PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

1.1 (new)

Last updated Mar 2, 2024

Asset Allocation


LKOH.ME 16%SBER.ME 15%SIBN.ME 7%BELU.ME 7%NVTK 7%TATN.ME 7%ROSN 7%PHOR.ME 6%CHMF.ME 5%NLMK.ME 5%BSPB.ME 4%GCHE.ME 4%KAZT.ME 4%RASP.ME 3%PLZL.ME 3%EquityEquity
PositionCategory/SectorWeight
LKOH.ME
PJSC LUKOIL
Energy

16%

SBER.ME
Sberbank of Russia
Financial Services

15%

SIBN.ME
Gazprom Neft
Energy

7%

BELU.ME
Beluga Group PAO
Consumer Defensive

7%

NVTK
Novatek
Energy

7%

TATN.ME
PJSC Tatneft
Energy

7%

ROSN
Public Joint Stock Company Rosneft Oil Company
Energy

7%

PHOR.ME
Public Joint-Stock Company PhosAgro
Basic Materials

6%

CHMF.ME
PAO Severstal
Basic Materials

5%

NLMK.ME
Public Joint Stock Company "Novolipetsk Steel"
Basic Materials

5%

BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
Financial Services

4%

GCHE.ME
Public Joint Stock Company "Cherkizovo Group"
Consumer Defensive

4%

KAZT.ME
Public Joint Stock Company KuibyshevAzot
Basic Materials

4%

RASP.ME
Public Joint Stock Company Raspadskaya
Basic Materials

3%

PLZL.ME
Public Joint Stock Company Polyus
Basic Materials

3%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 1.1 (new), 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


200.00%400.00%600.00%800.00%1,000.00%1,200.00%OctoberNovemberDecember2024FebruaryMarch
1,130.59%
270.22%
1.1 (new)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 18, 2011, corresponding to the inception date of PHOR.ME

Returns

As of Mar 2, 2024, the 1.1 (new) returned 3.69% Year-To-Date and 20.79% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
1.1 (new)3.69%0.29%16.21%59.43%23.32%20.83%
LKOH.ME
PJSC LUKOIL
7.04%3.68%24.95%90.74%12.81%14.80%
SBER.ME
Sberbank of Russia
5.43%5.52%16.63%59.61%7.70%9.16%
SIBN.ME
Gazprom Neft
-0.70%-2.35%37.13%75.87%25.27%18.44%
BELU.ME
Beluga Group PAO
2.64%-1.83%5.64%82.60%62.58%19.46%
NVTK
Novatek
-10.61%-7.91%-13.26%11.27%2.81%7.80%
TATN.ME
PJSC Tatneft
0.48%1.06%34.49%120.83%4.23%13.17%
ROSN
Public Joint Stock Company Rosneft Oil Company
-4.90%-1.60%8.45%43.62%8.27%5.53%
PHOR.ME
Public Joint-Stock Company PhosAgro
0.03%-0.28%7.99%0.77%31.29%19.78%
CHMF.ME
PAO Severstal
16.33%1.39%23.13%29.61%11.55%20.74%
NLMK.ME
Public Joint Stock Company "Novolipetsk Steel"
11.31%0.23%6.87%30.90%6.20%15.63%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
35.08%3.22%22.03%208.36%52.29%23.85%
GCHE.ME
Public Joint Stock Company "Cherkizovo Group"
5.72%2.59%16.14%30.45%24.76%19.58%
RASP.ME
Public Joint Stock Company Raspadskaya
-16.49%-11.08%5.08%15.57%17.36%39.55%
PLZL.ME
Public Joint Stock Company Polyus
-0.19%-3.85%-4.15%2.57%11.66%23.86%
KAZT.ME
Public Joint Stock Company KuibyshevAzot
5.44%-2.70%13.48%15.49%42.21%17.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20244.13%-0.79%
20234.85%-1.68%7.63%3.59%2.30%

Sharpe Ratio

The current 1.1 (new) Sharpe ratio is 2.48. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.48

The Sharpe ratio of 1.1 (new) lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.48
2.44
1.1 (new)
Benchmark (^GSPC)
Portfolio components

Dividend yield

1.1 (new) granted a 11.85% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
1.1 (new)11.85%12.46%9.51%7.54%5.77%7.03%5.60%5.01%3.13%3.79%4.30%3.08%
LKOH.ME
PJSC LUKOIL
17.34%19.07%19.47%8.42%7.66%5.62%4.50%6.15%5.42%6.78%5.39%4.90%
SBER.ME
Sberbank of Russia
8.49%9.20%0.00%6.37%6.90%6.28%6.44%2.66%1.14%0.44%5.83%2.54%
SIBN.ME
Gazprom Neft
10.89%10.38%18.67%9.18%7.83%6.21%7.80%8.47%0.26%5.05%6.93%9.12%
BELU.ME
Beluga Group PAO
19.28%19.97%7.13%4.86%3.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVTK
Novatek
8.97%8.24%8.26%2.99%2.38%2.46%1.52%2.06%1.74%2.00%2.21%1.82%
TATN.ME
PJSC Tatneft
16.41%15.66%16.86%5.76%1.94%15.68%5.75%10.57%2.57%3.33%3.60%4.14%
ROSN
Public Joint Stock Company Rosneft Oil Company
11.50%9.49%6.49%4.16%4.15%5.93%4.91%3.37%2.92%3.24%6.56%3.20%
PHOR.ME
Public Joint-Stock Company PhosAgro
25.19%25.89%17.15%9.57%9.58%10.34%4.12%4.56%8.31%4.96%2.68%3.72%
CHMF.ME
PAO Severstal
0.00%0.00%0.00%15.79%8.09%12.98%16.58%12.40%7.76%8.74%12.52%1.99%
NLMK.ME
Public Joint Stock Company "Novolipetsk Steel"
0.00%0.00%0.00%19.26%9.92%15.91%12.36%8.53%5.73%6.60%2.32%1.12%
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
23.19%32.19%11.81%5.60%6.43%6.59%3.66%1.93%1.57%4.64%0.45%0.26%
GCHE.ME
Public Joint Stock Company "Cherkizovo Group"
5.47%5.94%5.46%7.45%5.56%8.65%8.55%6.58%2.94%7.44%4.92%0.00%
RASP.ME
Public Joint Stock Company Raspadskaya
0.00%0.00%12.33%6.12%3.55%2.35%0.00%0.00%0.00%0.00%0.00%0.00%
PLZL.ME
Public Joint Stock Company Polyus
1.89%1.94%0.00%5.01%3.19%4.32%5.15%5.59%0.00%0.00%0.00%3.37%
KAZT.ME
Public Joint Stock Company KuibyshevAzot
9.84%10.66%7.18%4.33%0.00%4.73%4.42%2.24%5.38%3.48%2.33%3.53%

Expense Ratio

The 1.1 (new) has an expense ratio of 0.00%, indicating no management fees are charged. 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
2.44
1.1 (new)
2.48
LKOH.ME
PJSC LUKOIL
3.16
SBER.ME
Sberbank of Russia
1.72
SIBN.ME
Gazprom Neft
2.44
BELU.ME
Beluga Group PAO
1.55
NVTK
Novatek
0.53
TATN.ME
PJSC Tatneft
4.23
ROSN
Public Joint Stock Company Rosneft Oil Company
1.59
PHOR.ME
Public Joint-Stock Company PhosAgro
0.07
CHMF.ME
PAO Severstal
1.08
NLMK.ME
Public Joint Stock Company "Novolipetsk Steel"
1.10
BSPB.ME
"Bank "Saint-Petersburg" Public Joint-Stock Company
3.18
GCHE.ME
Public Joint Stock Company "Cherkizovo Group"
0.78
RASP.ME
Public Joint Stock Company Raspadskaya
0.32
PLZL.ME
Public Joint Stock Company Polyus
-0.03
KAZT.ME
Public Joint Stock Company KuibyshevAzot
0.26

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BELU.MEKAZT.MEPLZL.MEGCHE.MEPHOR.MERASP.MEBSPB.MENLMK.MECHMF.MENVTKTATN.MESIBN.MELKOH.MEROSNSBER.ME
BELU.ME1.000.330.290.330.290.350.370.310.310.340.330.390.340.360.38
KAZT.ME0.331.000.300.380.340.330.400.330.340.390.360.420.400.420.42
PLZL.ME0.290.301.000.370.360.390.390.380.380.390.370.400.380.400.45
GCHE.ME0.330.380.371.000.420.430.460.400.410.440.430.450.450.440.47
PHOR.ME0.290.340.360.421.000.430.420.440.420.480.440.440.460.470.47
RASP.ME0.350.330.390.430.431.000.490.510.490.500.480.510.500.520.56
BSPB.ME0.370.400.390.460.420.491.000.480.470.500.480.520.500.520.59
NLMK.ME0.310.330.380.400.440.510.481.000.710.530.540.520.540.540.58
CHMF.ME0.310.340.380.410.420.490.470.711.000.530.550.520.560.550.58
NVTK0.340.390.390.440.480.500.500.530.531.000.610.570.640.620.64
TATN.ME0.330.360.370.430.440.480.480.540.550.611.000.600.690.660.62
SIBN.ME0.390.420.400.450.440.510.520.520.520.570.601.000.630.630.63
LKOH.ME0.340.400.380.450.460.500.500.540.560.640.690.631.000.710.66
ROSN0.360.420.400.440.470.520.520.540.550.620.660.630.711.000.67
SBER.ME0.380.420.450.470.470.560.590.580.580.640.620.630.660.671.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-2.64%
0
1.1 (new)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 1.1 (new). 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 1.1 (new) was 66.94%, occurring on Mar 9, 2022. Recovery took 370 trading sessions.

The current 1.1 (new) drawdown is 2.64%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-66.94%Oct 27, 202192Mar 9, 2022370Aug 21, 2023462
-51.47%Oct 23, 2013289Dec 16, 2014447Sep 20, 2016736
-46.68%Jan 21, 202040Mar 18, 2020208Jan 14, 2021248
-21.15%Apr 23, 201230Jun 1, 201274Sep 14, 2012104
-19.36%Jan 29, 201356Apr 17, 201396Sep 2, 2013152

Volatility Chart

The current 1.1 (new) volatility is 4.52%, 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%3.00%4.00%5.00%6.00%7.00%8.00%OctoberNovemberDecember2024FebruaryMarch
4.52%
3.47%
1.1 (new)
Benchmark (^GSPC)
Portfolio components
0 comments