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HEDGEFUNDIE

Last updated Sep 21, 2023

Asset Allocation


TMF 45%UPRO 55%BondBondEquityEquity
PositionCategory/SectorWeight
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged45%
UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged55%

Performance

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


-5.00%0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
-4.65%
10.86%
HEDGEFUNDIE
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the HEDGEFUNDIE returned 7.01% Year-To-Date and 14.88% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.99%
HEDGEFUNDIE-0.45%-3.16%7.01%-6.45%4.43%14.89%
UPRO
ProShares UltraPro S&P 500
-0.01%30.98%37.41%33.92%9.57%22.23%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.88%-35.95%-24.73%-43.20%-19.06%-6.44%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

TMFUPRO
TMF1.00-0.32
UPRO-0.321.00

Sharpe Ratio

The current HEDGEFUNDIE Sharpe ratio is -0.26. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.26

The Sharpe ratio of HEDGEFUNDIE is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.26
0.74
HEDGEFUNDIE
Benchmark (^GSPC)
Portfolio components

Dividend yield

HEDGEFUNDIE granted a 1.95% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
HEDGEFUNDIE1.95%1.03%0.09%1.10%0.75%1.07%0.20%0.07%0.19%0.12%0.32%0.11%
UPRO
ProShares UltraPro S&P 500
0.94%0.53%0.06%0.11%0.54%0.65%0.00%0.12%0.35%0.22%0.07%0.05%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.19%1.65%0.13%2.31%1.00%1.59%0.44%0.00%0.00%0.00%0.62%0.18%

Expense Ratio

The HEDGEFUNDIE has a high expense ratio of 1.00%, 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.


1.09%
0.00%2.15%
0.92%
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
UPRO
ProShares UltraPro S&P 500
0.43
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.77

Drawdowns Chart

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


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-62.26%
-8.22%
HEDGEFUNDIE
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the HEDGEFUNDIE. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the HEDGEFUNDIE is 68.23%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-68.23%Dec 28, 2021206Oct 20, 2022
-44.34%Mar 9, 20208Mar 18, 202053Jun 3, 202061
-26.74%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-23.14%Feb 3, 2015165Sep 28, 2015136Apr 13, 2016301
-21.73%Sep 3, 202041Oct 30, 202042Dec 31, 202083

Volatility Chart

The current HEDGEFUNDIE volatility is 9.05%, 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%AprilMayJuneJulyAugustSeptember
9.05%
3.47%
HEDGEFUNDIE
Benchmark (^GSPC)
Portfolio components