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сортино 10+
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

сортино 10+

Last updated Nov 7, 2024

Asset Allocation

SVARX 33%AGZD 21%SGLN.L 1%BTC-USD 6%OSX2.DE 12%BEL.NS 8%HFSAX 7%QLEIX 5%TITAN.NS 3%NVDA 3%1YD.DE 1%BondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
1YD.DE
Broadcom Inc		Technology
1%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		Total Bond Market
21%
BEL.NS
Bharat Electronics Limited		Industrials
8%
BTC-USD
Bitcoin
6%
HFSAX
Hundredfold Select Alternative Fund Investor Class		Tactical Allocation
7%
NVDA
NVIDIA Corporation		Technology
3%
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		Large Cap Value Equities
12%
QLEIX
AQR Long-Short Equity Fund		Long-Short
5%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
1%
SVARX
Spectrum Low Volatility Fund		Nontraditional Bonds
33%
TITAN.NS
Titan Company Limited		Consumer Cyclical
3%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in сортино 10+, 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%JuneJulyAugustSeptemberOctoberNovember
9.67%
13.71%
сортино 10+
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 18, 2013, corresponding to the inception date of AGZD

Returns By Period

As of Nov 7, 2024, the сортино 10+ returned 20.28% Year-To-Date and 17.07% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.30%4.09%14.29%35.42%13.95%11.33%
сортино 10+20.28%2.02%9.68%30.86%18.48%17.05%
Portfolio components:
BTC-USD
Bitcoin		78.96%21.74%19.97%112.14%53.75%70.40%
HFSAX
Hundredfold Select Alternative Fund Investor Class		3.51%-0.51%4.25%12.99%6.77%3.86%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		5.81%0.56%3.35%7.55%3.10%2.41%
TITAN.NS
Titan Company Limited		-14.00%-9.05%-2.61%-4.56%18.96%20.42%
NVDA
NVIDIA Corporation		194.09%9.57%64.10%212.74%95.03%77.17%
SVARX
Spectrum Low Volatility Fund		2.39%-0.68%2.48%10.37%7.23%6.73%
1YD.DE
Broadcom Inc		60.11%-1.08%35.83%99.82%46.65%37.69%
BEL.NS
Bharat Electronics Limited		62.59%7.73%32.30%113.35%47.75%25.37%
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		16.55%1.19%8.32%21.81%6.82%7.35%
QLEIX
AQR Long-Short Equity Fund		23.88%1.93%4.95%25.44%14.27%8.65%
SGLN.L
iShares Physical Gold ETC		29.18%2.26%14.24%36.38%12.60%8.50%

Monthly Returns

The table below presents the monthly returns of сортино 10+, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.46%5.12%3.14%-0.45%3.97%1.49%0.98%0.26%1.37%-0.20%20.28%
20234.75%-0.62%3.30%0.94%0.92%3.97%1.28%0.00%-0.34%1.24%4.65%5.89%28.99%
2022-2.01%0.14%1.26%-1.95%-1.25%-4.34%4.39%-1.25%-2.57%2.23%1.69%-1.89%-5.73%
20211.80%3.31%3.55%1.48%0.49%2.52%1.74%1.96%-0.34%4.00%-0.26%-0.09%21.99%
20201.81%-2.06%-6.04%4.95%2.52%3.76%5.73%3.90%-2.24%-0.27%8.72%7.43%30.86%
20191.82%2.17%3.00%2.28%5.06%6.21%-0.97%-0.55%0.55%2.16%-2.28%1.06%22.18%
2018-0.57%-2.68%-1.54%1.39%-2.65%-1.77%2.77%-0.58%-2.65%-1.47%-2.62%-1.62%-13.27%
20172.32%3.11%0.49%3.65%6.57%1.07%3.31%5.75%-1.41%5.60%5.86%4.09%48.36%
2016-3.11%0.09%4.35%1.69%2.64%2.83%1.80%0.43%0.61%1.17%1.97%3.66%19.48%
2015-0.13%4.01%-2.29%-0.84%1.56%-0.85%1.76%-3.71%-0.07%4.89%1.66%2.26%8.21%
2014-0.90%-0.04%2.09%0.70%6.75%4.35%-2.75%1.25%-1.71%-0.18%2.35%0.96%13.24%
20133.16%3.16%

Expense Ratio

сортино 10+ has a high expense ratio of 1.09%, 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.

HFSAX
Hundredfold Select Alternative Fund Investor Class
Expense ratio chart for HFSAX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund
Expense ratio chart for AGZD: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
SVARX
Spectrum Low Volatility Fund
Expense ratio chart for SVARX: current value at 2.34% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.34%
QLEIX
AQR Long-Short Equity Fund
Expense ratio chart for QLEIX: current value at 1.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.30%
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)
Expense ratio chart for OSX2.DE: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of сортино 10+ is 52, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of сортино 10+ is 5252
Combined Rank
The Sharpe Ratio Rank of сортино 10+ is 5555Sharpe Ratio Rank
The Sortino Ratio Rank of сортино 10+ is 5959Sortino Ratio Rank
The Omega Ratio Rank of сортино 10+ is 5151Omega Ratio Rank
The Calmar Ratio Rank of сортино 10+ is 1717Calmar Ratio Rank
The Martin Ratio Rank of сортино 10+ is 7777Martin 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.

сортино 10+
Sharpe ratio
The chart of Sharpe ratio for сортино 10+, currently valued at 2.57, compared to the broader market0.002.004.002.57
Sortino ratio
The chart of Sortino ratio for сортино 10+, currently valued at 3.55, compared to the broader market-2.000.002.004.006.003.55
Omega ratio
The chart of Omega ratio for сортино 10+, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.802.001.46
Calmar ratio
The chart of Calmar ratio for сортино 10+, currently valued at 1.39, compared to the broader market0.002.004.006.008.0010.0012.0014.001.39
Martin ratio
The chart of Martin ratio for сортино 10+, currently valued at 18.90, compared to the broader market0.0010.0020.0030.0040.0050.0018.90
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.82, compared to the broader market0.002.004.006.008.0010.0012.0014.003.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.86, compared to the broader market0.0010.0020.0030.0040.0050.0018.86
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		0.591.211.120.402.41
HFSAX
Hundredfold Select Alternative Fund Investor Class		0.991.351.200.123.89
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		1.762.751.311.7426.92
TITAN.NS
Titan Company Limited		-0.74-0.950.89-0.00-1.80
NVDA
NVIDIA Corporation		2.692.941.373.0514.86
SVARX
Spectrum Low Volatility Fund		1.111.611.290.263.52
1YD.DE
Broadcom Inc		1.282.011.251.056.69
BEL.NS
Bharat Electronics Limited		1.622.001.331.476.90
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		1.912.761.330.859.93
QLEIX
AQR Long-Short Equity Fund		3.134.211.621.1917.60
SGLN.L
iShares Physical Gold ETC		3.254.021.553.4422.17

Sharpe Ratio

The current сортино 10+ Sharpe ratio is 2.57. 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 2.12 to 2.97, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of сортино 10+ 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 Ratio1.002.003.004.005.006.007.00JuneJulyAugustSeptemberOctoberNovember
2.57
2.90
сортино 10+
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

сортино 10+ provided a 4.97% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio4.97%3.90%2.83%3.12%1.73%2.67%2.00%2.90%6.26%3.76%8.04%17.85%
Portfolio components:
BTC-USD
Bitcoin		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HFSAX
Hundredfold Select Alternative Fund Investor Class		5.84%5.17%4.92%5.79%5.82%3.98%0.93%4.81%3.66%1.40%0.00%1.63%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		6.26%6.07%8.61%1.66%2.29%2.83%2.62%2.35%1.95%2.37%1.69%0.05%
TITAN.NS
Titan Company Limited		0.35%0.54%0.29%0.16%0.26%0.42%0.40%0.30%0.67%0.66%0.55%0.92%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
SVARX
Spectrum Low Volatility Fund		7.05%3.35%0.00%5.70%0.71%3.38%2.41%4.79%6.68%3.02%2.82%0.18%
1YD.DE
Broadcom Inc		1.16%1.73%3.12%2.14%3.33%1.04%0.00%0.00%0.00%0.00%0.00%0.00%
BEL.NS
Bharat Electronics Limited		0.73%0.98%1.50%5.72%7.00%8.09%6.82%3.37%40.82%23.40%78.64%215.67%
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QLEIX
AQR Long-Short Equity Fund		16.79%20.80%10.30%0.00%0.00%0.00%0.37%4.04%1.86%4.82%8.00%6.58%
SGLN.L
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
сортино 10+
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the сортино 10+. 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 сортино 10+ was 19.76%, occurring on Dec 27, 2018. Recovery took 181 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.76%Dec 17, 2017376Dec 27, 2018181Jun 26, 2019557
-14.86%Feb 24, 202029Mar 23, 202074Jun 5, 2020103
-10.94%Nov 10, 2021238Jul 5, 2022325May 26, 2023563
-6.1%Mar 2, 2015176Aug 24, 201567Oct 30, 2015243
-5.01%Jul 3, 2014106Oct 16, 201449Dec 4, 2014155

Volatility

Volatility Chart

The current сортино 10+ volatility is 2.06%, 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.

1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.06%
3.92%
сортино 10+
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.
BTC-USDSGLN.LAGZDBEL.NSTITAN.NSOSX2.DEQLEIX1YD.DENVDASVARXHFSAX
BTC-USD1.000.070.01-0.010.020.020.020.050.110.060.13
SGLN.L0.071.00-0.060.040.040.07-0.020.010.010.140.13
AGZD0.01-0.061.000.040.070.060.100.070.060.080.07
BEL.NS-0.010.040.041.000.300.080.100.110.070.130.15
TITAN.NS0.020.040.070.301.000.090.080.100.080.130.15
OSX2.DE0.020.070.060.080.091.000.170.180.080.170.18
QLEIX0.02-0.020.100.100.080.171.000.170.230.160.33
1YD.DE0.050.010.070.110.100.180.171.000.290.210.28
NVDA0.110.010.060.070.080.080.230.291.000.230.41
SVARX0.060.140.080.130.130.170.160.210.231.000.60
HFSAX0.130.130.070.150.150.180.330.280.410.601.00
The correlation results are calculated based on daily price changes starting from Dec 19, 2013