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9Sig

Last updated Feb 21, 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

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%0.00%10.00%20.00%30.00%40.00%SeptemberOctoberNovemberDecember2024February
31.42%
13.40%
9Sig
Benchmark (^GSPC)
Portfolio components

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

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
9Sig6.83%1.94%31.42%81.69%N/AN/A
TQQQ
ProShares UltraPro QQQ
10.61%2.82%48.79%137.24%35.88%35.73%
SGOV
iShares 0-3 Month Treasury Bond ETF
0.74%0.43%2.70%5.30%N/AN/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.64%
20236.78%-3.96%-9.88%-4.78%20.47%10.98%

Sharpe Ratio

The current 9Sig Sharpe ratio is 2.49. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.49

The Sharpe ratio of 9Sig 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50SeptemberOctoberNovemberDecember2024February
2.49
1.75
9Sig
Benchmark (^GSPC)
Portfolio components

Dividend yield

9Sig granted a 2.58% dividend yield in the last twelve months.


TTM2023202220212020201920182017201620152014
9Sig2.58%2.63%0.90%0.01%0.02%0.04%0.07%0.00%0.00%0.01%0.02%
TQQQ
ProShares UltraPro QQQ
1.14%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
4.92%4.87%1.45%0.03%0.05%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The 9Sig has a high expense ratio of 0.60%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.95%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
TQQQ
ProShares UltraPro QQQ
2.68
SGOV
iShares 0-3 Month Treasury Bond ETF
20.93

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
SGOV1.00-0.00
TQQQ-0.001.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2024February
-6.92%
-1.08%
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. The portfolio has not yet recovered.

The current 9Sig drawdown is 6.92%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.39%Nov 22, 2021277Dec 28, 2022
-26.71%Sep 3, 202014Sep 23, 202067Dec 29, 202081
-20.26%Feb 16, 202115Mar 8, 202125Apr 13, 202140
-14.49%Sep 8, 202119Oct 4, 202118Oct 28, 202137
-14.25%Apr 19, 202118May 12, 202122Jun 14, 202140

Volatility Chart

The current 9Sig volatility is 8.07%, 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%12.00%SeptemberOctoberNovemberDecember2024February
8.07%
3.37%
9Sig
Benchmark (^GSPC)
Portfolio components
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