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KEREM
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

KEREM

Last updated Nov 12, 2024

Asset Allocation

GC=F 5%BTC-USD 5%VOO 40%^NDX 20%IGM 10%SOXX 10%XDW0.L 5%INDY 5%CommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
^NDX
NASDAQ 100
20%
BTC-USD
Bitcoin
5%
GC=F
Gold
5%
IGM
iShares Expanded Tech Sector ETF		Technology Equities
10%
INDY
iShares India 50 ETF		Asia Pacific Equities
5%
SOXX
iShares PHLX Semiconductor ETF		Technology Equities
10%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
40%
XDW0.L
Xtrackers MSCI World Energy UCITS ETF 1C		Energy Equities
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in KEREM, 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%15.00%JuneJulyAugustSeptemberOctoberNovember
14.18%
14.38%
KEREM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 24, 2016, corresponding to the inception date of XDW0.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.82%3.20%14.94%35.92%14.22%11.43%
KEREM29.21%3.77%14.18%41.70%21.83%N/A
Portfolio components:
VOO
Vanguard S&P 500 ETF		27.26%3.32%15.18%38.00%15.95%13.45%
IGM
iShares Expanded Tech Sector ETF		36.62%3.72%18.23%50.34%22.09%20.45%
BTC-USD
Bitcoin		109.87%41.13%44.11%143.00%59.07%71.72%
^NDX
NASDAQ 100		25.44%4.12%15.19%36.32%20.65%17.50%
XDW0.L
Xtrackers MSCI World Energy UCITS ETF 1C		10.09%-1.02%-0.66%11.24%10.68%N/A
SOXX
iShares PHLX Semiconductor ETF		18.02%-4.20%0.91%39.05%24.77%24.14%
INDY
iShares India 50 ETF		7.31%-3.61%5.45%18.02%9.68%6.79%
GC=F
Gold		27.17%-1.31%11.45%34.81%12.25%7.30%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.62%7.38%4.04%-4.09%5.47%3.93%-0.01%0.78%2.29%-0.64%29.21%
20239.92%-1.62%7.08%0.51%3.32%6.13%3.41%-2.12%-4.08%-0.80%9.50%5.95%42.58%
2022-6.02%-1.80%3.58%-10.25%-0.14%-10.65%10.62%-5.03%-9.26%6.02%5.66%-6.41%-23.49%
20210.57%4.81%4.88%3.76%-0.54%2.93%2.58%3.79%-4.17%8.25%0.27%1.61%32.15%
20201.77%-7.07%-12.26%14.67%5.27%3.50%7.22%7.07%-4.45%-0.90%13.94%8.00%38.67%
20197.27%3.56%3.04%6.08%-3.22%9.93%1.40%-1.98%1.14%3.34%2.10%3.44%41.74%
20184.69%-2.48%-3.72%1.79%2.48%-0.77%3.87%2.59%-0.72%-7.60%-0.59%-7.29%-8.33%
20173.10%4.48%0.94%2.53%7.15%-0.17%3.96%4.42%0.68%6.31%5.90%4.36%53.14%
20161.31%-0.12%3.64%1.66%4.56%0.54%1.56%-0.70%2.06%3.32%19.17%

Expense Ratio

KEREM has an expense ratio of 0.16%, 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.

IGM
iShares Expanded Tech Sector ETF
Expense ratio chart for IGM: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%
INDY
iShares India 50 ETF
Expense ratio chart for INDY: current value at 0.94% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.94%
SOXX
iShares PHLX Semiconductor ETF
Expense ratio chart for SOXX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
XDW0.L
Xtrackers MSCI World Energy UCITS ETF 1C
Expense ratio chart for XDW0.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of KEREM is 12, indicating that it is in the bottom 12% 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 KEREM is 1212
Combined Rank
The Sharpe Ratio Rank of KEREM is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of KEREM is 1212Sortino Ratio Rank
The Omega Ratio Rank of KEREM is 1313Omega Ratio Rank
The Calmar Ratio Rank of KEREM is 77Calmar Ratio Rank
The Martin Ratio Rank of KEREM is 1616Martin 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.

KEREM
Sharpe ratio
The chart of Sharpe ratio for KEREM, currently valued at 1.67, compared to the broader market0.002.004.006.001.67
Sortino ratio
The chart of Sortino ratio for KEREM, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Omega ratio
The chart of Omega ratio for KEREM, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.802.001.29
Calmar ratio
The chart of Calmar ratio for KEREM, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for KEREM, currently valued at 8.57, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.57
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market0.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.05
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF		2.253.001.421.0913.51
IGM
iShares Expanded Tech Sector ETF		1.461.971.260.706.64
BTC-USD
Bitcoin		1.131.841.180.984.64
^NDX
NASDAQ 100		1.441.951.260.616.12
XDW0.L
Xtrackers MSCI World Energy UCITS ETF 1C		0.781.091.140.242.34
SOXX
iShares PHLX Semiconductor ETF		0.040.301.040.010.13
INDY
iShares India 50 ETF		0.460.681.100.132.13
GC=F
Gold		2.242.761.381.8614.43

Sharpe Ratio

The current KEREM Sharpe ratio is 1.67. 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 2.20 to 3.15, 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 KEREM 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
1.67
3.08
KEREM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

KEREM provided a 0.60% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.60%0.72%1.04%0.93%0.73%0.96%1.05%0.87%1.03%1.08%1.01%0.97%
Portfolio components:
VOO
Vanguard S&P 500 ETF		1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
IGM
iShares Expanded Tech Sector ETF		0.31%0.39%0.53%0.16%0.32%0.50%0.57%0.57%0.90%0.79%0.88%0.78%
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%
XDW0.L
Xtrackers MSCI World Energy UCITS ETF 1C		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOXX
iShares PHLX Semiconductor ETF		0.65%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%
INDY
iShares India 50 ETF		0.30%0.39%3.75%7.12%0.08%0.58%0.59%0.27%0.48%0.57%0.52%0.77%
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%

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
KEREM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the KEREM. 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 KEREM was 31.38%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.38%Feb 20, 202033Mar 23, 2020114Jul 15, 2020147
-29.18%Nov 9, 2021341Oct 15, 2022400Nov 19, 2023741
-20.49%Aug 30, 2018118Dec 25, 2018103Apr 7, 2019221
-10.96%Jul 17, 202420Aug 5, 202467Oct 11, 202487
-10.71%Jan 29, 201811Feb 8, 2018166Jul 24, 2018177

Volatility

Volatility Chart

The current KEREM volatility is 4.54%, 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%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.54%
3.89%
KEREM
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.
GC=FBTC-USDXDW0.LINDYSOXX^NDXVOOIGM
GC=F1.000.030.040.060.010.010.030.03
BTC-USD0.031.000.040.120.160.160.170.17
XDW0.L0.040.041.000.220.170.160.290.16
INDY0.060.120.221.000.390.430.490.43
SOXX0.010.160.170.391.000.790.720.81
^NDX0.010.160.160.430.791.000.850.95
VOO0.030.170.290.490.720.851.000.84
IGM0.030.170.160.430.810.950.841.00
The correlation results are calculated based on daily price changes starting from Mar 25, 2016