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Hedge Funds & ETFs
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Risk-Adjusted Performance
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Drawdowns
Volatility
Diversification

Asset Allocation


BTC-USD 14.29%SMH 14.29%KKR 14.29%BX 14.29%AMP 7.15%XLK 7.15%ITB 4.76%CG 4.76%JEF 4.76%URA 4.76%PAVE 4.75%MS 4.75%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
AMP
Ameriprise Financial, Inc.
Financial Services

7.15%

BLK
BlackRock, Inc.
Financial Services

0%

BTC-USD
Bitcoin

14.29%

BX
The Blackstone Group Inc.
Financial Services

14.29%

CG
The Carlyle Group Inc.
Financial Services

4.76%

ITB
iShares U.S. Home Construction ETF
Building & Construction

4.76%

JEF
Jefferies Financial Group Inc.
Financial Services

4.76%

JPM
JPMorgan Chase & Co.
Financial Services

0%

KKR
KKR & Co. Inc.
Financial Services

14.29%

MS
Morgan Stanley
Financial Services

4.75%

PAVE
Global X US Infrastructure Development ETF
Utilities Equities

4.75%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

14.29%

URA
Global X Uranium ETF
Commodity Producers Equities

4.76%

XLK
Technology Select Sector SPDR Fund
Technology Equities

7.15%

S&P 500

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%2024FebruaryMarchAprilMayJune
25.94%
14.20%
Hedge Funds & ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2017, corresponding to the inception date of PAVE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
Hedge Funds & ETFs21.49%2.95%25.94%62.38%38.22%N/A
BTC-USD
Bitcoin
59.31%7.04%56.99%159.78%50.64%60.95%
SMH
VanEck Vectors Semiconductor ETF
46.10%14.43%51.08%67.69%41.06%29.91%
KKR
KKR & Co. Inc.
33.48%9.95%38.97%95.41%37.58%20.12%
BX
The Blackstone Group Inc.
-7.78%-2.55%0.82%35.35%26.52%20.03%
AMP
Ameriprise Financial, Inc.
11.49%-2.30%13.91%34.39%24.75%16.34%
ITB
iShares U.S. Home Construction ETF
0.11%-5.34%5.50%27.01%21.76%16.23%
XLK
Technology Select Sector SPDR Fund
14.57%6.61%15.59%30.07%24.93%20.81%
CG
The Carlyle Group Inc.
-0.30%-4.31%4.29%36.25%17.08%8.41%
JEF
Jefferies Financial Group Inc.
8.49%-5.42%16.87%35.12%27.44%9.76%
URA
Global X Uranium ETF
4.66%-6.06%6.79%36.48%23.46%3.10%
PAVE
Global X US Infrastructure Development ETF
7.98%-4.96%12.75%24.38%19.89%N/A
MS
Morgan Stanley
4.30%-3.18%13.58%12.54%21.21%14.66%
BLK
BlackRock, Inc.
-5.47%-3.51%-0.79%12.91%14.04%12.21%
JPM
JPMorgan Chase & Co.
15.64%-2.20%22.13%40.48%15.47%16.27%

Monthly Returns

The table below presents the monthly returns of Hedge Funds & ETFs, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.32%12.72%6.56%-7.55%7.84%21.49%
202321.22%-1.30%2.07%0.39%-0.63%9.56%5.55%-1.80%-1.78%-2.29%17.10%11.29%73.02%
2022-6.65%-2.32%0.61%-13.63%3.33%-18.27%16.35%-7.12%-10.65%9.12%5.45%-8.74%-32.16%
20212.30%14.25%10.39%8.14%-2.53%2.40%7.62%6.02%-5.14%19.16%-1.60%-2.68%71.99%
20206.67%-8.96%-19.50%16.25%10.23%4.10%8.07%3.89%-3.40%3.53%20.57%16.17%64.00%
201910.32%3.08%2.94%11.95%2.66%17.04%2.98%-2.85%2.52%6.39%1.47%2.90%79.36%
20182.18%-4.80%-7.39%3.66%-0.33%-1.15%8.60%-1.36%-0.42%-9.78%-4.88%-11.29%-25.28%
2017-0.57%5.26%13.52%3.88%5.97%9.04%1.90%9.21%12.76%11.23%99.04%

Expense Ratio

Hedge Funds & ETFs features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for ITB: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for URA: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for PAVE: current value at 0.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.47%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Hedge Funds & ETFs is 92, placing it in the top 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Hedge Funds & ETFs is 9292
Hedge Funds & ETFs
The Sharpe Ratio Rank of Hedge Funds & ETFs is 9898Sharpe Ratio Rank
The Sortino Ratio Rank of Hedge Funds & ETFs is 9797Sortino Ratio Rank
The Omega Ratio Rank of Hedge Funds & ETFs is 9797Omega Ratio Rank
The Calmar Ratio Rank of Hedge Funds & ETFs is 6868Calmar Ratio Rank
The Martin Ratio Rank of Hedge Funds & ETFs is 9898Martin 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.


Hedge Funds & ETFs
Sharpe ratio
The chart of Sharpe ratio for Hedge Funds & ETFs, currently valued at 4.78, compared to the broader market0.002.004.004.78
Sortino ratio
The chart of Sortino ratio for Hedge Funds & ETFs, currently valued at 5.75, compared to the broader market-2.000.002.004.006.005.75
Omega ratio
The chart of Omega ratio for Hedge Funds & ETFs, currently valued at 1.66, compared to the broader market0.801.001.201.401.601.801.66
Calmar ratio
The chart of Calmar ratio for Hedge Funds & ETFs, currently valued at 2.28, compared to the broader market0.002.004.006.008.0010.002.28
Martin ratio
The chart of Martin ratio for Hedge Funds & ETFs, currently valued at 37.47, compared to the broader market0.0010.0020.0030.0040.0050.0037.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin
5.084.571.502.8537.56
SMH
VanEck Vectors Semiconductor ETF
4.795.461.704.8331.26
KKR
KKR & Co. Inc.
4.605.671.702.4634.55
BX
The Blackstone Group Inc.
0.841.321.160.244.17
AMP
Ameriprise Financial, Inc.
3.023.861.511.5520.20
ITB
iShares U.S. Home Construction ETF
2.102.801.351.1110.60
XLK
Technology Select Sector SPDR Fund
3.204.181.542.0622.28
CG
The Carlyle Group Inc.
1.852.521.330.5010.40
JEF
Jefferies Financial Group Inc.
1.782.431.300.7310.22
URA
Global X Uranium ETF
0.951.501.170.644.69
PAVE
Global X US Infrastructure Development ETF
2.413.201.391.0713.18
MS
Morgan Stanley
1.602.161.300.458.01
BLK
BlackRock, Inc.
1.772.571.310.357.46
JPM
JPMorgan Chase & Co.
3.443.851.651.5823.35

Sharpe Ratio

The current Hedge Funds & ETFs Sharpe ratio is 4.78. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.43 to 2.37, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Hedge Funds & ETFs with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.002.003.004.005.002024FebruaryMarchAprilMayJune
4.78
2.21
Hedge Funds & ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Hedge Funds & ETFs granted a 1.49% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Hedge Funds & ETFs1.49%1.53%2.30%1.41%1.50%2.39%3.23%2.65%3.36%5.07%3.27%2.45%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
KKR
KKR & Co. Inc.
0.61%0.78%1.31%0.77%1.31%1.71%3.23%3.18%4.16%10.13%8.75%6.66%
BX
The Blackstone Group Inc.
2.82%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.63%3.67%
AMP
Ameriprise Financial, Inc.
1.31%1.40%1.57%1.47%2.10%2.29%3.38%1.91%2.63%2.43%1.71%1.75%
ITB
iShares U.S. Home Construction ETF
0.48%0.48%0.86%0.37%0.46%0.50%0.63%0.28%0.43%0.34%0.34%0.12%
XLK
Technology Select Sector SPDR Fund
0.67%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
CG
The Carlyle Group Inc.
3.51%3.38%4.11%1.82%3.18%4.24%7.87%5.41%11.02%21.70%6.84%3.73%
JEF
Jefferies Financial Group Inc.
2.78%2.97%3.32%2.20%2.32%2.02%2.46%1.16%1.02%1.37%1.06%0.84%
URA
Global X Uranium ETF
5.80%6.07%0.76%5.84%1.69%1.66%0.44%2.03%7.28%1.96%4.28%0.54%
PAVE
Global X US Infrastructure Development ETF
0.63%0.68%0.84%0.48%0.44%0.67%0.78%0.30%0.00%0.00%0.00%0.00%
MS
Morgan Stanley
3.56%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
BLK
BlackRock, Inc.
2.67%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%2.12%
JPM
JPMorgan Chase & Co.
2.19%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-2.08%
0
Hedge Funds & ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Hedge Funds & ETFs. 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 & ETFs was 41.80%, occurring on Oct 15, 2022. Recovery took 419 trading sessions.

The current Hedge Funds & ETFs drawdown is 2.08%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.8%Nov 10, 2021340Oct 15, 2022419Dec 8, 2023759
-41.08%Feb 13, 202040Mar 23, 2020135Aug 5, 2020175
-37.17%Dec 19, 2017372Dec 25, 2018179Jun 22, 2019551
-8.92%Sep 3, 202021Sep 23, 202019Oct 12, 202040
-8.82%Sep 15, 201924Oct 8, 201918Oct 26, 201942

Volatility

Volatility Chart

The current Hedge Funds & ETFs volatility is 6.29%, 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%2024FebruaryMarchAprilMayJune
6.29%
2.41%
Hedge Funds & ETFs
Benchmark (^GSPC)
Portfolio components

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.

BTC-USDURAITBSMHJPMCGXLKJEFBXKKRMSBLKAMPPAVE
BTC-USD1.000.150.110.160.100.130.160.140.140.140.140.140.130.15
URA0.151.000.320.380.320.360.390.340.350.380.350.350.370.48
ITB0.110.321.000.460.370.470.460.440.470.500.410.490.490.63
SMH0.160.380.461.000.390.470.820.400.480.510.450.530.480.55
JPM0.100.320.370.391.000.430.390.640.440.470.740.580.690.62
CG0.130.360.470.470.431.000.500.450.640.650.490.540.510.56
XLK0.160.390.460.820.390.501.000.400.520.550.440.560.470.55
JEF0.140.340.440.400.640.450.401.000.440.500.680.550.650.62
BX0.140.350.470.480.440.640.520.441.000.670.490.540.510.54
KKR0.140.380.500.510.470.650.550.500.671.000.520.560.550.59
MS0.140.350.410.450.740.490.440.680.490.521.000.630.690.63
BLK0.140.350.490.530.580.540.560.550.540.560.631.000.640.64
AMP0.130.370.490.480.690.510.470.650.510.550.690.641.000.69
PAVE0.150.480.630.550.620.560.550.620.540.590.630.640.691.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2017