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Martin Zweig

Last updated Jun 2, 2023

Asset Allocation


AMK 14.29%BELFB 14.29%CSWI 14.29%EXP 14.29%FIX 14.29%IR 14.29%ZTO 14.29%EquityEquity

Performance

The chart shows the growth of an initial investment of $10,000 in Martin Zweig, 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


-10.00%0.00%10.00%20.00%30.00%2023FebruaryMarchAprilMayJune
24.78%
7.09%
Martin Zweig
Benchmark (^GSPC)
Portfolio components

Returns

As of Jun 2, 2023, the Martin Zweig returned 23.55% Year-To-Date and 23.97% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark4.68%11.53%5.17%2.53%9.67%9.67%
Martin Zweig8.07%28.27%22.31%53.48%25.15%25.15%
AMK
AssetMark Financial Holdings, Inc.
0.45%25.91%16.82%37.25%1.79%1.79%
BELFB
Bel Fuse Inc.
22.47%60.43%45.89%217.80%39.70%39.70%
CSWI
CSW Industrials, Inc.
13.04%32.80%26.15%37.74%23.59%23.59%
EXP
Eagle Materials Inc.
12.16%27.51%24.20%26.17%19.82%19.82%
FIX
Comfort Systems USA, Inc.
3.58%34.90%23.21%69.18%32.96%32.96%
IR
Ingersoll-Rand Plc
8.39%17.52%12.56%26.51%19.99%19.99%
ZTO
ZTO Express (Cayman) Inc.
-5.84%-2.77%4.59%-1.93%8.63%8.63%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ZTOBELFBAMKCSWIEXPIRFIX
ZTO1.000.150.220.140.170.210.17
BELFB0.151.000.310.440.390.400.43
AMK0.220.311.000.390.440.470.45
CSWI0.140.440.391.000.550.500.60
EXP0.170.390.440.551.000.620.62
IR0.210.400.470.500.621.000.62
FIX0.170.430.450.600.620.621.00

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Martin Zweig Sharpe ratio is 2.01. A Sharpe ratio higher than 2.0 is considered very good.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.501.001.502.002.502023FebruaryMarchAprilMayJune
2.21
0.21
Martin Zweig
Benchmark (^GSPC)
Portfolio components

Dividend yield

Martin Zweig granted a 0.77% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Martin Zweig0.77%0.54%0.65%0.96%1.47%2.17%0.99%0.33%0.49%0.45%0.46%0.60%
AMK
AssetMark Financial 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%
BELFB
Bel Fuse Inc.
0.80%0.85%2.21%1.94%1.46%1.65%1.22%1.00%1.82%1.17%1.52%1.68%
CSWI
CSW Industrials, Inc.
0.66%0.57%0.49%0.49%0.54%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EXP
Eagle Materials Inc.
0.74%0.75%0.46%0.10%0.45%0.67%0.36%0.42%0.69%0.55%0.54%0.72%
FIX
Comfort Systems USA, Inc.
0.60%0.49%0.49%0.82%0.81%0.78%0.70%0.87%0.93%1.40%1.17%1.81%
IR
Ingersoll-Rand Plc
0.20%0.15%0.03%2.33%6.03%10.75%4.62%0.00%0.00%0.00%0.00%0.00%
ZTO
ZTO Express (Cayman) Inc.
2.39%0.93%0.89%1.03%1.03%1.33%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Martin Zweig 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

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AMK
AssetMark Financial Holdings, Inc.
1.06
BELFB
Bel Fuse Inc.
4.14
CSWI
CSW Industrials, Inc.
1.33
EXP
Eagle Materials Inc.
0.94
FIX
Comfort Systems USA, Inc.
1.96
IR
Ingersoll-Rand Plc
0.91
ZTO
ZTO Express (Cayman) Inc.
-0.07

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%2023FebruaryMarchAprilMayJune0
-10.72%
Martin Zweig
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Martin Zweig. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Martin Zweig is 39.49%, recorded on Mar 23, 2020. It took 97 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.49%Jan 21, 202044Mar 23, 202097Aug 10, 2020141
-22.85%Nov 22, 2021144Jun 17, 202236Aug 10, 2022180
-14.53%Jul 25, 201924Aug 27, 201942Oct 25, 201966
-14.2%Aug 17, 202228Sep 26, 202230Nov 7, 202258
-12.9%Mar 15, 202188Jul 19, 202174Nov 1, 2021162

Volatility Chart

The current Martin Zweig volatility is 6.62%, 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%4.00%6.00%8.00%10.00%2023FebruaryMarchAprilMayJune
6.62%
3.77%
Martin Zweig
Benchmark (^GSPC)
Portfolio components