PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Nighthawk

Last updated Mar 2, 2024

Asset Allocation


CAT 20%GOOG 20%TSLA 20%CME 20%COST 20%EquityEquity
PositionCategory/SectorWeight
CAT
Caterpillar Inc.
Industrials

20%

GOOG
Alphabet Inc.
Communication Services

20%

TSLA
Tesla, Inc.
Consumer Cyclical

20%

CME
CME Group Inc.
Financial Services

20%

COST
Costco Wholesale Corporation
Consumer Defensive

20%

S&P 500

Performance

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


200.00%400.00%600.00%800.00%OctoberNovemberDecember2024FebruaryMarch
821.49%
171.98%
Nighthawk
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 3, 2014, corresponding to the inception date of GOOG

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Nighthawk2.38%4.34%10.29%34.72%34.53%N/A
CAT
Caterpillar Inc.
14.40%6.86%18.78%34.56%23.08%16.44%
GOOG
Alphabet Inc.
-2.02%-3.80%0.94%46.86%19.05%N/A
TSLA
Tesla, Inc.
-18.45%7.84%-17.29%2.45%61.80%28.18%
CME
CME Group Inc.
4.09%6.13%11.93%24.05%8.67%15.78%
COST
Costco Wholesale Corporation
13.70%5.63%41.30%62.45%30.23%23.10%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-3.73%6.30%
20231.22%-1.56%-7.46%8.91%7.73%

Sharpe Ratio

The current Nighthawk Sharpe ratio is 2.06. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.06

The Sharpe ratio of Nighthawk lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.06
2.44
Nighthawk
Benchmark (^GSPC)
Portfolio components

Dividend yield

Nighthawk granted a 1.69% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Nighthawk1.69%1.83%1.55%1.12%1.78%1.23%1.22%2.20%1.86%2.76%1.64%1.70%
CAT
Caterpillar Inc.
1.51%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
GOOG
Alphabet 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%
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%
CME
CME Group Inc.
4.40%4.58%5.05%3.00%3.24%2.74%2.42%4.20%4.90%5.41%4.38%5.61%
COST
Costco Wholesale Corporation
2.55%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%1.01%

Expense Ratio

The Nighthawk 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

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Nighthawk
2.06
CAT
Caterpillar Inc.
1.35
GOOG
Alphabet Inc.
1.88
TSLA
Tesla, Inc.
-0.00
CME
CME Group Inc.
1.40
COST
Costco Wholesale Corporation
3.66

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

CMETSLACATCOSTGOOG
CME1.000.140.250.280.28
TSLA0.141.000.250.260.38
CAT0.250.251.000.270.36
COST0.280.260.271.000.43
GOOG0.280.380.360.431.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Nighthawk
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Nighthawk. 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 Nighthawk was 35.62%, occurring on Mar 23, 2020. Recovery took 72 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.62%Feb 20, 202023Mar 23, 202072Jul 6, 202095
-29.88%Apr 5, 2022190Jan 5, 2023130Jul 14, 2023320
-15.02%Jul 21, 2015143Feb 11, 201626Mar 21, 2016169
-13.84%Jan 5, 202234Feb 23, 202223Mar 28, 202257
-13.79%Dec 4, 201814Dec 24, 2018136Jul 11, 2019150

Volatility Chart

The current Nighthawk volatility is 3.42%, 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%OctoberNovemberDecember2024FebruaryMarch
3.42%
3.47%
Nighthawk
Benchmark (^GSPC)
Portfolio components
0 comments