RiskReturn
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AEHR Aehr Test Systems | Technology | 7.50% |
AVGO Broadcom Inc. | Technology | 40% |
GPS The Gap, Inc. | Consumer Cyclical | 2% |
MARA Marathon Digital Holdings, Inc. | Financial Services | 2% |
META Meta Platforms, Inc. | Communication Services | 17% |
MSTR MicroStrategy Incorporated | Technology | 2% |
NVDA NVIDIA Corporation | Technology | 24% |
SMCI Super Micro Computer, Inc. | Technology | 5.50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in RiskReturn, 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
The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META
Returns By Period
As of Nov 9, 2024, the RiskReturn returned 89.95% Year-To-Date and 52.29% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.82% | 3.20% | 14.94% | 35.92% | 14.22% | 11.43% |
| RiskReturn | 89.68% | -1.35% | 31.99% | 118.57% | 74.53% | 52.12% |
| Portfolio components: | ||||||
AVGO Broadcom Inc. | 62.00% | -1.42% | 34.63% | 89.73% | 46.11% | 38.65% |
NVDA NVIDIA Corporation | 193.39% | 7.76% | 60.71% | 200.62% | 95.13% | 77.59% |
META Meta Platforms, Inc. | 65.25% | -1.15% | 24.85% | 77.91% | 24.89% | 22.89% |
AEHR Aehr Test Systems | -52.70% | -21.66% | 8.00% | -48.78% | 41.95% | 17.90% |
SMCI Super Micro Computer, Inc. | -18.28% | -51.40% | -70.32% | -12.68% | 61.21% | 21.02% |
MARA Marathon Digital Holdings, Inc. | 6.47% | 55.53% | 44.90% | 160.25% | 83.01% | -14.32% |
MSTR MicroStrategy Incorporated | 438.30% | 59.93% | 172.88% | 567.74% | 85.35% | 35.30% |
GPS The Gap, Inc. | 6.31% | -0.78% | -1.49% | 64.91% | 9.73% | -2.15% |
Monthly Returns
The table below presents the monthly returns of RiskReturn, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 10.44% | 24.32% | 8.20% | -6.57% | 9.70% | 12.53% | 2.57% | -2.31% | 3.37% | 1.42% | 89.68% | ||
| 2023 | 23.01% | 9.36% | 12.85% | 0.56% | 29.34% | 10.79% | 11.09% | -0.95% | -8.24% | -4.14% | 12.55% | 16.13% | 176.69% |
| 2022 | -15.20% | -5.85% | 5.76% | -17.02% | 2.35% | -17.28% | 18.85% | -3.31% | -12.61% | 6.37% | 19.82% | -7.02% | -29.40% |
| 2021 | 2.28% | 7.62% | 4.27% | 2.72% | 2.35% | 10.58% | 8.23% | 10.42% | 9.63% | 15.28% | 6.69% | 6.79% | 129.58% |
| 2020 | 0.03% | -2.82% | -11.68% | 13.57% | 11.18% | 8.62% | 8.40% | 13.17% | -1.80% | -4.28% | 18.95% | 11.98% | 80.87% |
| 2019 | 8.19% | 6.23% | 8.37% | 7.69% | -16.43% | 11.48% | -1.31% | -2.28% | 2.28% | 6.76% | 7.11% | 3.59% | 46.01% |
| 2018 | 5.91% | -4.12% | -5.60% | 1.01% | 11.03% | -3.69% | -4.84% | 4.15% | 1.99% | -14.93% | -3.07% | -3.90% | -17.07% |
| 2017 | 7.61% | 9.67% | 3.00% | -1.06% | 11.62% | -1.64% | 7.66% | 1.46% | 0.89% | 6.25% | 2.58% | -3.68% | 52.77% |
| 2016 | -4.84% | 0.84% | 10.66% | -1.94% | 8.15% | 3.45% | 8.77% | 8.50% | 5.55% | 1.84% | 4.93% | 4.97% | 62.79% |
| 2015 | -0.26% | 14.88% | -2.60% | -2.57% | 10.09% | -6.84% | -1.19% | 2.09% | 2.65% | 3.44% | 5.00% | 5.32% | 32.08% |
| 2014 | 2.78% | 11.02% | -0.90% | 0.40% | 6.85% | 3.07% | 1.09% | 9.05% | 3.52% | 1.09% | 6.61% | 2.31% | 57.31% |
| 2013 | 9.53% | -3.35% | 2.50% | -3.07% | 9.84% | -1.34% | 10.88% | 5.13% | 15.34% | 2.79% | 1.18% | 11.77% | 78.15% |
Expense Ratio
RiskReturn 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of RiskReturn is 72, 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.
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 | |
|---|---|---|---|---|---|
AVGO Broadcom Inc. | 2.16 | 2.76 | 1.35 | 3.93 | 12.02 |
NVDA NVIDIA Corporation | 4.05 | 3.99 | 1.52 | 7.75 | 24.42 |
META Meta Platforms, Inc. | 2.28 | 3.20 | 1.44 | 4.48 | 13.90 |
AEHR Aehr Test Systems | -0.55 | -0.47 | 0.94 | -0.57 | -0.92 |
SMCI Super Micro Computer, Inc. | -0.12 | 0.61 | 1.09 | -0.15 | -0.33 |
MARA Marathon Digital Holdings, Inc. | 1.56 | 2.47 | 1.28 | 1.82 | 4.67 |
MSTR MicroStrategy Incorporated | 5.68 | 4.26 | 1.50 | 9.10 | 27.98 |
GPS The Gap, Inc. | 1.10 | 2.35 | 1.27 | 1.09 | 3.54 |
Dividends
Dividend yield
RiskReturn provided a 0.57% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.57% | 0.75% | 1.34% | 0.96% | 1.30% | 1.59% | 1.43% | 0.86% | 0.78% | 0.81% | 0.94% | 1.16% |
| Portfolio components: | ||||||||||||
AVGO Broadcom Inc. | 1.18% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
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% |
META Meta Platforms, Inc. | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AEHR Aehr Test Systems | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SMCI Super Micro Computer, 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% |
MARA Marathon Digital 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% |
MSTR MicroStrategy Incorporated | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
GPS The Gap, Inc. | 2.77% | 2.87% | 5.05% | 2.73% | 2.40% | 5.49% | 3.72% | 2.03% | 5.12% | 3.68% | 2.04% | 1.28% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the RiskReturn. 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 RiskReturn was 44.20%, occurring on Oct 14, 2022. Recovery took 107 trading sessions.
The current RiskReturn drawdown is 2.85%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -44.2% | Dec 28, 2021 | 202 | Oct 14, 2022 | 107 | Mar 21, 2023 | 309 |
| -41.76% | Feb 20, 2020 | 20 | Mar 18, 2020 | 52 | Jun 2, 2020 | 72 |
| -31.05% | Jun 15, 2018 | 133 | Dec 24, 2018 | 218 | Nov 5, 2019 | 351 |
| -20.86% | Jul 11, 2024 | 20 | Aug 7, 2024 | 44 | Oct 9, 2024 | 64 |
| -17.57% | Dec 7, 2015 | 46 | Feb 11, 2016 | 24 | Mar 17, 2016 | 70 |
Volatility
Volatility Chart
The current RiskReturn volatility is 9.79%, 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.
Diversification
Asset Correlations Table
| AEHR | GPS | MARA | SMCI | META | MSTR | AVGO | NVDA | |
|---|---|---|---|---|---|---|---|---|
| AEHR | 1.00 | 0.15 | 0.18 | 0.20 | 0.19 | 0.23 | 0.24 | 0.25 |
| GPS | 0.15 | 1.00 | 0.18 | 0.27 | 0.20 | 0.28 | 0.27 | 0.25 |
| MARA | 0.18 | 0.18 | 1.00 | 0.17 | 0.22 | 0.40 | 0.23 | 0.24 |
| SMCI | 0.20 | 0.27 | 0.17 | 1.00 | 0.31 | 0.33 | 0.40 | 0.39 |
| META | 0.19 | 0.20 | 0.22 | 0.31 | 1.00 | 0.34 | 0.43 | 0.47 |
| MSTR | 0.23 | 0.28 | 0.40 | 0.33 | 0.34 | 1.00 | 0.37 | 0.39 |
| AVGO | 0.24 | 0.27 | 0.23 | 0.40 | 0.43 | 0.37 | 1.00 | 0.59 |
| NVDA | 0.25 | 0.25 | 0.24 | 0.39 | 0.47 | 0.39 | 0.59 | 1.00 |