9Sig
9 Sigma
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
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
The earliest data available for this chart is May 28, 2020, corresponding to the inception date of SGOV
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.78% | -0.38% | 11.47% | 18.82% | 12.44% | 10.64% |
| 9Sig | 20.20% | -4.88% | 12.37% | 35.59% | N/A | N/A |
| Portfolio components: | ||||||
TQQQ ProShares UltraPro QQQ | 30.05% | -8.60% | 17.08% | 52.01% | 31.05% | 34.95% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.02% | 0.44% | 2.66% | 5.44% | N/A | N/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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.53% | 9.33% | 1.71% | -8.70% | 10.98% | 11.70% | 20.20% | ||||||
| 2023 | 20.23% | -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% | 23.87% | -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% |
| 2020 | 2.56% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 9Sig is 34, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
TQQQ ProShares UltraPro QQQ | 1.14 | 1.64 | 1.21 | 0.85 | 5.21 |
SGOV iShares 0-3 Month Treasury Bond ETF | 22.88 | — | — | — | — |
Dividends
Dividend yield
9Sig granted a 2.79% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 9Sig | 2.79% | 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 | 1.31% | 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 | 5.20% | 4.87% | 1.45% | 0.03% | 0.05% | 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.
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 14.80%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -60.39% | Nov 22, 2021 | 277 | Dec 28, 2022 | 294 | Mar 1, 2024 | 571 |
| -26.71% | Sep 3, 2020 | 14 | Sep 23, 2020 | 67 | Dec 29, 2020 | 81 |
| -20.26% | Feb 16, 2021 | 15 | Mar 8, 2021 | 25 | Apr 13, 2021 | 40 |
| -14.8% | Jul 11, 2024 | 10 | Jul 24, 2024 | — | — | — |
| -14.49% | Sep 8, 2021 | 19 | Oct 4, 2021 | 18 | Oct 28, 2021 | 37 |
Volatility
Volatility Chart
The current 9Sig volatility is 11.72%, 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.
Diversification
Asset Correlations Table
| SGOV | TQQQ | |
|---|---|---|
| SGOV | 1.00 | -0.00 |
| TQQQ | -0.00 | 1.00 |