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Reversion Plays 10Y Sharpe
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Reversion Plays 10Y Sharpe

Last updated Sep 17, 2024

Asset Allocation

ABBV 10%ARGX 10%HCA 10%MRNA 10%TMUS 10%UNH 10%WRB 10%KNSL 10%ADP 10%ELV 10%EquityEquity
PositionCategory/SectorWeight
ABBV
AbbVie Inc.		Healthcare
10%
ADP
Automatic Data Processing, Inc.		Industrials
10%
ARGX
argenx SE		Healthcare
10%
ELV
Elevance Health Inc		Healthcare
10%
HCA
HCA Healthcare, Inc.		Healthcare
10%
KNSL
Kinsale Capital Group, Inc.		Financial Services
10%
MRNA
Moderna, Inc.		Healthcare
10%
TMUS
T-Mobile US, Inc.		Communication Services
10%
UNH
UnitedHealth Group Incorporated		Healthcare
10%
WRB
W. R. Berkley Corporation		Financial Services
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Reversion Plays 10Y 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

0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
12.43%
9.39%
Reversion Plays 10Y Sharpe
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 7, 2018, corresponding to the inception date of MRNA

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
Reversion Plays 10Y Sharpe25.74%0.87%12.43%23.74%30.52%N/A
Portfolio components:
ABBV
AbbVie Inc.		29.27%0.47%11.17%33.01%27.90%17.40%
ARGX
argenx SE		41.40%2.46%48.79%1.89%33.32%N/A
HCA
HCA Healthcare, Inc.		49.89%8.12%23.76%58.67%27.47%19.38%
MRNA
Moderna, Inc.		-30.45%-20.35%-33.66%-39.64%31.33%N/A
TMUS
T-Mobile US, Inc.		29.82%5.07%28.64%47.29%21.26%21.49%
UNH
UnitedHealth Group Incorporated		13.22%2.35%21.90%22.89%22.50%22.89%
WRB
W. R. Berkley Corporation		25.74%2.07%4.49%41.16%15.19%17.67%
KNSL
Kinsale Capital Group, Inc.		35.55%-6.17%-12.01%10.82%35.08%N/A
ADP
Automatic Data Processing, Inc.		21.58%6.03%16.44%16.17%14.50%16.75%
ELV
Elevance Health Inc		18.47%2.11%8.91%26.80%18.56%17.96%

Monthly Returns

The table below presents the monthly returns of Reversion Plays 10Y Sharpe, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.37%3.86%4.06%-6.47%6.14%-0.43%9.08%2.04%25.74%
2023-0.59%-3.45%1.22%0.26%-4.83%4.65%5.51%-0.77%-0.87%-5.45%4.28%2.13%1.40%
2022-10.82%4.19%8.19%-6.31%2.95%0.15%5.39%-2.41%-4.64%15.45%4.62%-4.35%10.04%
20211.87%1.42%1.75%8.35%2.32%3.46%9.16%2.13%-4.92%6.07%-1.87%9.82%46.07%
2020-1.72%1.82%-8.84%15.67%16.36%0.31%7.86%2.20%-1.37%-0.67%27.16%-4.25%61.94%
20196.77%8.92%-2.30%3.71%-1.26%1.62%-0.17%-0.50%-0.69%6.31%7.09%2.68%36.35%
2018-5.49%-5.49%

Expense Ratio

Reversion Plays 10Y Sharpe has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Reversion Plays 10Y Sharpe is 37, 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.

The Risk-Adjusted Performance Rank of Reversion Plays 10Y Sharpe is 3737
Reversion Plays 10Y Sharpe
The Sharpe Ratio Rank of Reversion Plays 10Y Sharpe is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of Reversion Plays 10Y Sharpe is 2626Sortino Ratio Rank
The Omega Ratio Rank of Reversion Plays 10Y Sharpe is 3535Omega Ratio Rank
The Calmar Ratio Rank of Reversion Plays 10Y Sharpe is 6161Calmar Ratio Rank
The Martin Ratio Rank of Reversion Plays 10Y Sharpe is 3232Martin 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.

Reversion Plays 10Y Sharpe
Sharpe ratio
The chart of Sharpe ratio for Reversion Plays 10Y Sharpe, currently valued at 1.65, compared to the broader market-1.000.001.002.003.004.001.65
Sortino ratio
The chart of Sortino ratio for Reversion Plays 10Y Sharpe, currently valued at 2.24, compared to the broader market-2.000.002.004.006.002.24
Omega ratio
The chart of Omega ratio for Reversion Plays 10Y Sharpe, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Reversion Plays 10Y Sharpe, currently valued at 2.13, compared to the broader market0.002.004.006.008.002.13
Martin ratio
The chart of Martin ratio for Reversion Plays 10Y Sharpe, currently valued at 7.76, compared to the broader market0.0010.0020.0030.007.76
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ABBV
AbbVie Inc.		1.672.181.312.005.66
ARGX
argenx SE		0.060.381.060.070.13
HCA
HCA Healthcare, Inc.		2.302.881.392.0312.68
MRNA
Moderna, Inc.		-0.64-0.710.91-0.45-1.47
TMUS
T-Mobile US, Inc.		3.294.571.604.3922.23
UNH
UnitedHealth Group Incorporated		1.071.621.211.183.22
WRB
W. R. Berkley Corporation		1.822.421.352.446.93
KNSL
Kinsale Capital Group, Inc.		0.230.611.110.300.53
ADP
Automatic Data Processing, Inc.		0.811.101.170.723.04
ELV
Elevance Health Inc		1.381.911.261.329.27

Sharpe Ratio

The current Reversion Plays 10Y Sharpe Sharpe ratio is 1.65. 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 1.63 to 2.29, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Reversion Plays 10Y Sharpe 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.65
1.96
Reversion Plays 10Y Sharpe
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Reversion Plays 10Y Sharpe granted a 1.19% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Reversion Plays 10Y Sharpe1.19%1.28%0.99%1.08%1.04%1.30%1.30%0.98%1.15%0.99%1.01%2.11%
Portfolio components:
ABBV
AbbVie Inc.		3.15%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
ARGX
argenx SE		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HCA
HCA Healthcare, Inc.		0.64%0.89%0.93%0.75%0.47%1.08%1.12%0.00%0.00%0.00%0.00%0.00%
MRNA
Moderna, 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%
TMUS
T-Mobile US, Inc.		1.26%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%12.04%
UNH
UnitedHealth Group Incorporated		1.35%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%
WRB
W. R. Berkley Corporation		2.19%2.67%1.21%2.42%0.67%2.41%2.79%2.12%2.20%0.75%2.67%0.77%
KNSL
Kinsale Capital Group, Inc.		0.13%0.17%0.20%0.18%0.18%0.31%0.50%0.53%0.29%0.00%0.00%0.00%
ADP
Automatic Data Processing, Inc.		2.01%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.11%2.22%
ELV
Elevance Health Inc		1.15%1.26%1.00%0.98%1.18%1.06%1.14%1.20%1.81%1.79%1.39%1.62%

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%AprilMayJuneJulyAugustSeptember
-0.58%
-0.60%
Reversion Plays 10Y Sharpe
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Reversion Plays 10Y 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 Reversion Plays 10Y Sharpe was 28.24%, occurring on Mar 23, 2020. Recovery took 32 trading sessions.

The current Reversion Plays 10Y Sharpe drawdown is 0.58%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.24%Feb 20, 202023Mar 23, 202032May 7, 202055
-14.73%Dec 30, 202120Jan 27, 202242Mar 29, 202262
-14.01%Apr 11, 202247Jun 16, 202232Aug 3, 202279
-12.28%Dec 14, 20187Dec 24, 201825Jan 31, 201932
-11.72%Aug 16, 202229Sep 26, 202224Oct 28, 202253

Volatility

Volatility Chart

The current Reversion Plays 10Y Sharpe volatility is 2.26%, 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%AprilMayJuneJulyAugustSeptember
2.26%
4.09%
Reversion Plays 10Y Sharpe
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.
MRNAARGXKNSLABBVTMUSHCAWRBUNHELVADP
MRNA1.000.230.130.130.160.130.050.080.080.18
ARGX0.231.000.200.230.270.230.140.190.190.25
KNSL0.130.201.000.210.290.280.480.230.230.41
ABBV0.130.230.211.000.250.320.290.370.380.35
TMUS0.160.270.290.251.000.300.320.320.320.41
HCA0.130.230.280.320.301.000.400.390.440.43
WRB0.050.140.480.290.320.401.000.350.400.48
UNH0.080.190.230.370.320.390.351.000.750.40
ELV0.080.190.230.380.320.440.400.751.000.40
ADP0.180.250.410.350.410.430.480.400.401.00
The correlation results are calculated based on daily price changes starting from Dec 10, 2018