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Danna-04
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Danna-04

Currency in USD · Last updated May 21, 2025

Четвертый портфель - конечно, для любителей экзотики, нужно, в современном мире, добавить крипту. Делая это в портфель, не думаю, что это хорошее решение, но тут каждый решает сам. Как известно из общедоступных ресурсов, крипта - это альтернатива традиционным финансам, поэтому, не совсем логично, заводить в традиционные финансы этот актив. Более логично выглядит покупка этого актива на криптобижах, или, что еще более логично, на кошельках, изолированных от мониторинга, т.е. DEX. Но, тем не менее, добавляю этот актив в портфель для диверсификации, Понимаю, что доходности это портфелю не добавит, но интересно, как в итоге получится. Должен отметить, и это достаточно важное замечание - чем больше активов в портфеле, тем сложнее делать ребалансировку, из-за того, что активы слишком мелкие получаются. Безусловно, этот вопрос можно решить увеличением суммы инвестированных активов, но, к сожалению, жизнь коректирует наши инвест планы.

Asset Allocation

BNDW 30%IBIT 15%QQQ 30%VOO 25%BondBondCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorTarget Weight
BNDW
Vanguard Total World Bond ETF		Total Bond Market
30%
IBIT
iShares Bitcoin Trust		Blockchain
15%
QQQ
Invesco QQQ		Large Cap Blend Equities
30%
VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities
25%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Jan 11, 2024, corresponding to the inception date of IBIT

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.00%12.45%0.40%11.91%15.04%10.82%
Danna-043.95%12.11%4.53%18.01%N/AN/A
Portfolio components:
QQQ
Invesco QQQ		1.92%17.15%3.66%15.07%18.59%17.68%
BNDW
Vanguard Total World Bond ETF		1.40%-0.18%1.40%4.90%-0.52%N/A
VOO
Vanguard S&P 500 ETF		1.48%12.60%1.07%13.35%16.77%12.78%
IBIT
iShares Bitcoin Trust		14.82%26.21%15.58%52.39%N/AN/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Danna-04, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.75%-3.33%-4.20%2.64%6.43%3.95%
2024-0.40%8.96%3.90%-5.50%5.45%1.37%1.76%-0.38%2.93%0.46%9.64%-1.52%28.91%

Expense Ratio

Danna-04 has an expense ratio of 0.12%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

IBIT
iShares Bitcoin Trust
QQQ
Invesco QQQ
BNDW
Vanguard Total World Bond ETF
VOO
Vanguard S&P 500 ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 75, Danna-04 is among the top 25% 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 Danna-04 is 7575
Overall Rank
The Sharpe Ratio Rank of Danna-04 is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of Danna-04 is 7777
Sortino Ratio Rank
The Omega Ratio Rank of Danna-04 is 7474
Omega Ratio Rank
The Calmar Ratio Rank of Danna-04 is 7777
Calmar Ratio Rank
The Martin Ratio Rank of Danna-04 is 7171
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
QQQ
Invesco QQQ		0.601.031.140.692.26
BNDW
Vanguard Total World Bond ETF		1.161.581.191.483.91
VOO
Vanguard S&P 500 ETF		0.691.101.160.732.79
IBIT
iShares Bitcoin Trust		0.991.841.222.274.95

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.

Danna-04 Sharpe ratios as of May 21, 2025 (values are recalculated daily):

  • 1-Year: 1.04
  • All Time: 1.47

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 0.54 to 1.03, 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 Danna-04 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

Danna-04 provided a 1.70% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.70%1.65%1.67%1.27%1.21%1.02%1.61%1.29%0.70%0.82%0.82%0.89%
Portfolio components:
QQQ
Invesco QQQ		0.57%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%
BNDW
Vanguard Total World Bond ETF		4.02%3.90%3.73%2.02%2.58%1.56%3.05%1.66%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF		1.28%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%
IBIT
iShares Bitcoin Trust		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 Danna-04. 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 Danna-04 was 16.02%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Danna-04 drawdown is 1.05%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.02%Dec 17, 202476Apr 8, 2025———
-8.04%Jul 17, 202414Aug 5, 202435Sep 24, 202449
-6.29%Mar 14, 202434May 1, 202413May 20, 202447
-2.61%Oct 30, 20244Nov 4, 20242Nov 6, 20246
-2.31%Mar 5, 20241Mar 5, 20242Mar 7, 20243

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 4 assets, with an effective number of assets of 3.77, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCBNDWIBITQQQVOOPortfolio
^GSPC1.000.170.360.941.000.81
BNDW0.171.000.020.090.180.15
IBIT0.360.021.000.350.360.79
QQQ0.940.090.351.000.940.80
VOO1.000.180.360.941.000.81
Portfolio0.810.150.790.800.811.00
The correlation results are calculated based on daily price changes starting from Jan 12, 2024