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Смсм
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Risk-Adjusted Performance
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Смсм

Last updated Nov 15, 2024

Asset Allocation

AGZD 27%BTC-USD 9%INCO 26%HFSAX 11%TITAN.NS 11%XLKQ.L 7%DURPX 5%RTSI 2%COTZX 2%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		Total Bond Market
27%
BTC-USD
Bitcoin
9%
COTZX
Columbia Thermostat Fund		Tactical Allocation
2%
DURPX
DFA US High Relative Profitability Portfolio		Large Cap Blend Equities
5%
HFSAX
Hundredfold Select Alternative Fund Investor Class		Tactical Allocation
11%
INCO
Columbia India Consumer ETF		Asia Pacific Equities
26%
RTSI
RTS Index
2%
TITAN.NS
Titan Company Limited		Consumer Cyclical
11%
XLKQ.L
Invesco US Technology Sector UCITS ETF		Technology Equities
7%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Смсм, 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
6.09%
12.31%
Смсм
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 16, 2017, corresponding to the inception date of DURPX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
Смсм16.82%-0.43%6.10%25.14%18.57%N/A
Portfolio components:
INCO
Columbia India Consumer ETF		13.37%-10.37%1.23%24.89%14.11%9.78%
RTSI
RTS Index		-20.26%-5.18%-28.44%-23.83%-9.83%-1.50%
BTC-USD
Bitcoin		106.44%30.14%33.75%130.33%59.09%71.89%
XLKQ.L
Invesco US Technology Sector UCITS ETF		39.45%2.57%17.37%47.43%26.21%24.35%
HFSAX
Hundredfold Select Alternative Fund Investor Class		4.40%0.29%4.23%12.24%6.96%3.96%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		5.95%0.83%3.02%7.60%3.12%2.50%
COTZX
Columbia Thermostat Fund		8.42%-0.24%6.95%14.90%3.61%3.10%
DURPX
DFA US High Relative Profitability Portfolio		23.55%1.08%12.18%31.84%15.33%N/A
TITAN.NS
Titan Company Limited		-14.54%-10.02%-5.79%-4.70%18.75%24.88%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.01%6.05%3.65%-2.33%1.02%3.26%1.70%-0.07%3.35%-3.83%16.82%
20235.02%-1.59%4.20%2.53%2.31%4.81%0.76%-0.91%-0.50%2.69%6.60%4.90%35.09%
2022-3.46%-0.74%0.15%-3.05%-2.41%-6.20%7.71%-0.24%-3.55%2.28%-0.03%-3.14%-12.59%
20210.67%4.60%6.39%-1.06%0.70%1.34%1.53%4.50%0.24%6.07%-2.16%-0.35%24.41%
20203.17%-3.44%-13.06%8.87%2.86%2.71%5.74%4.72%-0.54%-0.48%12.04%12.08%37.11%
2019-0.11%2.18%3.70%3.34%6.34%8.12%-4.36%-0.78%3.33%3.76%-3.82%0.93%24.21%
2018-1.87%-2.61%-1.30%4.64%-3.89%-2.19%4.19%-1.00%-5.22%-3.13%1.68%-1.38%-11.88%
20172.26%2.20%3.78%7.90%-2.18%8.36%11.53%8.17%49.65%

Expense Ratio

Смсм features an expense ratio of 0.48%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

INCO
Columbia India Consumer ETF
Expense ratio chart for INCO: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
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%
COTZX
Columbia Thermostat Fund
Expense ratio chart for COTZX: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
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%
DURPX
DFA US High Relative Profitability Portfolio
Expense ratio chart for DURPX: 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%
XLKQ.L
Invesco US Technology Sector UCITS ETF
Expense ratio chart for XLKQ.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Смсм is 7, indicating that it is in the bottom 7% 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 Смсм is 77
Combined Rank
The Sharpe Ratio Rank of Смсм is 88Sharpe Ratio Rank
The Sortino Ratio Rank of Смсм is 77Sortino Ratio Rank
The Omega Ratio Rank of Смсм is 66Omega Ratio Rank
The Calmar Ratio Rank of Смсм is 44Calmar Ratio Rank
The Martin Ratio Rank of Смсм is 1010Martin 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.

Смсм
Sharpe ratio
The chart of Sharpe ratio for Смсм, currently valued at 0.93, compared to the broader market0.002.004.006.000.93
Sortino ratio
The chart of Sortino ratio for Смсм, currently valued at 1.38, compared to the broader market-2.000.002.004.006.001.38
Omega ratio
The chart of Omega ratio for Смсм, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.802.001.15
Calmar ratio
The chart of Calmar ratio for Смсм, currently valued at 0.33, compared to the broader market0.005.0010.0015.000.33
Martin ratio
The chart of Martin ratio for Смсм, currently valued at 4.56, compared to the broader market0.0010.0020.0030.0040.0050.004.56
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
INCO
Columbia India Consumer ETF		0.400.681.080.051.24
RTSI
RTS Index		-1.64-2.390.73-0.37-2.12
BTC-USD
Bitcoin		0.791.461.140.603.23
XLKQ.L
Invesco US Technology Sector UCITS ETF		1.462.031.260.706.19
HFSAX
Hundredfold Select Alternative Fund Investor Class		0.901.211.180.103.49
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		1.662.611.301.5925.34
COTZX
Columbia Thermostat Fund		1.872.731.340.1510.33
DURPX
DFA US High Relative Profitability Portfolio		1.822.611.330.819.78
TITAN.NS
Titan Company Limited		-1.03-1.410.83-0.19-2.43

Sharpe Ratio

The current Смсм Sharpe ratio is 0.93. 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 1.86 to 2.73, 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 Смсм 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
0.93
2.66
Смсм
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Смсм provided a 3.35% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio3.35%3.39%5.77%2.82%1.48%1.43%1.01%1.32%1.04%0.91%0.58%0.33%
Portfolio components:
INCO
Columbia India Consumer ETF		3.36%3.81%10.57%6.25%0.34%0.28%0.12%0.05%0.09%0.00%0.08%0.00%
RTSI
RTS Index		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
XLKQ.L
Invesco US Technology Sector UCITS ETF		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		5.79%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		6.25%6.07%8.61%1.66%2.29%2.83%2.62%2.35%1.95%2.37%1.69%0.05%
COTZX
Columbia Thermostat Fund		2.77%2.74%2.32%1.85%1.74%1.98%2.26%3.74%0.78%2.27%2.19%2.03%
DURPX
DFA US High Relative Profitability Portfolio		1.20%1.49%1.63%1.19%1.35%1.36%1.70%0.77%0.00%0.00%0.00%0.00%
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%

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%JuneJulyAugustSeptemberOctoberNovember
-2.15%
-0.87%
Смсм
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Смсм. 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 Смсм was 25.35%, occurring on Mar 23, 2020. Recovery took 135 trading sessions.

The current Смсм drawdown is 2.15%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.35%Feb 14, 202039Mar 23, 2020135Aug 5, 2020174
-21.71%Dec 17, 2017359Dec 10, 2018196Jun 24, 2019555
-20.55%Nov 9, 2021222Jun 18, 2022501Nov 1, 2023723
-8.25%Jun 27, 201949Aug 14, 2019155Jan 16, 2020204
-5.34%Feb 22, 20217Feb 28, 202111Mar 11, 202118

Volatility

Volatility Chart

The current Смсм volatility is 2.75%, 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%JuneJulyAugustSeptemberOctoberNovember
2.75%
3.81%
Смсм
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.
AGZDBTC-USDTITAN.NSRTSIINCOXLKQ.LCOTZXHFSAXDURPX
AGZD1.000.020.080.070.050.08-0.030.070.12
BTC-USD0.021.000.030.080.100.150.130.180.17
TITAN.NS0.080.031.000.130.390.170.130.150.13
RTSI0.070.080.131.000.190.260.170.230.21
INCO0.050.100.390.191.000.270.320.360.40
XLKQ.L0.080.150.170.260.271.000.380.420.50
COTZX-0.030.130.130.170.320.381.000.560.62
HFSAX0.070.180.150.230.360.420.561.000.66
DURPX0.120.170.130.210.400.500.620.661.00
The correlation results are calculated based on daily price changes starting from May 17, 2017