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ESG-нейтральный портфель

Last updated Sep 22, 2023

Asset Allocation


UHS 10%SAH 10%SR 10%CRVL 10%R 10%MKL 10%USFD 10%TWLO 10%MTCH 10%WMS 10%EquityEquity
PositionCategory/SectorWeight
UHS
Universal Health Services, Inc.
Healthcare10%
SAH
Sonic Automotive, Inc.
Consumer Cyclical10%
SR
Spire Inc.
Utilities10%
CRVL
CorVel Corporation
Financial Services10%
R
Ryder System, Inc.
Industrials10%
MKL
Markel Corporation
Financial Services10%
USFD
US Foods Holding Corp.
Consumer Defensive10%
TWLO
Twilio Inc.
Communication Services10%
MTCH
Match Group, Inc.
Communication Services10%
WMS
Advanced Drainage Systems, Inc.
Industrials10%

Performance

The chart shows the growth of an initial investment of $10,000 in ESG-нейтральный портфель, 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%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
8.79%
8.87%
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-2.39%9.04%12.78%15.22%10.77%N/A
ESG-нейтральный портфель-3.22%10.21%14.53%19.78%14.38%N/A
UHS
Universal Health Services, Inc.
-2.84%3.56%-9.74%36.11%10.56%N/A
SAH
Sonic Automotive, Inc.
-3.06%-0.83%4.27%16.03%17.67%N/A
SR
Spire Inc.
0.68%-13.47%-12.10%-11.90%0.12%N/A
CRVL
CorVel Corporation
-12.66%2.40%31.55%31.53%36.04%N/A
R
Ryder System, Inc.
7.25%25.65%27.01%53.77%43.25%N/A
MKL
Markel Corporation
3.75%24.97%15.33%35.84%17.10%N/A
USFD
US Foods Holding Corp.
-1.69%13.98%17.64%42.02%23.98%N/A
TWLO
Twilio Inc.
-5.36%-5.29%18.93%-16.54%-34.55%N/A
MTCH
Match Group, Inc.
-9.65%2.06%-1.11%-15.51%-25.47%N/A
WMS
Advanced Drainage Systems, Inc.
-8.72%43.60%39.85%-8.12%30.41%N/A

Asset Correlations Table

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

TWLOSRMTCHCRVLSAHMKLUHSWMSUSFDR
TWLO1.00-0.010.530.190.200.130.120.350.290.23
SR-0.011.000.050.290.260.350.350.220.280.27
MTCH0.530.051.000.240.250.240.230.420.350.34
CRVL0.190.290.241.000.270.330.350.320.320.34
SAH0.200.260.250.271.000.310.390.400.430.49
MKL0.130.350.240.330.311.000.420.370.450.44
UHS0.120.350.230.350.390.421.000.390.480.45
WMS0.350.220.420.320.400.370.391.000.440.51
USFD0.290.280.350.320.430.450.480.441.000.51
R0.230.270.340.340.490.440.450.510.511.00

Sharpe Ratio

The current ESG-нейтральный портфель Sharpe ratio is 0.66. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.66

The Sharpe ratio of ESG-нейтральный портфель lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.66
0.70
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

Dividend yield

ESG-нейтральный портфель granted a 1.07% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
ESG-нейтральный портфель1.07%1.04%0.92%1.00%1.33%1.25%0.89%0.93%0.94%0.74%0.84%1.15%
UHS
Universal Health Services, Inc.
0.63%0.57%0.62%0.15%0.43%0.35%0.36%0.39%0.35%0.28%0.26%1.29%
SAH
Sonic Automotive, Inc.
2.26%2.13%0.97%1.09%1.37%1.89%1.19%0.97%0.55%0.42%0.46%0.54%
SR
Spire Inc.
4.92%4.17%4.35%4.40%3.34%3.68%3.51%3.93%4.12%4.54%5.30%6.33%
CRVL
CorVel Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
R
Ryder System, Inc.
2.47%2.93%2.91%3.93%4.64%5.25%2.63%2.88%3.55%2.01%2.36%3.29%
MKL
Markel Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
USFD
US Foods Holding Corp.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TWLO
Twilio 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%
MTCH
Match Group, 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%
WMS
Advanced Drainage Systems, Inc.
0.46%0.58%0.31%0.44%3.53%1.32%1.18%1.18%0.84%0.19%0.00%0.00%

Expense Ratio

The ESG-нейтральный портфель 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
UHS
Universal Health Services, Inc.
1.01
SAH
Sonic Automotive, Inc.
0.25
SR
Spire Inc.
-0.50
CRVL
CorVel Corporation
1.00
R
Ryder System, Inc.
1.45
MKL
Markel Corporation
1.30
USFD
US Foods Holding Corp.
1.23
TWLO
Twilio Inc.
-0.32
MTCH
Match Group, Inc.
-0.51
WMS
Advanced Drainage Systems, Inc.
-0.26

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-15.48%
-9.73%
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the ESG-нейтральный портфель. 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 ESG-нейтральный портфель is 31.98%, recorded on Sep 26, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.98%Oct 22, 2021233Sep 26, 2022
-8.5%Jan 21, 20215Jan 27, 20216Feb 4, 202111
-8.15%Sep 3, 202015Sep 24, 20207Oct 5, 202022
-7.53%Mar 16, 20217Mar 24, 202112Apr 12, 202119
-6.66%Oct 26, 20205Oct 30, 20204Nov 5, 20209

Volatility Chart

The current ESG-нейтральный портфель volatility is 4.03%, 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%AprilMayJuneJulyAugustSeptember
4.03%
3.66%
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components