PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
999
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BTC-USD 14%INCO 68%NASDX 14%RTSI 4%CryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
BTC-USD
Bitcoin
14%
INCO
Columbia India Consumer ETF
Asia Pacific Equities
68%
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
Large Cap Growth Equities
14%
RTSI
RTS Index
4%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 999, 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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.36%
15.83%
999
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 10, 2011, corresponding to the inception date of INCO

Returns By Period

As of Oct 30, 2024, the 999 returned 25.43% Year-To-Date and 24.72% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
99925.43%-6.09%9.36%45.46%23.64%24.72%
INCO
Columbia India Consumer ETF
17.98%-10.94%7.20%35.74%14.13%10.35%
RTSI
RTS Index
-22.34%-13.37%-28.35%-23.11%-9.97%-2.57%
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
22.46%2.67%18.03%43.89%21.15%17.78%
BTC-USD
Bitcoin
72.06%10.79%19.93%110.77%51.21%71.74%

Monthly Returns

The table below presents the monthly returns of 999, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.60%10.03%4.61%-1.91%2.84%4.86%3.61%-1.20%4.14%25.43%
20238.72%-2.80%5.54%4.92%3.47%6.19%0.98%-2.08%-0.11%4.21%8.82%6.49%53.33%
2022-4.02%-3.38%-1.14%-2.90%-1.16%-7.48%9.96%-1.33%-5.56%2.61%-0.22%-6.08%-19.80%
20213.07%6.81%8.52%-3.01%1.98%1.07%2.68%5.89%-0.87%7.97%-3.59%-1.62%31.84%
20204.32%-7.18%-20.11%14.50%6.55%3.48%7.09%6.42%-1.72%0.22%16.80%16.24%48.82%
2019-3.98%1.68%3.63%3.67%9.38%9.81%-6.14%-1.12%4.91%7.00%-5.39%0.94%25.33%
2018-3.96%-3.58%-4.34%7.91%-5.52%-3.10%6.52%-1.07%-10.26%-5.54%3.26%-1.04%-20.13%
20175.84%5.63%3.89%6.95%13.93%2.80%5.79%9.48%-2.80%12.59%13.70%11.69%134.16%
2016-9.40%-1.52%9.75%1.35%5.01%6.40%4.20%-0.66%2.39%1.22%-5.09%5.69%19.33%
20152.90%5.09%-3.45%-5.12%3.35%0.84%5.17%-11.32%-1.94%7.37%3.50%2.72%7.77%
2014-2.24%-2.62%6.75%-3.09%14.13%4.61%-2.13%3.80%-0.14%0.52%3.34%-3.82%19.18%
20136.15%4.94%56.86%13.33%-2.15%-12.78%3.66%-5.39%10.33%13.20%82.34%-17.59%211.06%

Expense Ratio

999 features an expense ratio of 0.60%, 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 INCO: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for NASDX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 999 is 10, indicating that it is in the bottom 10% 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 999 is 1010
Combined Rank
The Sharpe Ratio Rank of 999 is 99Sharpe Ratio Rank
The Sortino Ratio Rank of 999 is 99Sortino Ratio Rank
The Omega Ratio Rank of 999 is 77Omega Ratio Rank
The Calmar Ratio Rank of 999 is 88Calmar Ratio Rank
The Martin Ratio Rank of 999 is 1515Martin 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.


999
Sharpe ratio
The chart of Sharpe ratio for 999, currently valued at 1.59, compared to the broader market0.002.004.006.001.59
Sortino ratio
The chart of Sortino ratio for 999, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Omega ratio
The chart of Omega ratio for 999, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.802.001.25
Calmar ratio
The chart of Calmar ratio for 999, currently valued at 0.89, compared to the broader market0.005.0010.000.89
Martin ratio
The chart of Martin ratio for 999, currently valued at 9.69, compared to the broader market0.0010.0020.0030.0040.0050.0060.009.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
INCO
Columbia India Consumer ETF
1.101.701.200.325.41
RTSI
RTS Index
-1.54-2.230.75-0.34-2.23
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
1.411.921.260.585.98
BTC-USD
Bitcoin
1.121.811.180.984.65

Sharpe Ratio

The current 999 Sharpe ratio is 1.59. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 999 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 Ratio1.002.003.004.005.006.00MayJuneJulyAugustSeptemberOctober
1.59
3.43
999
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

999 provided a 3.06% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
9993.06%3.65%7.71%4.59%0.41%1.19%0.43%0.27%0.17%0.12%0.20%0.10%
INCO
Columbia India Consumer ETF
3.23%3.81%10.57%6.25%0.34%0.28%0.12%0.05%0.09%0.00%0.08%0.00%
RTSI
RTS Index
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NASDX
Shelton Capital Management Nasdaq-100 Index Fund Direct Shares
6.19%7.53%3.75%2.40%1.28%7.09%2.47%1.65%0.75%0.85%1.02%0.72%
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%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-6.19%
-0.54%
999
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 999. 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 999 was 38.80%, occurring on Mar 23, 2020. Recovery took 156 trading sessions.

The current 999 drawdown is 6.19%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.8%Dec 17, 2017828Mar 23, 2020156Aug 26, 2020984
-30.51%Dec 5, 201314Dec 18, 2013260Sep 4, 2014274
-28.61%Nov 9, 2021222Jun 18, 2022510Nov 10, 2023732
-28.05%Aug 16, 2011101Nov 24, 2011253Aug 3, 2012354
-24.66%Apr 11, 2013140Aug 28, 201368Nov 4, 2013208

Volatility

Volatility Chart

The current 999 volatility is 3.70%, 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%MayJuneJulyAugustSeptemberOctober
3.70%
2.71%
999
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-USDRTSIINCONASDX
BTC-USD1.000.050.050.10
RTSI0.051.000.230.22
INCO0.050.231.000.37
NASDX0.100.220.371.00
The correlation results are calculated based on daily price changes starting from Aug 11, 2011