PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Mr
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

Mr

Last updated Sep 21, 2024

Asset Allocation

MSFT 66.79%ABBV 29.69%ARQT 1.56%VOD 1.54%EquityEquity
PositionCategory/SectorWeight
ABBV
AbbVie Inc.		Healthcare
29.69%
ALLO
Allogene Therapeutics, Inc.		Healthcare
0.43%
ARQT
Arcutis Biotherapeutics, Inc.		Healthcare
1.56%
MSFT
Microsoft Corporation		Technology
66.79%
VOD
Vodafone Group Plc		Communication Services
1.54%

Transactions

DateTypeSymbolQuantityPrice
Dec 20, 2022BuyAbbVie Inc.1$90.00
Dec 20, 2022BuyAllogene Therapeutics, Inc.1$27.00
Dec 20, 2022BuyArcutis Biotherapeutics, Inc.1$17.00
Dec 20, 2022BuyMicrosoft Corporation1$90.00
Dec 20, 2022BuyVodafone Group Plc1$20.00

1–5 of 5

Performance

Performance Chart

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

40.00%60.00%80.00%100.00%120.00%140.00%160.00%AprilMayJuneJulyAugustSeptember
167.09%
49.37%
Mr
Benchmark (^GSPC)
Portfolio components

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.81%11.08%
Mr19.33%2.39%3.50%33.33%N/AN/A
Portfolio components:
ABBV
AbbVie Inc.		28.38%-2.07%10.43%31.56%27.11%17.40%
ALLO
Allogene Therapeutics, Inc.		-12.77%7.28%-34.27%-23.29%-38.55%N/A
ARQT
Arcutis Biotherapeutics, Inc.		214.24%3.26%5.62%88.66%N/AN/A
MSFT
Microsoft Corporation		16.38%4.43%1.89%38.34%26.85%26.95%
VOD
Vodafone Group Plc		20.96%2.98%22.37%10.94%-6.01%-5.17%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.19%5.84%2.00%-8.73%4.44%7.06%-2.02%1.71%19.33%
2023-0.28%1.48%8.41%3.15%-0.21%2.18%2.36%-2.84%-2.76%2.24%8.30%2.17%26.24%
202277.31%77.31%

Expense Ratio

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 Mr is 52, 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 Mr is 5252
Mr
The Sharpe Ratio Rank of Mr is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of Mr is 4646Sortino Ratio Rank
The Omega Ratio Rank of Mr is 4646Omega Ratio Rank
The Calmar Ratio Rank of Mr is 8484Calmar Ratio Rank
The Martin Ratio Rank of Mr is 3636Martin 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.

Mr
Sharpe ratio
The chart of Sharpe ratio for Mr, currently valued at 2.17, compared to the broader market-1.000.001.002.003.004.005.002.17
Sortino ratio
The chart of Sortino ratio for Mr, 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 Mr, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for Mr, currently valued at 3.41, compared to the broader market0.002.004.006.008.0010.003.41
Martin ratio
The chart of Martin ratio for Mr, currently valued at 10.79, compared to the broader market0.0010.0020.0030.0040.0010.79
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ABBV
AbbVie Inc.		1.632.131.302.085.49
ALLO
Allogene Therapeutics, Inc.		-0.310.081.01-0.34-0.68
ARQT
Arcutis Biotherapeutics, Inc.		0.771.701.200.812.11
MSFT
Microsoft Corporation		1.862.421.312.377.24
VOD
Vodafone Group Plc		0.410.751.090.371.49

Sharpe Ratio

The current Mr Sharpe ratio is 2.17. 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 1.91 to 2.59, 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 Mr 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
2.17
2.32
Mr
Benchmark (^GSPC)
Portfolio components

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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.72%
-0.19%
Mr
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Mr. 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 Mr was 9.34%, occurring on Apr 30, 2024. Recovery took 32 trading sessions.

The current Mr drawdown is 0.72%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.34%Mar 15, 202432Apr 30, 202432Jun 14, 202464
-8.61%Jul 8, 202421Aug 5, 2024———
-8.36%Jul 19, 202354Oct 3, 202328Nov 10, 202382
-7.17%Feb 15, 202317Mar 10, 20235Mar 17, 202322
-5.32%Dec 22, 202218Jan 19, 202310Feb 2, 202328

Volatility

Volatility Chart

The current Mr volatility is 3.97%, 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
3.97%
4.31%
Mr
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.
MSFTABBVVODARQTALLO
MSFT1.00-0.010.050.080.14
ABBV-0.011.000.150.080.09
VOD0.050.151.000.240.18
ARQT0.080.080.241.000.36
ALLO0.140.090.180.361.00
The correlation results are calculated based on daily price changes starting from Dec 20, 2022