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Инструменты
Анализ доходности
Факторный анализ
Портфели
Ленивые портфелиПользовательские портфели
Обсуждения
DANA mimic
Доходность
Риск-скорректированная доходность
Дивиденды
Просадки
Волатильность
Диверсификация

Распределение активов


GOOGL 4.6%AAPL 4.22%MSFT 3.84%AMZN 2.92%ABBV 2.87%DELL 2.53%AXP 2.5%MCK 2.38%PH 2.1%V 2.08%WFC 2.04%ADBE 2.03%ACN 2.02%AVGO 2.02%ORCL 2.02%BAC 2.01%UNH 2%CSCO 1.98%IBKR 1.95%MRK 1.86%MCHP 1.82%CMCSA 1.81%LECO 1.8%CAT 1.76%NVDA 1.75%MAR 1.74%ULTA 1.73%PHM 1.72%PXD 1.68%KMB 1.61%ELV 1.6%IQV 1.6%BK 1.59%CRM 1.58%BKR 1.53%KR 1.52%TPR 1.52%SYY 1.49%WDAY 1.49%IRM 1.47%MDLZ 1.45%MPC 1.39%IPG 1.36%NSC 1.34%JNJ 1.21%GPK 1.2%RTX 1.15%BSX 1.12%ALB 1.09%ES 1.08%META 1.04%COP 1%АкцииАкции
ПозицияКатегория/СекторВес
AAPL
Apple Inc
Technology
4.22%
ABBV
AbbVie Inc.
Healthcare
2.87%
ACN
Accenture plc
Technology
2.02%
ADBE
Adobe Inc
Technology
2.03%
ALB
Albemarle Corporation
Basic Materials
1.09%
AMZN
Amazon.com, Inc.
Consumer Cyclical
2.92%
AVGO
Broadcom Inc.
Technology
2.02%
AXP
American Express Company
Financial Services
2.50%
BAC
Bank of America Corporation
Financial Services
2.01%
BK
The Bank of New York Mellon Corporation
Financial Services
1.59%
BKR
Baker Hughes Company
Energy
1.53%
BSX
Boston Scientific Corporation
Healthcare
1.12%
CAT
Caterpillar Inc.
Industrials
1.76%
CMCSA
Comcast Corporation
Communication Services
1.81%
COP
ConocoPhillips Company
Energy
1%
CRM
salesforce.com, inc.
Technology
1.58%
CSCO
Cisco Systems, Inc.
Technology
1.98%
DELL
Dell Technologies Inc.
Technology
2.53%
ELV
Elevance Health Inc
Healthcare
1.60%
ES
Eversource Energy
Utilities
1.08%
GLPI
0.97%
GOOGL
4.60%
GPK
1.20%
IBKR
1.95%
IPG
1.36%
IQV
1.60%
IRM
1.47%
JNJ
1.21%
KMB
1.61%
KR
1.52%
LECO
1.80%
MAR
1.74%
MCHP
1.82%
MCK
2.38%
MDLZ
1.45%
META
1.04%
MPC
1.39%
MRK
1.86%
MSFT
3.84%
NEE
0.97%
NSC
1.34%
NVDA
1.75%
ORCL
2.02%
PH
2.10%
PHM
1.72%
PXD
1.68%
RGA
0.85%
RTX
1.15%
SYY
1.49%
TPR
1.52%
ULTA
1.73%
UNH
2%
V
2.08%
WDAY
1.49%
WFC
2.04%

Доходность

График доходности

График показывает рост $10,000 инвестированных в DANA mimic и сравнивает его с ростом индекса S&P 500 или другим бенчмарком. Цены представлены с поправкой на сплиты и дивиденды. Портфель ребалансируется раз в квартал


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.25%
11.72%
DANA mimic
Benchmark (^GSPC)
Активы портфеля

Самые ранние данные для этого графика доступны с 5 июл. 2017 г., начальной даты BKR

Доходность по периодам


С начала года1 месяц6 месяцев1 год5 лет (среднегодовая)10 лет (среднегодовая)
^GSPC
S&P 500
20.10%0.34%11.72%32.68%13.33%11.05%
DANA mimic21.97%0.43%10.25%36.34%22.24%N/A
AAPL
Apple Inc
16.22%-1.71%21.86%26.18%29.27%24.97%
ABBV
AbbVie Inc.
36.16%4.25%26.43%47.29%25.32%17.29%
ACN
Accenture plc
0.09%-2.59%14.78%13.99%14.62%17.56%
ADBE
Adobe Inc
-19.07%-4.55%-0.70%-13.59%11.71%21.16%
ALB
Albemarle Corporation
-31.22%4.43%-22.67%-20.03%10.05%6.77%
AMZN
Amazon.com, Inc.
30.27%7.13%6.29%43.35%17.21%29.38%
AVGO
Broadcom Inc.
52.96%-1.02%33.02%96.86%45.98%38.40%
AXP
American Express Company
47.30%0.92%18.83%82.93%19.68%13.23%
BAC
Bank of America Corporation
26.48%6.45%13.52%55.41%8.27%11.57%
BK
The Bank of New York Mellon Corporation
48.90%6.80%33.94%75.18%13.29%9.63%
BKR
Baker Hughes Company
12.97%1.69%19.30%9.35%15.02%N/A
BSX
Boston Scientific Corporation
44.65%-1.03%14.78%59.22%15.06%20.26%
CAT
Caterpillar Inc.
30.46%-3.31%13.60%61.31%24.05%17.56%
CMCSA
Comcast Corporation
2.32%5.47%14.36%5.57%1.98%7.08%
COP
ConocoPhillips Company
-5.15%-2.28%-10.57%-9.32%17.67%7.95%
CRM
salesforce.com, inc.
12.50%5.45%8.03%42.25%13.15%16.67%
CSCO
Cisco Systems, Inc.
13.43%5.47%19.70%8.64%6.65%11.82%
DELL
Dell Technologies Inc.
73.72%15.75%5.35%93.58%39.12%N/A
ELV
Elevance Health Inc
-11.39%-18.04%-20.96%-7.17%10.21%14.12%
ES
Eversource Energy
6.82%-4.51%8.52%22.76%-1.93%5.95%
GLPI
5.95%-2.60%19.05%15.57%10.00%N/A
GOOGL
22.93%3.27%2.68%34.69%22.01%N/A
GPK
15.94%-2.48%5.13%31.10%14.50%N/A
IBKR
86.40%7.82%28.53%92.57%27.61%N/A
IPG
-6.79%-5.12%-1.99%5.69%10.41%N/A
IQV
-9.60%-9.75%-6.36%9.82%7.36%N/A
IRM
76.93%1.47%63.05%110.64%36.68%N/A
JNJ
4.56%-0.65%8.96%9.96%6.98%N/A
KMB
13.45%-5.35%0.31%14.99%3.82%N/A
KR
24.19%-0.57%2.97%25.87%24.35%N/A
LECO
-10.53%0.25%-12.97%8.13%18.09%N/A
MAR
16.19%4.50%11.45%41.45%15.98%N/A
MCHP
-17.36%-6.20%-18.87%1.78%10.41%N/A
MCK
8.51%2.42%-5.12%12.39%30.60%N/A
MDLZ
-3.66%-5.26%-0.76%3.27%8.11%N/A
META
60.83%-0.91%25.83%83.13%24.12%N/A
MPC
-0.52%-12.04%-19.55%-4.73%20.98%N/A
MRK
-4.35%-8.71%-18.74%2.12%8.02%N/A
MSFT
8.65%-2.58%0.28%17.54%24.28%N/A
NEE
33.38%-7.23%14.46%36.33%8.62%N/A
NSC
7.77%1.38%6.90%32.78%7.76%N/A
NVDA
168.14%11.70%49.55%205.25%92.56%N/A
ORCL
61.14%0.30%45.68%58.97%26.99%N/A
PH
38.82%1.05%18.93%58.64%28.50%N/A
PHM
26.11%-9.61%11.40%62.69%27.91%N/A
PXD
21.21%0.00%0.00%12.40%22.06%N/A
RGA
32.25%-3.01%5.57%44.62%7.53%N/A
RTX
46.39%-2.46%20.68%49.89%9.65%N/A
SYY
5.29%-2.49%0.86%17.29%1.05%N/A
TPR
32.04%3.56%22.94%79.78%15.52%N/A
ULTA
-24.70%-1.31%-7.15%-2.98%9.64%N/A
UNH
8.49%-4.70%15.53%6.89%19.26%N/A
V
11.97%4.64%8.37%20.10%10.68%N/A
WDAY
-15.29%-1.39%-8.57%9.83%7.19%N/A
WFC
34.61%17.40%9.76%63.55%7.38%N/A

Доходность по месяцам

Ниже представлена таблица с месячной доходностью DANA mimic, 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
20242.87%5.73%4.15%-3.69%2.82%2.41%2.86%1.65%1.93%-0.76%21.97%
20238.21%-1.93%4.04%0.91%1.81%7.50%3.42%-1.12%-4.19%-1.65%9.02%5.17%34.71%
2022-2.92%-1.03%3.67%-7.68%2.10%-8.59%7.93%-2.98%-9.59%11.64%6.62%-5.20%-8.31%
2021-1.27%6.84%4.77%5.64%1.08%1.64%2.15%3.90%-4.11%7.61%-1.38%5.70%36.92%
2020-0.48%-7.42%-15.13%14.13%6.47%1.95%4.26%8.36%-4.38%-2.25%15.60%4.58%23.66%
20197.82%3.56%1.90%4.17%-7.31%6.19%1.58%-4.27%3.48%2.13%4.35%3.82%29.89%
20186.28%-2.88%-2.97%2.56%2.68%-0.34%3.66%4.44%0.27%-7.81%3.75%-8.64%-0.28%
20171.66%1.33%2.22%4.78%2.98%1.41%15.22%

Комиссия

Комиссия DANA mimic 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 ранг DANA mimic среди портфелей на нашем сайте составляет 86, что соответствует топ 14% по показателям риск-скорректированной доходности. Этот ранг определяется совокупными значениями показателей, перечисленных ниже.


Ранг риск-скорректированной доходности DANA mimic, с текущим значением в 8686
Общий ранг
Ранг коэф-та Шарпа DANA mimic, с текущим значением в 8585Ранг коэф-та Шарпа
Ранг коэф-та Сортино DANA mimic, с текущим значением в 8282Ранг коэф-та Сортино
Ранг коэф-та Омега DANA mimic, с текущим значением в 8787Ранг коэф-та Омега
Ранг коэф-та Кальмара DANA mimic, с текущим значением в 8989Ранг коэф-та Кальмара
Ранг коэф-та Мартина DANA mimic, с текущим значением в 8585Ранг 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.


DANA mimic
Коэффициент Шарпа
Коэффициент Шарпа DANA mimic, с текущим значением в 3.37, в сравнении с широким рынком0.002.004.003.37
Коэффициент Сортино
Коэффициент Сортино DANA mimic, с текущим значением в 4.47, в сравнении с широким рынком-2.000.002.004.006.004.47
Коэффициент Омега
Коэффициент Омега DANA mimic, с текущим значением в 1.63, в сравнении с широким рынком0.801.001.201.401.601.801.63
Коэффициент Кальмара
Коэффициент Кальмара DANA mimic, с текущим значением в 5.28, в сравнении с широким рынком0.002.004.006.008.0010.0012.0014.005.28
Коэффициент Мартина
Коэффициент Мартина DANA mimic, с текущим значением в 22.99, в сравнении с широким рынком0.0010.0020.0030.0040.0050.0022.99
^GSPC
Коэффициент Шарпа
Коэффициент Шарпа ^GSPC, с текущим значением в 2.88, в сравнении с широким рынком0.002.004.002.88
Коэффициент Сортино
Коэффициент Сортино ^GSPC, с текущим значением в 3.82, в сравнении с широким рынком-2.000.002.004.006.003.82
Коэффициент Омега
Коэффициент Омега ^GSPC, с текущим значением в 1.54, в сравнении с широким рынком0.801.001.201.401.601.801.54
Коэффициент Кальмара
Коэффициент Кальмара ^GSPC, с текущим значением в 3.52, в сравнении с широким рынком0.002.004.006.008.0010.0012.0014.003.52
Коэффициент Мартина
Коэффициент Мартина ^GSPC, с текущим значением в 18.62, в сравнении с широким рынком0.0010.0020.0030.0040.0050.0018.62

Активы портфеля
Коэффициент ШарпаКоэффициент СортиноКоэффициент ОмегаКоэффициент КальмараКоэффициент Мартина
AAPL
Apple Inc
1.271.921.241.734.11
ABBV
AbbVie Inc.
2.503.291.453.039.79
ACN
Accenture plc
0.731.101.160.571.28
ADBE
Adobe Inc
-0.33-0.250.96-0.31-0.68
ALB
Albemarle Corporation
-0.32-0.090.99-0.25-0.67
AMZN
Amazon.com, Inc.
1.672.311.301.717.57
AVGO
Broadcom Inc.
2.212.801.364.0012.29
AXP
American Express Company
3.884.681.664.0130.45
BAC
Bank of America Corporation
2.713.891.471.5011.45
BK
The Bank of New York Mellon Corporation
4.565.821.793.0446.80
BKR
Baker Hughes Company
0.450.801.100.501.33
BSX
Boston Scientific Corporation
3.694.981.688.6437.40
CAT
Caterpillar Inc.
2.663.331.453.609.78
CMCSA
Comcast Corporation
0.340.631.080.200.62
COP
ConocoPhillips Company
-0.23-0.180.98-0.23-0.42
CRM
salesforce.com, inc.
1.321.691.301.373.41
CSCO
Cisco Systems, Inc.
0.480.761.120.411.31
DELL
Dell Technologies Inc.
1.612.411.321.844.28
ELV
Elevance Health Inc
-0.27-0.210.97-0.22-0.93
ES
Eversource Energy
1.041.581.200.623.77
GLPI
1.051.491.191.042.75
GOOGL
1.371.901.261.624.12
GPK
1.291.891.241.656.87
IBKR
4.054.491.615.0726.91
IPG
0.400.701.090.291.53
IQV
0.541.041.130.501.70
IRM
4.565.341.7113.6239.15
JNJ
0.741.171.140.622.21
KMB
0.921.301.200.975.77
KR
1.202.001.241.774.80
LECO
0.410.731.100.330.61
MAR
1.872.431.332.175.96
MCHP
0.150.461.060.200.44
MCK
0.400.601.110.401.03
MDLZ
0.310.561.060.330.67
META
2.303.211.454.4213.97
MPC
-0.15-0.011.00-0.13-0.27
MRK
0.100.281.040.090.26
MSFT
0.931.301.171.183.01
NEE
1.532.031.271.027.27
NSC
1.352.251.261.074.40
NVDA
4.144.041.537.9024.93
ORCL
1.842.701.402.9510.89
PH
2.844.101.586.4718.60
PHM
2.212.951.374.6912.66
PXD
1.231.911.311.144.22
RGA
2.062.541.383.0611.91
RTX
3.014.881.602.1520.89
SYY
0.931.451.190.722.60
TPR
2.583.651.412.048.32
ULTA
-0.050.161.02-0.04-0.07
UNH
0.330.611.090.391.03
V
1.411.861.271.804.58
WDAY
0.330.691.100.320.58
WFC
2.663.411.462.4511.79

Коэффициент Шарпа

DANA mimic на текущий момент имеет коэффициент Шарпа равный 3.33. Это значение рассчитано на основе данных за прошедший период в 1 year и учитывает как изменения цен, так и дивиденды.

По сравнению с широким рынком, где средние значения коэффициента Шарпа находятся в диапазоне от 2.18 до 3.01, текущий коэффициент Шарпа этого портфеля входит в верхние 25%, что свидетельствует о выдающейся эффективности с учётом риска. Это означает, что портфель показывает впечатляющие доходы при принятом уровне риска, по сравнению с большинством других портфелей.

Используйте график ниже, чтобы сравнить коэффициент Шарпа с бенчмарком для анализа эффективности инвестиции или перейдите к инструменту коэффициента Шарпа для более детального контроля над параметрами расчета.


Скользящий 12-месячный коэффициент Шарпа1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.37
2.88
DANA mimic
Benchmark (^GSPC)
Активы портфеля

Дивиденды

Дивидендный доход

Дивидендная доходность DANA mimic за предыдущие двенадцать месяцев составила 1.50%.


TTM20232022202120202019201820172016201520142013
DANA mimic1.50%1.68%2.04%1.40%1.68%1.70%1.85%2.33%1.67%1.77%1.89%1.41%
AAPL
Apple Inc
0.44%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
ABBV
AbbVie Inc.
3.05%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
ACN
Accenture plc
1.55%1.33%1.51%0.87%1.26%1.07%1.98%1.66%1.97%2.03%2.18%2.12%
ADBE
Adobe 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%
ALB
Albemarle Corporation
1.63%1.11%0.73%0.67%1.04%2.01%1.74%1.00%1.42%2.07%1.83%1.51%
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%
AVGO
Broadcom Inc.
1.25%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
AXP
American Express Company
0.99%1.24%1.35%1.05%1.42%1.29%1.51%1.32%1.61%1.58%1.05%0.95%
BAC
Bank of America Corporation
2.35%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%0.26%
BK
The Bank of New York Mellon Corporation
2.36%3.04%3.12%2.24%2.92%2.34%2.21%1.60%1.52%1.65%1.63%1.66%
BKR
Baker Hughes Company
2.19%2.28%2.47%2.99%3.45%2.81%3.35%56.42%0.00%0.00%0.00%0.00%
BSX
Boston Scientific Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CAT
Caterpillar Inc.
1.43%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
CMCSA
Comcast Corporation
2.80%2.60%3.03%1.95%1.72%1.40%2.69%1.18%1.96%1.73%1.16%1.50%
COP
ConocoPhillips Company
2.71%3.34%4.20%2.69%4.23%2.05%1.86%1.93%1.99%6.30%4.11%3.82%
CRM
salesforce.com, inc.
0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CSCO
Cisco Systems, Inc.
2.86%3.07%3.17%2.32%3.20%2.88%2.95%2.95%3.28%3.02%2.66%2.27%
DELL
Dell Technologies Inc.
1.30%1.88%2.46%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ELV
Elevance Health Inc
1.54%1.26%1.00%0.98%1.18%1.06%1.14%1.20%1.81%1.79%1.39%1.62%
ES
Eversource Energy
4.43%4.37%3.04%2.65%2.62%2.52%3.11%3.01%3.22%3.27%2.93%3.47%
GLPI
6.04%6.38%5.37%5.90%3.63%6.30%7.88%6.69%7.50%7.77%48.78%0.00%
GOOGL
0.23%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GPK
1.41%1.62%1.46%1.54%1.77%1.80%2.82%2.43%1.80%1.56%0.00%0.00%
IBKR
0.46%0.48%0.55%0.50%0.66%0.86%0.73%0.68%1.10%0.92%1.37%1.64%
IPG
4.41%3.80%3.48%2.88%4.34%4.07%4.07%3.57%2.56%2.06%1.83%1.69%
IQV
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IRM
2.20%3.63%4.96%4.73%8.39%7.69%7.32%5.93%6.17%7.07%6.00%4.39%
JNJ
3.04%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
KMB
3.61%3.88%3.42%3.19%3.17%3.00%3.51%3.22%3.22%2.77%0.73%0.00%
KR
2.13%2.41%17.47%1.72%2.14%2.07%1.93%1.79%1.30%0.94%1.06%1.56%
LECO
1.47%1.21%1.61%1.50%1.70%1.96%2.08%1.57%1.71%2.29%1.42%1.16%
MAR
0.88%0.87%0.67%0.00%0.36%1.22%1.44%0.95%1.39%1.42%0.99%1.30%
MCHP
2.45%1.76%1.65%0.98%1.07%1.40%2.02%1.65%2.24%3.07%3.15%3.16%
MCK
0.51%0.50%0.54%0.72%0.95%1.16%1.32%0.80%0.80%0.53%0.46%0.55%
MDLZ
2.55%2.24%2.21%2.01%2.05%1.98%2.40%1.92%1.62%1.43%1.60%1.90%
META
0.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MPC
2.27%2.07%2.14%3.63%5.61%3.52%3.12%2.30%2.70%2.20%2.04%1.68%
MRK
3.01%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.42%3.11%3.45%
MSFT
0.74%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
NEE
2.54%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%3.08%
NSC
2.16%2.28%2.01%1.40%1.58%1.85%2.03%1.68%2.18%2.79%2.03%2.20%
NVDA
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
ORCL
0.95%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%
PH
0.98%1.25%1.73%1.25%1.29%1.65%1.97%1.32%1.80%2.60%1.61%1.38%
PHM
0.62%0.66%1.34%1.00%1.16%1.16%1.46%1.08%1.96%1.85%1.07%0.74%
PXD
2.14%6.21%11.14%3.76%1.93%0.79%0.24%0.04%0.04%0.05%0.05%0.04%
RGA
1.63%2.04%2.15%2.61%2.42%1.59%1.57%1.17%1.24%1.64%1.44%1.40%
RTX
2.02%2.76%2.14%2.33%2.64%2.09%2.84%2.27%2.55%2.84%2.19%2.06%
SYY
2.70%2.71%2.51%2.34%2.42%1.82%2.30%2.17%2.24%2.20%2.95%3.91%
TPR
2.95%3.53%2.89%1.23%1.09%5.01%4.00%3.05%3.85%4.12%3.59%2.34%
ULTA
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UNH
1.41%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%
V
0.72%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
WDAY
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WFC
1.69%2.64%2.66%1.25%4.04%3.57%3.56%2.54%2.75%2.71%2.46%2.53%

Просадки

График просадок

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


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.81%
-2.32%
DANA mimic
Benchmark (^GSPC)
Активы портфеля

Максимальные просадки

DANA mimic показал максимальную просадку в 36.56%, зарегистрированную 23 мар. 2020 г.. Полное восстановление заняло 107 торговых сессий.

Текущая просадка DANA mimic составляет 2.18%.

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

-36.56%20 февр. 2020 г.2323 мар. 2020 г.10724 авг. 2020 г.130
-20.13%30 мар. 2022 г.12830 сент. 2022 г.852 февр. 2023 г.213
-18.72%21 сент. 2018 г.6524 дек. 2018 г.661 апр. 2019 г.131
-10.52%29 янв. 2018 г.98 февр. 2018 г.8512 июн. 2018 г.94
-9.63%3 сент. 2020 г.1423 сент. 2020 г.339 нояб. 2020 г.47

Волатильность

График волатильности

Текущая волатильность DANA mimic составляет 2.80%, что отражает среднее процентное изменение стоимости инвестиций вверх или вниз за последний месяц. Ниже представлен график, показывающий скользящую волатильность за один месяц.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.80%
3.23%
DANA mimic
Benchmark (^GSPC)
Активы портфеля

Диверсификация

Таблица корреляции активов

Таблица ниже отображает коэффициенты корреляции между отдельными компонентами портфеля, всем портфелем и выбранным бенчмарком.

KRKMBESMRKNEEJNJMCKABBVPXDBKRUNHCOPELVULTAMDLZIRMWDAYPHMIBKRMETAGLPIMPCAMZNALBNVDASYYGPKDELLTPRRGACMCSACRMADBEORCLAVGOBSXWFCAAPLIPGRTXMARGOOGLNSCMSFTMCHPBKIQVBACCATVCSCOLECOACNAXPPH
KR1.000.280.190.200.160.220.260.160.120.100.170.120.180.130.290.210.030.120.100.080.110.140.080.120.070.240.220.110.110.160.170.060.100.160.090.110.140.090.140.180.070.080.190.120.090.180.110.170.170.100.230.180.130.110.15
KMB0.281.000.450.330.380.400.250.290.030.060.250.040.240.120.550.290.090.220.060.090.250.060.070.060.050.280.250.090.090.170.240.100.140.240.100.270.130.150.190.190.110.110.240.190.090.150.180.130.140.220.250.200.260.180.18
ES0.190.451.000.270.710.390.200.220.030.080.240.070.240.120.470.380.110.200.060.090.340.100.100.140.040.270.250.080.090.180.260.110.140.170.090.250.130.180.170.220.080.150.270.190.100.140.270.120.130.220.260.170.270.180.14
MRK0.200.330.271.000.240.510.370.430.150.160.360.190.360.140.370.200.140.140.180.140.240.190.120.100.080.230.250.170.130.240.250.170.180.250.120.350.190.190.190.260.140.200.240.240.110.240.300.210.230.300.290.240.280.230.22
NEE0.160.380.710.241.000.330.180.200.060.120.260.100.200.150.410.370.210.270.130.180.360.130.210.200.150.260.260.150.130.180.260.220.240.200.180.290.150.260.200.250.110.240.260.290.190.190.310.140.150.280.280.190.340.220.19
JNJ0.220.400.390.510.331.000.350.440.130.140.410.160.370.180.440.260.160.170.190.150.250.160.150.140.100.250.260.150.140.240.320.180.210.280.160.370.240.230.250.290.160.240.310.270.200.280.310.250.270.340.390.270.370.270.25
MCK0.260.250.200.370.180.351.000.360.240.210.410.270.430.210.340.230.140.210.220.170.230.290.150.200.150.290.270.250.190.320.270.170.180.270.200.350.260.220.260.330.220.220.300.240.180.300.270.290.280.290.320.290.300.290.32
ABBV0.160.290.220.430.200.440.361.000.230.200.380.230.370.180.330.220.200.170.210.190.240.270.180.150.180.250.240.200.190.260.280.240.240.250.210.370.270.240.260.300.210.270.290.270.230.280.350.260.290.330.350.260.320.260.30
PXD0.120.030.030.150.060.130.240.231.000.580.210.750.250.240.120.230.120.200.310.190.230.600.170.340.210.280.280.280.350.360.250.160.170.220.250.220.390.230.340.420.350.230.360.180.270.390.250.440.470.250.300.360.240.390.41
BKR0.100.060.080.160.120.140.210.200.581.000.200.630.220.270.140.250.150.230.310.170.250.560.160.360.190.300.300.300.350.380.260.180.150.240.250.220.390.220.350.400.350.230.360.180.320.400.280.440.480.240.310.390.270.400.44
UNH0.170.250.240.360.260.410.410.380.210.201.000.240.740.240.330.220.200.200.250.190.250.240.200.160.200.290.280.210.200.280.270.230.270.290.230.400.280.310.280.320.250.290.340.330.230.320.370.300.290.360.370.320.360.330.32
COP0.120.040.070.190.100.160.270.230.750.630.241.000.270.230.140.240.140.210.300.170.220.650.150.350.190.310.300.300.320.370.270.190.180.230.250.230.420.210.350.430.360.240.400.190.290.410.270.470.530.280.320.380.260.420.45
ELV0.180.240.240.360.200.370.430.370.250.220.740.271.000.260.320.240.170.210.260.180.260.290.180.210.170.320.310.240.230.340.300.210.240.310.200.390.310.250.310.360.280.250.340.280.210.350.370.340.320.330.350.330.320.360.33
ULTA0.130.120.120.140.150.180.210.180.240.270.240.230.261.000.210.250.280.350.290.250.310.290.270.350.280.390.340.320.470.310.310.270.260.260.290.310.320.270.400.350.410.290.360.280.360.340.360.370.340.330.320.370.350.400.41
MDLZ0.290.550.470.370.410.440.340.330.120.140.330.140.320.211.000.360.220.290.150.220.340.160.220.200.160.400.320.190.190.270.400.260.270.300.230.370.250.310.280.340.240.290.340.330.240.280.330.260.250.380.380.300.390.310.30
IRM0.210.290.380.200.370.260.230.220.230.250.220.240.240.250.361.000.220.380.200.260.490.260.230.320.230.330.330.280.330.300.320.250.250.320.310.320.300.300.380.350.320.260.360.290.310.330.360.320.360.300.340.400.420.380.38
WDAY0.030.090.110.140.210.160.140.200.120.150.200.140.170.280.220.221.000.310.300.490.300.190.530.280.500.230.200.340.270.180.310.680.660.410.440.370.190.480.250.250.340.510.290.590.470.240.470.230.240.480.430.300.520.330.31
PHM0.120.220.200.140.270.170.210.170.200.230.200.210.210.350.290.380.311.000.250.320.370.280.310.330.320.350.390.330.430.310.370.330.320.320.330.310.290.330.390.340.380.320.360.330.400.350.380.310.360.330.320.430.400.390.43
IBKR0.100.060.060.180.130.190.220.210.310.310.250.300.260.290.150.200.300.251.000.320.260.350.310.350.340.300.320.360.380.420.290.340.320.340.310.340.460.330.380.360.420.350.340.340.390.490.350.490.420.390.370.420.390.480.45
META0.080.090.090.140.180.150.170.190.190.170.190.170.180.250.220.260.490.320.321.000.290.210.610.320.550.200.200.370.280.220.350.530.600.420.500.360.240.540.280.230.350.670.270.610.460.300.400.300.290.470.400.330.450.360.35
GLPI0.110.250.340.240.360.250.230.240.230.250.250.220.260.310.340.490.300.370.260.291.000.280.250.330.250.410.360.300.340.330.350.320.320.310.300.360.310.320.380.370.370.300.380.320.340.330.390.320.340.390.380.380.400.410.39
MPC0.140.060.100.190.130.160.290.270.600.560.240.650.290.290.160.260.190.280.350.210.281.000.200.380.260.350.360.360.380.420.300.250.200.270.270.270.460.240.390.450.400.270.400.220.340.460.320.490.530.310.340.420.290.450.49
AMZN0.080.070.100.120.210.150.150.180.170.160.200.150.180.270.220.230.530.310.310.610.250.201.000.330.590.210.200.400.270.170.320.600.640.440.500.340.220.610.250.230.350.680.260.690.480.270.420.270.290.470.440.310.480.360.34
ALB0.120.060.140.100.200.140.200.150.340.360.160.350.210.350.200.320.280.330.350.320.330.380.331.000.390.300.380.350.440.350.290.320.320.310.390.280.380.370.390.370.410.340.400.320.490.410.400.430.500.330.360.500.390.450.52
NVDA0.070.050.040.080.150.100.150.180.210.190.200.190.170.280.160.230.500.320.340.550.250.260.590.391.000.180.210.470.330.210.280.560.620.440.650.330.260.570.260.240.360.570.290.630.630.320.420.300.350.450.440.370.490.370.41
SYY0.240.280.270.230.260.250.290.250.280.300.290.310.320.390.400.330.230.350.300.200.410.350.210.300.181.000.390.300.390.420.360.230.210.300.220.370.420.270.440.460.450.270.400.260.320.410.330.430.390.400.340.410.370.490.44
GPK0.220.250.250.250.260.260.270.240.280.300.280.300.310.340.320.330.200.390.320.200.360.360.200.380.210.391.000.290.410.440.360.220.210.320.280.340.420.260.440.440.370.250.460.240.350.460.360.460.480.330.370.520.360.430.50
DELL0.110.090.080.170.150.150.250.200.280.300.210.300.240.320.190.280.340.330.360.370.300.360.400.350.470.300.291.000.370.340.310.410.420.420.480.330.350.400.360.360.410.400.340.450.490.380.390.380.410.400.470.420.440.440.48
TPR0.110.090.090.130.130.140.190.190.350.350.200.320.230.470.190.330.270.430.380.280.340.380.270.440.330.390.410.371.000.390.350.300.270.330.350.320.470.310.500.420.490.310.440.280.440.470.360.500.480.350.370.490.370.490.53
RGA0.160.170.180.240.180.240.320.260.360.380.280.370.340.310.270.300.180.310.420.220.330.420.170.350.210.420.440.340.391.000.350.230.190.300.280.350.570.240.460.470.440.250.400.230.330.570.340.580.480.360.350.480.350.540.48
CMCSA0.170.240.260.250.260.320.270.280.250.260.270.270.300.310.400.320.310.370.290.350.350.300.320.290.280.360.360.310.350.351.000.350.350.330.330.360.390.360.500.360.380.380.390.370.380.390.380.410.390.400.460.390.430.440.39
CRM0.060.100.110.170.220.180.170.240.160.180.230.190.210.270.260.250.680.330.340.530.320.250.600.320.560.230.220.410.300.230.351.000.710.470.490.410.250.520.270.260.340.570.310.650.490.300.490.280.290.530.470.340.560.390.37
ADBE0.100.140.140.180.240.210.180.240.170.150.270.180.240.260.270.250.660.320.320.600.320.200.640.320.620.210.210.420.270.190.350.711.000.510.550.410.200.590.260.270.340.640.330.740.530.280.510.250.280.580.510.320.610.370.36
ORCL0.160.240.170.250.200.280.270.250.220.240.290.230.310.260.300.320.410.320.340.420.310.270.440.310.440.300.320.420.330.300.330.470.511.000.460.400.320.460.360.340.370.470.390.560.420.380.430.360.380.470.490.410.520.410.42
AVGO0.090.100.090.120.180.160.200.210.250.250.230.250.200.290.230.310.440.330.310.500.300.270.500.390.650.220.280.480.350.280.330.490.550.461.000.360.300.570.330.310.420.500.380.580.690.360.440.350.420.440.500.430.510.420.47
BSX0.110.270.250.350.290.370.350.370.220.220.400.230.390.310.370.320.370.310.340.360.360.270.340.280.330.370.340.330.320.350.360.410.410.400.361.000.310.380.350.390.400.420.390.450.380.370.490.340.380.500.420.390.500.460.42
WFC0.140.130.130.190.150.240.260.270.390.390.280.420.310.320.250.300.190.290.460.240.310.460.220.380.260.420.420.350.470.570.390.250.200.320.300.311.000.280.510.470.470.300.440.280.390.680.360.800.500.370.370.490.380.650.53
AAPL0.090.150.180.190.260.230.220.240.230.220.310.210.250.270.310.300.480.330.330.540.320.240.610.370.570.270.260.400.310.240.360.520.590.460.570.380.281.000.300.310.370.630.370.670.530.290.460.320.340.510.510.380.520.400.42
IPG0.140.190.170.190.200.250.260.260.340.350.280.350.310.400.280.380.250.390.380.280.380.390.250.390.260.440.440.360.500.460.500.270.260.360.330.350.510.301.000.460.490.330.450.290.430.520.400.540.490.390.440.510.440.560.52
RTX0.180.190.220.260.250.290.330.300.420.400.320.430.360.350.340.350.250.340.360.230.370.450.230.370.240.460.440.360.420.470.360.260.270.340.310.390.470.310.461.000.440.320.480.300.360.490.340.490.550.420.400.500.410.540.54
MAR0.070.110.080.140.110.160.220.210.350.350.250.360.280.410.240.320.340.380.420.350.370.400.350.410.360.450.370.410.490.440.380.340.340.370.420.400.470.370.490.441.000.400.430.380.490.460.410.500.520.460.410.500.430.570.55
GOOGL0.080.110.150.200.240.240.220.270.230.230.290.240.250.290.290.260.510.320.350.670.300.270.680.340.570.270.250.400.310.250.380.570.640.470.500.420.300.630.330.320.401.000.340.730.510.340.470.350.350.550.500.370.550.430.40
NSC0.190.240.270.240.260.310.300.290.360.360.340.400.340.360.340.360.290.360.340.270.380.400.260.400.290.400.460.340.440.400.390.310.330.390.380.390.440.370.450.480.430.341.000.360.430.490.440.510.570.440.460.560.500.510.60
MSFT0.120.190.190.240.290.270.240.270.180.180.330.190.280.280.330.290.590.330.340.610.320.220.690.320.630.260.240.450.280.230.370.650.740.560.580.450.280.670.290.300.380.730.361.000.540.310.520.310.320.590.540.370.630.420.42
MCHP0.090.090.100.110.190.200.180.230.270.320.230.290.210.360.240.310.470.400.390.460.340.340.480.490.630.320.350.490.440.330.380.490.530.420.690.380.390.530.430.360.490.510.430.541.000.430.500.440.480.470.510.510.540.480.55
BK0.180.150.140.240.190.280.300.280.390.400.320.410.350.340.280.330.240.350.490.300.330.460.270.410.320.410.460.380.470.570.390.300.280.380.360.370.680.290.520.490.460.340.490.310.431.000.390.760.570.410.430.550.440.630.58
IQV0.110.180.270.300.310.310.270.350.250.280.370.270.370.360.330.360.470.380.350.400.390.320.420.400.420.330.360.390.360.340.380.490.510.430.440.490.360.460.400.340.410.470.440.520.500.391.000.400.410.530.480.500.590.480.48
BAC0.170.130.120.210.140.250.290.260.440.440.300.470.340.370.260.320.230.310.490.300.320.490.270.430.300.430.460.380.500.580.410.280.250.360.350.340.800.320.540.490.500.350.510.310.440.760.401.000.580.420.440.550.410.690.60
CAT0.170.140.130.230.150.270.280.290.470.480.290.530.320.340.250.360.240.360.420.290.340.530.290.500.350.390.480.410.480.480.390.290.280.380.420.380.500.340.490.550.520.350.570.320.480.570.410.581.000.430.460.680.440.580.72
V0.100.220.220.300.280.340.290.330.250.240.360.280.330.330.380.300.480.330.390.470.390.310.470.330.450.400.330.400.350.360.400.530.580.470.440.500.370.510.390.420.460.550.440.590.470.410.530.420.431.000.510.440.610.570.48
CSCO0.230.250.260.290.280.390.320.350.300.310.370.320.350.320.380.340.430.320.370.400.380.340.440.360.440.340.370.470.370.350.460.470.510.490.500.420.370.510.440.400.410.500.460.540.510.430.480.440.460.511.000.480.580.460.49
LECO0.180.200.170.240.190.270.290.260.360.390.320.380.330.370.300.400.300.430.420.330.380.420.310.500.370.410.520.420.490.480.390.340.320.410.430.390.490.380.510.500.500.370.560.370.510.550.500.550.680.440.481.000.500.570.73
ACN0.130.260.270.280.340.370.300.320.240.270.360.260.320.350.390.420.520.400.390.450.400.290.480.390.490.370.360.440.370.350.430.560.610.520.510.500.380.520.440.410.430.550.500.630.540.440.590.410.440.610.580.501.000.500.52
AXP0.110.180.180.230.220.270.290.260.390.400.330.420.360.400.310.380.330.390.480.360.410.450.360.450.370.490.430.440.490.540.440.390.370.410.420.460.650.400.560.540.570.430.510.420.480.630.480.690.580.570.460.570.501.000.60
PH0.150.180.140.220.190.250.320.300.410.440.320.450.330.410.300.380.310.430.450.350.390.490.340.520.410.440.500.480.530.480.390.370.360.420.470.420.530.420.520.540.550.400.600.420.550.580.480.600.720.480.490.730.520.601.00
Результаты корреляции рассчитаны на основе ежедневных изменений цен, начиная с 6 июл. 2017 г.