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SA Portfolio
Performance
Risk-Adjusted Performance
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Drawdowns
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SA Portfolio

Currency in USD · Last updated May 11, 2025

All stock picks for SA

Asset Allocation

FEZ 15%ON 15%TGLS 15%MHO 15%MLI 15%XPO 15%GNW 10%EquityEquity
PositionCategory/SectorTarget Weight
FEZ
SPDR EURO STOXX 50 ETF		Europe Equities
15%
GNW
Genworth Financial, Inc.		Financial Services
10%
MHO
M/I Homes, Inc.		Consumer Cyclical
15%
MLI
Mueller Industries, Inc.		Industrials
15%
ON
ON Semiconductor Corporation		Technology
15%
TGLS
Tecnoglass Inc.		Basic Materials
15%
XPO
XPO Logistics, Inc.		Industrials
15%

Performance

Performance Chart

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The earliest data available for this chart is May 10, 2012, corresponding to the inception date of TGLS

Returns By Period

As of May 11, 2025, the SA Portfolio returned -7.32% Year-To-Date and 20.63% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.64%8.97%-2.62%11.90%15.76%10.69%
SA Portfolio-2.00%16.58%-11.97%12.40%46.63%21.15%
Portfolio components:
FEZ
SPDR EURO STOXX 50 ETF		20.81%9.99%18.67%12.54%17.73%6.69%
ON
ON Semiconductor Corporation		-29.23%27.21%-36.22%-36.67%26.12%13.52%
GNW
Genworth Financial, Inc.		3.15%10.24%0.00%8.91%21.00%-0.93%
TGLS
Tecnoglass Inc.		9.61%21.67%9.75%66.46%90.40%26.01%
MHO
M/I Homes, Inc.		-14.57%6.63%-31.61%-7.97%35.90%17.09%
MLI
Mueller Industries, Inc.		-1.13%5.52%-17.50%33.59%50.19%18.50%
XPO
XPO Logistics, Inc.		-3.54%34.90%-18.48%10.57%42.01%22.34%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025-2.22%-3.50%-4.54%-1.95%10.96%-2.00%
2024-4.09%9.84%3.82%-4.60%2.92%-3.39%14.95%2.49%1.39%1.54%7.75%-8.36%24.24%
202315.71%1.65%2.92%7.44%0.90%18.20%6.57%-4.09%-5.82%-5.15%12.34%16.23%84.94%
2022-12.33%1.98%0.05%-9.48%4.22%-11.97%21.79%-4.67%-10.19%9.88%18.92%-5.07%-3.92%
2021-1.94%9.28%15.10%8.43%13.80%-6.43%-1.16%7.54%-4.99%12.75%1.87%3.90%71.63%
2020-0.89%-11.06%-31.17%21.32%12.67%3.71%2.22%10.42%-0.20%0.78%17.36%6.17%21.64%
201911.82%1.85%-3.12%6.49%-12.37%7.66%9.70%-2.05%5.54%6.53%1.38%1.75%38.16%
20185.51%-5.63%3.34%-3.49%5.80%0.19%2.08%0.67%-3.46%-10.35%3.69%-10.56%-13.17%
2017-0.02%5.34%-1.33%0.24%-0.27%3.14%-1.54%-3.00%8.84%5.72%3.23%2.20%24.25%
2016-13.56%-2.55%14.55%2.43%0.72%-7.51%9.33%13.60%2.06%-6.43%10.33%2.88%23.94%
2015-6.66%12.05%-0.29%4.80%1.86%-1.75%-2.94%-7.09%-7.91%7.92%2.90%-10.91%-10.13%
2014-0.30%7.72%-0.91%-1.65%-1.58%6.00%-7.91%5.86%-1.31%2.57%-0.86%1.24%8.15%

Expense Ratio

SA Portfolio has an expense ratio of 0.04%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

FEZ
SPDR EURO STOXX 50 ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SA Portfolio is 15, meaning it’s performing worse than 85% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of SA Portfolio is 1515
Overall Rank
The Sharpe Ratio Rank of SA Portfolio is 1414
Sharpe Ratio Rank
The Sortino Ratio Rank of SA Portfolio is 1919
Sortino Ratio Rank
The Omega Ratio Rank of SA Portfolio is 1515
Omega Ratio Rank
The Calmar Ratio Rank of SA Portfolio is 1616
Calmar Ratio Rank
The Martin Ratio Rank of SA Portfolio is 1313
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FEZ
SPDR EURO STOXX 50 ETF		0.611.111.140.892.53
ON
ON Semiconductor Corporation		-0.63-0.720.91-0.52-1.39
GNW
Genworth Financial, Inc.		0.310.621.090.131.03
TGLS
Tecnoglass Inc.		1.322.311.292.255.87
MHO
M/I Homes, Inc.		-0.20-0.001.00-0.18-0.35
MLI
Mueller Industries, Inc.		0.911.701.201.292.89
XPO
XPO Logistics, Inc.		0.210.751.090.310.74

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

SA Portfolio Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.43
  • 5-Year: 1.55
  • 10-Year: 0.71
  • All Time: 0.77

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of SA Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

SA Portfolio provided a 0.63% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.63%0.68%0.72%0.98%0.61%0.73%1.60%1.55%2.89%0.95%0.62%0.70%
Portfolio components:
FEZ
SPDR EURO STOXX 50 ETF		2.52%2.94%2.75%3.05%2.61%2.12%2.61%3.45%2.44%3.35%3.03%3.78%
ON
ON Semiconductor Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GNW
Genworth Financial, 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%
TGLS
Tecnoglass Inc.		0.60%0.61%0.79%0.91%0.57%1.62%6.79%5.20%7.21%2.04%0.00%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%
MLI
Mueller Industries, Inc.		1.09%1.01%1.27%2.54%0.88%1.14%1.26%1.71%9.60%0.94%1.11%0.88%
XPO
XPO Logistics, 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%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the SA Portfolio. 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 SA Portfolio was 53.95%, occurring on Mar 18, 2020. Recovery took 144 trading sessions.

The current SA Portfolio drawdown is 16.74%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.95%Jan 24, 202038Mar 18, 2020144Oct 12, 2020182
-40.4%Jun 24, 2015161Feb 11, 2016253Feb 13, 2017414
-30.12%Dec 9, 2021134Jun 22, 2022140Jan 11, 2023274
-29.77%Nov 12, 2024100Apr 8, 2025———
-27.2%Jun 13, 2018135Dec 24, 2018210Oct 24, 2019345

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 7 assets, with an effective number of assets of 6.90, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCTGLSGNWMHOXPOONMLIFEZPortfolio
^GSPC1.000.270.470.480.540.620.610.750.74
TGLS0.271.000.210.240.250.250.280.240.52
GNW0.470.211.000.320.350.330.440.420.60
MHO0.480.240.321.000.370.370.460.420.65
XPO0.540.250.350.371.000.440.450.450.72
ON0.620.250.330.370.441.000.440.510.69
MLI0.610.280.440.460.450.441.000.530.70
FEZ0.750.240.420.420.450.510.531.000.66
Portfolio0.740.520.600.650.720.690.700.661.00
The correlation results are calculated based on daily price changes starting from May 11, 2012