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Портфели
Ленивые портфелиПользовательские портфели
Обсуждения

10-12

Последнее обновление 2 мар. 2024 г.

No bonds, No PARA

Распределение активов


JPST 23.22%BIL 5.55%SHV 5.59%XLC 4.01%XLP 4%XLV 3.81%HAL 2.38%AAL 2.37%BKR 2.37%CCL 2.37%CVS 2.37%DG 2.37%LULU 2.37%LUV 2.37%MRO 2.37%SLB 2.37%AMD 2.35%CTRA 2.35%CZR 2.35%DAL 2.35%FSLR 2.35%NCLH 2.35%NEM 2.35%PG 2.35%WBA 2.35%SLX 2.08%TMUS 1.64%HAS 1.48%MAT 1.38%ОблигацииОблигацииТоварные активыТоварные активыАкцииАкции
ПозицияКатегория/СекторВес
JPST
JPMorgan Ultra-Short Income ETF
Money Market, Actively Managed

23.22%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

5.55%

GLD
SPDR Gold Trust
Precious Metals, Gold

0.79%

SHV

5.59%

XLC

4.01%

XLP

4%

XLV

3.81%

HAL
Halliburton Company
Energy

2.38%

AAL
American Airlines Group Inc.
Industrials

2.37%

BKR
Baker Hughes Company
Energy

2.37%

CCL
Carnival Corporation & Plc
Consumer Cyclical

2.37%

CVS
CVS Health Corporation
Healthcare

2.37%

DG
Dollar General Corporation
Consumer Defensive

2.37%

LULU
Lululemon Athletica Inc.
Consumer Cyclical

2.37%

LUV
Southwest Airlines Co.
Industrials

2.37%

MRO
Marathon Oil Corporation
Energy

2.37%

SLB

2.37%

AMD
Advanced Micro Devices, Inc.
Technology

2.35%

CTRA
Coterra Energy Inc.
Energy

2.35%

CZR
Caesars Entertainment, Inc.
Consumer Cyclical

2.35%

DAL
Delta Air Lines, Inc.
Industrials

2.35%

FSLR
First Solar, Inc.
Technology

2.35%

NCLH

2.35%

NEM

2.35%

PG

2.35%

WBA

2.35%

SLX

2.08%

TMUS

1.64%

HAS
Hasbro, Inc.
Consumer Cyclical

1.48%

MAT
Mattel, Inc.
Consumer Cyclical

1.38%

NUE

0.90%

X

0.50%

CSCO
Cisco Systems, Inc.
Technology

0.19%

S&P 500

Доходность

График показывает рост $10,000 инвестированных в 10-12 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


50.00%60.00%70.00%80.00%90.00%OctoberNovemberDecember2024FebruaryMarch
69.00%
85.95%
10-12
Benchmark (^GSPC)
Активы портфеля

Самые ранние данные для этого графика доступны с 19 мая 2017 г., начальной даты JPST

Доходность по периодам


С начала года1 месяц6 месяцев1 год5 лет (среднегодовая)10 лет (среднегодовая)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
10-120.98%2.37%4.20%8.46%10.76%N/A
AAL
American Airlines Group Inc.
13.97%7.55%6.68%-4.28%-13.53%-7.79%
AMD
Advanced Micro Devices, Inc.
37.47%14.06%85.14%148.58%55.55%49.32%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.51%0.01%2.24%4.76%1.75%1.14%
BKR
Baker Hughes Company
-11.71%4.10%-17.55%-4.80%5.87%-1.60%
CCL
Carnival Corporation & Plc
-13.70%-2.68%1.72%44.01%-21.58%-7.04%
CSCO
Cisco Systems, Inc.
-3.45%-3.55%-15.06%1.20%1.75%11.75%
CTRA
Coterra Energy Inc.
1.72%5.74%-8.11%3.16%5.14%-0.40%
CVS
CVS Health Corporation
-5.63%1.03%14.44%-6.63%9.63%2.63%
CZR
Caesars Entertainment, Inc.
-8.36%-1.04%-22.94%-21.07%-0.93%23.10%
DAL
Delta Air Lines, Inc.
5.05%5.70%-1.12%9.31%-2.59%3.26%
DG
Dollar General Corporation
10.27%9.62%15.72%-30.32%5.65%10.68%
FSLR
First Solar, Inc.
-8.26%11.44%-15.20%-24.78%25.29%10.62%
GLD
SPDR Gold Trust
0.90%2.27%7.10%11.83%9.70%4.14%
HAL
Halliburton Company
-1.41%2.50%-9.72%-7.11%6.16%-2.94%
HAS
Hasbro, Inc.
-0.21%0.36%-28.89%-4.76%-7.37%2.24%
JPST
JPMorgan Ultra-Short Income ETF
0.88%0.31%3.08%5.33%2.41%N/A
LULU
Lululemon Athletica Inc.
-10.32%-0.84%13.44%44.71%25.28%24.85%
LUV
Southwest Airlines Co.
17.59%11.82%9.39%1.62%-7.79%4.95%
MAT
Mattel, Inc.
3.39%2.63%-12.54%8.08%6.06%-4.59%
MRO
Marathon Oil Corporation
2.30%10.05%-8.43%-5.65%9.39%-1.56%
NCLH
-3.74%8.74%17.62%18.85%-18.99%N/A
NEM
-22.83%-7.18%-17.11%-25.65%2.71%N/A
NUE
9.57%3.99%11.20%8.30%29.21%N/A
PG
9.08%0.48%4.11%15.56%12.76%N/A
SHV
0.82%0.38%2.65%5.18%1.87%N/A
SLB
-4.63%1.29%-16.70%-10.07%5.44%N/A
SLX
-3.85%2.69%6.61%3.74%16.81%N/A
TMUS
2.30%1.39%19.96%16.09%18.51%N/A
WBA
-16.76%-4.00%-5.01%-36.27%-15.03%N/A
X
-2.46%3.49%53.09%52.16%19.10%N/A
XLC
10.13%0.35%19.84%47.49%12.43%N/A
XLP
3.37%0.39%4.70%5.38%9.50%N/A
XLV
7.30%3.06%10.50%15.19%12.10%N/A

Доходность по месяцам


янв.февр.мартапр.майиюньиюльавг.сент.окт.нояб.дек.
2024-1.99%2.63%
2023-3.13%-3.23%-3.11%4.46%5.60%

Коэффициент Шарпа

10-12 на текущий момент имеет коэффициент Шарпа равный 1.04. Коэффициент Шарпа более 1,0 считается приемлемым.

0.002.004.001.04

Коэффициент Шарпа 10-12 находится в нижней четверти, что указывает на то, что этот портфель не показывает хороших результатов в плане доходности с поправкой на риск по сравнению с другими. Это может быть связано с низкой доходностью, высокой волатильностью или с обоими факторами. Это может быть признаком того, что портфель нуждается в доработке.


Скользящий 12-месячный коэффициент Шарпа0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.04
2.44
10-12
Benchmark (^GSPC)
Активы портфеля

Дивидендный доход

Дивидендная доходность 10-12 за предыдущие двенадцать месяцев составила 2.92%.


TTM20232022202120202019201820172016201520142013
10-122.92%2.82%1.72%1.12%1.38%2.05%1.90%2.52%0.84%1.03%0.79%0.99%
AAL
American Airlines Group Inc.
0.00%0.00%0.00%0.00%0.63%1.39%1.25%0.77%0.86%0.94%0.37%0.00%
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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.11%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
BKR
Baker Hughes Company
2.67%2.28%2.47%2.99%3.45%2.81%3.35%57.49%1.05%1.47%1.14%1.09%
CCL
Carnival Corporation & Plc
0.00%0.00%0.00%0.00%2.31%3.93%3.96%2.41%2.59%2.02%2.21%2.49%
CSCO
Cisco Systems, Inc.
3.22%3.07%3.17%2.32%3.20%2.88%2.95%2.95%3.28%3.02%2.66%2.27%
CTRA
Coterra Energy Inc.
4.51%4.58%10.13%5.89%2.46%1.87%1.00%0.53%0.31%0.41%0.24%0.14%
CVS
CVS Health Corporation
3.36%3.06%2.36%1.94%2.93%2.69%3.05%2.76%2.15%1.43%1.14%1.26%
CZR
Caesars Entertainment, 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%
DAL
Delta Air Lines, Inc.
0.71%0.50%0.00%0.00%1.00%2.57%2.63%1.81%1.37%0.89%0.61%0.44%
DG
Dollar General Corporation
1.58%1.30%1.06%0.69%0.67%0.80%1.05%0.84%1.35%1.22%0.00%0.00%
FSLR
First Solar, 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%
GLD
SPDR 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%
HAL
Halliburton Company
1.35%1.77%1.22%0.79%1.67%2.94%2.71%1.47%1.33%2.12%1.60%1.03%
HAS
Hasbro, Inc.
5.57%5.48%4.56%2.67%2.91%2.53%3.03%2.44%2.56%2.69%3.07%2.18%
JPST
JPMorgan Ultra-Short Income ETF
5.01%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%0.00%
LULU
Lululemon Athletica 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%
LUV
Southwest Airlines Co.
2.12%3.12%0.00%0.00%0.39%1.30%1.30%0.73%0.75%0.66%0.52%0.69%
MAT
Mattel, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.92%5.52%5.59%4.91%3.03%
MRO
Marathon Oil Corporation
1.71%1.70%1.18%1.10%1.20%1.47%1.39%1.18%1.16%5.40%2.83%2.04%
NCLH
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NEM
5.01%3.87%4.66%3.55%1.74%3.31%1.58%0.65%0.36%0.54%1.16%5.23%
NUE
1.09%1.19%1.52%1.50%3.03%2.85%2.97%2.38%2.52%3.70%3.02%2.76%
PG
2.37%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.31%2.78%2.91%
SHV
4.97%4.73%1.39%0.00%0.74%2.19%1.66%0.72%0.34%0.03%0.00%0.00%
SLB
2.08%1.92%1.22%1.67%4.01%4.98%5.54%2.97%2.38%2.87%1.87%1.39%
SLX
2.91%2.80%4.97%7.07%1.87%2.76%6.25%2.43%1.06%5.34%3.26%1.97%
TMUS
0.80%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%12.04%
WBA
7.86%7.35%5.13%3.62%4.64%3.04%2.46%2.13%1.78%1.64%1.71%2.05%
X
0.42%0.41%0.80%0.34%0.24%1.75%1.10%0.57%0.61%2.51%0.75%0.68%
XLC
0.75%0.82%1.10%0.74%0.68%0.82%0.64%0.00%0.00%0.00%0.00%0.00%
XLP
2.54%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%2.40%2.39%
XLV
1.48%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%

Комиссия

Комиссия 10-12 составляет 0.09%, что ниже среднего уровня по рынку. Ниже вы найдете коэффициенты расходов позиций портфеля для легкого сравнения их относительной стоимости.


0.50%1.00%1.50%2.00%0.14%
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.18%

Риск-скорректированная доходность

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.


Коэффициент ШарпаКоэффициент СортиноКоэффициент ОмегаКоэффициент КальмараИндекс Язвы
^GSPC
S&P 500
2.44
10-12
1.04
AAL
American Airlines Group Inc.
-0.06
AMD
Advanced Micro Devices, Inc.
3.34
BIL
SPDR Barclays 1-3 Month T-Bill ETF
9.79
BKR
Baker Hughes Company
-0.04
CCL
Carnival Corporation & Plc
1.05
CSCO
Cisco Systems, Inc.
0.16
CTRA
Coterra Energy Inc.
0.29
CVS
CVS Health Corporation
-0.29
CZR
Caesars Entertainment, Inc.
-0.37
DAL
Delta Air Lines, Inc.
0.33
DG
Dollar General Corporation
-0.80
FSLR
First Solar, Inc.
-0.38
GLD
SPDR Gold Trust
1.01
HAL
Halliburton Company
-0.11
HAS
Hasbro, Inc.
-0.08
JPST
JPMorgan Ultra-Short Income ETF
6.05
LULU
Lululemon Athletica Inc.
1.56
LUV
Southwest Airlines Co.
0.10
MAT
Mattel, Inc.
0.35
MRO
Marathon Oil Corporation
-0.09
NCLH
0.54
NEM
-0.74
NUE
0.44
PG
1.25
SHV
15.43
SLB
-0.25
SLX
0.29
TMUS
0.96
WBA
-0.99
X
1.03
XLC
2.92
XLP
0.64
XLV
1.54

Таблица корреляции активов

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

BILJPSTSHVGLDNEMDGPGCTRAAMDTMUSFSLRLULUCVSMATXLPMROBKRHASWBASLBXNCLHXLVLUVHALCSCOAALCCLCZRDALNUEXLCSLX
BIL1.000.160.380.01-0.00-0.00-0.000.010.01-0.030.02-0.00-0.030.02-0.01-0.01-0.01-0.01-0.03-0.030.000.030.000.01-0.020.020.020.03-0.040.01-0.01-0.000.01
JPST0.161.000.230.190.140.050.070.010.030.070.040.060.010.060.08-0.040.000.060.02-0.040.010.010.060.01-0.040.03-0.010.030.05-0.010.020.100.02
SHV0.380.231.000.140.10-0.010.03-0.05-0.01-0.04-0.04-0.02-0.07-0.030.02-0.07-0.07-0.03-0.05-0.09-0.07-0.01-0.01-0.05-0.100.00-0.04-0.01-0.05-0.03-0.09-0.03-0.08
GLD0.010.190.141.000.630.020.110.040.070.040.060.04-0.03-0.050.110.040.09-0.030.020.050.05-0.040.07-0.030.060.02-0.05-0.030.04-0.020.020.080.14
NEM-0.000.140.100.631.000.140.210.110.120.140.140.110.090.050.240.110.170.100.130.120.170.040.210.040.160.150.030.040.110.050.170.170.27
DG-0.000.05-0.010.020.141.000.370.130.210.310.220.310.280.200.480.080.100.280.320.090.170.100.370.170.090.300.140.130.180.170.230.300.20
PG-0.000.070.030.110.210.371.000.120.130.340.130.220.320.170.800.050.120.250.290.080.110.050.510.130.090.380.100.070.090.140.220.300.18
CTRA0.010.01-0.050.040.110.130.121.000.150.130.220.150.280.250.220.540.450.220.330.510.310.220.240.260.510.260.260.220.240.260.340.240.39
AMD0.010.03-0.010.070.120.210.130.151.000.330.360.460.150.320.210.190.180.320.220.170.270.310.350.250.200.430.290.320.380.280.280.570.35
TMUS-0.030.07-0.040.040.140.310.340.130.331.000.280.350.300.260.440.150.190.300.250.190.260.220.470.240.190.420.220.220.310.260.310.510.33
FSLR0.020.04-0.040.060.140.220.130.220.360.281.000.350.160.320.230.270.250.300.240.250.320.330.320.290.280.330.310.330.360.310.330.410.42
LULU-0.000.06-0.020.040.110.310.220.150.460.350.351.000.160.370.340.190.180.400.210.160.280.320.410.330.210.430.320.320.400.300.330.540.35
CVS-0.030.01-0.07-0.030.090.280.320.280.150.300.160.161.000.260.460.300.290.290.560.330.310.260.570.280.320.390.280.280.290.290.370.310.38
MAT0.020.06-0.03-0.050.050.200.170.250.320.260.320.370.261.000.310.330.290.650.330.310.370.400.330.400.320.360.410.400.440.400.400.450.45
XLP-0.010.080.020.110.240.480.800.220.210.440.230.340.460.311.000.190.240.390.480.220.230.220.630.290.220.500.260.240.250.310.360.450.35
MRO-0.01-0.04-0.070.040.110.080.050.540.190.150.270.190.300.330.191.000.670.260.360.740.450.360.250.330.760.320.330.360.370.340.460.310.58
BKR-0.010.00-0.070.090.170.100.120.450.180.190.250.180.290.290.240.671.000.290.340.730.420.340.280.340.730.340.350.340.340.350.440.310.57
HAS-0.010.06-0.03-0.030.100.280.250.220.320.300.300.400.290.650.390.260.291.000.360.280.330.380.390.410.320.430.380.390.420.390.400.480.43
WBA-0.030.02-0.050.020.130.320.290.330.220.250.240.210.560.330.480.360.340.361.000.370.380.380.460.400.360.430.410.390.370.410.420.400.45
SLB-0.03-0.04-0.090.050.120.090.080.510.170.190.250.160.330.310.220.740.730.280.371.000.460.360.260.360.860.310.360.370.380.370.470.300.59
X0.000.01-0.070.050.170.170.110.310.270.260.320.280.310.370.230.450.420.330.380.461.000.390.300.380.480.320.410.400.400.390.730.350.75
NCLH0.030.01-0.01-0.040.040.100.050.220.310.220.330.320.260.400.220.360.340.380.380.360.391.000.280.630.380.310.680.890.590.680.390.460.47
XLV0.000.06-0.010.070.210.370.510.240.350.470.320.410.570.330.630.250.280.390.460.260.300.281.000.290.270.590.280.280.370.300.400.570.43
LUV0.010.01-0.05-0.030.040.170.130.260.250.240.290.330.280.400.290.330.340.410.400.360.380.630.291.000.370.350.740.620.510.790.410.420.45
HAL-0.02-0.04-0.100.060.160.090.090.510.200.190.280.210.320.320.220.760.730.320.360.860.480.380.270.371.000.330.360.370.390.370.490.310.62
CSCO0.020.030.000.020.150.300.380.260.430.420.330.430.390.360.500.320.340.430.430.310.320.310.590.350.331.000.340.320.400.360.410.590.45
AAL0.02-0.01-0.04-0.050.030.140.100.260.290.220.310.320.280.410.260.330.350.380.410.360.410.680.280.740.360.341.000.700.520.840.430.430.47
CCL0.030.03-0.01-0.030.040.130.070.220.320.220.330.320.280.400.240.360.340.390.390.370.400.890.280.620.370.320.701.000.590.680.410.460.47
CZR-0.040.05-0.050.040.110.180.090.240.380.310.360.400.290.440.250.370.340.420.370.380.400.590.370.510.390.400.520.591.000.520.410.550.49
DAL0.01-0.01-0.03-0.020.050.170.140.260.280.260.310.300.290.400.310.340.350.390.410.370.390.680.300.790.370.360.840.680.521.000.440.440.48
NUE-0.010.02-0.090.020.170.230.220.340.280.310.330.330.370.400.360.460.440.400.420.470.730.390.400.410.490.410.430.410.410.441.000.410.78
XLC-0.000.10-0.030.080.170.300.300.240.570.510.410.540.310.450.450.310.310.480.400.300.350.460.570.420.310.590.430.460.550.440.411.000.49
SLX0.010.02-0.080.140.270.200.180.390.350.330.420.350.380.450.350.580.570.430.450.590.750.470.430.450.620.450.470.470.490.480.780.491.00

График просадок

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
10-12
Benchmark (^GSPC)
Активы портфеля

Максимальные просадки

10-12 показал максимальную просадку в 27.66%, зарегистрированную 23 мар. 2020 г.. Полное восстановление заняло 52 торговые сессии.

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

-27.66%21 янв. 2020 г.4423 мар. 2020 г.525 июн. 2020 г.96
-16.66%20 апр. 2022 г.11430 сент. 2022 г.18730 июн. 2023 г.301
-14.33%24 сент. 2018 г.6424 дек. 2018 г.22615 нояб. 2019 г.290
-13.71%9 июн. 2020 г.1426 июн. 2020 г.9916 нояб. 2020 г.113
-9.68%1 авг. 2023 г.6327 окт. 2023 г.3619 дек. 2023 г.99

График волатильности

Текущая волатильность 10-12 составляет 2.58%, что отражает среднее процентное изменение стоимости инвестиций вверх или вниз за последний месяц. Ниже представлен график, показывающий скользящую волатильность за один месяц.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.58%
3.47%
10-12
Benchmark (^GSPC)
Активы портфеля
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