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Crude Long Annual Adjust v2

Last updated Feb 24, 2024

Asset Allocation


CL=F 100%CommodityCommodity
PositionCategory/SectorWeight
CL=F
Crude Oil WTI

100%

S&P 500

Transactions


DateTypeSymbolQuantityPrice
Jan 2, 2015BuyCrude Oil WTI1217$47.77
Jan 4, 2011SellCrude Oil WTI641$90.77
Jan 2, 2009BuyCrude Oil WTI641$43.00
Jan 1, 2008SellCrude Oil WTI183.06$95.98
Jan 1, 2007BuyCrude Oil WTI13.7$72.99
Jan 1, 2006BuyCrude Oil WTI16.47$60.73
Jan 1, 2005BuyCrude Oil WTI18.15$55.11
Jan 1, 2004BuyCrude Oil WTI25.47$39.26
Jan 1, 2003BuyCrude Oil WTI34.61$28.89
Jan 1, 2002BuyCrude Oil WTI39.57$25.27

1–10 of 11

Performance

The chart shows the growth of an initial investment of $10,000 in Crude Long Annual Adjust v2, 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


-100.00%0.00%100.00%200.00%300.00%SeptemberOctoberNovemberDecember2024February
-100.00%
285.43%
Crude Long Annual Adjust v2
Benchmark (^GSPC)
Portfolio components

Returns

As of Feb 24, 2024, the Crude Long Annual Adjust v2 returned 6.76% Year-To-Date and 4.21% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Crude Long Annual Adjust v26.76%-1.95%-4.63%0.22%5.77%4.22%
CL=F
Crude Oil WTI
6.76%-1.95%-4.63%0.22%5.77%-2.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20245.86%
202315.80%2.24%8.56%-10.76%-6.25%-5.67%

Sharpe Ratio

The current Crude Long Annual Adjust v2 Sharpe ratio is -0.11. 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.

0.002.004.00-0.11

The Sharpe ratio of Crude Long Annual Adjust v2 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
Crude Long Annual Adjust v2
Benchmark (^GSPC)
Portfolio components

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

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
^GSPC
S&P 500
2.23
Crude Long Annual Adjust v2
-0.11
CL=F
Crude Oil WTI
-0.11

Drawdowns Chart

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


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%SeptemberOctoberNovemberDecember2024February
-100.00%
0
Crude Long Annual Adjust v2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Crude Long Annual Adjust v2. 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 Crude Long Annual Adjust v2 was 100.00%, occurring on Jan 4, 2011. The portfolio has not yet recovered.

The current Crude Long Annual Adjust v2 drawdown is 100.00%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-100%Jan 4, 20111Jan 4, 2011
-51.03%Jan 22, 2001290Jan 18, 2002308Feb 13, 2003598
-35.41%Jul 16, 2006149Jan 18, 2007156Jul 31, 2007305
-33.28%Mar 13, 200338Apr 29, 2003296May 5, 2004334
-30.38%Jan 6, 200927Feb 12, 200924Mar 17, 200951

Volatility Chart

The current Crude Long Annual Adjust v2 volatility is 7.37%, 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
7.37%
3.90%
Crude Long Annual Adjust v2
Benchmark (^GSPC)
Portfolio components
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