdvisorShares Dorsey Wright Short ETF
9.73%10.28%0.00%0.00%0.00%0.14%0.12%0.00%
HDGE
AdvisorShares Ranger Equity Bear ETF
8.80%9.58%0.00%0.00%0.00%0.22%0.00%0.00%
SH
ProShares Short S&P500
6.11%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
2.42%1.20%0.07%0.00%0.06%0.35%0.19%0.00%

Drawdowns

Drawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-26.55%
0
Hedge
Benchmark (^GSPC)
Portfolio components

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 30.05%, occurring on Dec 28, 2023. The portfolio has not yet recovered.

The current Hedge drawdown is 26.55%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.05%Jun 17, 2022385Dec 28, 2023
-24.59%Dec 3, 2020279Jan 11, 2022108Jun 16, 2022387

Volatility

Volatility Chart

The current Hedge volatility is 3.21%, 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%3.00%4.00%5.00%6.00%7.00%2024FebruaryMarchAprilMayJune
3.21%
2.41%
Hedge
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.

KMLMDWSHPSQHDGESH
KMLM1.000.190.190.180.16
DWSH0.191.000.630.850.73
PSQ0.190.631.000.710.92
HDGE0.180.850.711.000.75
SH0.160.730.920.751.00
The correlation results are calculated based on daily price changes starting from Dec 3, 2020