PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
9Sig
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

9Sig

Last updated Nov 13, 2024

9 Sigma

Asset Allocation

SGOV 38%TQQQ 62%BondBondEquityEquity
PositionCategory/SectorWeight
SGOV
iShares 0-3 Month Treasury Bond ETF		Government Bonds
38%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
62%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 9Sig, 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

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
19.72%
12.73%
9Sig
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 28, 2020, corresponding to the inception date of SGOV

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
9Sig39.47%5.08%19.72%57.13%N/AN/A
Portfolio components:
TQQQ
ProShares UltraPro QQQ		63.76%7.81%30.34%94.21%35.83%35.69%
SGOV
iShares 0-3 Month Treasury Bond ETF		4.62%0.37%2.58%5.34%N/AN/A

Monthly Returns

The table below presents the monthly returns of 9Sig, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.53%9.33%1.71%-8.70%10.98%11.70%-4.45%0.48%3.76%-2.45%39.47%
202320.23%-2.21%18.78%0.10%14.66%12.16%6.78%-3.96%-9.88%-4.78%20.47%10.98%111.53%
2022-15.79%-8.23%5.13%-22.69%-4.70%-13.53%23.86%-11.35%-19.83%5.20%7.91%-16.95%-57.04%
2021-0.29%-0.86%1.45%11.33%-3.14%12.79%5.17%8.05%-11.07%15.16%3.59%1.31%48.96%
20202.56%11.11%14.09%23.86%-14.10%-6.42%20.69%9.98%71.83%

Expense Ratio

9Sig features an expense ratio of 0.60%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
SGOV
iShares 0-3 Month Treasury Bond ETF
Expense ratio chart for SGOV: 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 9Sig is 22, indicating that it is in the bottom 22% 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 9Sig is 2222
Combined Rank
The Sharpe Ratio Rank of 9Sig is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of 9Sig is 1717Sortino Ratio Rank
The Omega Ratio Rank of 9Sig is 2020Omega Ratio Rank
The Calmar Ratio Rank of 9Sig is 3434Calmar Ratio Rank
The Martin Ratio Rank of 9Sig 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.

9Sig
Sharpe ratio
The chart of Sharpe ratio for 9Sig, currently valued at 1.98, compared to the broader market0.002.004.006.001.98
Sortino ratio
The chart of Sortino ratio for 9Sig, currently valued at 2.48, compared to the broader market-2.000.002.004.006.002.48
Omega ratio
The chart of Omega ratio for 9Sig, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.802.001.33
Calmar ratio
The chart of Calmar ratio for 9Sig, currently valued at 2.44, compared to the broader market0.005.0010.0015.002.44
Martin ratio
The chart of Martin ratio for 9Sig, currently valued at 7.99, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.99
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TQQQ
ProShares UltraPro QQQ		2.032.401.331.958.43
SGOV
iShares 0-3 Month Treasury Bond ETF		21.93527.74528.74541.768,600.11

Sharpe Ratio

The current 9Sig Sharpe ratio is 1.98. 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 2.07 to 2.98, 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 9Sig 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.98
2.90
9Sig
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

9Sig provided a 2.71% dividend yield over the last twelve months.

TTM2023202220212020201920182017201620152014
Portfolio2.71%2.63%0.90%0.01%0.02%0.04%0.07%0.00%0.00%0.01%0.02%
Portfolio components:
TQQQ
ProShares UltraPro QQQ		1.16%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%
SGOV
iShares 0-3 Month Treasury Bond ETF		5.24%4.87%1.45%0.03%0.04%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.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.15%
-0.29%
9Sig
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 9Sig. 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 9Sig was 60.39%, occurring on Dec 28, 2022. Recovery took 294 trading sessions.

The current 9Sig drawdown is 1.15%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.39%Nov 22, 2021277Dec 28, 2022294Mar 1, 2024571
-26.71%Sep 3, 202014Sep 23, 202067Dec 29, 202081
-24.09%Jul 11, 202420Aug 7, 2024———
-20.26%Feb 16, 202115Mar 8, 202125Apr 13, 202140
-14.49%Sep 8, 202119Oct 4, 202118Oct 28, 202137

Volatility

Volatility Chart

The current 9Sig volatility is 9.64%, 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.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
9.64%
3.86%
9Sig
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.
SGOVTQQQ
SGOV1.000.00
TQQQ0.001.00
The correlation results are calculated based on daily price changes starting from May 29, 2020