сортино на max
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
1YD.DE Broadcom Inc | Technology | 2% |
AGZD WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | Total Bond Market | 21% |
AVGO Broadcom Inc. | Technology | 1% |
BEL.NS Bharat Electronics Limited | Industrials | 8% |
BTC-USD Bitcoin | 8% | |
HFSAX Hundredfold Select Alternative Fund Investor Class | Tactical Allocation | 7% |
NVDA NVIDIA Corporation | Technology | 3% |
OSX2.DE Ossiam US Minimum Variance ESG UCITS ETF (EUR) | Large Cap Value Equities | 11% |
SVARX Spectrum Low Volatility Fund | Nontraditional Bonds | 33% |
TITAN.NS Titan Company Limited | Consumer Cyclical | 6% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in сортино на max, 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 Dec 18, 2013, corresponding to the inception date of AGZD
Returns By Period
As of Sep 19, 2024, the сортино на max returned 18.26% Year-To-Date and 20.23% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.79% | 0.18% | 7.53% | 26.42% | 13.48% | 10.85% |
| сортино на max | 18.26% | 0.94% | 7.99% | 34.04% | 20.57% | 20.24% |
| Portfolio components: | ||||||
BTC-USD Bitcoin | 45.86% | 4.47% | -5.87% | 127.22% | 43.82% | 65.41% |
HFSAX Hundredfold Select Alternative Fund Investor Class | 3.16% | 1.15% | 2.14% | 13.06% | 9.82% | 7.34% |
AGZD WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | 4.43% | 0.77% | 2.92% | 6.58% | 3.00% | 2.26% |
TITAN.NS Titan Company Limited | 1.69% | 8.11% | 3.03% | 12.10% | 20.67% | 21.81% |
NVDA NVIDIA Corporation | 128.98% | -10.90% | 24.01% | 168.48% | 92.43% | 73.77% |
SVARX Spectrum Low Volatility Fund | 3.78% | 1.47% | 3.49% | 12.36% | 7.38% | 6.92% |
1YD.DE Broadcom Inc | 46.62% | -1.98% | 17.78% | 96.40% | 46.09% | 36.34% |
BEL.NS Bharat Electronics Limited | 55.11% | -5.91% | 44.59% | 106.98% | 49.29% | 27.88% |
AVGO Broadcom Inc. | 45.91% | -2.58% | 20.31% | 97.00% | 45.75% | 38.05% |
OSX2.DE Ossiam US Minimum Variance ESG UCITS ETF (EUR) | 15.45% | 2.12% | 6.80% | 17.86% | 6.54% | 7.44% |
Monthly Returns
The table below presents the monthly returns of сортино на max, 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 | 1.30% | 6.09% | 3.30% | -1.03% | 3.68% | 1.95% | 1.05% | 0.05% | 18.26% | ||||
| 2023 | 5.18% | -0.62% | 4.32% | 1.00% | 1.68% | 4.38% | 1.03% | -0.18% | -0.58% | 1.77% | 5.11% | 6.79% | 33.88% |
| 2022 | -3.24% | 0.54% | 1.50% | -2.75% | -2.15% | -5.10% | 5.70% | -1.10% | -2.65% | 2.14% | 1.17% | -1.88% | -8.00% |
| 2021 | 1.77% | 4.13% | 4.17% | 1.07% | -0.18% | 3.03% | 1.99% | 2.79% | -0.06% | 5.20% | -0.09% | -0.39% | 25.86% |
| 2020 | 2.41% | -1.91% | -7.11% | 5.73% | 2.73% | 3.87% | 6.39% | 4.23% | -1.72% | 0.83% | 10.34% | 9.46% | 39.72% |
| 2019 | 1.72% | 2.48% | 3.74% | 3.23% | 6.57% | 7.57% | -1.74% | -0.59% | 0.66% | 2.52% | -2.90% | 1.18% | 26.76% |
| 2018 | -1.53% | -2.63% | -1.68% | 2.18% | -3.14% | -2.00% | 3.16% | -0.96% | -2.89% | -1.34% | -2.47% | -1.26% | -13.82% |
| 2017 | 2.83% | 4.23% | 0.68% | 4.22% | 8.38% | 1.70% | 3.74% | 7.42% | -2.02% | 6.98% | 8.75% | 5.65% | 66.35% |
| 2016 | -3.51% | -0.05% | 4.64% | 1.83% | 3.14% | 3.71% | 1.70% | 0.57% | 0.48% | 1.28% | 1.68% | 4.55% | 21.64% |
| 2015 | -0.43% | 4.70% | -2.64% | -1.11% | 1.74% | -0.78% | 1.30% | -3.90% | -0.35% | 5.53% | 2.57% | 2.57% | 9.12% |
| 2014 | -0.69% | -0.38% | 2.24% | 0.40% | 8.38% | 4.76% | -3.12% | 1.31% | -1.44% | -0.57% | 2.36% | 1.31% | 15.01% |
| 2013 | 4.37% | 4.37% |
Expense Ratio
сортино на max has a high expense ratio of 1.01%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of сортино на max is 85, placing it in the top 15% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
BTC-USD Bitcoin | 0.92 | 1.58 | 1.16 | 0.48 | 4.13 |
HFSAX Hundredfold Select Alternative Fund Investor Class | 0.98 | 1.28 | 1.21 | 0.25 | 4.33 |
AGZD WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | 1.64 | 2.49 | 1.29 | 1.45 | 25.27 |
TITAN.NS Titan Company Limited | 0.06 | 0.26 | 1.03 | 0.01 | 0.16 |
NVDA NVIDIA Corporation | 3.22 | 3.44 | 1.43 | 4.07 | 19.53 |
SVARX Spectrum Low Volatility Fund | 1.48 | 2.14 | 1.40 | 0.40 | 5.10 |
1YD.DE Broadcom Inc | 1.74 | 2.52 | 1.31 | 1.61 | 9.39 |
BEL.NS Bharat Electronics Limited | 2.10 | 2.37 | 1.42 | 2.12 | 12.30 |
AVGO Broadcom Inc. | 1.53 | 2.16 | 1.28 | 1.37 | 8.17 |
OSX2.DE Ossiam US Minimum Variance ESG UCITS ETF (EUR) | 2.89 | 4.09 | 1.52 | 1.32 | 14.99 |
Dividends
Dividend yield
сортино на max granted a 3.18% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| сортино на max | 3.18% | 2.91% | 2.39% | 3.21% | 3.20% | 2.97% | 1.81% | 3.67% | 3.96% | 1.76% | 2.04% | 0.74% |
| Portfolio components: | ||||||||||||
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% |
HFSAX Hundredfold Select Alternative Fund Investor Class | 5.08% | 5.17% | 4.92% | 10.08% | 13.58% | 6.44% | 3.11% | 11.06% | 5.60% | 1.79% | 8.53% | 5.26% |
AGZD WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | 6.23% | 6.07% | 8.61% | 1.66% | 2.28% | 2.83% | 2.62% | 2.31% | 1.95% | 2.37% | 1.69% | 0.05% |
TITAN.NS Titan Company Limited | 0.30% | 0.54% | 0.29% | 0.16% | 0.26% | 0.42% | 0.40% | 0.30% | 0.67% | 0.66% | 0.55% | 0.92% |
NVDA NVIDIA Corporation | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.30% | 0.46% | 1.19% | 1.68% | 1.95% |
SVARX Spectrum Low Volatility Fund | 4.26% | 3.35% | 0.00% | 5.85% | 4.46% | 4.91% | 2.41% | 6.90% | 9.07% | 3.02% | 2.82% | 0.18% |
1YD.DE Broadcom Inc | 0.99% | 1.73% | 3.12% | 2.14% | 3.33% | 1.04% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
BEL.NS Bharat Electronics Limited | 0.78% | 0.98% | 1.50% | 1.91% | 2.33% | 2.70% | 2.27% | 1.12% | 1.24% | 0.71% | 0.79% | 2.17% |
AVGO Broadcom Inc. | 1.30% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
OSX2.DE Ossiam US Minimum Variance ESG UCITS ETF (EUR) | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the сортино на max. 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 сортино на max was 21.83%, occurring on Dec 10, 2018. Recovery took 196 trading sessions.
The current сортино на max drawdown is 0.22%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -21.83% | Dec 17, 2017 | 359 | Dec 10, 2018 | 196 | Jun 24, 2019 | 555 |
| -16.29% | Feb 24, 2020 | 29 | Mar 23, 2020 | 74 | Jun 5, 2020 | 103 |
| -14.46% | Nov 10, 2021 | 235 | Jul 2, 2022 | 339 | Jun 6, 2023 | 574 |
| -7.43% | Mar 2, 2015 | 176 | Aug 24, 2015 | 70 | Nov 2, 2015 | 246 |
| -5.68% | Dec 26, 2015 | 48 | Feb 11, 2016 | 39 | Mar 21, 2016 | 87 |
Volatility
Volatility Chart
The current сортино на max volatility is 2.17%, 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
| BTC-USD | AGZD | OSX2.DE | BEL.NS | TITAN.NS | 1YD.DE | SVARX | NVDA | AVGO | HFSAX | |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | 1.00 | 0.01 | 0.02 | -0.00 | 0.02 | 0.05 | 0.06 | 0.11 | 0.10 | 0.12 |
| AGZD | 0.01 | 1.00 | 0.06 | 0.06 | 0.07 | 0.06 | 0.08 | 0.06 | 0.06 | 0.07 |
| OSX2.DE | 0.02 | 0.06 | 1.00 | 0.07 | 0.09 | 0.18 | 0.17 | 0.08 | 0.11 | 0.18 |
| BEL.NS | -0.00 | 0.06 | 0.07 | 1.00 | 0.30 | 0.11 | 0.14 | 0.08 | 0.09 | 0.15 |
| TITAN.NS | 0.02 | 0.07 | 0.09 | 0.30 | 1.00 | 0.10 | 0.13 | 0.09 | 0.07 | 0.14 |
| 1YD.DE | 0.05 | 0.06 | 0.18 | 0.11 | 0.10 | 1.00 | 0.22 | 0.29 | 0.53 | 0.28 |
| SVARX | 0.06 | 0.08 | 0.17 | 0.14 | 0.13 | 0.22 | 1.00 | 0.24 | 0.24 | 0.60 |
| NVDA | 0.11 | 0.06 | 0.08 | 0.08 | 0.09 | 0.29 | 0.24 | 1.00 | 0.56 | 0.41 |
| AVGO | 0.10 | 0.06 | 0.11 | 0.09 | 0.07 | 0.53 | 0.24 | 0.56 | 1.00 | 0.43 |
| HFSAX | 0.12 | 0.07 | 0.18 | 0.15 | 0.14 | 0.28 | 0.60 | 0.41 | 0.43 | 1.00 |