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Hedge Funds

Last updated Feb 21, 2024

Asset Allocation


BLK 16.67%BX 16.67%CG 16.67%KKR 16.67%MS 16.67%AMP 16.67%EquityEquity
PositionCategory/SectorWeight
BLK
BlackRock, Inc.
Financial Services

16.67%

BX
The Blackstone Group Inc.
Financial Services

16.67%

CG
The Carlyle Group Inc.
Financial Services

16.67%

KKR
KKR & Co. Inc.
Financial Services

16.67%

MS
Morgan Stanley
Financial Services

16.67%

AMP
Ameriprise Financial, Inc.
Financial Services

16.67%

Performance

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


-10.00%0.00%10.00%20.00%30.00%SeptemberOctoberNovemberDecember2024February
31.33%
13.40%
Hedge Funds
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 3, 2012, corresponding to the inception date of CG

Returns

As of Feb 21, 2024, the Hedge Funds returned 2.27% Year-To-Date and 16.49% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Hedge Funds2.27%5.53%31.33%24.59%26.96%16.49%
BLK
BlackRock, Inc.
-1.69%-0.91%21.54%14.66%15.95%13.18%
BX
The Blackstone Group Inc.
-2.77%6.90%30.68%39.68%35.04%21.25%
CG
The Carlyle Group Inc.
8.77%11.40%53.63%32.05%23.75%8.29%
KKR
KKR & Co. Inc.
12.61%10.82%58.42%64.57%33.34%18.27%
MS
Morgan Stanley
-7.58%0.99%5.13%-10.75%18.99%14.06%
AMP
Ameriprise Financial, Inc.
4.82%4.32%21.64%14.73%27.28%16.65%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.72%
20238.54%-2.63%-3.42%-8.97%21.99%12.92%

Sharpe Ratio

The current Hedge Funds Sharpe ratio is 1.02. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.02

The Sharpe ratio of Hedge Funds 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 Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.02
1.75
Hedge Funds
Benchmark (^GSPC)
Portfolio components

Dividend yield

Hedge Funds granted a 2.37% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Hedge Funds2.37%2.34%3.31%1.79%2.27%2.81%4.74%3.57%5.05%8.08%4.33%3.10%
BLK
BlackRock, Inc.
2.51%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%2.12%
BX
The Blackstone Group Inc.
2.65%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.63%3.67%
CG
The Carlyle Group Inc.
3.11%3.38%4.11%1.82%3.18%4.24%7.87%5.41%11.02%21.70%6.84%3.73%
KKR
KKR & Co. Inc.
0.71%0.78%1.31%0.77%1.31%1.71%3.23%3.18%4.16%10.13%8.75%6.66%
MS
Morgan Stanley
3.90%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
AMP
Ameriprise Financial, Inc.
1.36%1.40%1.57%1.47%2.10%2.29%3.38%1.91%2.63%2.43%1.71%1.75%

Expense Ratio

The Hedge Funds 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
BLK
BlackRock, Inc.
0.72
BX
The Blackstone Group Inc.
1.15
CG
The Carlyle Group Inc.
0.92
KKR
KKR & Co. Inc.
2.10
MS
Morgan Stanley
-0.42
AMP
Ameriprise Financial, Inc.
0.62

Asset Correlations Table

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

CGBXKKRMSBLKAMP
CG1.000.620.630.490.510.50
BX0.621.000.680.530.580.55
KKR0.630.681.000.530.550.57
MS0.490.530.531.000.680.74
BLK0.510.580.550.681.000.72
AMP0.500.550.570.740.721.00

Drawdowns Chart

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


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-2.04%
-1.08%
Hedge Funds
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Hedge Funds. 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 Hedge Funds was 46.60%, occurring on Mar 23, 2020. Recovery took 159 trading sessions.

The current Hedge Funds drawdown is 2.04%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.6%Feb 12, 202028Mar 23, 2020159Nov 5, 2020187
-43%May 29, 2015179Feb 11, 2016334Jun 9, 2017513
-37.69%Nov 4, 2021238Oct 14, 2022294Dec 15, 2023532
-31.11%Jan 29, 2018229Dec 24, 2018132Jul 5, 2019361
-13.05%Jul 29, 201914Aug 15, 201919Sep 12, 201933

Volatility Chart

The current Hedge Funds volatility is 5.61%, 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%SeptemberOctoberNovemberDecember2024February
5.61%
3.37%
Hedge Funds
Benchmark (^GSPC)
Portfolio components
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