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ESG-нейтральный портфель
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

ESG-нейтральный портфель

Last updated Oct 18, 2024

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
CRVL
CorVel Corporation		Financial Services
10%
MKL
Markel Corporation		Financial Services
10%
MTCH
Match Group, Inc.		Communication Services
10%
R
Ryder System, Inc.		Industrials
10%
SAH
Sonic Automotive, Inc.		Consumer Cyclical
10%
SR
Spire Inc.		Utilities
10%
TWLO
Twilio Inc.		Communication Services
10%
UHS
Universal Health Services, Inc.		Healthcare
10%
USFD
US Foods Holding Corp.		Consumer Defensive
10%
WMS
Advanced Drainage Systems, Inc.		Industrials
10%

Performance

Performance Chart

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%20.00%MayJuneJulyAugustSeptemberOctober
21.53%
17.04%
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 23, 2016, corresponding to the inception date of TWLO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.95%4.39%18.07%37.09%14.48%11.71%
ESG-нейтральный портфель18.76%1.93%21.53%41.17%17.00%N/A
Portfolio components:
UHS
Universal Health Services, Inc.		55.74%-0.57%47.16%90.70%10.94%8.73%
SAH
Sonic Automotive, Inc.		2.50%-1.65%16.06%27.46%15.10%11.21%
SR
Spire Inc.		8.55%-1.97%8.89%18.87%-1.11%6.79%
CRVL
CorVel Corporation		26.53%-1.42%33.07%57.29%32.66%25.27%
R
Ryder System, Inc.		31.93%2.11%38.36%50.32%27.02%8.81%
MKL
Markel Corporation		12.03%1.28%8.10%9.61%7.00%9.06%
USFD
US Foods Holding Corp.		37.26%1.22%23.57%68.05%9.57%N/A
TWLO
Twilio Inc.		-6.62%12.07%20.88%32.85%-6.78%N/A
MTCH
Match Group, Inc.		5.29%5.87%20.24%8.19%-12.20%8.75%
WMS
Advanced Drainage Systems, Inc.		12.17%3.19%0.69%44.48%35.03%23.32%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.32%3.15%5.42%-4.91%3.16%-1.13%11.49%2.22%0.32%18.76%
202314.97%-3.28%-2.94%-2.14%0.55%8.52%3.90%0.49%-5.94%-4.42%8.78%10.00%29.45%
2022-7.41%2.11%0.14%-11.52%1.90%-11.66%9.05%-2.91%-10.23%9.09%4.58%-5.67%-22.88%
2021-2.94%11.68%1.92%7.41%-0.73%1.49%2.64%-1.42%0.11%-1.10%-4.04%5.73%21.51%
20201.88%-11.46%-23.87%19.21%14.61%8.20%7.90%6.39%-2.59%3.10%16.25%7.06%45.67%
201911.71%3.34%0.58%8.01%-2.90%10.26%3.63%0.61%-0.29%-1.04%1.25%3.44%44.68%
20184.08%1.61%4.35%0.54%4.43%1.07%1.70%10.69%0.56%-8.74%5.60%-8.24%17.23%
20173.76%1.07%-0.54%2.28%-3.81%1.77%1.01%3.02%3.93%2.42%3.22%-0.84%18.41%
20161.64%2.56%-1.21%5.73%-8.60%4.21%1.21%4.96%

Expense Ratio

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

Risk-Adjusted Performance Rank

The current rank of ESG-нейтральный портфель is 26, 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 ESG-нейтральный портфель is 2626
Combined Rank
The Sharpe Ratio Rank of ESG-нейтральный портфель is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of ESG-нейтральный портфель is 3131Sortino Ratio Rank
The Omega Ratio Rank of ESG-нейтральный портфель is 2323Omega Ratio Rank
The Calmar Ratio Rank of ESG-нейтральный портфель is 2525Calmar Ratio Rank
The Martin Ratio Rank of ESG-нейтральный портфель is 2626Martin 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.

ESG-нейтральный портфель
Sharpe ratio
The chart of Sharpe ratio for ESG-нейтральный портфель, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ESG-нейтральный портфель, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Omega ratio
The chart of Omega ratio for ESG-нейтральный портфель, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.802.001.38
Calmar ratio
The chart of Calmar ratio for ESG-нейтральный портфель, currently valued at 1.74, compared to the broader market0.002.004.006.008.0010.0012.001.74
Martin ratio
The chart of Martin ratio for ESG-нейтральный портфель, currently valued at 12.21, compared to the broader market0.0010.0020.0030.0040.0050.0012.21
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.84, compared to the broader market-2.000.002.004.006.003.84
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.54, compared to the broader market0.002.004.006.008.0010.0012.002.54
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.73, compared to the broader market0.0010.0020.0030.0040.0050.0018.73
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UHS
Universal Health Services, Inc.		3.324.291.573.7521.04
SAH
Sonic Automotive, Inc.		0.621.291.140.932.86
SR
Spire Inc.		0.831.301.160.602.86
CRVL
CorVel Corporation		1.852.521.323.168.16
R
Ryder System, Inc.		1.852.601.333.7112.74
MKL
Markel Corporation		0.270.471.080.391.20
USFD
US Foods Holding Corp.		2.943.551.513.9619.90
TWLO
Twilio Inc.		0.691.111.160.301.38
MTCH
Match Group, Inc.		0.220.571.080.100.62
WMS
Advanced Drainage Systems, Inc.		1.131.881.221.254.49

Sharpe Ratio

The current ESG-нейтральный портфель Sharpe ratio is 2.04. 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 2.19 to 3.02, 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 ESG-нейтральный портфель 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.21
2.89
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

ESG-нейтральный портфель granted a 0.94% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
ESG-нейтральный портфель0.94%1.00%1.01%0.87%0.92%1.21%1.55%0.75%0.77%0.75%0.57%0.62%
Portfolio components:
UHS
Universal Health Services, Inc.		0.34%0.52%0.57%0.62%0.15%0.42%0.34%0.35%0.38%0.33%0.27%0.25%
SAH
Sonic Automotive, Inc.		2.12%2.06%2.09%0.93%1.04%1.29%1.74%1.08%0.87%0.49%0.37%0.41%
SR
Spire Inc.		4.63%4.68%4.03%4.04%3.93%2.88%3.08%2.84%3.09%3.15%3.35%3.77%
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.		1.97%2.31%2.87%2.77%3.63%4.05%4.40%2.14%2.28%2.75%1.53%1.76%
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%4.68%0.00%0.00%0.00%0.00%0.00%
WMS
Advanced Drainage Systems, Inc.		0.38%0.38%0.57%0.31%0.43%3.47%1.24%1.09%1.08%0.76%0.17%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.41%
0
ESG-нейтральный портфель
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the ESG-нейтральный портфель. 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 ESG-нейтральный портфель was 45.97%, occurring on Mar 23, 2020. Recovery took 79 trading sessions.

The current ESG-нейтральный портфель drawdown is 0.78%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.97%Jan 21, 202044Mar 23, 202079Jul 15, 2020123
-31.98%Oct 22, 2021233Sep 26, 2022373Mar 21, 2024606
-19.5%Sep 19, 201867Dec 24, 201859Mar 21, 2019126
-13.55%Sep 29, 201626Nov 3, 201655Jan 25, 201781
-9.59%Apr 1, 202414Apr 18, 202418May 14, 202432

Volatility

Volatility Chart

The current ESG-нейтральный портфель volatility is 3.61%, 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%8.00%MayJuneJulyAugustSeptemberOctober
3.61%
2.56%
ESG-нейтральный портфель
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.
TWLOSRMTCHCRVLMKLSAHUHSUSFDWMSR
TWLO1.000.060.430.220.160.180.150.220.300.23
SR0.061.000.080.310.330.240.300.270.240.23
MTCH0.430.081.000.220.200.210.180.260.320.27
CRVL0.220.310.221.000.350.290.370.310.340.34
MKL0.160.330.200.351.000.300.350.360.350.38
SAH0.180.240.210.290.301.000.360.370.400.48
UHS0.150.300.180.370.350.361.000.390.350.41
USFD0.220.270.260.310.360.370.391.000.350.40
WMS0.300.240.320.340.350.400.350.351.000.45
R0.230.230.270.340.380.480.410.400.451.00
The correlation results are calculated based on daily price changes starting from Jun 24, 2016