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Hedge Funds & ETF

Last updated Dec 9, 2023

Asset Allocation


QQQ 10%SMH 10%BLK 10%BX 10%AMP 10%MS 10%KKR 10%ITB 10%IYW 10%CG 10%EquityEquity
PositionCategory/SectorWeight
QQQ
Invesco QQQ
Large Cap Blend Equities10%
SMH
VanEck Vectors Semiconductor ETF
Technology Equities10%
BLK
BlackRock, Inc.
Financial Services10%
BX
The Blackstone Group Inc.
Financial Services10%
AMP
Ameriprise Financial, Inc.
Financial Services10%
MS
Morgan Stanley
Financial Services10%
KKR
KKR & Co. Inc.
Financial Services10%
ITB
iShares U.S. Home Construction ETF
Building & Construction10%
IYW
iShares U.S. Technology ETF
Technology Equities10%
CG
The Carlyle Group Inc.
Financial Services10%

Performance

The chart shows the growth of an initial investment of $10,000 in Hedge Funds & ETF, 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%300.00%400.00%500.00%600.00%700.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
753.86%
230.88%
Hedge Funds & ETF
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 Dec 9, 2023, the Hedge Funds & ETF returned 39.75% Year-To-Date and 17.63% 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 Funds & ETF39.75%11.16%17.33%35.62%27.01%17.83%
QQQ
Invesco QQQ
47.92%5.16%10.94%39.10%20.28%17.41%
SMH
VanEck Vectors Semiconductor ETF
60.13%7.30%10.65%49.87%33.30%26.46%
BLK
BlackRock, Inc.
8.12%14.47%10.34%8.92%16.67%12.38%
BX
The Blackstone Group Inc.
57.13%13.52%29.75%47.47%34.25%21.36%
AMP
Ameriprise Financial, Inc.
16.72%7.59%14.66%12.49%27.95%15.31%
MS
Morgan Stanley
0.53%8.31%-2.50%-3.63%18.39%13.11%
KKR
KKR & Co. Inc.
67.63%23.60%40.18%61.21%31.47%15.87%
ITB
iShares U.S. Home Construction ETF
55.02%14.91%18.89%54.09%25.20%15.77%
IYW
iShares U.S. Technology ETF
59.55%6.66%14.03%51.65%24.20%19.62%
CG
The Carlyle Group Inc.
29.38%24.14%25.64%32.58%20.74%7.56%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20230.20%8.88%6.88%-2.48%-4.71%-6.74%18.83%

Sharpe Ratio

The current Hedge Funds & ETF Sharpe ratio is 1.71. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.71

The Sharpe ratio of Hedge Funds & ETF 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 Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
1.71
1.25
Hedge Funds & ETF
Benchmark (^GSPC)
Portfolio components

Dividend yield

Hedge Funds & ETF granted a 1.86% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Hedge Funds & ETF1.86%2.44%1.29%1.65%2.48%3.47%2.62%3.45%5.52%3.13%2.39%2.64%
QQQ
Invesco QQQ
0.55%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%1.26%
SMH
VanEck Vectors Semiconductor ETF
1.48%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%7.44%
BLK
BlackRock, Inc.
2.69%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%2.12%2.90%
BX
The Blackstone Group Inc.
2.95%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.74%3.75%3.34%
AMP
Ameriprise Financial, Inc.
1.48%1.57%1.47%2.10%2.29%3.38%1.91%2.63%2.43%1.71%1.75%2.28%
MS
Morgan Stanley
3.95%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%1.05%
KKR
KKR & Co. Inc.
0.84%1.31%0.77%1.31%1.71%3.23%3.18%4.16%10.13%8.75%6.66%5.52%
ITB
iShares U.S. Home Construction ETF
0.55%0.86%0.37%0.46%0.50%0.63%0.28%0.43%0.34%0.34%0.12%0.62%
IYW
iShares U.S. Technology ETF
0.34%0.50%0.31%0.56%0.72%0.91%0.82%1.14%1.12%1.13%1.06%0.94%
CG
The Carlyle Group Inc.
3.72%4.11%1.82%3.18%4.24%7.87%5.41%11.02%21.70%6.84%3.73%1.04%

Expense Ratio

The Hedge Funds & ETF features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.35%
0.00%2.15%
0.20%
0.00%2.15%
0.42%
0.00%2.15%
0.42%
0.00%2.15%

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
QQQ
Invesco QQQ
2.18
SMH
VanEck Vectors Semiconductor ETF
1.90
BLK
BlackRock, Inc.
0.37
BX
The Blackstone Group Inc.
1.44
AMP
Ameriprise Financial, Inc.
0.50
MS
Morgan Stanley
-0.08
KKR
KKR & Co. Inc.
2.01
ITB
iShares U.S. Home Construction ETF
2.26
IYW
iShares U.S. Technology ETF
2.55
CG
The Carlyle Group Inc.
0.95

Asset Correlations Table

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

ITBCGMSBXKKRSMHAMPBLKIYWQQQ
ITB1.000.440.460.480.470.500.530.530.530.55
CG0.441.000.490.610.630.450.500.510.490.50
MS0.460.491.000.530.540.530.740.680.530.54
BX0.480.610.531.000.680.510.550.570.550.56
KKR0.470.630.540.681.000.520.570.550.560.57
SMH0.500.450.530.510.521.000.570.590.840.82
AMP0.530.500.740.550.570.571.000.720.570.59
BLK0.530.510.680.570.550.590.721.000.620.64
IYW0.530.490.530.550.560.840.570.621.000.97
QQQ0.550.500.540.560.570.820.590.640.971.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.02%
-4.01%
Hedge Funds & ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Hedge Funds & ETF. 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 & ETF was 41.86%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.86%Feb 20, 202023Mar 23, 202082Jul 20, 2020105
-36.8%Nov 17, 2021229Oct 14, 2022
-33.01%May 29, 2015179Feb 11, 2016209Dec 8, 2016388
-27.65%Jan 29, 2018229Dec 24, 201885Apr 29, 2019314
-11.65%May 4, 201221Jun 4, 201243Aug 3, 201264

Volatility Chart

The current Hedge Funds & ETF volatility is 4.88%, 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%JulyAugustSeptemberOctoberNovemberDecember
4.88%
2.77%
Hedge Funds & ETF
Benchmark (^GSPC)
Portfolio components
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