Hedge Funds
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMP Ameriprise Financial, Inc. | Financial Services | 16.67% |
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% |
Performance
Performance Chart
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
The earliest data available for this chart is May 3, 2012, corresponding to the inception date of CG
Returns By Period
As of Jul 25, 2024, the Hedge Funds returned 14.30% Year-To-Date and 16.92% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.78% | -0.38% | 11.47% | 18.82% | 12.44% | 10.64% |
| Hedge Funds | 14.30% | 5.92% | 15.69% | 34.18% | 24.67% | 17.00% |
| Portfolio components: | ||||||
BLK BlackRock, Inc. | 3.26% | 4.19% | 6.05% | 14.38% | 14.56% | 12.96% |
BX The Blackstone Group Inc. | 6.64% | 10.62% | 13.06% | 35.54% | 27.25% | 21.23% |
CG The Carlyle Group Inc. | 11.74% | 12.36% | 11.01% | 32.96% | 16.60% | 9.01% |
KKR KKR & Co. Inc. | 40.17% | 7.74% | 36.06% | 92.38% | 35.27% | 20.44% |
MS Morgan Stanley | 11.44% | 4.26% | 18.06% | 13.50% | 21.28% | 14.91% |
AMP Ameriprise Financial, Inc. | 12.08% | -3.17% | 8.77% | 21.05% | 25.55% | 15.88% |
Monthly Returns
The table below presents the monthly returns of Hedge Funds, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.73% | 7.08% | 4.54% | -6.85% | 4.53% | -0.25% | 14.30% | ||||||
| 2023 | 17.51% | -3.01% | -7.02% | 0.76% | -4.69% | 9.19% | 8.54% | -2.63% | -3.42% | -8.97% | 21.99% | 12.92% | 42.22% |
| 2022 | -2.27% | -7.84% | 0.21% | -15.90% | 8.19% | -14.99% | 15.20% | -5.50% | -12.63% | 12.92% | 8.45% | -7.90% | -25.11% |
| 2021 | -0.04% | 9.07% | 6.18% | 13.06% | 3.99% | 2.55% | 7.23% | 5.43% | -6.29% | 17.19% | -3.64% | -0.02% | 66.94% |
| 2020 | 4.47% | -12.10% | -18.74% | 12.28% | 13.18% | 5.32% | 3.55% | 0.96% | -4.05% | 1.37% | 17.76% | 7.64% | 28.75% |
| 2019 | 13.59% | 1.15% | 1.34% | 12.62% | -8.80% | 12.03% | 3.80% | -4.72% | 6.03% | 6.30% | 6.67% | 2.88% | 63.90% |
| 2018 | 9.29% | -5.48% | -4.66% | -2.63% | 2.96% | -0.01% | 7.86% | -2.01% | 0.59% | -10.78% | -0.46% | -12.90% | -18.80% |
| 2017 | 6.66% | 3.92% | -1.14% | 3.75% | 0.50% | 5.07% | 5.07% | -1.35% | 7.13% | 1.35% | 0.76% | 4.62% | 42.41% |
| 2016 | -12.64% | 0.05% | 9.22% | 0.97% | 0.64% | -6.09% | 9.86% | 3.58% | -2.22% | -2.46% | 13.16% | 1.00% | 12.99% |
| 2015 | -2.23% | 4.07% | 0.88% | 3.41% | 2.52% | -3.33% | -0.41% | -13.62% | -8.67% | 8.20% | -0.08% | -7.72% | -17.55% |
| 2014 | -3.04% | 3.95% | -0.55% | -3.81% | 1.10% | 6.81% | -1.70% | 4.34% | -3.47% | -0.94% | 4.83% | 2.06% | 9.25% |
| 2013 | 14.87% | 4.18% | 3.07% | 4.57% | 3.51% | -4.62% | 8.76% | -4.78% | 5.71% | 10.42% | 6.76% | 5.60% | 73.55% |
Expense Ratio
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Hedge Funds is 57, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
BLK BlackRock, Inc. | 0.63 | 1.04 | 1.12 | 0.35 | 1.65 |
BX The Blackstone Group Inc. | 1.15 | 1.66 | 1.21 | 1.01 | 4.76 |
CG The Carlyle Group Inc. | 1.06 | 1.60 | 1.20 | 0.68 | 3.39 |
KKR KKR & Co. Inc. | 3.06 | 4.13 | 1.50 | 2.73 | 21.16 |
MS Morgan Stanley | 0.52 | 0.87 | 1.11 | 0.38 | 1.30 |
AMP Ameriprise Financial, Inc. | 1.16 | 1.65 | 1.20 | 1.53 | 5.07 |
Dividends
Dividend yield
Hedge Funds granted a 2.20% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Hedge Funds | 2.20% | 2.34% | 3.31% | 1.79% | 2.27% | 2.81% | 4.74% | 3.57% | 5.05% | 8.08% | 4.33% | 3.10% |
| Portfolio components: | ||||||||||||
BLK BlackRock, Inc. | 2.44% | 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. | 2.44% | 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. | 3.13% | 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. | 0.58% | 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 | 3.33% | 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. | 1.30% | 1.40% | 1.57% | 1.47% | 2.10% | 2.29% | 3.38% | 1.91% | 2.63% | 2.43% | 1.71% | 1.75% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 2.19%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -46.6% | Feb 12, 2020 | 28 | Mar 23, 2020 | 159 | Nov 5, 2020 | 187 |
| -43% | May 29, 2015 | 179 | Feb 11, 2016 | 334 | Jun 9, 2017 | 513 |
| -37.69% | Nov 4, 2021 | 238 | Oct 14, 2022 | 294 | Dec 15, 2023 | 532 |
| -31.11% | Jan 29, 2018 | 229 | Dec 24, 2018 | 132 | Jul 5, 2019 | 361 |
| -13.05% | Jul 29, 2019 | 14 | Aug 15, 2019 | 19 | Sep 12, 2019 | 33 |
Volatility
Volatility Chart
The current Hedge Funds volatility is 4.97%, 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.
Diversification
Asset Correlations Table
| CG | MS | BX | KKR | BLK | AMP | |
|---|---|---|---|---|---|---|
| CG | 1.00 | 0.49 | 0.62 | 0.63 | 0.51 | 0.50 |
| MS | 0.49 | 1.00 | 0.53 | 0.53 | 0.68 | 0.73 |
| BX | 0.62 | 0.53 | 1.00 | 0.68 | 0.58 | 0.54 |
| KKR | 0.63 | 0.53 | 0.68 | 1.00 | 0.55 | 0.56 |
| BLK | 0.51 | 0.68 | 0.58 | 0.55 | 1.00 | 0.71 |
| AMP | 0.50 | 0.73 | 0.54 | 0.56 | 0.71 | 1.00 |