26032023

Performance

Risk-Adjusted Performance

Drawdowns

Volatility

Diversification

26032023

Last updated May 4, 2024

Asset Allocation

Position	Category/Sector	Weight
BZH Beazer Homes USA, Inc.	Consumer Cyclical	11.89%
CPRX Catalyst Pharmaceuticals, Inc.	Healthcare	5.78%
DAC Danaos Corporation	Industrials	9.50%
DQ Daqo New Energy Corp.	Technology	2.36%
GFI Gold Fields Limited	Basic Materials	8.13%
GNE Genie Energy Ltd.	Utilities	8.59%
GSL Global Ship Lease, Inc.	Industrials	8.09%
IBP Installed Building Products, Inc.	Industrials	14.23%
PAM Pampa Energía S.A.	Utilities	10.62%
SJT San Juan Basin Royalty Trust	Energy	2.53%
TNP Tsakos Energy Navigation Limited	Energy	8.61%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	9.66%

Benchmark

S&P 500

Transactions

Date	Type	Symbol	Quantity	Price
Mar 25, 2023	Buy	Beazer Homes USA, Inc.	522	$14.75
Mar 25, 2023	Buy	Catalyst Pharmaceuticals, Inc.	477	$16.12
Mar 25, 2023	Buy	Danaos Corporation	147	$52.50
Mar 25, 2023	Buy	Daqo New Energy Corp.	152	$50.65
Mar 25, 2023	Buy	Gold Fields Limited	601	$12.80
Mar 25, 2023	Buy	Genie Energy Ltd.	660	$11.65
Mar 25, 2023	Buy	Global Ship Lease, Inc.	425	$18.08
Mar 25, 2023	Buy	Installed Building Products, Inc.	71	$108.95
Mar 25, 2023	Buy	Pampa Energía S.A.	265	$29.00
Mar 25, 2023	Buy	San Juan Basin Royalty Trust	711	$10.82

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

26032023

Benchmark (^GSPC)

Portfolio components

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	7.50%	-1.61%	17.65%	26.26%	11.73%	10.64%
26032023	-1.54%	-2.64%	15.27%	24.24%	N/A	N/A
Portfolio components:
BZH Beazer Homes USA, Inc.	-18.02%	-10.24%	-3.38%	35.19%	17.25%	3.29%
CPRX Catalyst Pharmaceuticals, Inc.	-12.43%	-2.97%	11.85%	-14.47%	19.44%	22.19%
DAC Danaos Corporation	7.23%	6.28%	20.82%	45.54%	51.67%	0.31%
DQ Daqo New Energy Corp.	-28.91%	-30.07%	-27.60%	-57.72%	19.85%	8.54%
GFI Gold Fields Limited	15.40%	-5.46%	19.36%	2.93%	38.83%	17.23%
GNE Genie Energy Ltd.	-43.50%	2.39%	-21.43%	4.97%	15.55%	11.18%
GSL Global Ship Lease, Inc.	18.95%	8.79%	33.78%	40.68%	39.98%	0.28%
IBP Installed Building Products, Inc.	34.38%	-5.65%	96.77%	111.20%	36.34%	34.61%
PAM Pampa Energía S.A.	-1.58%	4.59%	27.09%	42.81%	16.09%	20.35%
SJT San Juan Basin Royalty Trust	-12.86%	-20.99%	-39.56%	-37.97%	10.62%	-6.09%
TNP Tsakos Energy Navigation Limited	18.05%	-0.57%	16.13%	66.21%	13.49%	0.61%
TSM Taiwan Semiconductor Manufacturing Company Limited	36.66%	0.14%	55.55%	69.66%	29.35%	24.94%

Monthly Returns Heatmap

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2024	-5.23%	1.05%	3.79%	-3.37%
2023										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

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BZH Beazer Homes USA, Inc.	0.72	1.45	1.18	1.05	2.19
CPRX Catalyst Pharmaceuticals, Inc.	-0.24	-0.00	1.00	-0.31	-0.52
DAC Danaos Corporation	2.02	2.96	1.37	4.28	8.83
DQ Daqo New Energy Corp.	-1.13	-1.90	0.80	-0.86	-1.47
GFI Gold Fields Limited	0.02	0.37	1.05	0.02	0.05
GNE Genie Energy Ltd.	0.12	0.48	1.06	0.10	0.21
GSL Global Ship Lease, Inc.	1.51	2.09	1.27	1.94	4.42
IBP Installed Building Products, Inc.	2.64	3.34	1.44	3.18	9.28
PAM Pampa Energía S.A.	1.05	1.83	1.21	1.76	3.82
SJT San Juan Basin Royalty Trust	-0.78	-0.96	0.89	-0.55	-1.23
TNP Tsakos Energy Navigation Limited	1.99	2.70	1.31	3.46	11.65
TSM Taiwan Semiconductor Manufacturing Company Limited	2.25	3.32	1.39	3.58	8.06

Sharpe Ratio

The current 26032023 Sharpe ratio is 1.24. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.49 to 2.47, 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 26032023 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.

26032023

Benchmark (^GSPC)

Portfolio components

Drawdowns

Drawdowns Chart

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

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 4.27%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-16.34%	Jul 31, 2023	46	Oct 3, 2023	42	Dec 1, 2023	88
-11.15%	Dec 27, 2023	37	Feb 20, 2024	—	—	—
-7.91%	Apr 18, 2023	31	May 31, 2023	19	Jun 28, 2023	50
-3.09%	Jul 3, 2023	3	Jul 6, 2023	4	Jul 12, 2023	7
-2.22%	Jul 19, 2023	7	Jul 27, 2023	1	Jul 28, 2023	8

Volatility

Volatility Chart

The current 26032023 volatility is 6.16%, 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.

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.

	GFI	GNE	SJT	PAM	TSM	TNP	CPRX	DQ	DAC	BZH	IBP	GSL
GFI	1.00	0.07	0.03	0.11	0.11	0.06	0.19	0.13	0.03	0.15	0.20	0.11
GNE	0.07	1.00	0.09	0.24	0.04	0.06	0.21	0.14	0.10	0.24	0.16	0.12
SJT	0.03	0.09	1.00	0.13	0.04	0.32	0.10	0.15	0.23	0.10	0.04	0.27
PAM	0.11	0.24	0.13	1.00	0.09	0.20	0.18	0.00	0.16	0.22	0.24	0.18
TSM	0.11	0.04	0.04	0.09	1.00	0.11	0.11	0.29	0.12	0.28	0.39	0.18
TNP	0.06	0.06	0.32	0.20	0.11	1.00	0.09	0.18	0.34	0.05	0.17	0.44
CPRX	0.19	0.21	0.10	0.18	0.11	0.09	1.00	0.15	0.20	0.29	0.32	0.24
DQ	0.13	0.14	0.15	0.00	0.29	0.18	0.15	1.00	0.17	0.28	0.34	0.26
DAC	0.03	0.10	0.23	0.16	0.12	0.34	0.20	0.17	1.00	0.21	0.19	0.65
BZH	0.15	0.24	0.10	0.22	0.28	0.05	0.29	0.28	0.21	1.00	0.63	0.29
IBP	0.20	0.16	0.04	0.24	0.39	0.17	0.32	0.34	0.19	0.63	1.00	0.33
GSL	0.11	0.12	0.27	0.18	0.18	0.44	0.24	0.26	0.65	0.29	0.33	1.00