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RUT2PEG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

RUT2PEG

Last updated Nov 15, 2024

Russell 2000: Price/Free Cash Flow Low(<15%), PEG Low (<1), Current Ratio Over 2, Op margin positive, Quick Ratio Over 1.5, Net Profit margin Positive, Cap weighted.

Asset Allocation

UFPI 12%MLI 8%MDC 8%MHO 6%WIRE 5%TGNA 5%WHD 5%CVCO 4%IDCC 4%CARG 4%LRN 4%AMK 3%VGR 3%LPG 3%LNN 3%PRG 3%ADEA 2%BXC 2%SLCA 2%MED 2%CCRN 2%MOV 2%DXPE 2%OSUR 2%SD 2%MPX 2%EquityEquity
PositionCategory/SectorWeight
ADEA
Adeia Inc		Technology
2%
AMK
AssetMark Financial Holdings, Inc.		Financial Services
3%
BXC
BlueLinx Holdings Inc.		Industrials
2%
CARG
CarGurus, Inc.		Communication Services
4%
CCRN
Cross Country Healthcare, Inc.		Healthcare
2%
CVCO
Cavco Industries, Inc.		Consumer Cyclical
4%
DXPE
DXP Enterprises, Inc.		Industrials
2%
IDCC
InterDigital, Inc.		Communication Services
4%
LNN
Lindsay Corporation		Industrials
3%
LPG
Dorian LPG Ltd.		Energy
3%
LRN
Stride, Inc.		Consumer Defensive
4%
MDC
M.D.C. Holdings, Inc.		Consumer Cyclical
8%
MED
Medifast, Inc.		Consumer Cyclical
2%
MHO
M/I Homes, Inc.		Consumer Cyclical
6%
MLI
Mueller Industries, Inc.		Industrials
8%
MOV
Movado Group, Inc.		Consumer Cyclical
2%
MPX
Marine Products Corporation		Consumer Cyclical
2%
OSUR
OraSure Technologies, Inc.		Healthcare
2%
PRG
PROG Holdings, Inc.		Industrials
3%
SD
SandRidge Energy, Inc.		Energy
2%
SLCA
2%
TGNA
5%
UFPI
12%
VGR
3%
WHD
5%
WIRE
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in RUT2PEG, 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

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.84%
12.31%
RUT2PEG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 18, 2019, corresponding to the inception date of AMK

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
RUT2PEG22.26%5.25%16.84%38.77%26.76%N/A
Portfolio components:
UFPI
6.08%-2.57%11.15%20.83%22.98%N/A
MLI
Mueller Industries, Inc.		93.20%23.73%55.73%120.00%44.06%21.42%
MDC
M.D.C. Holdings, Inc.		15.00%0.00%0.00%43.36%15.97%N/A
MHO
M/I Homes, Inc.		12.44%-8.71%21.33%51.98%29.15%21.33%
WIRE
35.72%0.00%2.78%44.68%38.36%N/A
TGNA
21.50%11.45%22.60%17.07%5.89%N/A
WHD
45.53%7.35%28.93%52.29%17.69%N/A
CVCO
Cavco Industries, Inc.		34.14%5.84%25.06%60.33%19.42%20.18%
IDCC
InterDigital, Inc.		69.23%17.76%67.67%93.51%28.08%16.04%
CARG
CarGurus, Inc.		48.55%14.12%50.80%73.89%-1.99%N/A
LRN
Stride, Inc.		67.80%41.12%41.24%74.74%37.70%22.89%
AMK
AssetMark Financial Holdings, Inc.		17.66%0.00%3.62%37.28%7.89%N/A
VGR
39.63%0.00%38.85%49.67%20.01%N/A
LPG
Dorian LPG Ltd.		-29.68%-14.93%-33.20%-17.10%33.65%13.37%
LNN
Lindsay Corporation		-2.83%4.15%5.77%0.37%8.15%5.27%
PRG
PROG Holdings, Inc.		56.12%-2.05%33.03%66.23%-0.57%7.83%
ADEA
Adeia Inc		-4.60%-2.67%1.63%21.85%9.04%3.55%
BXC
BlueLinx Holdings Inc.		7.09%11.36%18.88%39.91%54.84%26.54%
SLCA
36.96%0.00%-0.13%36.12%27.09%N/A
MED
Medifast, Inc.		-72.81%2.70%-27.92%-73.29%-22.38%-1.98%
CCRN
Cross Country Healthcare, Inc.		-55.79%-18.75%-32.04%-50.81%-3.93%0.54%
MOV
Movado Group, Inc.		-32.63%3.41%-26.96%-29.60%-0.45%0.10%
DXPE
DXP Enterprises, Inc.		106.59%27.46%36.64%128.11%12.10%0.74%
OSUR
OraSure Technologies, Inc.		-51.34%-0.99%-23.71%-42.51%-13.01%-7.63%
SD
SandRidge Energy, Inc.		-1.78%2.80%-11.70%-9.77%33.79%N/A
MPX
Marine Products Corporation		-3.56%2.78%-3.85%10.38%-3.10%6.77%

Monthly Returns

The table below presents the monthly returns of RUT2PEG, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.47%1.81%5.49%-4.12%4.79%-2.65%12.81%-1.27%1.95%-1.49%22.26%
202315.51%0.67%-2.08%-0.42%0.54%14.36%4.89%-3.98%-3.72%-4.06%10.88%13.62%52.80%
2022-6.74%5.23%-2.37%-3.59%2.91%-11.84%16.51%-7.53%-9.76%13.33%6.11%-4.35%-6.27%
20215.31%10.38%5.92%4.40%4.73%-3.18%-0.42%4.95%-3.72%8.43%3.11%5.16%54.20%
2020-3.65%-8.64%-26.41%20.69%10.28%4.67%13.77%0.43%-4.95%-2.83%17.56%6.14%18.84%
20194.99%-4.76%4.95%3.92%-0.44%1.13%9.81%

Expense Ratio

RUT2PEG 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 RUT2PEG is 40, 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 RUT2PEG is 4040
Combined Rank
The Sharpe Ratio Rank of RUT2PEG is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of RUT2PEG is 3030Sortino Ratio Rank
The Omega Ratio Rank of RUT2PEG is 2424Omega Ratio Rank
The Calmar Ratio Rank of RUT2PEG is 8888Calmar Ratio Rank
The Martin Ratio Rank of RUT2PEG is 3535Martin 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.

RUT2PEG
Sharpe ratio
The chart of Sharpe ratio for RUT2PEG, currently valued at 2.02, compared to the broader market0.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for RUT2PEG, currently valued at 2.92, compared to the broader market-2.000.002.004.006.002.92
Omega ratio
The chart of Omega ratio for RUT2PEG, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.802.001.35
Calmar ratio
The chart of Calmar ratio for RUT2PEG, currently valued at 5.28, compared to the broader market0.005.0010.0015.005.28
Martin ratio
The chart of Martin ratio for RUT2PEG, currently valued at 12.32, compared to the broader market0.0010.0020.0030.0040.0050.0012.32
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UFPI
0.641.121.131.272.49
MLI
Mueller Industries, Inc.		3.624.881.5910.7136.75
MDC
M.D.C. Holdings, Inc.		1.936.532.682.1845.36
MHO
M/I Homes, Inc.		1.321.881.232.565.60
WIRE
1.892.941.543.7714.53
TGNA
0.551.031.120.421.96
WHD
1.412.131.261.408.81
CVCO
Cavco Industries, Inc.		1.692.371.283.808.60
IDCC
InterDigital, Inc.		3.354.841.715.1213.62
CARG
CarGurus, Inc.		1.992.931.371.2614.00
LRN
Stride, Inc.		1.533.571.453.0012.87
AMK
AssetMark Financial Holdings, Inc.		2.233.541.581.497.32
VGR
1.602.471.391.728.41
LPG
Dorian LPG Ltd.		-0.42-0.360.96-0.38-0.78
LNN
Lindsay Corporation		0.010.291.030.010.04
PRG
PROG Holdings, Inc.		1.542.341.301.1110.74
ADEA
Adeia Inc		0.520.931.140.861.82
BXC
BlueLinx Holdings Inc.		0.911.511.181.232.36
SLCA
1.162.711.410.708.80
MED
Medifast, Inc.		-1.36-2.580.68-0.78-1.22
CCRN
Cross Country Healthcare, Inc.		-1.04-1.500.81-0.69-1.57
MOV
Movado Group, Inc.		-0.88-1.090.85-0.54-1.47
DXPE
DXP Enterprises, Inc.		2.773.841.484.1713.64
OSUR
OraSure Technologies, Inc.		-1.05-1.560.82-0.53-1.14
SD
SandRidge Energy, Inc.		-0.33-0.270.97-0.20-0.81
MPX
Marine Products Corporation		0.250.661.080.210.92

Sharpe Ratio

The current RUT2PEG Sharpe ratio is 2.02. 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 1.86 to 2.73, 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 RUT2PEG 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.02
2.66
RUT2PEG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

RUT2PEG provided a 1.86% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.86%2.03%2.53%1.25%1.16%1.55%1.79%1.80%1.13%1.28%1.17%0.86%
Portfolio components:
UFPI
0.98%0.88%1.20%0.71%0.90%0.84%1.39%0.85%0.85%1.20%1.15%0.79%
MLI
Mueller Industries, Inc.		0.83%1.27%2.54%0.88%1.14%1.26%1.71%9.60%0.94%1.11%0.88%0.79%
MDC
M.D.C. Holdings, Inc.		0.87%3.80%6.33%2.99%2.86%3.09%4.27%2.91%3.71%3.92%3.78%0.00%
MHO
M/I Homes, 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%
WIRE
0.02%0.04%0.06%0.04%0.17%0.14%0.16%0.16%0.18%0.16%0.21%0.18%
TGNA
2.64%2.73%1.79%1.91%2.01%1.68%2.58%2.13%2.62%2.35%2.51%2.70%
WHD
0.75%1.01%0.88%1.00%1.38%0.26%0.00%0.00%0.00%0.00%0.00%0.00%
CVCO
Cavco Industries, 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%
IDCC
InterDigital, Inc.		0.91%1.34%2.83%1.95%2.31%2.57%2.11%1.64%0.99%1.63%1.13%1.02%
CARG
CarGurus, 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%
LRN
Stride, 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%
AMK
AssetMark Financial Holdings, 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%
VGR
5.34%7.09%6.75%4.94%6.87%11.66%16.05%6.98%6.87%6.62%7.33%9.54%
LPG
Dorian LPG Ltd.		14.52%9.12%29.02%7.88%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LNN
Lindsay Corporation		1.14%1.07%0.82%0.86%0.99%1.29%1.27%1.34%1.53%1.52%1.24%0.59%
PRG
PROG Holdings, Inc.		0.75%0.00%0.00%0.00%0.26%0.25%0.30%0.28%0.32%0.42%0.28%0.24%
ADEA
Adeia Inc		1.71%1.61%2.11%2.44%5.51%9.96%10.02%6.16%4.17%6.14%5.28%7.01%
BXC
BlueLinx Holdings 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%
SLCA
0.00%0.00%0.00%0.00%0.28%4.07%2.46%0.77%0.44%2.34%1.95%1.10%
MED
Medifast, Inc.		0.00%7.36%5.69%2.71%2.30%3.08%1.75%2.06%2.57%0.82%0.00%0.00%
CCRN
Cross Country Healthcare, 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%
MOV
Movado Group, Inc.		7.21%7.96%4.34%2.27%0.00%3.68%2.53%1.61%1.81%1.71%1.41%0.59%
DXPE
DXP Enterprises, 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%
OSUR
OraSure 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%
SD
SandRidge Energy, Inc.		15.57%16.09%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MPX
Marine Products Corporation		12.84%4.91%4.25%3.68%2.75%4.03%2.96%2.59%1.73%3.31%1.90%1.49%

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%JuneJulyAugustSeptemberOctoberNovember
-2.88%
-0.87%
RUT2PEG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the RUT2PEG. 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 RUT2PEG was 46.18%, occurring on Mar 18, 2020. Recovery took 92 trading sessions.

The current RUT2PEG drawdown is 2.88%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.18%Jan 17, 202042Mar 18, 202092Jul 29, 2020134
-20.99%Nov 17, 2021215Sep 26, 202275Jan 12, 2023290
-13.26%Aug 18, 202026Sep 23, 202038Nov 16, 202064
-12.95%May 10, 202149Jul 19, 202129Aug 27, 202178
-12.4%Aug 1, 202358Oct 20, 202329Dec 1, 202387

Volatility

Volatility Chart

The current RUT2PEG volatility is 6.48%, 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%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.48%
3.81%
RUT2PEG
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.
LRNOSURLPGCCRNSDSLCAMEDTGNACARGMPXVGRAMKWHDADEAMDCIDCCLNNPRGMOVBXCWIREDXPEMHOCVCOMLIUFPI
LRN1.000.220.120.180.190.130.170.120.230.200.120.200.160.210.140.210.220.220.220.210.230.220.210.230.250.24
OSUR0.221.000.140.160.120.110.260.130.280.240.150.200.130.270.230.260.210.230.200.180.170.150.250.250.210.24
LPG0.120.141.000.170.370.310.180.220.160.220.250.210.400.250.210.240.250.230.260.230.290.310.230.240.330.28
CCRN0.180.160.171.000.200.220.240.280.200.250.300.250.250.280.220.270.280.260.320.280.290.330.250.290.410.31
SD0.190.120.370.201.000.510.230.250.220.270.240.240.570.290.190.260.280.240.340.260.350.420.210.230.360.30
SLCA0.130.110.310.220.511.000.220.260.230.280.260.250.590.270.250.280.320.280.350.280.390.430.240.260.380.32
MED0.170.260.180.240.230.221.000.280.330.290.320.300.240.320.320.340.310.360.350.340.300.290.370.370.380.41
TGNA0.120.130.220.280.250.260.281.000.220.300.370.300.310.320.300.320.350.320.380.320.300.410.320.360.440.40
CARG0.230.280.160.200.220.230.330.221.000.290.240.310.230.380.380.410.310.360.340.380.310.310.410.430.390.42
MPX0.200.240.220.250.270.280.290.300.291.000.310.320.310.290.340.330.370.330.360.340.330.360.380.410.440.47
VGR0.120.150.250.300.240.260.320.370.240.311.000.360.330.310.320.370.370.350.370.360.360.400.320.360.450.44
AMK0.200.200.210.250.240.250.300.300.310.320.361.000.290.340.360.390.350.380.360.330.370.340.360.400.440.41
WHD0.160.130.400.250.570.590.240.310.230.310.330.291.000.330.280.330.380.330.350.320.400.500.310.330.450.40
ADEA0.210.270.250.280.290.270.320.320.380.290.310.340.331.000.330.460.370.390.400.380.370.400.360.370.470.43
MDC0.140.230.210.220.190.250.320.300.380.340.320.360.280.331.000.380.360.430.370.480.440.340.760.620.430.60
IDCC0.210.260.240.270.260.280.340.320.410.330.370.390.330.460.381.000.410.380.380.390.440.390.390.440.520.49
LNN0.220.210.250.280.280.320.310.350.310.370.370.350.380.370.360.411.000.410.410.420.470.460.400.430.560.54
PRG0.220.230.230.260.240.280.360.320.360.330.350.380.330.390.430.380.411.000.460.450.430.420.480.490.500.51
MOV0.220.200.260.320.340.350.350.380.340.360.370.360.350.400.370.380.410.461.000.410.440.440.400.430.490.48
BXC0.210.180.230.280.260.280.340.320.380.340.360.330.320.380.480.390.420.450.411.000.450.400.530.520.500.61
WIRE0.230.170.290.290.350.390.300.300.310.330.360.370.400.370.440.440.470.430.440.451.000.490.460.450.590.55
DXPE0.220.150.310.330.420.430.290.410.310.360.400.340.500.400.340.390.460.420.440.400.491.000.400.420.580.52
MHO0.210.250.230.250.210.240.370.320.410.380.320.360.310.360.760.390.400.480.400.530.460.401.000.670.500.66
CVCO0.230.250.240.290.230.260.370.360.430.410.360.400.330.370.620.440.430.490.430.520.450.420.671.000.530.66
MLI0.250.210.330.410.360.380.380.440.390.440.450.440.450.470.430.520.560.500.490.500.590.580.500.531.000.68
UFPI0.240.240.280.310.300.320.410.400.420.470.440.410.400.430.600.490.540.510.480.610.550.520.660.660.681.00
The correlation results are calculated based on daily price changes starting from Jul 19, 2019