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HF2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SMH 10%ITB 10%MS 10%BLK 10%BX 10%AMP 10%CG 10%QQQ 10%IYW 10%KKR 10%EquityEquity
PositionCategory/SectorWeight
AMP
Ameriprise Financial, Inc.
Financial Services
10%
BLK
BlackRock, Inc.
Financial Services
10%
BX
The Blackstone Group Inc.
Financial Services
10%
CG
The Carlyle Group Inc.
Financial Services
10%
ITB
iShares U.S. Home Construction ETF
Building & Construction
10%
IYW
iShares U.S. Technology ETF
Technology Equities
10%
KKR
KKR & Co. Inc.
Financial Services
10%
MS
Morgan Stanley
Financial Services
10%
QQQ
Invesco QQQ
Large Cap Blend Equities
10%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in HF2, 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%10.00%20.00%30.00%MayJuneJulyAugustSeptemberOctober
28.70%
15.83%
HF2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 3, 2012, corresponding to the inception date of CG

Returns By Period

As of Oct 30, 2024, the HF2 returned 34.88% Year-To-Date and 20.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
HF234.88%6.53%28.70%79.32%28.16%20.96%
SMH
VanEck Vectors Semiconductor ETF
46.92%3.71%20.01%87.35%35.34%29.33%
ITB
iShares U.S. Home Construction ETF
15.86%-7.31%13.35%62.99%22.17%17.84%
MS
Morgan Stanley
31.56%14.59%32.51%73.79%24.84%16.12%
BLK
BlackRock, Inc.
23.39%4.02%31.92%66.09%19.37%14.07%
BX
The Blackstone Group Inc.
33.03%10.16%47.22%88.52%31.01%25.67%
AMP
Ameriprise Financial, Inc.
37.39%10.18%26.29%65.91%30.44%17.76%
CG
The Carlyle Group Inc.
28.75%17.27%16.02%90.47%17.41%12.81%
QQQ
Invesco QQQ
22.66%2.76%18.15%44.21%21.34%18.30%
IYW
iShares U.S. Technology ETF
28.76%4.47%23.24%53.59%25.06%20.99%
KKR
KKR & Co. Inc.
69.01%5.44%50.19%154.95%38.78%23.67%

Monthly Returns

The table below presents the monthly returns of HF2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.10%7.55%4.36%-6.54%5.63%1.88%8.56%-1.20%4.39%34.88%
202315.83%-1.97%-0.69%0.72%0.20%8.88%6.88%-2.48%-4.71%-6.74%18.81%11.48%52.02%
2022-5.64%-6.52%-0.13%-13.98%5.66%-13.85%14.80%-6.21%-11.92%9.61%9.08%-7.37%-27.55%
20211.01%6.38%5.49%9.75%2.33%3.06%5.37%4.70%-6.45%13.53%-0.24%1.47%55.64%
20203.82%-9.84%-17.41%14.37%11.72%5.54%6.04%4.02%-3.14%-0.54%15.67%6.24%36.13%
201912.40%2.31%2.10%10.49%-9.03%10.50%3.77%-3.08%4.95%5.60%5.58%3.64%59.05%
20187.87%-4.39%-3.58%-2.49%4.13%-0.49%5.47%0.28%-0.56%-10.58%0.22%-10.69%-15.41%
20175.90%4.08%0.69%2.85%1.91%2.46%4.27%0.11%5.51%3.82%1.41%3.02%42.41%
2016-10.53%-0.05%9.13%-0.97%2.55%-4.07%9.07%2.94%-0.86%-2.47%9.01%1.11%13.76%
2015-2.49%5.71%-0.11%1.67%3.01%-3.33%0.34%-10.15%-5.94%8.60%0.88%-5.53%-8.49%
2014-2.49%4.55%-0.93%-2.89%2.14%5.69%-1.99%4.94%-2.99%0.55%5.47%0.83%12.96%
201311.01%2.47%3.13%3.62%3.26%-4.34%6.57%-4.09%5.77%7.58%5.11%5.41%54.73%

Expense Ratio

HF2 has an expense ratio of 0.14%, 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.


Expense ratio chart for ITB: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for IYW: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of HF2 is 89, placing it in the top 11% 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 HF2 is 8989
Combined Rank
The Sharpe Ratio Rank of HF2 is 9595Sharpe Ratio Rank
The Sortino Ratio Rank of HF2 is 9191Sortino Ratio Rank
The Omega Ratio Rank of HF2 is 9090Omega Ratio Rank
The Calmar Ratio Rank of HF2 is 7878Calmar Ratio Rank
The Martin Ratio Rank of HF2 is 9393Martin 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.


HF2
Sharpe ratio
The chart of Sharpe ratio for HF2, currently valued at 4.24, compared to the broader market0.002.004.006.004.24
Sortino ratio
The chart of Sortino ratio for HF2, currently valued at 5.13, compared to the broader market-2.000.002.004.006.005.13
Omega ratio
The chart of Omega ratio for HF2, currently valued at 1.69, compared to the broader market0.801.001.201.401.601.802.001.69
Calmar ratio
The chart of Calmar ratio for HF2, currently valued at 4.29, compared to the broader market0.005.0010.004.29
Martin ratio
The chart of Martin ratio for HF2, currently valued at 28.59, compared to the broader market0.0010.0020.0030.0040.0050.0060.0028.59
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMH
VanEck Vectors Semiconductor ETF
2.542.991.413.509.92
ITB
iShares U.S. Home Construction ETF
2.373.191.393.4211.07
MS
Morgan Stanley
3.123.801.552.4916.36
BLK
BlackRock, Inc.
3.534.681.582.0216.02
BX
The Blackstone Group Inc.
3.173.871.472.8817.55
AMP
Ameriprise Financial, Inc.
3.724.571.625.7523.21
CG
The Carlyle Group Inc.
2.683.201.431.809.32
QQQ
Invesco QQQ
2.673.421.473.3812.40
IYW
iShares U.S. Technology ETF
2.663.271.453.4311.98
KKR
KKR & Co. Inc.
5.115.681.784.9047.10

Sharpe Ratio

The current HF2 Sharpe ratio is 4.24. 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 2.49 to 3.44, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of HF2 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 Ratio1.001.502.002.503.003.504.004.50MayJuneJulyAugustSeptemberOctober
4.24
3.43
HF2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

HF2 provided a 1.23% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
HF21.23%1.61%2.44%1.29%1.65%2.48%3.47%2.62%3.45%5.52%3.13%2.39%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
ITB
iShares U.S. Home Construction ETF
0.39%0.48%0.86%0.37%0.46%0.50%0.63%0.28%0.43%0.34%0.34%0.12%
MS
Morgan Stanley
2.20%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
BLK
BlackRock, Inc.
2.06%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%2.12%
BX
The Blackstone Group Inc.
2.03%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.74%3.75%
AMP
Ameriprise Financial, Inc.
1.10%1.40%1.57%1.47%2.10%2.29%3.38%1.91%2.63%2.43%1.71%1.75%
CG
The Carlyle Group Inc.
2.74%3.38%4.11%1.82%3.18%4.24%7.87%5.41%11.02%21.70%6.84%3.73%
QQQ
Invesco QQQ
0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
IYW
iShares U.S. Technology ETF
0.31%0.40%0.50%0.31%0.56%0.72%0.91%0.82%1.13%1.12%1.13%1.06%
KKR
KKR & Co. Inc.
0.49%0.78%1.31%0.77%1.31%1.71%3.23%3.18%4.16%10.13%8.75%6.66%

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.30%
-0.54%
HF2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the HF2. 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 HF2 was 41.86%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.

The current HF2 drawdown is 1.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.86%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-36.8%Nov 17, 2021229Oct 14, 2022291Dec 12, 2023520
-33.01%May 29, 2015179Feb 11, 2016209Dec 8, 2016388
-27.65%Jan 29, 2018229Dec 24, 201885Apr 29, 2019314
-11.65%May 4, 201221Jun 4, 201243Aug 3, 201264

Volatility

Volatility Chart

The current HF2 volatility is 4.04%, 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.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
4.04%
2.71%
HF2
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.

ITBCGMSBXKKRAMPSMHBLKIYWQQQ
ITB1.000.460.460.500.480.530.490.530.520.54
CG0.461.000.490.620.630.500.450.510.480.50
MS0.460.491.000.530.530.730.510.670.510.52
BX0.500.620.531.000.690.540.500.580.530.55
KKR0.480.630.530.691.000.560.520.550.560.57
AMP0.530.500.730.540.561.000.550.710.560.58
SMH0.490.450.510.500.520.551.000.570.850.82
BLK0.530.510.670.580.550.710.571.000.600.62
IYW0.520.480.510.530.560.560.850.601.000.97
QQQ0.540.500.520.550.570.580.820.620.971.00
The correlation results are calculated based on daily price changes starting from May 4, 2012