PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

Hedge

Last updated Oct 3, 2023

Asset Allocation


KMLM 10%DWSH 40%HDGE 35%SH 10%PSQ 5%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
KMLM
KFA Mount Lucas Index Strategy ETF
Long-Short, Actively Managed10%
DWSH
AdvisorShares Dorsey Wright Short ETF
Inverse Equities, Actively Managed40%
HDGE
AdvisorShares Ranger Equity Bear ETF
Inverse Equities, Actively Managed35%
SH
ProShares Short S&P500
Inverse Equities10%
PSQ
ProShares Short QQQ
Inverse Equities5%

Performance

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


-15.00%-10.00%-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
-2.64%
4.84%
Hedge
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%3.97%11.69%19.60%5.68%N/A
Hedge9.19%-1.03%-9.84%-17.08%-6.74%N/A
DWSH
AdvisorShares Dorsey Wright Short ETF
10.93%2.19%-6.22%-15.86%-8.61%N/A
HDGE
AdvisorShares Ranger Equity Bear ETF
10.29%-7.28%-17.22%-21.37%-10.93%N/A
SH
ProShares Short S&P500
5.94%-0.64%-6.72%-13.19%-7.04%N/A
KMLM
KFA Mount Lucas Index Strategy ETF
4.30%12.03%7.27%-7.93%15.55%N/A
PSQ
ProShares Short QQQ
4.95%-9.04%-24.00%-24.75%-9.61%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.73%1.37%1.29%-8.59%-7.82%5.43%7.74%

Sharpe Ratio

The current Hedge Sharpe ratio is -0.67. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.67

The Sharpe ratio of Hedge 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-1.00-0.500.000.501.00MayJuneJulyAugustSeptemberOctober
-0.67
1.04
Hedge
Benchmark (^GSPC)
Portfolio components

Dividend yield

Hedge granted a 1.31% dividend yield in the last twelve months.


TTM202220212020201920182017
Hedge1.31%0.86%0.75%0.03%0.40%0.20%0.01%
DWSH
AdvisorShares Dorsey Wright Short ETF
0.00%0.00%0.00%0.00%0.14%0.12%0.00%
HDGE
AdvisorShares Ranger Equity Bear ETF
0.00%0.00%0.00%0.00%0.22%0.00%0.00%
SH
ProShares Short S&P500
3.55%0.33%0.00%0.16%1.83%1.06%0.06%
KMLM
KFA Mount Lucas Index Strategy ETF
7.57%8.12%7.48%0.00%0.00%0.00%0.00%
PSQ
ProShares Short QQQ
3.98%0.36%0.00%0.32%1.82%1.00%0.02%

Expense Ratio

The 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.


3.67%
0.00%2.15%
0.95%
0.00%2.15%
0.90%
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
DWSH
AdvisorShares Dorsey Wright Short ETF
-0.48
HDGE
AdvisorShares Ranger Equity Bear ETF
-0.74
SH
ProShares Short S&P500
-0.69
KMLM
KFA Mount Lucas Index Strategy ETF
-0.52
PSQ
ProShares Short QQQ
-1.02

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

KMLMDWSHHDGEPSQSH
KMLM1.000.180.160.190.15
DWSH0.181.000.840.680.76
HDGE0.160.841.000.750.77
PSQ0.190.680.751.000.92
SH0.150.760.770.921.00

Drawdowns Chart

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


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%MayJuneJulyAugustSeptemberOctober
-18.12%
-10.59%
Hedge
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Hedge. 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 Hedge is 28.82%, recorded on Jul 31, 2023. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.82%Jun 17, 2022280Jul 31, 2023
-24.5%Dec 3, 2020279Jan 11, 2022108Jun 16, 2022387

Volatility Chart

The current Hedge volatility is 3.68%, 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%MayJuneJulyAugustSeptemberOctober
3.68%
3.15%
Hedge
Benchmark (^GSPC)
Portfolio components