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Julie
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


CWAN 25%AZTA 25%SILK 25%TYL 25%EquityEquity
PositionCategory/SectorWeight
AZTA
Azenta, Inc.
Healthcare

25%

CWAN
Clearwater Analytics Holdings, Inc.
Technology

25%

SILK
Silk Road Medical, Inc
Healthcare

25%

TYL
Tyler Technologies, Inc.
Technology

25%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Julie, 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%15.00%20.00%25.00%2024FebruaryMarchAprilMayJune
27.95%
15.17%
Julie
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 23, 2021, corresponding to the inception date of CWAN

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.65%3.82%15.17%24.08%13.46%10.86%
Julie19.18%6.03%27.95%16.91%N/AN/A
CWAN
Clearwater Analytics Holdings, Inc.
-1.40%7.16%2.07%18.12%N/AN/A
AZTA
Azenta, Inc.
-13.71%9.49%-7.03%22.30%8.30%20.84%
SILK
Silk Road Medical, Inc
82.23%7.92%121.83%-32.59%-13.08%N/A
TYL
Tyler Technologies, Inc.
14.46%-0.52%16.03%22.75%16.95%19.44%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.62%4.40%-0.87%-2.34%7.96%19.18%
20230.85%-9.04%-5.79%3.29%-6.21%4.45%-6.28%4.21%-5.71%-17.29%18.15%8.51%-14.62%
2022-19.76%5.34%3.89%-13.12%-7.93%-3.99%11.36%-5.44%0.97%-2.13%19.71%-2.46%-18.07%
20217.28%6.78%-10.42%0.74%3.39%

Expense Ratio

Julie 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 Julie is 10, indicating that it is in the bottom 10% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Julie is 1010
Julie
The Sharpe Ratio Rank of Julie is 99Sharpe Ratio Rank
The Sortino Ratio Rank of Julie is 1010Sortino Ratio Rank
The Omega Ratio Rank of Julie is 1212Omega Ratio Rank
The Calmar Ratio Rank of Julie is 88Calmar Ratio Rank
The Martin Ratio Rank of Julie is 1111Martin 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.


Julie
Sharpe ratio
The chart of Sharpe ratio for Julie, currently valued at 0.63, compared to the broader market0.002.004.006.000.63
Sortino ratio
The chart of Sortino ratio for Julie, currently valued at 1.03, compared to the broader market-2.000.002.004.006.001.03
Omega ratio
The chart of Omega ratio for Julie, currently valued at 1.14, compared to the broader market0.801.001.201.401.601.801.14
Calmar ratio
The chart of Calmar ratio for Julie, currently valued at 0.33, compared to the broader market0.002.004.006.008.0010.000.33
Martin ratio
The chart of Martin ratio for Julie, currently valued at 1.87, compared to the broader market0.0010.0020.0030.0040.0050.001.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.20, compared to the broader market0.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.76, compared to the broader market0.002.004.006.008.0010.001.76
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.26, compared to the broader market0.0010.0020.0030.0040.0050.008.26

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CWAN
Clearwater Analytics Holdings, Inc.
0.651.031.140.471.74
AZTA
Azenta, Inc.
0.531.141.140.321.70
SILK
Silk Road Medical, Inc
-0.370.061.01-0.34-0.58
TYL
Tyler Technologies, Inc.
0.891.481.190.633.73

Sharpe Ratio

The current Julie Sharpe ratio is 0.68. 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 1.43 to 2.38, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Julie 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 Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
0.63
2.20
Julie
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Julie granted a 0.00% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Julie0.00%0.00%0.00%0.10%0.15%0.24%0.38%0.42%0.59%0.94%0.71%0.76%
CWAN
Clearwater Analytics 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%
AZTA
Azenta, Inc.
0.00%0.00%0.00%0.39%0.59%0.95%1.53%1.68%2.34%3.75%2.82%3.05%
SILK
Silk Road Medical, 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%
TYL
Tyler 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%

Drawdowns

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%2024FebruaryMarchAprilMayJune
-26.80%
0
Julie
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Julie. 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 Julie was 53.06%, occurring on Oct 30, 2023. The portfolio has not yet recovered.

The current Julie drawdown is 26.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.06%Nov 5, 2021498Oct 30, 2023
-6.34%Sep 27, 20216Oct 4, 20219Oct 15, 202115
-1.87%Oct 26, 20212Oct 27, 20215Nov 3, 20217
-0.12%Oct 20, 20211Oct 20, 20211Oct 21, 20212

Volatility

Volatility Chart

The current Julie volatility is 5.17%, 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%2024FebruaryMarchAprilMayJune
5.17%
2.51%
Julie
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.

CWANSILKAZTATYL
CWAN1.000.270.330.43
SILK0.271.000.400.41
AZTA0.330.401.000.54
TYL0.430.410.541.00
The correlation results are calculated based on daily price changes starting from Sep 24, 2021