做多AI量化多策略

Last updated Dec 8, 2023

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Asset Allocation

Position	Category/Sector	Weight
AMD Advanced Micro Devices, Inc.	Technology	10%
TSLA Tesla, Inc.	Consumer Cyclical	10%
NOW ServiceNow, Inc.	Technology	8%
CDNS Cadence Design Systems, Inc.	Technology	8%
SNPS Synopsys, Inc.	Technology	8%
CRM salesforce.com, inc.	Technology	8%
ADBE Adobe Inc	Technology	8%
GOOG Alphabet Inc.	Communication Services	6%
MSFT Microsoft Corporation	Technology	6%
CRWD CrowdStrike Holdings, Inc.	Technology	5%
PLTR Palantir Technologies Inc.	Technology	4%
MDB MongoDB, Inc.	Technology	4%
CFLT Confluent, Inc.	Technology	4%
DDOG Datadog, Inc.	Technology	4%
WDAY Workday, Inc.	Technology	4%
GTLB GitLab Inc.	Technology	3%

Benchmark

Rebalance portfolio

Performance

The chart shows the growth of an initial investment of $10,000 in 做多AI量化多策略, 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

做多AI量化多策略

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Oct 14, 2021, corresponding to the inception date of GTLB

Returns

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC	N/A	N/A	N/A	N/A	N/A	N/A
做多AI量化多策略	83.22%	10.54%	17.76%	78.61%	N/A	N/A
Portfolio components:
AMD Advanced Micro Devices, Inc.	98.19%	13.15%	6.05%	83.02%	45.92%	42.92%
NOW ServiceNow, Inc.	77.11%	12.02%	28.46%	77.00%	30.46%	29.61%
GOOG Alphabet Inc.	56.04%	4.57%	12.86%	45.51%	21.75%	17.85%
MSFT Microsoft Corporation	56.05%	3.10%	14.52%	53.14%	30.15%	27.58%
PLTR Palantir Technologies Inc.	168.22%	-8.40%	13.36%	143.56%	N/A	N/A
MDB MongoDB, Inc.	95.20%	4.12%	2.55%	115.50%	35.49%	N/A
CFLT Confluent, Inc.	3.60%	27.72%	-33.74%	10.08%	N/A	N/A
DDOG Datadog, Inc.	56.46%	12.52%	19.77%	68.42%	N/A	N/A
CDNS Cadence Design Systems, Inc.	61.52%	2.26%	13.76%	61.57%	43.56%	34.54%
SNPS Synopsys, Inc.	67.29%	7.04%	22.04%	64.96%	43.57%	30.39%
CRWD CrowdStrike Holdings, Inc.	128.10%	24.85%	58.74%	112.16%	N/A	N/A
TSLA Tesla, Inc.	96.98%	9.21%	3.31%	39.42%	59.13%	38.43%
CRM salesforce.com, inc.	87.68%	17.47%	18.77%	90.72%	12.87%	16.61%
ADBE Adobe Inc	80.90%	4.03%	38.66%	86.35%	20.70%	27.12%
WDAY Workday, Inc.	62.78%	23.00%	33.20%	65.36%	11.19%	13.02%
GTLB GitLab Inc.	30.00%	32.59%	28.81%	38.08%	N/A	N/A

Monthly Returns Heatmap

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2023					23.23%	6.63%	5.36%	-2.99%	-4.25%	-2.06%	18.34%

Sharpe Ratio

The current 做多AI量化多策略 Sharpe ratio is 2.70. A Sharpe ratio higher than 2.0 is considered very good.

The Sharpe ratio of 做多AI量化多策略 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

做多AI量化多策略

Benchmark (^GSPC)

Portfolio components

Dividend yield

做多AI量化多策略 granted a 0.05% dividend yield in the last twelve months.

	TTM	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013	2012
做多AI量化多策略	0.05%	0.06%	0.04%	0.06%	0.07%	0.10%	0.11%	0.14%	0.14%	0.15%	0.16%	0.19%
Portfolio components:
AMD Advanced Micro Devices, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
NOW ServiceNow, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
GOOG Alphabet Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSFT Microsoft Corporation	0.75%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%	2.59%	3.11%
PLTR Palantir Technologies Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MDB MongoDB, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CFLT Confluent, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DDOG Datadog, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CDNS Cadence Design Systems, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SNPS Synopsys, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CRWD CrowdStrike Holdings, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
TSLA Tesla, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CRM salesforce.com, inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ADBE Adobe Inc	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
WDAY Workday, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
GTLB GitLab Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Expense Ratio

The 做多AI量化多策略 has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

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
AMD Advanced Micro Devices, Inc.	1.74
NOW ServiceNow, Inc.	2.40
GOOG Alphabet Inc.	1.35
MSFT Microsoft Corporation	2.05
PLTR Palantir Technologies Inc.	2.09
MDB MongoDB, Inc.	2.56
CFLT Confluent, Inc.	0.12
DDOG Datadog, Inc.	1.13
CDNS Cadence Design Systems, Inc.	2.12
SNPS Synopsys, Inc.	2.34
CRWD CrowdStrike Holdings, Inc.	2.61
TSLA Tesla, Inc.	0.61
CRM salesforce.com, inc.	2.90
ADBE Adobe Inc	2.64
WDAY Workday, Inc.	2.13
GTLB GitLab Inc.	0.56

Asset Correlations Table

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

	TSLA	GTLB	AMD	GOOG	CFLT	PLTR	CRWD	WDAY	MSFT	CRM	CDNS	DDOG	ADBE	MDB	SNPS	NOW
TSLA	1.00	0.47	0.53	0.52	0.53	0.58	0.49	0.46	0.52	0.52	0.51	0.52	0.54	0.52	0.52	0.52
GTLB	0.47	1.00	0.52	0.49	0.70	0.65	0.64	0.57	0.52	0.57	0.54	0.69	0.57	0.71	0.60	0.67
AMD	0.53	0.52	1.00	0.65	0.55	0.60	0.52	0.55	0.67	0.59	0.66	0.56	0.67	0.59	0.71	0.62
GOOG	0.52	0.49	0.65	1.00	0.53	0.57	0.53	0.57	0.78	0.61	0.63	0.56	0.72	0.57	0.65	0.63
CFLT	0.53	0.70	0.55	0.53	1.00	0.67	0.64	0.62	0.56	0.61	0.56	0.75	0.59	0.76	0.60	0.70
PLTR	0.58	0.65	0.60	0.57	0.67	1.00	0.66	0.61	0.55	0.61	0.61	0.69	0.62	0.69	0.64	0.68
CRWD	0.49	0.64	0.52	0.53	0.64	0.66	1.00	0.67	0.56	0.64	0.62	0.73	0.61	0.74	0.66	0.71
WDAY	0.46	0.57	0.55	0.57	0.62	0.61	0.67	1.00	0.64	0.71	0.64	0.67	0.67	0.69	0.67	0.74
MSFT	0.52	0.52	0.67	0.78	0.56	0.55	0.56	0.64	1.00	0.66	0.69	0.62	0.76	0.63	0.73	0.70
CRM	0.52	0.57	0.59	0.61	0.61	0.61	0.64	0.71	0.66	1.00	0.64	0.67	0.73	0.65	0.67	0.76
CDNS	0.51	0.54	0.66	0.63	0.56	0.61	0.62	0.64	0.69	0.64	1.00	0.62	0.73	0.62	0.91	0.72
DDOG	0.52	0.69	0.56	0.56	0.75	0.69	0.73	0.67	0.62	0.67	0.62	1.00	0.61	0.86	0.65	0.75
ADBE	0.54	0.57	0.67	0.72	0.59	0.62	0.61	0.67	0.76	0.73	0.73	0.61	1.00	0.64	0.76	0.75
MDB	0.52	0.71	0.59	0.57	0.76	0.69	0.74	0.69	0.63	0.65	0.62	0.86	0.64	1.00	0.68	0.77
SNPS	0.52	0.60	0.71	0.65	0.60	0.64	0.66	0.67	0.73	0.67	0.91	0.65	0.76	0.68	1.00	0.76
NOW	0.52	0.67	0.62	0.63	0.70	0.68	0.71	0.74	0.70	0.76	0.72	0.75	0.75	0.77	0.76	1.00

Drawdowns Chart

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

做多AI量化多策略

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 做多AI量化多策略. 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 做多AI量化多策略 was 51.30%, occurring on Jan 5, 2023. The portfolio has not yet recovered.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-51.3%	Nov 9, 2021	291	Jan 5, 2023	—	—	—
-0.89%	Oct 26, 2021	2	Oct 27, 2021	1	Oct 28, 2021	3
-0.09%	Oct 20, 2021	1	Oct 20, 2021	1	Oct 21, 2021	2

Volatility Chart

The current 做多AI量化多策略 volatility is 6.04%, 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.

做多AI量化多策略

Benchmark (^GSPC)

Portfolio components

做多AI量化多策略

Asset Allocation

Performance

Returns

Monthly Returns Heatmap

Dividend yield

Expense Ratio

Risk-Adjusted Performance

Asset Correlations Table

Drawdowns Chart

Worst Drawdowns

Volatility Chart

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