Martin Zweig

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Martin Zweig

Last updated May 17, 2024

Asset Allocation

Position	Category/Sector	Weight
AMK AssetMark Financial Holdings, Inc.	Financial Services	14.29%
BELFB Bel Fuse Inc.	Technology	14.29%
CSWI CSW Industrials, Inc.	Industrials	14.29%
EXP Eagle Materials Inc.	Basic Materials	14.29%
FIX Comfort Systems USA, Inc.	Industrials	14.29%
IR Ingersoll-Rand Plc	Industrials	14.29%
ZTO ZTO Express (Cayman) Inc.	Industrials	14.29%

Benchmark

S&P 500

Rebalance portfolio

Performance

Performance Chart

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

Martin Zweig

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Jul 18, 2019, corresponding to the inception date of AMK

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	11.05%	4.86%	17.50%	27.37%	13.14%	10.90%
Martin Zweig	21.80%	6.44%	36.98%	51.99%	N/A	N/A
Portfolio components:
AMK AssetMark Financial Holdings, Inc.	13.56%	-3.30%	34.32%	20.77%	N/A	N/A
BELFB Bel Fuse Inc.	-0.49%	13.74%	24.50%	44.08%	28.76%	12.69%
CSWI CSW Industrials, Inc.	17.27%	3.56%	40.62%	78.59%	33.58%	N/A
EXP Eagle Materials Inc.	27.42%	3.79%	49.73%	61.59%	23.84%	12.53%
FIX Comfort Systems USA, Inc.	56.63%	6.01%	66.25%	113.57%	46.86%	36.38%
IR Ingersoll-Rand Plc	18.23%	0.59%	30.29%	55.05%	23.74%	N/A
ZTO ZTO Express (Cayman) Inc.	14.22%	21.80%	1.11%	-14.65%	7.17%	N/A

Monthly Returns

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

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	0.22%	12.41%	5.45%	-2.07%									21.80%
2023	11.56%	2.29%	3.46%	0.34%	2.84%	12.06%	2.67%	-0.13%	-7.92%	0.29%	5.92%	11.73%	52.97%
2022	-6.34%	1.67%	-1.19%	-6.10%	3.47%	-6.99%	18.51%	1.94%	-7.78%	11.15%	10.66%	-3.75%	12.15%
2021	2.31%	9.90%	5.81%	3.19%	-0.65%	-4.74%	-2.42%	6.40%	-6.26%	9.66%	-0.65%	2.95%	26.84%
2020	-4.66%	-10.96%	-12.00%	3.50%	9.45%	6.01%	9.01%	-0.02%	-1.88%	0.19%	15.30%	4.46%	15.76%
2019							-1.27%	-7.60%	6.47%	5.09%	2.09%	8.33%	12.88%

Expense Ratio

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

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Martin Zweig is 81, placing it in the top 19% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Martin Zweig

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Martin Zweig

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AMK AssetMark Financial Holdings, Inc.	0.90	1.49	1.18	0.68	1.69
BELFB Bel Fuse Inc.	0.94	1.46	1.24	1.37	2.95
CSWI CSW Industrials, Inc.	3.32	4.15	1.52	7.75	21.61
EXP Eagle Materials Inc.	2.48	3.09	1.41	2.65	8.34
FIX Comfort Systems USA, Inc.	3.23	4.25	1.54	5.92	22.03
IR Ingersoll-Rand Plc	2.54	3.26	1.44	3.69	12.76
ZTO ZTO Express (Cayman) Inc.	-0.45	-0.49	0.94	-0.26	-0.62

Sharpe Ratio

The current Martin Zweig Sharpe ratio is 2.87. 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 1.83 to 2.69, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Martin Zweig 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.

Martin Zweig

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

Martin Zweig granted a 0.60% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
Martin Zweig	0.60%	0.50%	0.53%	0.64%	0.94%	1.41%	1.97%	0.85%	0.31%	0.45%	0.41%	0.42%
Portfolio components:
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.	0.42%	0.42%	0.85%	2.17%	1.86%	1.37%	1.52%	1.11%	0.91%	1.62%	1.02%	1.31%
CSWI CSW Industrials, Inc.	0.32%	0.36%	0.57%	0.48%	0.48%	0.53%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
EXP Eagle Materials Inc.	0.39%	0.49%	0.75%	0.45%	0.10%	0.44%	0.66%	0.35%	0.41%	0.66%	0.53%	0.52%
FIX Comfort Systems USA, Inc.	0.32%	0.41%	0.49%	0.49%	0.81%	0.79%	0.76%	0.68%	0.83%	0.88%	1.31%	1.08%
IR Ingersoll-Rand Plc	0.11%	0.10%	0.15%	0.03%	2.33%	5.78%	9.58%	3.83%	0.00%	0.00%	0.00%	0.00%
ZTO ZTO Express (Cayman) Inc.	2.63%	1.74%	0.92%	0.87%	1.00%	0.99%	1.26%	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.

Martin Zweig

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Martin Zweig. 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 Martin Zweig was 39.49%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current Martin Zweig drawdown is 0.63%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-39.49%	Jan 21, 2020	44	Mar 23, 2020	97	Aug 10, 2020	141
-22.85%	Nov 22, 2021	144	Jun 17, 2022	36	Aug 10, 2022	180
-16.79%	Jul 19, 2023	70	Oct 25, 2023	33	Dec 12, 2023	103
-14.53%	Jul 25, 2019	24	Aug 27, 2019	42	Oct 25, 2019	66
-14.2%	Aug 17, 2022	28	Sep 26, 2022	30	Nov 7, 2022	58

Volatility

Volatility Chart

The current Martin Zweig volatility is 4.05%, 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.

Martin Zweig

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.

	ZTO	BELFB	AMK	CSWI	EXP	IR	FIX
ZTO	1.00	0.14	0.21	0.12	0.14	0.19	0.14
BELFB	0.14	1.00	0.31	0.44	0.40	0.41	0.44
AMK	0.21	0.31	1.00	0.38	0.43	0.45	0.43
CSWI	0.12	0.44	0.38	1.00	0.53	0.49	0.58
EXP	0.14	0.40	0.43	0.53	1.00	0.62	0.62
IR	0.19	0.41	0.45	0.49	0.62	1.00	0.60
FIX	0.14	0.44	0.43	0.58	0.62	0.60	1.00