做多AI量化多策略
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Asset Allocation
Position | Category/Sector | Target Weight |
---|---|---|
ADBE Adobe Inc | Technology | 8% |
AMD Advanced Micro Devices, Inc. | Technology | 10% |
CDNS Cadence Design Systems, Inc. | Technology | 8% |
CFLT Confluent, Inc. | Technology | 4% |
CRM salesforce.com, inc. | Technology | 8% |
CRWD CrowdStrike Holdings, Inc. | Technology | 5% |
DDOG Datadog, Inc. | Technology | 4% |
GOOG Alphabet Inc | Communication Services | 6% |
GTLB GitLab Inc. | Technology | 3% |
MDB MongoDB, Inc. | Technology | 4% |
MSFT Microsoft Corporation | Technology | 6% |
NOW ServiceNow, Inc. | Technology | 8% |
PLTR Palantir Technologies Inc. | Technology | 4% |
SNPS Synopsys, Inc. | Technology | 8% |
TSLA Tesla, Inc. | Consumer Cyclical | 10% |
WDAY Workday, Inc. | Technology | 4% |
Performance
Performance Chart
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The earliest data available for this chart is Oct 14, 2021, corresponding to the inception date of GTLB
Returns By Period
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.30% | 12.94% | 1.49% | 12.48% | 15.82% | 10.87% |
做多AI量化多策略 | -0.51% | 24.72% | 2.90% | 18.16% | N/A | N/A |
Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | -3.00% | 32.71% | -13.14% | -27.95% | 16.71% | 48.42% |
NOW ServiceNow, Inc. | -1.88% | 30.57% | 2.85% | 37.23% | 22.99% | 29.69% |
GOOG Alphabet Inc | -11.98% | 7.67% | -3.50% | -4.11% | 19.68% | 20.19% |
MSFT Microsoft Corporation | 8.19% | 22.47% | 10.10% | 8.73% | 21.08% | 27.18% |
PLTR Palantir Technologies Inc. | 71.25% | 39.70% | 96.93% | 498.24% | N/A | N/A |
MDB MongoDB, Inc. | -17.83% | 19.53% | -31.63% | -48.29% | -0.51% | N/A |
CFLT Confluent, Inc. | -19.38% | 4.79% | -16.73% | -28.51% | N/A | N/A |
DDOG Datadog, Inc. | -17.65% | 28.07% | -6.68% | -2.44% | 11.90% | N/A |
CDNS Cadence Design Systems, Inc. | 7.02% | 24.03% | 10.99% | 11.29% | 31.49% | 32.51% |
SNPS Synopsys, Inc. | 5.99% | 23.77% | -1.21% | -9.63% | 26.58% | 26.58% |
CRWD CrowdStrike Holdings, Inc. | 28.38% | 15.64% | 30.44% | 29.55% | 41.73% | N/A |
TSLA Tesla, Inc. | -13.34% | 44.89% | 9.12% | 100.17% | 45.84% | 35.84% |
CRM salesforce.com, inc. | -12.78% | 16.53% | -10.24% | 2.87% | 11.38% | 15.20% |
ADBE Adobe Inc | -6.20% | 21.19% | -17.13% | -13.62% | 2.70% | 18.06% |
WDAY Workday, Inc. | 5.82% | 19.91% | 5.26% | 6.42% | 12.12% | 11.69% |
GTLB GitLab Inc. | -8.62% | 22.10% | -14.00% | -8.87% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of 做多AI量化多策略, 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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | 3.38% | -10.28% | -10.21% | 7.20% | 11.43% | -0.51% | |||||||
2024 | 2.52% | 8.84% | -4.76% | -6.03% | -2.84% | 10.75% | -3.84% | 1.03% | 4.21% | 0.95% | 14.76% | -1.53% | 24.13% |
2023 | 14.99% | 1.95% | 10.33% | -5.24% | 23.23% | 6.63% | 5.36% | -2.99% | -4.25% | -2.06% | 18.37% | 3.82% | 89.72% |
2022 | -13.55% | -4.11% | 3.99% | -16.10% | -5.67% | -4.35% | 14.72% | -5.96% | -13.27% | 0.20% | 1.65% | -9.00% | -43.40% |
2021 | 9.66% | 1.07% | -3.59% | 6.86% |
Expense Ratio
做多AI量化多策略 has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 做多AI量化多策略 is 28, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | -0.53 | -0.35 | 0.96 | -0.37 | -0.78 |
NOW ServiceNow, Inc. | 0.86 | 1.61 | 1.23 | 1.15 | 3.17 |
GOOG Alphabet Inc | -0.13 | 0.12 | 1.01 | -0.07 | -0.16 |
MSFT Microsoft Corporation | 0.34 | 0.75 | 1.10 | 0.43 | 0.94 |
PLTR Palantir Technologies Inc. | 7.02 | 5.26 | 1.72 | 12.41 | 37.52 |
MDB MongoDB, Inc. | -0.73 | -0.79 | 0.88 | -0.62 | -1.32 |
CFLT Confluent, Inc. | -0.43 | -0.20 | 0.97 | -0.33 | -0.97 |
DDOG Datadog, Inc. | -0.06 | 0.32 | 1.04 | 0.01 | 0.04 |
CDNS Cadence Design Systems, Inc. | 0.27 | 0.75 | 1.10 | 0.46 | 0.92 |
SNPS Synopsys, Inc. | -0.24 | -0.01 | 1.00 | -0.21 | -0.43 |
CRWD CrowdStrike Holdings, Inc. | 0.56 | 1.18 | 1.15 | 0.75 | 1.69 |
TSLA Tesla, Inc. | 1.40 | 2.11 | 1.25 | 1.66 | 4.00 |
CRM salesforce.com, inc. | 0.07 | 0.47 | 1.07 | 0.16 | 0.38 |
ADBE Adobe Inc | -0.37 | -0.22 | 0.97 | -0.24 | -0.59 |
WDAY Workday, Inc. | 0.17 | 0.67 | 1.09 | 0.33 | 0.93 |
GTLB GitLab Inc. | -0.15 | 0.33 | 1.04 | -0.07 | -0.26 |
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Dividends
Dividend yield
做多AI量化多策略 provided a 0.12% dividend yield over the last twelve months.
TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 0.12% | 0.10% | 0.04% | 0.06% | 0.04% | 0.06% | 0.07% | 0.10% | 0.11% | 0.14% | 0.14% | 0.15% |
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 | 0.48% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MSFT Microsoft Corporation | 0.71% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
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. | 0.56% | 0.48% | 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% |
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.
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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. Recovery took 260 trading sessions.
The current 做多AI量化多策略 drawdown is 7.67%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-51.3% | Nov 9, 2021 | 291 | Jan 5, 2023 | 260 | Jan 19, 2024 | 551 |
-31.82% | Dec 9, 2024 | 82 | Apr 8, 2025 | — | — | — |
-18.2% | Jul 8, 2024 | 21 | Aug 5, 2024 | 66 | Nov 6, 2024 | 87 |
-15.25% | Mar 4, 2024 | 34 | Apr 19, 2024 | 52 | Jul 5, 2024 | 86 |
-6.15% | Feb 12, 2024 | 7 | Feb 21, 2024 | 7 | Mar 1, 2024 | 14 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 16 assets, with an effective number of assets of 14.16, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
^GSPC | TSLA | GOOG | AMD | GTLB | PLTR | WDAY | CFLT | CRWD | ADBE | CRM | DDOG | MSFT | MDB | CDNS | SNPS | NOW | Portfolio | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
^GSPC | 1.00 | 0.60 | 0.72 | 0.68 | 0.54 | 0.64 | 0.61 | 0.58 | 0.60 | 0.72 | 0.69 | 0.59 | 0.79 | 0.59 | 0.74 | 0.75 | 0.70 | 0.84 |
TSLA | 0.60 | 1.00 | 0.48 | 0.48 | 0.44 | 0.54 | 0.39 | 0.47 | 0.44 | 0.45 | 0.46 | 0.46 | 0.48 | 0.46 | 0.47 | 0.47 | 0.45 | 0.68 |
GOOG | 0.72 | 0.48 | 1.00 | 0.58 | 0.43 | 0.49 | 0.50 | 0.46 | 0.49 | 0.61 | 0.54 | 0.51 | 0.72 | 0.49 | 0.57 | 0.58 | 0.57 | 0.69 |
AMD | 0.68 | 0.48 | 0.58 | 1.00 | 0.46 | 0.54 | 0.46 | 0.50 | 0.50 | 0.58 | 0.54 | 0.51 | 0.61 | 0.52 | 0.61 | 0.64 | 0.55 | 0.75 |
GTLB | 0.54 | 0.44 | 0.43 | 0.46 | 1.00 | 0.57 | 0.54 | 0.67 | 0.61 | 0.52 | 0.55 | 0.66 | 0.50 | 0.69 | 0.52 | 0.56 | 0.63 | 0.72 |
PLTR | 0.64 | 0.54 | 0.49 | 0.54 | 0.57 | 1.00 | 0.52 | 0.61 | 0.62 | 0.53 | 0.56 | 0.61 | 0.51 | 0.61 | 0.58 | 0.59 | 0.62 | 0.76 |
WDAY | 0.61 | 0.39 | 0.50 | 0.46 | 0.54 | 0.52 | 1.00 | 0.56 | 0.61 | 0.62 | 0.67 | 0.60 | 0.60 | 0.62 | 0.59 | 0.60 | 0.70 | 0.72 |
CFLT | 0.58 | 0.47 | 0.46 | 0.50 | 0.67 | 0.61 | 0.56 | 1.00 | 0.61 | 0.53 | 0.58 | 0.72 | 0.52 | 0.72 | 0.55 | 0.57 | 0.65 | 0.76 |
CRWD | 0.60 | 0.44 | 0.49 | 0.50 | 0.61 | 0.62 | 0.61 | 0.61 | 1.00 | 0.55 | 0.60 | 0.68 | 0.57 | 0.68 | 0.62 | 0.65 | 0.69 | 0.77 |
ADBE | 0.72 | 0.45 | 0.61 | 0.58 | 0.52 | 0.53 | 0.62 | 0.53 | 0.55 | 1.00 | 0.67 | 0.55 | 0.68 | 0.59 | 0.66 | 0.67 | 0.70 | 0.77 |
CRM | 0.69 | 0.46 | 0.54 | 0.54 | 0.55 | 0.56 | 0.67 | 0.58 | 0.60 | 0.67 | 1.00 | 0.62 | 0.61 | 0.60 | 0.60 | 0.63 | 0.74 | 0.78 |
DDOG | 0.59 | 0.46 | 0.51 | 0.51 | 0.66 | 0.61 | 0.60 | 0.72 | 0.68 | 0.55 | 0.62 | 1.00 | 0.59 | 0.79 | 0.59 | 0.61 | 0.68 | 0.78 |
MSFT | 0.79 | 0.48 | 0.72 | 0.61 | 0.50 | 0.51 | 0.60 | 0.52 | 0.57 | 0.68 | 0.61 | 0.59 | 1.00 | 0.59 | 0.69 | 0.70 | 0.68 | 0.77 |
MDB | 0.59 | 0.46 | 0.49 | 0.52 | 0.69 | 0.61 | 0.62 | 0.72 | 0.68 | 0.59 | 0.60 | 0.79 | 0.59 | 1.00 | 0.59 | 0.63 | 0.70 | 0.80 |
CDNS | 0.74 | 0.47 | 0.57 | 0.61 | 0.52 | 0.58 | 0.59 | 0.55 | 0.62 | 0.66 | 0.60 | 0.59 | 0.69 | 0.59 | 1.00 | 0.90 | 0.69 | 0.81 |
SNPS | 0.75 | 0.47 | 0.58 | 0.64 | 0.56 | 0.59 | 0.60 | 0.57 | 0.65 | 0.67 | 0.63 | 0.61 | 0.70 | 0.63 | 0.90 | 1.00 | 0.70 | 0.82 |
NOW | 0.70 | 0.45 | 0.57 | 0.55 | 0.63 | 0.62 | 0.70 | 0.65 | 0.69 | 0.70 | 0.74 | 0.68 | 0.68 | 0.70 | 0.69 | 0.70 | 1.00 | 0.84 |
Portfolio | 0.84 | 0.68 | 0.69 | 0.75 | 0.72 | 0.76 | 0.72 | 0.76 | 0.77 | 0.77 | 0.78 | 0.78 | 0.77 | 0.80 | 0.81 | 0.82 | 0.84 | 1.00 |