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сортино на max
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

сортино на max

Currency in USD · Last updated May 17, 2025

Asset Allocation

SVARX 33%AGZD 21%BTC-USD 8%OSX2.DE 11%BEL.NS 8%HFSAX 7%TITAN.NS 6%NVDA 3%1YD.DE 2%AVGO 1%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorTarget 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

Loading data...

The earliest data available for this chart is Dec 18, 2013, corresponding to the inception date of AGZD

Returns By Period

As of May 17, 2025, the сортино на max returned 5.20% Year-To-Date and 20.46% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.30%12.94%1.49%12.48%15.82%10.87%
сортино на max5.20%7.34%6.60%16.85%23.02%20.46%
Portfolio components:
BTC-USD
Bitcoin		11.04%23.46%13.92%59.04%60.73%84.10%
HFSAX
Hundredfold Select Alternative Fund Investor Class		2.37%2.03%2.32%6.05%5.93%4.78%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		0.52%1.14%0.95%4.23%3.82%2.55%
TITAN.NS
Titan Company Limited		11.70%11.05%13.17%6.62%31.18%22.28%
NVDA
NVIDIA Corporation		0.84%29.58%-4.62%43.53%74.12%74.77%
SVARX
Spectrum Low Volatility Fund		1.19%0.89%0.41%2.61%5.63%5.40%
1YD.DE
Broadcom Inc		-2.59%30.72%39.42%61.43%58.56%35.10%
BEL.NS
Bharat Electronics Limited		24.82%23.94%29.14%50.37%73.42%26.08%
AVGO
Broadcom Inc.		-1.09%30.93%39.48%63.87%58.40%36.73%
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		3.65%3.20%2.38%10.02%8.72%6.73%
*Annualized

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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.30%-3.37%0.47%2.30%4.58%5.20%
20241.28%6.11%3.30%-1.04%3.68%1.95%1.05%0.08%1.80%-0.56%4.89%-0.68%23.84%
20235.18%-0.62%4.32%1.00%1.69%4.37%1.03%-0.18%-0.58%1.76%5.11%6.79%33.88%
2022-3.29%0.54%1.47%-2.80%-2.08%-5.10%5.71%-1.13%-2.62%2.14%1.19%-1.91%-8.05%
20211.77%4.13%4.17%1.08%-0.28%3.20%1.92%2.79%-0.12%5.26%-0.41%-0.34%25.51%
20202.35%-2.46%-6.56%5.64%2.77%3.98%6.42%4.18%-1.57%0.10%9.10%9.52%37.46%
20191.74%2.34%3.75%3.12%6.41%7.83%-1.68%-0.60%0.63%2.46%-3.39%0.98%25.63%
2018-1.71%-2.03%-2.21%2.31%-3.18%-2.05%3.19%-0.87%-3.02%-1.24%-2.57%-1.18%-13.81%
20172.69%4.34%0.70%4.24%8.47%1.61%3.64%7.47%-2.00%6.92%8.04%5.44%64.82%
2016-3.19%-0.32%4.60%1.63%3.30%3.82%1.49%0.58%0.55%1.29%1.74%3.62%20.59%
2015-0.37%4.64%-2.56%-1.32%1.75%-0.77%1.25%-3.87%-0.14%5.26%2.56%2.55%8.91%
2014-0.63%-0.40%2.22%0.33%8.50%4.65%-3.05%1.39%-1.43%-0.52%2.42%0.51%14.34%

Expense Ratio

сортино на max has a high expense ratio of 1.01%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

HFSAX
Hundredfold Select Alternative Fund Investor Class
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund
SVARX
Spectrum Low Volatility Fund
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 80, сортино на max is among the top 20% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of сортино на max is 8080
Overall Rank
The Sharpe Ratio Rank of сортино на max is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of сортино на max is 9797
Sortino Ratio Rank
The Omega Ratio Rank of сортино на max is 9595
Omega Ratio Rank
The Calmar Ratio Rank of сортино на max is 2929
Calmar Ratio Rank
The Martin Ratio Rank of сортино на max is 8484
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		1.183.541.383.1614.12
HFSAX
Hundredfold Select Alternative Fund Investor Class		1.152.371.320.235.37
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		0.921.321.160.357.30
TITAN.NS
Titan Company Limited		0.27-0.130.980.55-0.31
NVDA
NVIDIA Corporation		0.731.421.190.513.16
SVARX
Spectrum Low Volatility Fund		1.000.021.000.000.00
1YD.DE
Broadcom Inc		1.062.601.351.377.45
BEL.NS
Bharat Electronics Limited		1.191.731.200.504.00
AVGO
Broadcom Inc.		1.012.501.341.407.18
OSX2.DE
Ossiam US Minimum Variance ESG UCITS ETF (EUR)		0.720.621.090.081.77

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

сортино на max Sharpe ratios as of May 17, 2025 (values are recalculated daily):

  • 1-Year: 2.04
  • 5-Year: 2.58
  • 10-Year: 2.07
  • All Time: 2.01

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.55 to 1.04, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of сортино на max compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

сортино на max provided a 3.99% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.99%4.44%2.90%2.38%2.91%2.65%2.80%1.66%3.24%3.80%1.59%1.44%
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		5.74%5.87%5.17%4.92%5.79%5.82%3.98%0.93%4.81%3.66%1.40%0.00%
AGZD
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund		4.15%3.96%6.07%8.61%1.66%2.28%2.83%2.62%2.35%1.81%1.66%1.69%
TITAN.NS
Titan Company Limited		0.30%0.34%0.54%0.29%0.16%0.26%0.42%0.40%0.30%0.67%0.66%0.55%
NVDA
NVIDIA Corporation		0.03%0.03%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
SVARX
Spectrum Low Volatility Fund		7.92%9.35%3.35%0.00%5.85%4.46%4.91%2.41%6.90%9.07%3.02%2.82%
1YD.DE
Broadcom Inc		0.90%0.79%1.55%2.80%1.92%2.99%0.93%0.00%0.00%0.00%0.00%0.00%
BEL.NS
Bharat Electronics Limited		0.63%0.75%0.98%1.50%1.91%2.33%2.70%2.27%1.12%1.24%0.71%0.79%
AVGO
Broadcom Inc.		0.98%0.94%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%
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.

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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 22.42%, occurring on Dec 10, 2018. Recovery took 197 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.42%Dec 17, 2017359Dec 10, 2018197Jun 25, 2019556
-16.27%Feb 15, 202038Mar 23, 202074Jun 5, 2020112
-14.4%Nov 10, 2021235Jul 2, 2022339Jun 6, 2023574
-8.09%Dec 17, 2024112Apr 7, 202536May 13, 2025148
-7.8%Mar 2, 2015176Aug 24, 201570Nov 2, 2015246

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 5.32, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCAGZDBTC-USDTITAN.NSBEL.NSOSX2.DE1YD.DESVARXNVDAAVGOHFSAXPortfolio
^GSPC1.000.110.170.140.140.360.350.410.630.660.690.48
AGZD0.111.000.010.070.050.100.070.080.060.060.070.15
BTC-USD0.170.011.000.02-0.000.020.040.060.120.100.130.67
TITAN.NS0.140.070.021.000.300.130.100.130.080.070.140.36
BEL.NS0.140.05-0.000.301.000.090.120.140.070.090.150.43
OSX2.DE0.360.100.020.130.091.000.310.190.140.150.250.31
1YD.DE0.350.070.040.100.120.311.000.210.300.520.270.32
SVARX0.410.080.060.130.140.190.211.000.230.240.600.33
NVDA0.630.060.120.080.070.140.300.231.000.560.410.37
AVGO0.660.060.100.070.090.150.520.240.561.000.430.35
HFSAX0.690.070.130.140.150.250.270.600.410.431.000.42
Portfolio0.480.150.670.360.430.310.320.330.370.350.421.00
The correlation results are calculated based on daily price changes starting from Dec 19, 2013