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Low risk invest by ChatGPT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


0QFC.L 11.11%ACGL 11.11%ALSN 11.11%AVGO 11.11%BME.L 11.11%DELL 11.11%IVPG.L 11.11%KAZTP.ME 11.11%RACE 11.11%EquityEquity
PositionCategory/SectorWeight
0QFC.L
Caverion Ord
Industrials
11.11%
ACGL
Arch Capital Group Ltd.
Financial Services
11.11%
ALSN
Allison Transmission Holdings, Inc.
Consumer Cyclical
11.11%
AVGO
Broadcom Inc.
Technology
11.11%
BME.L
B&M European Value Retail SA
Consumer Defensive
11.11%
DELL
Dell Technologies Inc.
Technology
11.11%
IVPG.L
Invesco Perpetual Glbl Equity
Financial Services
11.11%
KAZTP.ME
Public Joint Stock Company KuibyshevAzot
Basic Materials
11.11%
RACE
Ferrari N.V.
Consumer Cyclical
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Low risk invest by ChatGPT, 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


100.00%200.00%300.00%400.00%500.00%JuneJulyAugustSeptemberOctoberNovember
499.50%
174.74%
Low risk invest by ChatGPT
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 17, 2016, corresponding to the inception date of DELL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.70%3.51%14.80%37.91%14.18%11.41%
Low risk invest by ChatGPT26.71%-0.59%5.17%32.97%24.90%N/A
0QFC.L
Caverion Ord
-0.71%0.00%0.00%3.74%5.43%N/A
ACGL
Arch Capital Group Ltd.
37.13%-10.97%1.80%18.50%19.51%18.25%
ALSN
Allison Transmission Holdings, Inc.
106.54%18.66%56.44%126.18%22.94%15.46%
AVGO
Broadcom Inc.
66.29%1.19%38.68%94.74%44.69%39.44%
BME.L
B&M European Value Retail SA
-26.36%-6.68%-26.31%-17.21%10.02%14.00%
DELL
Dell Technologies Inc.
78.18%5.46%1.81%85.45%37.15%N/A
IVPG.L
Invesco Perpetual Glbl Equity
10.48%0.00%4.66%28.71%9.65%N/A
KAZTP.ME
Public Joint Stock Company KuibyshevAzot
-32.16%-12.66%-33.19%-35.83%21.35%31.68%
RACE
Ferrari N.V.
35.14%-3.12%12.21%34.70%22.42%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.02%7.93%4.69%-1.70%3.99%0.32%0.11%3.15%1.04%-3.11%26.71%
202310.83%3.76%1.42%4.23%3.24%8.92%1.74%1.20%1.24%-2.75%7.46%2.30%52.33%
2022-4.62%-6.29%7.05%-7.76%2.31%-4.41%4.21%-5.19%-10.17%11.19%18.81%-2.08%-0.91%
2021-1.39%2.23%4.08%9.69%0.71%2.44%2.53%0.55%1.38%5.85%-1.18%6.28%37.95%
2020-2.05%-10.76%-18.08%9.97%9.90%3.78%6.65%3.83%-1.35%-3.10%11.66%7.18%13.77%
201911.11%4.57%2.60%8.43%-7.03%7.37%4.80%-6.15%2.04%3.58%2.88%3.60%42.97%
20183.74%-2.96%-2.45%0.20%3.22%-1.48%6.33%-0.44%1.78%-8.28%1.45%-6.81%-6.52%
20175.94%1.35%3.29%4.73%4.20%-3.39%5.77%3.78%2.41%2.40%-2.16%0.26%32.05%
20161.19%1.47%-1.05%4.96%6.11%13.16%

Expense Ratio

Low risk invest by ChatGPT 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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Low risk invest by ChatGPT is 30, 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.


The Risk-Adjusted Performance Rank of Low risk invest by ChatGPT is 3030
Combined Rank
The Sharpe Ratio Rank of Low risk invest by ChatGPT is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of Low risk invest by ChatGPT is 2626Sortino Ratio Rank
The Omega Ratio Rank of Low risk invest by ChatGPT is 2424Omega Ratio Rank
The Calmar Ratio Rank of Low risk invest by ChatGPT is 5757Calmar Ratio Rank
The Martin Ratio Rank of Low risk invest by ChatGPT is 2424Martin 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.


Low risk invest by ChatGPT
Sharpe ratio
The chart of Sharpe ratio for Low risk invest by ChatGPT, currently valued at 1.97, compared to the broader market0.002.004.006.001.97
Sortino ratio
The chart of Sortino ratio for Low risk invest by ChatGPT, currently valued at 2.92, compared to the broader market-2.000.002.004.006.002.92
Omega ratio
The chart of Omega ratio for Low risk invest by ChatGPT, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.802.001.37
Calmar ratio
The chart of Calmar ratio for Low risk invest by ChatGPT, currently valued at 3.53, compared to the broader market0.005.0010.0015.003.53
Martin ratio
The chart of Martin ratio for Low risk invest by ChatGPT, currently valued at 10.58, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.58
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market0.002.004.006.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market-2.000.002.004.006.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.802.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.005.0010.0015.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.39

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
0QFC.L
Caverion Ord
0.610.901.170.591.62
ACGL
Arch Capital Group Ltd.
0.811.191.161.003.00
ALSN
Allison Transmission Holdings, Inc.
4.445.741.849.8825.62
AVGO
Broadcom Inc.
2.022.641.353.6411.09
BME.L
B&M European Value Retail SA
-0.90-1.190.86-0.68-1.31
DELL
Dell Technologies Inc.
1.422.231.291.623.69
IVPG.L
Invesco Perpetual Glbl Equity
1.252.051.383.7712.68
KAZTP.ME
Public Joint Stock Company KuibyshevAzot
-1.19-1.860.80-0.74-1.86
RACE
Ferrari N.V.
0.941.541.202.285.07

Sharpe Ratio

The current Low risk invest by ChatGPT Sharpe ratio is 1.97. 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 2.17 to 3.07, 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 Low risk invest by ChatGPT 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.97
2.97
Low risk invest by ChatGPT
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Low risk invest by ChatGPT provided a 2.80% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio2.80%3.06%2.79%2.52%1.86%1.41%1.45%0.87%2.08%1.27%4.61%1.30%
0QFC.L
Caverion Ord
0.00%2.32%2.45%1.56%0.00%0.69%0.00%0.00%3.52%2.43%3.37%0.00%
ACGL
Arch Capital Group Ltd.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ALSN
Allison Transmission Holdings, Inc.
0.63%1.58%2.02%2.09%1.58%1.24%1.37%1.39%1.78%2.32%1.50%1.52%
AVGO
Broadcom Inc.
1.15%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
BME.L
B&M European Value Retail SA
9.06%6.19%4.01%9.94%9.63%1.86%2.66%1.49%5.43%1.44%31.58%0.00%
DELL
Dell Technologies Inc.
1.27%1.88%2.46%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IVPG.L
Invesco Perpetual Glbl Equity
1.48%2.77%3.12%2.24%1.92%0.03%0.04%0.03%0.03%0.03%0.03%2.28%
KAZTP.ME
Public Joint Stock Company KuibyshevAzot
11.07%10.47%7.31%4.26%0.00%4.64%5.00%2.36%5.61%4.09%3.81%6.25%
RACE
Ferrari N.V.
0.57%0.59%0.69%0.40%0.54%0.70%0.88%0.65%0.89%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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.86%
0
Low risk invest by ChatGPT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Low risk invest by ChatGPT. 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 Low risk invest by ChatGPT was 38.19%, occurring on Mar 23, 2020. Recovery took 144 trading sessions.

The current Low risk invest by ChatGPT drawdown is 1.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.19%Jan 23, 202043Mar 23, 2020144Oct 9, 2020187
-25.56%Jan 5, 2022189Sep 26, 202248Dec 1, 2022237
-17.08%Sep 21, 201869Dec 25, 201845Feb 26, 2019114
-9.85%Aug 1, 201911Aug 15, 201957Nov 4, 201968
-9.67%Jan 25, 201853Apr 9, 2018115Sep 13, 2018168

Volatility

Volatility Chart

The current Low risk invest by ChatGPT volatility is 4.29%, 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
4.29%
3.92%
Low risk invest by ChatGPT
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.

KAZTP.ME0QFC.LBME.LIVPG.LACGLALSNAVGODELLRACE
KAZTP.ME1.000.100.070.100.090.070.100.100.09
0QFC.L0.101.000.230.310.130.160.140.160.20
BME.L0.070.231.000.330.120.160.190.200.25
IVPG.L0.100.310.331.000.110.140.170.170.23
ACGL0.090.130.120.111.000.390.220.290.27
ALSN0.070.160.160.140.391.000.320.400.31
AVGO0.100.140.190.170.220.321.000.470.45
DELL0.100.160.200.170.290.400.471.000.36
RACE0.090.200.250.230.270.310.450.361.00
The correlation results are calculated based on daily price changes starting from Aug 18, 2016