Risk adjusted portfolio
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
^NDX NASDAQ 100 | 6% | |
BTC-USD Bitcoin | 21% | |
GC=F Gold | 21% | |
INDA iShares MSCI India ETF | Asia Pacific Equities | 21% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 31% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Risk adjusted portfolio, 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 Feb 3, 2012, corresponding to the inception date of INDA
Returns By Period
As of Sep 21, 2024, the Risk adjusted portfolio returned 30.19% Year-To-Date and 29.53% 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 | 19.55% | 2.37% | 8.95% | 32.00% | 13.81% | 11.08% |
| Risk adjusted portfolio | 30.27% | 2.02% | 10.60% | 55.85% | 27.70% | 29.77% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | 20.75% | 1.40% | 9.72% | 33.92% | 15.80% | 13.27% |
INDA iShares MSCI India ETF | 20.34% | 2.91% | 16.34% | 32.06% | 13.38% | 8.23% |
GC=F Gold | 28.35% | 5.53% | 22.66% | 36.06% | 11.97% | 8.11% |
BTC-USD Bitcoin | 49.99% | -1.09% | -5.71% | 138.51% | 49.07% | 65.51% |
^NDX NASDAQ 100 | 17.62% | 0.36% | 7.92% | 34.63% | 20.76% | 17.32% |
Monthly Returns
The table below presents the monthly returns of Risk adjusted portfolio, 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 | 1.09% | 11.62% | 7.01% | -3.71% | 4.64% | 1.29% | 2.43% | -0.40% | 30.27% | ||||
| 2023 | 11.82% | -2.78% | 9.78% | 2.02% | -0.64% | 5.41% | 1.03% | -3.24% | -1.82% | 6.01% | 7.33% | 6.15% | 47.82% |
| 2022 | -5.99% | 1.29% | 3.11% | -7.61% | -4.87% | -11.17% | 8.76% | -5.40% | -5.65% | 4.27% | 0.88% | -3.46% | -24.44% |
| 2021 | 1.61% | 9.08% | 11.02% | 1.50% | -3.78% | -1.42% | 5.51% | 5.94% | -4.15% | 11.93% | -2.78% | -2.40% | 34.82% |
| 2020 | 6.87% | -6.26% | -14.76% | 16.23% | 4.86% | 1.64% | 11.88% | 4.18% | -3.54% | 4.30% | 15.20% | 19.33% | 70.53% |
| 2019 | 1.83% | 3.21% | 3.34% | 8.00% | 13.60% | 14.55% | -1.57% | -0.33% | -1.55% | 4.30% | -3.37% | 1.42% | 50.69% |
| 2018 | -2.86% | -3.14% | -6.69% | 7.15% | -4.82% | -3.71% | 6.74% | -1.18% | -3.38% | -4.24% | -5.25% | -3.26% | -22.88% |
| 2017 | 3.29% | 7.64% | -0.69% | 6.51% | 19.00% | 3.15% | 6.17% | 15.14% | -3.52% | 12.98% | 17.34% | 13.92% | 157.12% |
| 2016 | -5.01% | 4.27% | 3.55% | 2.64% | 4.00% | 8.70% | 1.43% | -2.07% | 1.22% | 1.74% | -0.66% | 7.74% | 30.28% |
| 2015 | -4.78% | 4.58% | -2.50% | -2.58% | 1.05% | 1.60% | 1.93% | -7.93% | -0.49% | 10.59% | 3.19% | 3.44% | 7.04% |
| 2014 | 0.37% | -3.92% | -1.44% | -0.21% | 10.08% | 3.40% | -2.69% | -1.48% | -5.30% | -1.44% | 3.52% | -4.42% | -4.41% |
| 2013 | 11.99% | 13.40% | 74.68% | 10.75% | -2.96% | -10.36% | 4.39% | 4.49% | 0.75% | 15.12% | 124.74% | -21.88% | 374.71% |
Expense Ratio
Risk adjusted portfolio has an expense ratio of 0.15%, which is considered low compared to other funds. 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 Risk adjusted portfolio is 73, 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 | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 2.39 | 3.18 | 1.44 | 1.19 | 14.57 |
INDA iShares MSCI India ETF | 1.79 | 2.25 | 1.36 | 1.32 | 16.62 |
GC=F Gold | 3.03 | 3.77 | 1.52 | 3.06 | 19.19 |
BTC-USD Bitcoin | 1.40 | 2.07 | 1.21 | 0.83 | 6.16 |
^NDX NASDAQ 100 | 1.40 | 1.93 | 1.25 | 0.59 | 6.19 |
Dividends
Dividend yield
Risk adjusted portfolio granted a 0.39% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Risk adjusted portfolio | 0.39% | 0.49% | 0.52% | 1.74% | 0.53% | 0.79% | 0.84% | 0.78% | 0.81% | 0.90% | 0.71% | 0.65% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.26% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
INDA iShares MSCI India ETF | 0.00% | 0.16% | 0.00% | 6.44% | 0.27% | 0.99% | 0.94% | 1.09% | 0.90% | 1.19% | 0.63% | 0.40% |
GC=F Gold | 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% |
^NDX NASDAQ 100 | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Risk adjusted portfolio. 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 Risk adjusted portfolio was 37.08%, occurring on Dec 18, 2013. Recovery took 1101 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.08% | Dec 5, 2013 | 14 | Dec 18, 2013 | 1101 | Dec 23, 2016 | 1115 |
| -36.97% | Dec 17, 2017 | 374 | Dec 25, 2018 | 182 | Jun 25, 2019 | 556 |
| -33.24% | Nov 9, 2021 | 341 | Oct 15, 2022 | 419 | Dec 8, 2023 | 760 |
| -31.78% | Apr 11, 2013 | 86 | Jul 5, 2013 | 124 | Nov 6, 2013 | 210 |
| -30.6% | Feb 13, 2020 | 35 | Mar 18, 2020 | 126 | Jul 22, 2020 | 161 |
Volatility
Volatility Chart
The current Risk adjusted portfolio volatility is 4.84%, 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
| GC=F | BTC-USD | INDA | ^NDX | VOO | |
|---|---|---|---|---|---|
| GC=F | 1.00 | 0.01 | 0.05 | -0.00 | 0.01 |
| BTC-USD | 0.01 | 1.00 | 0.06 | 0.11 | 0.11 |
| INDA | 0.05 | 0.06 | 1.00 | 0.45 | 0.52 |
| ^NDX | -0.00 | 0.11 | 0.45 | 1.00 | 0.85 |
| VOO | 0.01 | 0.11 | 0.52 | 0.85 | 1.00 |