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26032023
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

Asset Allocation


IBP 11.98%BZH 11.42%DAC 10.59%TSM 10.37%GSL 9.68%PAM 9.63%TNP 9.63%GNE 8.14%GFI 7.67%CPRX 6.02%DQ 2.46%SJT 2.41%EquityEquity
PositionCategory/SectorWeight
BZH
Beazer Homes USA, Inc.
Consumer Cyclical

11.42%

CPRX
Catalyst Pharmaceuticals, Inc.
Healthcare

6.02%

DAC
Danaos Corporation
Industrials

10.59%

DQ
Daqo New Energy Corp.
Technology

2.46%

GFI
Gold Fields Limited
Basic Materials

7.67%

GNE
Genie Energy Ltd.
Utilities

8.14%

GSL
Global Ship Lease, Inc.
Industrials

9.68%

IBP
Installed Building Products, Inc.
Industrials

11.98%

PAM
Pampa Energía S.A.
Utilities

9.63%

SJT
San Juan Basin Royalty Trust
Energy

2.41%

TNP
Tsakos Energy Navigation Limited
Energy

9.63%

TSM
Taiwan Semiconductor Manufacturing Company Limited
Technology

10.37%

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


15.00%20.00%25.00%30.00%35.00%December2024FebruaryMarchAprilMay
36.16%
33.59%
26032023
Benchmark (^GSPC)
Portfolio components

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.21%4.60%16.35%27.79%13.43%10.76%
260320231.87%6.39%13.59%31.61%N/AN/A
BZH
Beazer Homes USA, Inc.
-18.53%1.18%6.58%30.91%23.22%3.52%
CPRX
Catalyst Pharmaceuticals, Inc.
-5.59%4.96%12.87%36.93%34.50%22.80%
DAC
Danaos Corporation
23.68%22.57%32.08%59.30%52.59%2.07%
DQ
Daqo New Energy Corp.
-23.35%-14.15%-21.49%-46.82%22.79%14.97%
GFI
Gold Fields Limited
12.59%-5.37%21.22%13.24%36.91%18.45%
GNE
Genie Energy Ltd.
-44.37%-1.61%-38.22%5.59%13.26%10.96%
GSL
Global Ship Lease, Inc.
49.24%29.67%64.06%71.79%41.19%2.46%
IBP
Installed Building Products, Inc.
17.06%-9.76%47.06%101.36%32.62%32.37%
PAM
Pampa Energía S.A.
-7.67%4.93%0.29%24.48%11.94%19.17%
SJT
San Juan Basin Royalty Trust
-14.07%1.49%-38.73%-44.82%11.79%-6.19%
TNP
Tsakos Energy Navigation Limited
36.68%22.51%48.08%86.50%17.48%1.39%
TSM
Taiwan Semiconductor Manufacturing Company Limited
51.65%18.14%61.96%58.47%36.33%25.82%

Monthly Returns

The table below presents the monthly returns of 26032023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-5.23%1.05%3.79%-3.37%1.87%
20234.16%2.99%-5.32%12.03%6.23%-4.76%-9.60%3.50%12.17%10.61%33.65%

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 26032023 is 28, 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 26032023 is 2828
26032023
The Sharpe Ratio Rank of 26032023 is 2121Sharpe Ratio Rank
The Sortino Ratio Rank of 26032023 is 2222Sortino Ratio Rank
The Omega Ratio Rank of 26032023 is 2121Omega Ratio Rank
The Calmar Ratio Rank of 26032023 is 5252Calmar Ratio Rank
The Martin Ratio Rank of 26032023 is 2323Martin 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.


26032023
Sharpe ratio
The chart of Sharpe ratio for 26032023, currently valued at 1.53, compared to the broader market0.002.004.006.001.53
Sortino ratio
The chart of Sortino ratio for 26032023, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Omega ratio
The chart of Omega ratio for 26032023, currently valued at 1.27, compared to the broader market0.801.001.201.401.601.801.27
Calmar ratio
The chart of Calmar ratio for 26032023, currently valued at 1.96, compared to the broader market0.002.004.006.008.0010.001.96
Martin ratio
The chart of Martin ratio for 26032023, currently valued at 4.90, compared to the broader market0.0010.0020.0030.0040.0050.004.90
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.52, compared to the broader market0.002.004.006.002.52
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.04, compared to the broader market0.002.004.006.008.0010.002.04
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.59, compared to the broader market0.0010.0020.0030.0040.0050.009.59

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BZH
Beazer Homes USA, Inc.
0.601.301.160.871.76
CPRX
Catalyst Pharmaceuticals, Inc.
0.801.331.170.963.08
DAC
Danaos Corporation
2.573.571.465.2210.85
DQ
Daqo New Energy Corp.
-0.91-1.380.85-0.74-1.26
GFI
Gold Fields Limited
0.250.681.090.310.82
GNE
Genie Energy Ltd.
0.100.451.060.090.17
GSL
Global Ship Lease, Inc.
2.783.491.473.578.16
IBP
Installed Building Products, Inc.
2.633.331.433.158.85
PAM
Pampa Energía S.A.
0.551.181.130.922.00
SJT
San Juan Basin Royalty Trust
-1.12-1.630.81-0.77-1.57
TNP
Tsakos Energy Navigation Limited
2.453.121.375.4814.22
TSM
Taiwan Semiconductor Manufacturing Company Limited
2.343.401.403.738.39

Sharpe Ratio

The current 26032023 Sharpe ratio is 1.45. 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 1.70 to 2.53, 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.


Rolling 12-month Sharpe Ratio1.001.502.002.50Mar 31Apr 07Apr 14Apr 21Apr 28May 05May 12May 19
1.53
2.52
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%December2024FebruaryMarchAprilMay
-0.96%
-0.31%
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 1.88%.


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 5.57%, 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%December2024FebruaryMarchAprilMay
5.57%
3.10%
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.

GFISJTGNETSMPAMTNPDQCPRXDACBZHGSLIBP
GFI1.000.020.070.120.120.070.120.210.020.170.110.21
SJT0.021.000.090.030.130.320.160.080.230.100.250.02
GNE0.070.091.000.010.240.060.150.220.110.240.110.17
TSM0.120.030.011.000.100.110.270.110.120.270.190.38
PAM0.120.130.240.101.000.190.010.190.150.250.160.27
TNP0.070.320.060.110.191.000.170.100.350.040.450.16
DQ0.120.160.150.270.010.171.000.140.170.270.250.32
CPRX0.210.080.220.110.190.100.141.000.190.310.220.32
DAC0.020.230.110.120.150.350.170.191.000.190.660.19
BZH0.170.100.240.270.250.040.270.310.191.000.260.62
GSL0.110.250.110.190.160.450.250.220.660.261.000.30
IBP0.210.020.170.380.270.160.320.320.190.620.301.00
The correlation results are calculated based on daily price changes starting from Mar 27, 2023