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РФ

Last updated Dec 9, 2023

Asset Allocation


YNDX 67.48%SBER.ME 18.48%SNGS.ME 14.04%EquityEquity
PositionCategory/SectorWeight
YNDX
Yandex N.V.
Communication Services67.48%
SBER.ME
Sberbank of Russia
Financial Services18.48%
SNGS.ME
Surgutneftegas Public Joint Stock Company
Energy14.04%

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


50.00%100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
24.57%
260.54%
РФ
Benchmark (^GSPC)
Portfolio components

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-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
РФ10.45%-2.57%0.47%4.19%-2.01%-2.64%
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


JanFebMarAprMayJunJulAugSepOctNovDec
2023-0.25%-0.76%1.33%-0.70%-1.00%2.95%1.34%

Sharpe Ratio

The current РФ Sharpe ratio is 0.95. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.000.95

The Sharpe ratio of РФ 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 Ratio
РФ
Benchmark (^GSPC)
Portfolio components

Dividend yield

РФ granted a 2.14% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
РФ2.14%0.52%1.42%1.53%1.34%1.53%0.79%0.48%0.35%1.44%0.72%0.73%
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.


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
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

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

YNDXNLMK.MESNGS.MESBER.ME
YNDX1.000.230.280.34
NLMK.ME0.231.000.530.57
SNGS.ME0.280.531.000.63
SBER.ME0.340.570.631.00

Drawdowns Chart

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


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-66.71%
-4.01%
РФ
Benchmark (^GSPC)
Portfolio components

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, 202187Mar 9, 2022
-71%Jan 13, 2014421Aug 24, 2015626Jan 18, 20181047
-43.91%Feb 13, 202025Mar 18, 202088Jul 20, 2020113
-37.44%Feb 22, 2018219Dec 21, 2018241Nov 25, 2019460
-32.54%Apr 20, 201244Jun 14, 2012233May 8, 2013277

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.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.88%
2.42%
РФ
Benchmark (^GSPC)
Portfolio components
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