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26032023
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

Asset Allocation


IBP 14.14%BZH 12.19%PAM 9.91%TSM 9.79%GFI 9.03%DAC 8.79%GNE 8.38%TNP 8.37%GSL 7.42%CPRX 6.01%SJT 3.05%DQ 2.94%EquityEquity
PositionCategory/SectorWeight
IBP
Installed Building Products, Inc.
Industrials

14.14%

BZH
Beazer Homes USA, Inc.
Consumer Cyclical

12.19%

PAM
Pampa Energía S.A.
Utilities

9.91%

TSM
Taiwan Semiconductor Manufacturing Company Limited
Technology

9.79%

GFI
Gold Fields Limited
Basic Materials

9.03%

DAC
Danaos Corporation
Industrials

8.79%

GNE
Genie Energy Ltd.
Utilities

8.38%

TNP
Tsakos Energy Navigation Limited
Energy

8.37%

GSL
Global Ship Lease, Inc.
Industrials

7.42%

CPRX
Catalyst Pharmaceuticals, Inc.
Healthcare

6.01%

SJT
San Juan Basin Royalty Trust
Energy

3.05%

DQ
Daqo New Energy Corp.
Technology

2.94%

S&P 500

Transactions


DateTypeSymbolQuantityPrice
Mar 25, 2023BuyBeazer Homes USA, Inc.522$14.75
Mar 25, 2023BuyCatalyst Pharmaceuticals, Inc.477$16.12
Mar 25, 2023BuyDanaos Corporation147$52.50
Mar 25, 2023BuyDaqo New Energy Corp.152$50.65
Mar 25, 2023BuyGold Fields Limited601$12.80
Mar 25, 2023BuyGenie Energy Ltd.660$11.65
Mar 25, 2023BuyGlobal Ship Lease, Inc.425$18.08
Mar 25, 2023BuyInstalled Building Products, Inc.71$108.95
Mar 25, 2023BuyPampa Energía S.A.265$29.00
Mar 25, 2023BuySan Juan Basin Royalty Trust711$10.82

1–10 of 12

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 26032023, 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%10.00%20.00%30.00%40.00%NovemberDecember2024FebruaryMarchApril
30.83%
29.02%
26032023
Benchmark (^GSPC)
Portfolio components

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
26032023-2.11%2.34%19.49%19.30%N/AN/A
BZH
Beazer Homes USA, Inc.
-16.48%-4.63%20.65%69.59%17.40%4.28%
CPRX
Catalyst Pharmaceuticals, Inc.
-9.46%-5.29%19.09%-13.96%23.11%23.05%
DAC
Danaos Corporation
-1.35%3.04%11.63%27.65%44.23%-0.89%
DQ
Daqo New Energy Corp.
-12.26%-12.55%-13.20%-48.83%27.22%12.17%
GFI
Gold Fields Limited
27.39%23.71%31.48%21.55%40.89%18.73%
GNE
Genie Energy Ltd.
-45.25%-6.29%-18.30%-2.96%16.15%9.65%
GSL
Global Ship Lease, Inc.
8.52%5.81%21.17%11.88%37.95%-0.58%
IBP
Installed Building Products, Inc.
32.76%0.65%106.94%118.52%37.75%34.75%
PAM
Pampa Energía S.A.
-8.76%13.98%13.92%20.29%13.59%21.88%
SJT
San Juan Basin Royalty Trust
3.89%-6.60%-28.52%-48.25%9.36%-3.74%
TNP
Tsakos Energy Navigation Limited
14.09%4.45%19.58%45.72%11.45%-0.02%
TSM
Taiwan Semiconductor Manufacturing Company Limited
37.58%4.46%58.91%66.45%30.83%24.72%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-5.23%1.05%3.79%
2023-9.60%3.50%12.17%10.61%

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 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.


26032023
Sharpe ratio
The chart of Sharpe ratio for 26032023, currently valued at 1.00, compared to the broader market0.002.004.001.00
Sortino ratio
The chart of Sortino ratio for 26032023, currently valued at 1.62, compared to the broader market-2.000.002.004.006.001.62
Omega ratio
The chart of Omega ratio for 26032023, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for 26032023, currently valued at 1.29, compared to the broader market0.002.004.006.008.0010.0012.001.29
Martin ratio
The chart of Martin ratio for 26032023, currently valued at 3.21, compared to the broader market0.0010.0020.0030.0040.0050.003.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
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 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BZH
Beazer Homes USA, Inc.
1.212.161.271.944.26
CPRX
Catalyst Pharmaceuticals, Inc.
-0.27-0.060.99-0.36-0.56
DAC
Danaos Corporation
1.312.041.252.855.81
DQ
Daqo New Energy Corp.
-1.02-1.630.83-0.75-1.24
GFI
Gold Fields Limited
0.541.071.140.651.29
GNE
Genie Energy Ltd.
-0.080.201.03-0.07-0.17
GSL
Global Ship Lease, Inc.
0.631.041.130.841.73
IBP
Installed Building Products, Inc.
3.153.791.503.7310.84
PAM
Pampa Energía S.A.
0.561.181.130.912.01
SJT
San Juan Basin Royalty Trust
-1.14-1.700.80-0.85-1.33
TNP
Tsakos Energy Navigation Limited
1.341.991.222.416.51
TSM
Taiwan Semiconductor Manufacturing Company Limited
2.073.141.373.237.37

Sharpe Ratio

The current 26032023 Sharpe ratio is 1.00. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.00

The Sharpe ratio of 26032023 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio1.001.502.002.50Thu 28Sat 30AprilWed 03Fri 05Apr 07Tue 09Thu 11
1.00
2.15
26032023
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.83%
-2.49%
26032023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 26032023. 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 26032023 was 16.34%, occurring on Oct 3, 2023. Recovery took 42 trading sessions.

The current 26032023 drawdown is 4.83%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-16.34%Jul 31, 202346Oct 3, 202342Dec 1, 202388
-11.15%Dec 27, 202337Feb 20, 2024
-7.91%Apr 18, 202331May 31, 202319Jun 28, 202350
-3.09%Jul 3, 20233Jul 6, 20234Jul 12, 20237
-2.22%Jul 19, 20237Jul 27, 20231Jul 28, 20238

Volatility

Volatility Chart

The current 26032023 volatility is 6.23%, 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%NovemberDecember2024FebruaryMarchApril
6.23%
3.24%
26032023
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.

GFISJTGNETSMPAMTNPDQCPRXDACBZHIBPGSL
GFI1.000.010.070.100.110.060.140.200.020.140.180.12
SJT0.011.000.070.010.120.320.170.110.220.080.020.28
GNE0.070.071.000.050.220.070.160.210.090.240.150.11
TSM0.100.010.051.000.080.090.290.140.110.260.390.17
PAM0.110.120.220.081.000.210.030.200.140.210.240.18
TNP0.060.320.070.090.211.000.180.100.350.050.170.45
DQ0.140.170.160.290.030.181.000.170.180.300.340.25
CPRX0.200.110.210.140.200.100.171.000.220.330.340.26
DAC0.020.220.090.110.140.350.180.221.000.190.190.66
BZH0.140.080.240.260.210.050.300.330.191.000.640.30
IBP0.180.020.150.390.240.170.340.340.190.641.000.33
GSL0.120.280.110.170.180.450.250.260.660.300.331.00