Very Sharpe
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
IAU iShares Gold Trust | Precious Metals, Gold | 12.50% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | Systematic Trend | 25% |
PGTYX Putnam Global Technology Fund | Technology Equities | 12.50% |
QLEIX AQR Long-Short Equity Fund | Long-Short | 12.50% |
UUP Invesco DB US Dollar Index Bullish Fund | Currency | 37.50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Very Sharpe, 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 Jul 16, 2013, corresponding to the inception date of QLEIX
Returns By Period
As of Nov 12, 2024, the Very Sharpe returned 12.52% Year-To-Date and 7.13% 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 | 25.82% | 3.20% | 14.94% | 35.92% | 14.22% | 11.43% |
| Very Sharpe | 12.52% | 0.79% | 4.23% | 13.37% | 8.61% | 7.13% |
| Portfolio components: | ||||||
LCSIX LoCorr Long/Short Commodity Strategies Fund | -4.71% | -2.31% | -5.30% | -3.70% | 4.63% | 4.93% |
QLEIX AQR Long-Short Equity Fund | 26.69% | 3.47% | 7.46% | 25.80% | 14.86% | 8.97% |
PGTYX Putnam Global Technology Fund | 29.94% | -0.47% | 14.95% | 39.89% | 14.64% | 14.25% |
IAU iShares Gold Trust | 26.85% | -1.30% | 11.08% | 34.32% | 12.12% | 8.01% |
UUP Invesco DB US Dollar Index Bullish Fund | 9.60% | 2.98% | 3.56% | 5.99% | 3.89% | 3.54% |
Monthly Returns
The table below presents the monthly returns of Very Sharpe, 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 | 2.36% | 1.30% | 2.66% | 0.54% | 1.57% | 1.38% | -0.57% | -0.27% | 0.91% | 1.18% | 12.52% | ||
| 2023 | 2.48% | 0.39% | 1.22% | -0.12% | 1.64% | 0.41% | 1.14% | 0.58% | 0.87% | 0.60% | 1.74% | 0.04% | 11.52% |
| 2022 | 0.45% | 0.44% | 1.59% | 0.75% | -0.18% | -1.33% | 1.04% | 0.02% | -1.42% | 1.54% | 1.22% | -1.35% | 2.72% |
| 2021 | 0.24% | 1.47% | 1.58% | 1.43% | 0.78% | 0.76% | 0.23% | 0.43% | 0.25% | 1.44% | 0.09% | -0.59% | 8.40% |
| 2020 | 2.50% | -0.06% | 0.20% | 2.77% | 0.36% | 1.34% | 0.52% | 0.42% | -0.32% | -1.25% | 0.31% | 0.19% | 7.12% |
| 2019 | 1.07% | 1.67% | 0.99% | 1.01% | -1.08% | 1.53% | 1.11% | 0.48% | -0.27% | -0.41% | 0.76% | 0.38% | 7.45% |
| 2018 | 1.51% | -0.78% | 0.11% | 1.07% | 2.45% | -0.88% | 0.11% | 0.48% | 0.37% | -1.40% | 0.76% | -1.77% | 1.98% |
| 2017 | 0.96% | 1.26% | 0.81% | 0.17% | -0.96% | -0.68% | -0.14% | 2.93% | 0.39% | 1.43% | -0.56% | -0.51% | 5.14% |
| 2016 | 1.32% | 1.20% | -0.66% | -0.95% | 1.47% | 0.62% | 1.65% | -0.28% | 0.34% | 0.77% | 0.19% | -0.89% | 4.83% |
| 2015 | 2.89% | 0.36% | 1.14% | -1.96% | 2.51% | -1.20% | 1.72% | -1.17% | 0.43% | 2.85% | 1.68% | 0.22% | 9.73% |
| 2014 | 1.03% | 1.70% | 0.01% | 0.11% | 1.12% | 1.06% | 1.25% | 1.78% | 1.98% | 0.91% | 1.55% | 0.12% | 13.33% |
| 2013 | 0.00% | 0.47% | -0.65% | 0.58% | 0.43% | -0.15% | 0.67% |
Expense Ratio
Very Sharpe has a high expense ratio of 0.99%, indicating higher-than-average management fees. 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 Very Sharpe is 71, 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 | |
|---|---|---|---|---|---|
LCSIX LoCorr Long/Short Commodity Strategies Fund | -0.74 | -0.95 | 0.87 | -0.44 | -1.43 |
QLEIX AQR Long-Short Equity Fund | 3.74 | 5.34 | 1.76 | 4.98 | 23.51 |
PGTYX Putnam Global Technology Fund | 2.01 | 2.61 | 1.36 | 1.65 | 8.44 |
IAU iShares Gold Trust | 2.28 | 3.03 | 1.40 | 4.93 | 15.09 |
UUP Invesco DB US Dollar Index Bullish Fund | 0.94 | 1.39 | 1.17 | 1.01 | 3.25 |
Dividends
Dividend yield
Very Sharpe provided a 4.81% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.81% | 5.56% | 4.52% | 1.78% | 0.73% | 0.97% | 3.60% | 0.55% | 1.14% | 2.44% | 4.11% | 0.82% |
| Portfolio components: | ||||||||||||
LCSIX LoCorr Long/Short Commodity Strategies Fund | 1.98% | 1.89% | 10.75% | 7.14% | 2.93% | 0.54% | 12.36% | 0.02% | 3.20% | 7.35% | 9.86% | 0.00% |
QLEIX AQR Long-Short Equity Fund | 16.42% | 20.80% | 10.30% | 0.00% | 0.00% | 0.00% | 0.37% | 4.04% | 1.86% | 4.82% | 8.00% | 6.58% |
PGTYX Putnam Global Technology Fund | 0.44% | 0.57% | 1.71% | 0.00% | 0.00% | 0.58% | 0.49% | 0.00% | 0.83% | 0.00% | 5.14% | 0.00% |
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
UUP Invesco DB US Dollar Index Bullish Fund | 5.88% | 6.45% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Very Sharpe. 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 Very Sharpe was 6.58%, occurring on Mar 16, 2020. Recovery took 26 trading sessions.
The current Very Sharpe drawdown is 0.30%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -6.58% | Feb 20, 2020 | 18 | Mar 16, 2020 | 26 | Apr 22, 2020 | 44 |
| -3.89% | Oct 4, 2018 | 56 | Dec 24, 2018 | 40 | Feb 22, 2019 | 96 |
| -3.73% | Jul 17, 2024 | 14 | Aug 5, 2024 | 47 | Oct 10, 2024 | 61 |
| -3.03% | Apr 13, 2015 | 18 | May 6, 2015 | 49 | Jul 16, 2015 | 67 |
| -2.86% | Aug 26, 2022 | 25 | Sep 30, 2022 | 76 | Jan 20, 2023 | 101 |
Volatility
Volatility Chart
The current Very Sharpe volatility is 1.33%, 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
| LCSIX | QLEIX | PGTYX | IAU | UUP | |
|---|---|---|---|---|---|
| LCSIX | 1.00 | -0.01 | -0.04 | 0.09 | -0.04 |
| QLEIX | -0.01 | 1.00 | 0.37 | -0.04 | -0.06 |
| PGTYX | -0.04 | 0.37 | 1.00 | 0.01 | -0.12 |
| IAU | 0.09 | -0.04 | 0.01 | 1.00 | -0.47 |
| UUP | -0.04 | -0.06 | -0.12 | -0.47 | 1.00 |