РФ
Asset Allocation
Position | Category/Sector | Weight |
---|---|---|
YNDX Yandex N.V. | Communication Services | 67.48% |
SBER.ME Sberbank of Russia | Financial Services | 18.48% |
SNGS.ME Surgutneftegas Public Joint Stock Company | Energy | 14.04% |
Performance
The chart shows the growth of an initial investment of $10,000 in РФ, 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 24, 2011, corresponding to the inception date of YNDX
Returns
As of Dec 9, 2023, the РФ returned 10.45% Year-To-Date and -3.05% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
РФ | 10.45% | -2.57% | 0.47% | 4.19% | -2.01% | -2.64% |
Portfolio components: | ||||||
YNDX Yandex N.V. | 0.00% | 0.00% | 0.00% | 0.00% | -7.97% | -7.20% |
SNGS.ME Surgutneftegas Public Joint Stock Company | 31.93% | -14.12% | 12.51% | 25.86% | 2.25% | 2.61% |
SBER.ME Sberbank of Russia | 87.88% | -4.36% | 9.99% | 88.99% | 11.42% | 14.75% |
NLMK.ME Public Joint Stock Company "Novolipetsk Steel" | 42.01% | -14.90% | 9.68% | 56.51% | 10.79% | 22.49% |
Monthly Returns Heatmap
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | -0.25% | -0.76% | 1.33% | -0.70% | -1.00% | 2.95% | 1.34% |
Dividend yield
РФ granted a 2.14% dividend yield in the last twelve months.
TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
РФ | 2.14% | 0.52% | 1.42% | 1.53% | 1.34% | 1.53% | 0.79% | 0.48% | 0.35% | 1.44% | 0.72% | 0.73% |
Portfolio components: | ||||||||||||
YNDX Yandex N.V. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SNGS.ME Surgutneftegas Public Joint Stock Company | 2.87% | 3.68% | 1.76% | 1.80% | 1.29% | 2.42% | 2.15% | 1.94% | 1.91% | 2.55% | 1.77% | 2.24% |
SBER.ME Sberbank of Russia | 9.42% | 0.00% | 6.37% | 6.90% | 6.28% | 6.43% | 2.66% | 1.14% | 0.44% | 5.83% | 2.54% | 2.24% |
NLMK.ME Public Joint Stock Company "Novolipetsk Steel" | 0.00% | 0.00% | 19.26% | 9.92% | 15.91% | 12.36% | 8.53% | 5.73% | 6.60% | 2.32% | 1.12% | 0.98% |
Expense Ratio
The РФ 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
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 | Ulcer Index | |
---|---|---|---|---|---|
YNDX Yandex N.V. | N/A | ||||
SNGS.ME Surgutneftegas Public Joint Stock Company | 1.03 | ||||
SBER.ME Sberbank of Russia | 4.15 | ||||
NLMK.ME Public Joint Stock Company "Novolipetsk Steel" | 2.15 |
Asset Correlations Table
YNDX | NLMK.ME | SNGS.ME | SBER.ME | |
---|---|---|---|---|
YNDX | 1.00 | 0.23 | 0.28 | 0.34 |
NLMK.ME | 0.23 | 1.00 | 0.53 | 0.57 |
SNGS.ME | 0.28 | 0.53 | 1.00 | 0.63 |
SBER.ME | 0.34 | 0.57 | 0.63 | 1.00 |
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 РФ. 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 РФ was 74.89%, occurring on Mar 9, 2022. The portfolio has not yet recovered.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-74.89% | Nov 9, 2021 | 87 | Mar 9, 2022 | — | — | — |
-71% | Jan 13, 2014 | 421 | Aug 24, 2015 | 626 | Jan 18, 2018 | 1047 |
-43.91% | Feb 13, 2020 | 25 | Mar 18, 2020 | 88 | Jul 20, 2020 | 113 |
-37.44% | Feb 22, 2018 | 219 | Dec 21, 2018 | 241 | Nov 25, 2019 | 460 |
-32.54% | Apr 20, 2012 | 44 | Jun 14, 2012 | 233 | May 8, 2013 | 277 |
Volatility Chart
The current РФ volatility is 2.88%, 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.