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Dream
Доходность
Риск-скорректированная доходность
Дивиденды
Просадки
Волатильность
Диверсификация

Dream

Currency in USD · Последнее обновление 21 мая 2025 г.

Распределение активов

MSFT 5%MELI 4%MSTR 4%META 4%CCEP.L 4%FTNT 3%PEN 3%STRL 3%ICE 3%AMZN 3%AAPL 3%V 3%LLY 3%SAP 3%GOOGL 3%NVDA 3%LMT 3%RHM.DE 2%TKO 2%TSLA 2%TDY 2%RTX 2%PLTR 2%BABA 2%AVGO 2%BN 2%MNDY 2%CICHF 2%SCHW 1%SFM 1%AMD 1%SMMT 1%DRS 1%CRSP 1%CVS 1%BYDDY 1%MP 1%ISRG 1%TPR 1%LEU 1%SPOT 1%ACHR 1%III.L 1%UL 1%RYCEY 1%VTR 1%ADMA 1%WMT 1%CHDN 1%АкцииАкции
ПозицияКатегория/СекторЦелевая доля
AAPL
Apple Inc		Technology
3%
ACHR
Archer Aviation Inc.		Industrials
1%
ADMA
ADMA Biologics, Inc.		Healthcare
1%
AMD
Advanced Micro Devices, Inc.		Technology
1%
AMZN
Amazon.com, Inc.		Consumer Cyclical
3%
AVGO
Broadcom Inc.		Technology
2%
BABA
Alibaba Group Holding Limited		Consumer Cyclical
2%
BN
Brookfield Corp		Financial Services
2%
BYDDY
BYD Company Limited ADR		Consumer Cyclical
1%
CCEP.L
Coca-Cola Europacific Partners plc		Consumer Defensive
4%
CHDN
Churchill Downs Incorporated		Consumer Cyclical
1%
CICHF
China Construction Bank Corporation		Financial Services
2%
CRSP
CRISPR Therapeutics AG		Healthcare
1%
CVS
CVS Health Corporation		Healthcare
1%
DRS
Leonardo DRS Inc. Common Stock		Industrials
1%
FTNT
Fortinet, Inc.		Technology
3%
GOOGL
Alphabet Inc Class A		Communication Services
3%
ICE
Intercontinental Exchange, Inc.		Financial Services
3%
III.L
3I Group plc		Financial Services
1%
ISRG
Intuitive Surgical, Inc.		Healthcare
1%
LEU
Centrus Energy Corp.		Energy
1%
LLY
Eli Lilly and Company		Healthcare
3%
LMT
Lockheed Martin Corporation		Industrials
3%
MELI
MercadoLibre, Inc.		Consumer Cyclical
4%
META
Meta Platforms, Inc.		Communication Services
4%
MNDY
monday.com Ltd.		Technology
2%
MP
MP Materials Corp.		Basic Materials
1%
MSFT
Microsoft Corporation		Technology
5%
MSTR
MicroStrategy Incorporated		Technology
4%
NVDA
NVIDIA Corporation		Technology
3%
PEN
Penumbra, Inc.		Healthcare
3%
PLTR
Palantir Technologies Inc.		Technology
2%
RHM.DE
Rheinmetall AG		Industrials
2%
RTX
Raytheon Technologies Corporation		Industrials
2%
RYCEY
Rolls-Royce Holdings plc		Industrials
1%
SAP
SAP SE		Technology
3%
SCHW
The Charles Schwab Corporation		Financial Services
1%
SFM
Sprouts Farmers Market, Inc.		Consumer Defensive
1%
SMMT
Summit Therapeutics Inc.		Healthcare
1%
SPOT
Spotify Technology S.A.		Communication Services
1%
STRL
Sterling Construction Company, Inc.		Industrials
3%
TDY
Teledyne Technologies Incorporated		Technology
2%
TKO
TKO Group Holdings Inc.		Communication Services
2%
TPR
Tapestry, Inc.		Consumer Cyclical
1%
TSLA
Tesla, Inc.		Consumer Cyclical
2%
UL
The Unilever Group		Consumer Defensive
1%
V
Visa Inc.		Financial Services
3%
VTR
Ventas, Inc.		Real Estate
1%
WMT
Walmart Inc.		Consumer Defensive
1%

S&P 500

Доходность

График доходности

Загрузка...

Самые ранние данные для этого графика доступны с 12 сент. 2023 г., начальной даты TKO

Доходность по периодам

С начала года1 месяц6 месяцев1 год5 лет10 лет
^GSPC
S&P 500		1.00%12.45%0.40%11.91%15.04%10.82%
Dream20.70%15.19%20.24%513.69%N/AN/A
Активы портфеля:
MSFT
Microsoft Corporation		9.12%24.81%10.31%8.54%21.12%27.40%
MELI
MercadoLibre, Inc.		51.68%22.86%34.58%44.27%25.92%33.25%
FTNT
Fortinet, Inc.		10.91%9.01%15.42%68.09%29.59%29.57%
MSTR
MicroStrategy Incorporated		43.95%31.44%-3.16%141.38%103.07%37.29%
META
Meta Platforms, Inc.		8.91%27.04%13.74%36.38%22.57%23.03%
RHM.DE
Rheinmetall AG		215.76%21.30%214.79%250.03%94.79%46.28%
CCEP.L
Coca-Cola Europacific Partners plc		15.40%-2.23%17.49%10,206.92%189.17%150.86%
PEN
Penumbra, Inc.		18.38%1.36%18.57%39.56%9.81%N/A
STRL
Sterling Construction Company, Inc.		11.12%33.45%-3.00%42.68%84.52%48.13%
ICE
Intercontinental Exchange, Inc.		18.64%11.13%12.26%30.26%15.16%15.51%
AMZN
Amazon.com, Inc.		-6.98%18.23%-0.26%11.19%10.78%25.31%
AAPL
Apple Inc		-17.20%5.15%-9.16%8.79%21.85%21.43%
V
Visa Inc.		16.46%11.48%18.03%32.66%14.80%18.91%
LLY
Eli Lilly and Company		-2.87%-10.88%2.75%-3.97%39.06%28.25%
TKO
TKO Group Holdings Inc.		14.83%9.06%24.67%51.65%N/AN/A
TSLA
Tesla, Inc.		-14.86%42.45%-0.63%96.52%44.19%35.47%
SAP
SAP SE		22.61%17.28%29.45%54.57%22.85%16.69%
GOOGL
Alphabet Inc Class A		-13.28%8.48%-7.73%-6.87%18.56%19.51%
NVDA
NVIDIA Corporation		0.08%32.41%-8.58%41.82%72.71%74.79%
TDY
Teledyne Technologies Incorporated		6.75%7.19%6.59%21.57%7.87%16.99%
RTX
Raytheon Technologies Corporation		19.14%6.43%15.90%32.69%20.71%8.82%
PLTR
Palantir Technologies Inc.		66.06%33.92%99.41%480.90%N/AN/A
BABA
Alibaba Group Holding Limited		47.61%14.96%43.68%42.99%-9.63%3.21%
AVGO
Broadcom Inc.		0.23%35.49%40.92%65.85%57.13%36.59%
BN
Brookfield Corp		2.85%18.67%4.21%32.52%20.73%13.52%
SCHW
The Charles Schwab Corporation		21.29%17.49%11.94%14.96%23.52%12.38%
SFM
Sprouts Farmers Market, Inc.		32.23%4.91%17.14%112.17%46.96%18.62%
MNDY
monday.com Ltd.		28.30%22.65%17.53%31.68%N/AN/A
CICHF
China Construction Bank Corporation		9.70%6.22%29.13%36.67%11.38%12.03%
AMD
Advanced Micro Devices, Inc.		-6.03%29.73%-18.57%-31.76%15.74%47.81%
SMMT
Summit Therapeutics Inc.		36.68%-0.89%21.95%437.22%42.71%8.11%
DRS
Leonardo DRS Inc. Common Stock		28.94%13.93%18.66%71.09%N/AN/A
CRSP
CRISPR Therapeutics AG		-0.28%3.92%-16.44%-29.24%-10.35%N/A
CVS
CVS Health Corporation		45.28%-4.30%16.94%16.18%3.37%-2.01%
BYDDY
BYD Company Limited ADR		68.31%24.52%67.23%101.92%59.53%23.86%
MP
MP Materials Corp.		32.31%-21.67%14.54%14.54%N/AN/A
ISRG
Intuitive Surgical, Inc.		6.74%15.42%3.40%39.28%25.08%26.05%
TPR
Tapestry, Inc.		26.86%29.67%49.83%99.55%45.34%11.55%
LEU
Centrus Energy Corp.		42.76%41.38%38.82%87.07%61.67%34.30%
SPOT
Spotify Technology S.A.		47.21%14.69%41.99%113.69%27.86%N/A
ACHR
Archer Aviation Inc.		15.79%56.15%120.08%207.63%N/AN/A
III.L
3I Group plc		21.06%-1.11%23.80%45.55%42.67%25.24%
UL
The Unilever Group		13.50%-0.03%11.22%20.78%8.22%7.08%
RYCEY
Rolls-Royce Holdings plc		55.85%14.54%64.75%101.96%49.94%6.20%
VTR
Ventas, Inc.		11.10%-4.36%2.62%37.47%18.82%5.48%
ADMA
ADMA Biologics, Inc.		19.18%-4.08%-0.92%117.22%47.68%9.22%
LMT
Lockheed Martin Corporation		-1.36%2.53%-9.55%4.54%8.11%12.43%
WMT
Walmart Inc.		8.81%5.17%13.77%53.95%20.31%16.71%
CHDN
Churchill Downs Incorporated		-27.13%-4.00%-29.66%-27.91%10.82%17.43%
*Среднегодовая

Доходность по месяцам

Ниже представлена таблица с месячной доходностью Dream, с цветовой градацией от худшего до лучшего месяца, для легкого выявления сезонных факторов. Значения учитывают дивиденды.

янв.февр.мартапр.майиюньиюльавг.сент.окт.нояб.дек.Total
20256.77%1.93%-3.91%7.39%7.47%20.70%
20241.77%11.99%6.17%-4.44%8.95%2.49%2.88%5.77%6.39%332.05%3.56%-3.29%546.83%
2023-4.59%-0.72%9.93%7.83%12.29%

Комиссия

Комиссия Dream составляет 0.00%. Ниже вы найдете коэффициенты расходов позиций портфеля для легкого сравнения их относительной стоимости.

Портфель не содержит фондов, взимающих комиссии

Риск-скорректированная доходность

Ранг риск-скорректированной доходности

Текущий рейтинг Dream составляет 98, что ставит его в топ 2% среди портфелей на нашем сайте по соотношению риска и доходности. Ниже приведена разбивка по ключевым показателям эффективности.

Ранг риск-скорректированной доходности Dream, с текущим значением в 9898
Общий ранг
Ранг коэф-та Шарпа Dream, с текущим значением в 9292
Ранг коэф-та Шарпа
Ранг коэф-та Сортино Dream, с текущим значением в 100100
Ранг коэф-та Сортино
Ранг коэф-та Омега Dream, с текущим значением в 100100
Ранг коэф-та Омега
Ранг коэф-та Кальмара Dream, с текущим значением в 100100
Ранг коэф-та Кальмара
Ранг коэф-та Мартина Dream, с текущим значением в 100100
Ранг коэф-та Мартина
Ранг риск-скорректированной доходности показывает позицию инструмента относительно рынка. Значение, ближе к 100, означает результат выше рынка, в то время как ранг, ближе к 0, указывает на значительное отставание выбранного показателя. Значения рассчитываются на основе доходности за последние 12 месяцев.

Показатели риск-скорректированной доходности

В таблице представлено сравнение показателей доходности скорректированной на риск для позиций. Риск-скорректированные показатели оценивают доходность инвестиций с учетом их рискованности, что позволяет более точно сравнивать различные активы между собой.

Активы портфеля
Коэффициент ШарпаКоэффициент СортиноКоэффициент ОмегаКоэффициент КальмараКоэффициент Мартина
MSFT
Microsoft Corporation		0.330.601.080.310.68
MELI
MercadoLibre, Inc.		1.091.811.252.305.80
FTNT
Fortinet, Inc.		1.582.981.422.9310.64
MSTR
MicroStrategy Incorporated		1.412.361.282.996.16
META
Meta Platforms, Inc.		0.971.471.190.972.99
RHM.DE
Rheinmetall AG		5.155.441.7514.3033.78
CCEP.L
Coca-Cola Europacific Partners plc		1.15496.5863.011,188.043,300.85
PEN
Penumbra, Inc.		0.981.881.231.056.56
STRL
Sterling Construction Company, Inc.		0.681.441.201.122.66
ICE
Intercontinental Exchange, Inc.		1.612.341.372.366.74
AMZN
Amazon.com, Inc.		0.320.731.090.391.02
AAPL
Apple Inc		0.260.641.090.280.91
V
Visa Inc.		1.472.211.342.428.54
LLY
Eli Lilly and Company		-0.100.001.00-0.27-0.52
TKO
TKO Group Holdings Inc.		1.642.161.312.386.60
TSLA
Tesla, Inc.		1.312.091.251.763.86
SAP
SAP SE		1.852.751.362.9712.34
GOOGL
Alphabet Inc Class A		-0.22-0.090.99-0.22-0.47
NVDA
NVIDIA Corporation		0.690.821.110.491.20
TDY
Teledyne Technologies Incorporated		0.901.681.231.585.61
RTX
Raytheon Technologies Corporation		1.231.701.281.996.68
PLTR
Palantir Technologies Inc.		6.435.231.7212.2336.79
BABA
Alibaba Group Holding Limited		0.921.861.241.733.60
AVGO
Broadcom Inc.		1.031.801.241.604.42
BN
Brookfield Corp		0.921.541.211.314.36
SCHW
The Charles Schwab Corporation		0.491.431.211.292.97
SFM
Sprouts Farmers Market, Inc.		2.893.371.534.5013.20
MNDY
monday.com Ltd.		0.521.061.140.751.65
CICHF
China Construction Bank Corporation		0.651.251.212.276.16
AMD
Advanced Micro Devices, Inc.		-0.60-0.760.91-0.54-1.11
SMMT
Summit Therapeutics Inc.		1.416.261.8319.2228.47
DRS
Leonardo DRS Inc. Common Stock		1.682.341.333.289.27
CRSP
CRISPR Therapeutics AG		-0.52-0.490.95-0.44-0.93
CVS
CVS Health Corporation		0.411.211.150.551.89
BYDDY
BYD Company Limited ADR		2.183.061.404.6910.45
MP
MP Materials Corp.		0.211.051.130.441.64
ISRG
Intuitive Surgical, Inc.		1.141.851.261.504.68
TPR
Tapestry, Inc.		2.353.381.443.299.81
LEU
Centrus Energy Corp.		0.861.861.231.603.25
SPOT
Spotify Technology S.A.		2.573.321.444.5716.70
ACHR
Archer Aviation Inc.		2.003.051.374.379.29
III.L
3I Group plc		1.572.291.312.6610.64
UL
The Unilever Group		1.091.591.221.312.70
RYCEY
Rolls-Royce Holdings plc		2.492.911.434.0317.79
VTR
Ventas, Inc.		1.632.521.353.057.95
ADMA
ADMA Biologics, Inc.		1.712.581.333.627.32
LMT
Lockheed Martin Corporation		0.190.511.080.210.39
WMT
Walmart Inc.		2.212.921.412.377.78
CHDN
Churchill Downs Incorporated		-0.94-1.070.84-0.63-1.58

Коэффициент Шарпа помогает понять, насколько хорошо инвестиция приносит доход с учетом принятого риска. Более высокое значение указывает на лучшую доходность с поправкой на риск, то есть больше прибыли на каждую единицу риска.

Dream имеет следующие коэффициенты Шарпа на 21 мая 2025 г. (данные пересчитываются ежедневно):

  • За 1 год: 1.60
  • За всё время: 1.08

Эти значения показывают, насколько эффективно инвестиция обеспечивала доходность относительно своей волатильности за разные периоды. Все значения в годовом выражении и рассчитаны на основе данных о ежедневной доходности с учётом дивидендов.

По сравнению с широким рынком, где средние значения коэффициента Шарпа находятся в диапазоне от 0.54 до 1.03, текущий коэффициент Шарпа этого портфеля входит в верхние 25%. Это свидетельствует о высокой эффективности с учетом риска: при заданном уровне риска портфель показывает впечатляющую доходность по сравнению с большинством других.

Ниже представлен график исторического коэффициента Шарпа в сравнении с выбранным бенчмарком. Для более детального анализа или настройки параметров воспользуйтесь инструментом коэффициента Шарпа.

Загрузка...

Дивиденды

Дивидендный доход

Дивидендная доходность Dream за предыдущие двенадцать месяцев составила 0.77%.

TTM20242023202220212020201920182017201620152014
Портфель0.77%0.70%1.02%0.99%0.84%2.21%0.96%1.92%0.94%1.02%0.99%1.03%
Активы портфеля:
MSFT
Microsoft Corporation		0.71%0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%
MELI
MercadoLibre, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.19%0.38%0.36%0.52%
FTNT
Fortinet, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSTR
MicroStrategy Incorporated		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
META
Meta Platforms, Inc.		0.32%0.34%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
RHM.DE
Rheinmetall AG		0.46%0.93%1.50%1.77%2.41%5.54%2.05%2.20%1.37%1.72%0.49%1.10%
CCEP.L
Coca-Cola Europacific Partners plc		0.03%0.03%2.98%3.14%2.85%2.01%2.64%3.00%2.91%1.31%0.00%0.00%
PEN
Penumbra, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
STRL
Sterling Construction Company, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ICE
Intercontinental Exchange, Inc.		1.04%1.21%1.31%1.48%0.97%1.04%1.19%1.27%1.13%1.21%1.13%1.19%
AMZN
Amazon.com, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AAPL
Apple Inc		0.49%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
V
Visa Inc.		0.62%0.68%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%
LLY
Eli Lilly and Company		0.75%0.67%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%
TKO
TKO Group Holdings Inc.		0.23%0.00%4.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TSLA
Tesla, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SAP
SAP SE		0.85%0.97%1.41%2.58%1.56%1.31%1.27%1.73%1.18%1.52%1.50%3.39%
GOOGL
Alphabet Inc Class A		0.49%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVDA
NVIDIA Corporation		0.02%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
TDY
Teledyne Technologies Incorporated		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
RTX
Raytheon Technologies Corporation		1.38%2.14%2.76%2.14%2.33%2.64%1.96%2.66%2.13%2.39%2.66%2.05%
PLTR
Palantir Technologies Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BABA
Alibaba Group Holding Limited		0.53%0.78%1.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVGO
Broadcom Inc.		0.96%0.94%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%
BN
Brookfield Corp		0.56%0.56%0.87%1.89%0.86%1.16%1.45%1.57%1.69%1.58%1.98%1.76%
SCHW
The Charles Schwab Corporation		1.17%1.35%1.45%1.01%0.86%1.36%1.43%1.11%0.62%0.68%0.73%0.79%
SFM
Sprouts Farmers Market, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MNDY
monday.com Ltd.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CICHF
China Construction Bank Corporation		12.73%6.51%9.13%8.41%7.09%6.25%5.16%47.17%4.46%5.60%7.00%5.96%
AMD
Advanced Micro Devices, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMMT
Summit Therapeutics Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DRS
Leonardo DRS Inc. Common Stock		0.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CRSP
CRISPR Therapeutics AG		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CVS
CVS Health Corporation		4.17%5.93%3.06%2.36%1.94%2.93%2.69%3.05%2.76%2.15%1.43%1.14%
BYDDY
BYD Company Limited ADR		0.75%1.26%0.60%0.07%0.07%0.03%0.60%0.36%0.30%1.06%0.00%0.20%
MP
MP Materials Corp.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ISRG
Intuitive Surgical, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TPR
Tapestry, Inc.		1.70%2.14%3.53%2.89%1.23%1.09%5.01%4.00%3.05%3.85%4.12%3.59%
LEU
Centrus Energy Corp.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPOT
Spotify Technology S.A.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ACHR
Archer Aviation Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
III.L
3I Group plc		1.61%1.82%2.32%3.76%2.78%3.02%3.42%2.97%2.03%1.90%1.68%1.80%
UL
The Unilever Group		3.06%3.29%3.83%3.61%3.77%3.07%3.17%3.46%2.79%3.40%3.02%3.69%
RYCEY
Rolls-Royce Holdings plc		0.69%0.00%0.00%0.00%0.00%128.87%1.68%1.50%1.29%1.96%4.08%2.74%
VTR
Ventas, Inc.		2.82%3.06%3.61%4.00%3.52%4.37%5.49%5.40%5.19%4.74%5.04%4.15%
ADMA
ADMA Biologics, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LMT
Lockheed Martin Corporation		2.71%2.62%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%
WMT
Walmart Inc.		0.91%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
CHDN
Churchill Downs Incorporated		0.42%0.31%0.28%0.34%0.28%0.32%0.42%0.67%0.65%0.88%0.81%1.05%

Просадки

График просадок

На графике просадок отображаются убытки портфеля с любого максимума на всем периоде.

Загрузка...

Максимальные просадки

Dream показал максимальную просадку в 16.37%, зарегистрированную 8 апр. 2025 г.. Полное восстановление заняло 17 торговых сессий.

В таблице ниже показаны максимальные просадки. Максимальная просадка - показатель риска. Он показывает снижение стоимости портфеля от максимума после серии убыточных торгов.

Глубина

Начало

Падение

Дно

Восстановление

Окончание

Всего

-16.37%19 февр. 2025 г.358 апр. 2025 г.172 мая 2025 г.52
-8.54%17 июл. 2024 г.145 авг. 2024 г.815 авг. 2024 г.22
-7.31%28 мар. 2024 г.1619 апр. 2024 г.1613 мая 2024 г.32
-7.18%15 сент. 2023 г.3127 окт. 2023 г.1113 нояб. 2023 г.42
-5.92%29 нояб. 2024 г.1519 дек. 2024 г.2121 янв. 2025 г.36

Волатильность

График волатильности

Ниже представлен график, показывающий скользящую волатильность за один месяц.

Загрузка...

Диверсификация

Показатели диверсификации

Эффективное количество активов

Количество позиций в портфеле равно 49, при этом эффективное количество активов равно 38.17, отражая степень диверсификации исходя из весов активов в портфеле. Такое эффективное количество активов указывает на то, что инвестиции в портфеле распределены между большим числом позиций, что может свидетельствовать о хорошей диверсификации. Однако реальный уровень диверсификации также зависит от корреляции между активами.

Таблица корреляции активов

Таблица ниже отображает коэффициенты корреляции между отдельными компонентами портфеля, всем портфелем и выбранным бенчмарком.
^GSPCCICHFCCEP.LLMTRHM.DECVSULBYDDYRTXVTRWMTSMMTIII.LTKOBABALLYSFMPENLEUMPAAPLMSTRVSPOTADMARYCEYICECHDNMELICRSPTPRFTNTSCHWGOOGLTSLAACHRDRSMNDYNVDATDYMETAMSFTAMDSTRLSAPAVGOPLTRAMZNISRGBNPortfolio
^GSPC1.000.070.000.060.150.190.160.200.270.300.330.320.310.350.320.410.340.370.350.360.560.400.480.420.410.450.460.500.500.480.470.500.490.620.560.480.510.530.660.540.620.710.640.560.600.680.610.690.670.700.78
CICHF0.071.000.010.02-0.000.030.030.08-0.04-0.040.040.020.08-0.010.110.00-0.01-0.020.030.110.07-0.020.030.01-0.02-0.01-0.02-0.02-0.020.050.11-0.00-0.010.040.040.11-0.030.070.000.04-0.010.03-0.01-0.030.050.02-0.00-0.000.020.090.06
CCEP.L0.000.011.000.050.130.110.210.040.040.130.040.070.20-0.010.07-0.070.050.07-0.090.07-0.030.030.06-0.07-0.02-0.010.12-0.010.060.090.13-0.040.06-0.09-0.010.060.020.00-0.090.07-0.15-0.08-0.080.030.06-0.04-0.00-0.12-0.080.090.21
LMT0.060.020.051.000.080.260.27-0.020.450.200.15-0.010.00-0.03-0.020.050.10-0.010.050.09-0.03-0.020.23-0.09-0.030.140.250.100.00-0.04-0.02-0.010.11-0.07-0.040.010.23-0.06-0.180.22-0.15-0.10-0.110.060.02-0.09-0.05-0.090.050.100.02
RHM.DE0.15-0.000.130.081.000.060.030.090.170.130.040.070.260.070.070.110.100.030.050.07-0.040.100.150.110.050.330.180.080.050.050.100.040.08-0.020.090.070.200.040.110.130.070.060.050.160.200.110.130.010.080.190.16
CVS0.190.030.110.260.061.000.150.110.190.170.130.120.100.060.150.080.100.120.100.230.120.110.200.010.080.080.180.190.020.180.21-0.020.200.040.100.130.120.08-0.020.17-0.030.000.060.090.030.020.04-0.000.030.150.18
UL0.160.030.210.270.030.151.000.060.160.310.230.130.190.020.090.110.100.140.100.160.070.050.23-0.030.130.170.330.130.070.170.20-0.050.11-0.050.030.140.15-0.06-0.080.23-0.04-0.02-0.020.060.19-0.04-0.04-0.070.130.220.07
BYDDY0.200.080.04-0.020.090.110.061.000.050.050.070.220.040.090.590.090.020.090.170.250.170.140.110.090.100.050.080.190.150.270.180.100.100.200.190.240.180.130.170.120.110.100.190.200.130.150.210.140.120.220.25
RTX0.27-0.040.040.450.170.190.160.051.000.250.180.070.070.160.060.170.210.150.150.140.060.060.270.090.140.220.250.220.140.120.150.140.300.080.120.150.390.070.010.360.000.060.070.180.170.080.100.080.200.300.22
VTR0.30-0.040.130.200.130.170.310.050.251.000.250.160.060.110.130.230.190.190.090.200.150.080.290.060.160.160.400.210.190.200.230.170.260.070.180.200.280.07-0.030.300.060.070.090.120.200.040.180.060.230.360.24
WMT0.330.040.040.150.040.130.230.070.180.251.000.190.020.090.110.260.340.180.150.130.180.150.300.190.200.150.220.130.110.140.180.190.140.180.230.150.180.170.100.220.240.230.080.160.220.130.200.250.320.220.29
SMMT0.320.020.07-0.010.070.120.130.220.070.160.191.000.120.060.180.220.210.160.160.170.140.110.180.150.310.150.210.200.180.340.240.170.230.220.220.240.200.140.200.220.140.230.200.250.170.220.200.270.240.310.36
III.L0.310.080.200.000.260.100.190.040.070.060.020.121.000.090.140.100.180.160.180.290.090.240.190.170.160.430.260.130.240.200.240.180.200.110.180.290.230.240.200.160.180.140.210.290.330.250.220.130.230.390.37
TKO0.35-0.01-0.01-0.030.070.060.020.090.160.110.090.060.091.000.200.100.160.260.220.150.200.140.240.240.250.120.190.250.230.120.240.280.270.230.220.250.210.290.230.300.290.210.240.230.220.220.280.270.280.310.34
BABA0.320.110.07-0.020.070.150.090.590.060.130.110.180.140.201.000.090.070.110.260.310.260.200.170.130.130.100.150.240.220.300.260.180.160.250.240.300.160.150.210.220.220.170.280.190.210.220.210.230.180.310.35
LLY0.410.00-0.070.050.110.080.110.090.170.230.260.220.100.100.091.000.150.140.060.090.220.130.200.310.260.270.230.110.250.170.160.280.180.190.140.100.190.230.330.250.350.280.210.250.380.290.260.290.360.240.35
SFM0.34-0.010.050.100.100.100.100.020.210.190.340.210.180.160.070.151.000.180.270.170.090.300.210.280.310.170.210.200.250.170.290.230.270.160.230.250.320.270.230.290.250.170.230.340.230.220.270.220.300.310.37
PEN0.37-0.020.07-0.010.030.120.140.090.150.190.180.160.160.260.110.140.181.000.200.230.170.170.180.210.250.190.240.210.230.270.290.290.270.200.270.240.280.310.160.340.220.230.250.260.280.180.240.240.420.350.36
LEU0.350.03-0.090.050.050.100.100.170.150.090.150.160.180.220.260.060.270.201.000.320.100.300.170.230.250.290.170.240.250.270.240.240.220.210.240.370.250.220.260.280.240.180.300.320.210.300.230.270.280.300.38
MP0.360.110.070.090.070.230.160.250.140.200.130.170.290.150.310.090.170.230.321.000.090.280.150.130.280.210.230.220.200.330.340.200.300.190.310.420.220.230.120.310.230.130.250.220.250.210.300.220.190.420.40
AAPL0.560.07-0.03-0.03-0.040.120.070.170.060.150.180.140.090.200.260.220.090.170.100.091.000.170.260.220.160.150.200.290.290.270.210.270.170.460.410.230.140.250.310.220.350.470.340.180.370.360.340.440.360.310.40
MSTR0.40-0.020.03-0.020.100.110.050.140.060.080.150.110.240.140.200.130.300.170.300.280.171.000.110.260.320.250.180.240.230.330.270.230.250.290.340.420.310.250.320.180.290.270.360.360.310.260.360.300.330.330.56
V0.480.030.060.230.150.200.230.110.270.290.300.180.190.240.170.200.210.180.170.150.260.111.000.190.180.260.450.300.280.230.220.270.300.250.250.250.270.160.150.330.240.280.260.280.300.220.320.260.350.410.36
SPOT0.420.01-0.07-0.090.110.01-0.030.090.090.060.190.150.170.240.130.310.280.210.230.130.220.260.191.000.250.250.200.190.310.160.170.360.180.360.230.190.250.400.430.280.440.410.360.300.380.390.370.470.430.280.43
ADMA0.41-0.02-0.02-0.030.050.080.130.100.140.160.200.310.160.250.130.260.310.250.250.280.160.320.180.251.000.230.280.280.240.390.230.270.330.250.250.300.400.310.300.310.320.270.310.360.270.260.360.320.360.320.43
RYCEY0.45-0.01-0.010.140.330.080.170.050.220.160.150.150.430.120.100.270.170.190.290.210.150.250.260.250.231.000.290.230.270.250.240.240.250.220.200.250.330.270.320.310.320.290.290.380.440.370.320.270.370.430.44
ICE0.46-0.020.120.250.180.180.330.080.250.400.220.210.260.190.150.230.210.240.170.230.200.180.450.200.280.291.000.280.280.240.270.230.410.200.190.290.350.250.140.410.250.280.230.300.330.180.290.200.300.440.39
CHDN0.50-0.02-0.010.100.080.190.130.190.220.210.130.200.130.250.240.110.200.210.240.220.290.240.300.190.280.230.281.000.250.270.310.240.340.260.350.320.350.310.250.440.280.320.320.410.340.310.280.350.330.420.43
MELI0.50-0.020.060.000.050.020.070.150.140.190.110.180.240.230.220.250.250.230.250.200.290.230.280.310.240.270.280.251.000.240.210.310.300.340.300.270.300.380.370.270.330.350.420.340.320.310.350.390.400.390.52
CRSP0.480.050.09-0.040.050.180.170.270.120.200.140.340.200.120.300.170.170.270.270.330.270.330.230.160.390.250.240.270.241.000.360.220.300.280.350.460.310.290.280.300.230.270.300.280.280.310.370.320.300.430.45
TPR0.470.110.13-0.020.100.210.200.180.150.230.180.240.240.240.260.160.290.290.240.340.210.270.220.170.230.240.270.310.210.361.000.230.410.190.330.430.280.290.240.360.240.230.300.270.330.310.340.260.280.550.45
FTNT0.50-0.00-0.04-0.010.04-0.02-0.050.100.140.170.190.170.180.280.180.280.230.290.240.200.270.230.270.360.270.240.230.240.310.220.231.000.350.330.300.310.280.410.380.350.360.370.350.390.380.390.420.410.440.360.46
SCHW0.49-0.010.060.110.080.200.110.100.300.260.140.230.200.270.160.180.270.270.220.300.170.250.300.180.330.250.410.340.300.300.410.351.000.210.300.380.340.290.220.450.260.290.310.370.330.270.380.290.320.510.47
GOOGL0.620.04-0.09-0.07-0.020.04-0.050.200.080.070.180.220.110.230.250.190.160.200.210.190.460.290.250.360.250.220.200.260.340.280.190.330.211.000.410.280.210.330.440.190.560.640.480.290.350.430.360.630.420.380.46
TSLA0.560.04-0.01-0.040.090.100.030.190.120.180.230.220.180.220.240.140.230.270.240.310.410.340.250.230.250.200.190.350.300.350.330.300.300.411.000.380.280.370.350.280.360.410.400.330.290.440.480.440.360.410.51
ACHR0.480.110.060.010.070.130.140.240.150.200.150.240.290.250.300.100.250.240.370.420.230.420.250.190.300.250.290.320.270.460.430.310.380.280.381.000.340.320.250.340.230.250.320.320.310.290.450.300.330.510.52
DRS0.51-0.030.020.230.200.120.150.180.390.280.180.200.230.210.160.190.320.280.250.220.140.310.270.250.400.330.350.350.300.310.280.280.340.210.280.341.000.320.300.450.210.270.260.500.320.370.360.270.440.450.49
MNDY0.530.070.00-0.060.040.08-0.060.130.070.070.170.140.240.290.150.230.270.310.220.230.250.250.160.400.310.270.250.310.380.290.290.410.290.330.370.320.321.000.440.330.370.460.390.400.410.450.500.470.410.360.55
NVDA0.660.00-0.09-0.180.11-0.02-0.080.170.01-0.030.100.200.200.230.210.330.230.160.260.120.310.320.150.430.300.320.140.250.370.280.240.380.220.440.350.250.300.441.000.240.530.560.590.480.410.680.460.540.480.370.57
TDY0.540.040.070.220.130.170.230.120.360.300.220.220.160.300.220.250.290.340.280.310.220.180.330.280.310.310.410.440.270.300.360.350.450.190.280.340.450.330.241.000.220.280.340.410.380.310.350.280.440.530.49
META0.62-0.01-0.15-0.150.07-0.03-0.040.110.000.060.240.140.180.290.220.350.250.220.240.230.350.290.240.440.320.320.250.280.330.230.240.360.260.560.360.230.210.370.530.221.000.620.490.400.450.550.480.650.540.400.51
MSFT0.710.03-0.08-0.100.060.00-0.020.100.060.070.230.230.140.210.170.280.170.230.180.130.470.270.280.410.270.290.280.320.350.270.230.370.290.640.410.250.270.460.560.280.621.000.490.360.490.570.440.710.520.360.54
AMD0.64-0.01-0.08-0.110.050.06-0.020.190.070.090.080.200.210.240.280.210.230.250.300.250.340.360.260.360.310.290.230.320.420.300.300.350.310.480.400.320.260.390.590.340.490.491.000.390.440.570.450.490.500.400.57
STRL0.56-0.030.030.060.160.090.060.200.180.120.160.250.290.230.190.250.340.260.320.220.180.360.280.300.360.380.300.410.340.280.270.390.370.290.330.320.500.400.480.410.400.360.391.000.380.500.420.390.470.480.59
SAP0.600.050.060.020.200.030.190.130.170.200.220.170.330.220.210.380.230.280.210.250.370.310.300.380.270.440.330.340.320.280.330.380.330.350.290.310.320.410.410.380.450.490.440.381.000.400.370.450.470.440.55
AVGO0.680.02-0.04-0.090.110.02-0.040.150.080.040.130.220.250.220.220.290.220.180.300.210.360.260.220.390.260.370.180.310.310.310.310.390.270.430.440.290.370.450.680.310.550.570.570.500.401.000.520.560.460.420.58
PLTR0.61-0.00-0.00-0.050.130.04-0.040.210.100.180.200.200.220.280.210.260.270.240.230.300.340.360.320.370.360.320.290.280.350.370.340.420.380.360.480.450.360.500.460.350.480.440.450.420.370.521.000.480.420.470.63
AMZN0.69-0.00-0.12-0.090.01-0.00-0.070.140.080.060.250.270.130.270.230.290.220.240.270.220.440.300.260.470.320.270.200.350.390.320.260.410.290.630.440.300.270.470.540.280.650.710.490.390.450.560.481.000.520.380.56
ISRG0.670.02-0.080.050.080.030.130.120.200.230.320.240.230.280.180.360.300.420.280.190.360.330.350.430.360.370.300.330.400.300.280.440.320.420.360.330.440.410.480.440.540.520.500.470.470.460.420.521.000.460.58
BN0.700.090.090.100.190.150.220.220.300.360.220.310.390.310.310.240.310.350.300.420.310.330.410.280.320.430.440.420.390.430.550.360.510.380.410.510.450.360.370.530.400.360.400.480.440.420.470.380.461.000.64
Portfolio0.780.060.210.020.160.180.070.250.220.240.290.360.370.340.350.350.370.360.380.400.400.560.360.430.430.440.390.430.520.450.450.460.470.460.510.520.490.550.570.490.510.540.570.590.550.580.630.560.580.641.00
Результаты корреляции рассчитаны на основе ежедневных изменений цен, начиная с 13 сент. 2023 г.