ESG-нейтральный портфель

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

ESG-нейтральный портфель

Currency in USD · Last updated May 11, 2025

Asset Allocation

Position	Category/Sector	Target Weight
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%

Benchmark

Rebalance

Performance

Performance Chart

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

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-3.77%	7.44%	-5.60%	8.37%	14.12%	10.46%
ESG-нейтральный портфель	1.13%	6.59%	1.61%	17.65%	20.98%	N/A
Portfolio components:
UHS Universal Health Services, Inc.	1.43%	1.99%	-12.21%	2.48%	13.62%	4.70%
SAH Sonic Automotive, Inc.	3.04%	9.13%	1.57%	14.24%	26.58%	12.18%
SR Spire Inc.	11.22%	0.01%	18.43%	26.29%	5.28%	7.62%
CRVL CorVel Corporation	1.12%	-2.08%	-5.98%	29.33%	45.92%	25.54%
R Ryder System, Inc.	-7.13%	4.57%	-10.08%	16.96%	38.25%	7.71%
MKL Markel Corporation	10.14%	7.83%	15.18%	15.07%	17.29%	9.43%
USFD US Foods Holding Corp.	6.29%	14.50%	7.19%	30.82%	31.22%	N/A
TWLO Twilio Inc.	-2.21%	23.28%	14.52%	75.86%	-10.78%	N/A
MTCH Match Group, Inc.	-15.91%	-3.21%	-10.00%	-10.38%	-19.27%	N/A
WMS Advanced Drainage Systems, Inc.	-0.17%	11.45%	-15.14%	-32.87%	24.04%	15.71%

*Annualized

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.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	9.36%	-4.32%	-5.27%	-1.19%	3.27%								1.13%
2024	-2.32%	3.15%	5.42%	-4.91%	3.16%	-1.13%	11.49%	2.22%	0.32%	-1.44%	12.19%	-5.31%	23.32%
2023	14.97%	-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%
2020	1.88%	-11.46%	-23.87%	19.21%	14.61%	8.20%	7.90%	6.39%	-2.59%	3.10%	16.25%	7.06%	45.67%
2019	11.71%	3.34%	0.58%	8.01%	-2.90%	10.26%	3.63%	0.61%	-0.29%	-1.04%	1.25%	3.44%	44.68%
2018	4.08%	1.61%	4.35%	0.54%	4.43%	1.07%	1.70%	10.69%	0.56%	-8.74%	5.60%	-8.24%	17.23%
2017	3.76%	1.08%	-0.54%	2.28%	-3.81%	1.77%	1.01%	3.02%	3.93%	2.42%	3.22%	-0.84%	18.42%
2016						1.64%	2.56%	-1.21%	5.73%	-8.60%	4.22%	1.21%	4.96%

Expense Ratio

ESG-нейтральный портфель has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ESG-нейтральный портфель is 73, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
UHS Universal Health Services, Inc.	0.09	0.54	1.07	0.22	0.44
SAH Sonic Automotive, Inc.	0.37	0.88	1.11	0.60	1.53
SR Spire Inc.	1.33	1.79	1.25	1.33	6.78
CRVL CorVel Corporation	0.89	1.58	1.19	1.69	3.58
R Ryder System, Inc.	0.52	1.03	1.13	0.76	2.12
MKL Markel Corporation	0.69	1.30	1.17	0.96	2.59
USFD US Foods Holding Corp.	1.26	2.10	1.28	2.29	6.60
TWLO Twilio Inc.	1.56	1.98	1.28	0.76	4.06
MTCH Match Group, Inc.	-0.25	-0.17	0.98	-0.15	-0.96
WMS Advanced Drainage Systems, Inc.	-0.86	-1.07	0.87	-0.68	-1.21

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

ESG-нейтральный портфель Sharpe ratios as of May 11, 2025 (values are recalculated daily):

1-Year: 0.85
5-Year: 0.88
All Time: 0.77

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of ESG-нейтральный портфель compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

ESG-нейтральный портфель provided a 1.07% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.07%	0.94%	1.00%	1.01%	0.87%	0.92%	1.21%	1.55%	0.76%	0.77%	0.75%	0.57%
Portfolio components:
UHS Universal Health Services, Inc.	0.44%	0.45%	0.52%	0.57%	0.62%	0.15%	0.42%	0.34%	0.35%	0.38%	0.33%	0.27%
SAH Sonic Automotive, Inc.	2.00%	1.97%	2.06%	2.09%	0.93%	1.04%	1.29%	1.74%	1.08%	0.87%	0.49%	0.37%
SR Spire Inc.	4.13%	4.50%	4.68%	4.03%	4.04%	3.93%	2.88%	3.08%	2.84%	3.09%	3.15%	3.35%
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.	2.17%	1.94%	2.31%	2.87%	2.77%	3.63%	4.05%	4.40%	2.14%	2.28%	2.75%	1.53%
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.	1.40%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	4.68%	0.00%	0.00%	0.00%	0.00%
WMS Advanced Drainage Systems, Inc.	0.56%	0.54%	0.38%	0.57%	0.31%	0.43%	3.48%	1.28%	1.13%	1.12%	0.79%	0.17%

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.

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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 8.81%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-45.97%	Jan 21, 2020	44	Mar 23, 2020	79	Jul 15, 2020	123
-31.98%	Oct 22, 2021	233	Sep 26, 2022	373	Mar 21, 2024	606
-19.5%	Sep 19, 2018	67	Dec 24, 2018	59	Mar 21, 2019	126
-18.27%	Feb 7, 2025	42	Apr 8, 2025	—	—	—
-13.55%	Sep 29, 2016	26	Nov 3, 2016	55	Jan 25, 2017	81

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	SR	TWLO	MTCH	CRVL	UHS	MKL	SAH	USFD	WMS	R	Portfolio
^GSPC	1.00	0.31	0.46	0.46	0.44	0.45	0.50	0.43	0.50	0.56	0.56	0.74
SR	0.31	1.00	0.07	0.10	0.31	0.30	0.34	0.24	0.27	0.24	0.23	0.40
TWLO	0.46	0.07	1.00	0.42	0.22	0.15	0.18	0.20	0.24	0.30	0.24	0.56
MTCH	0.46	0.10	0.42	1.00	0.23	0.18	0.22	0.23	0.26	0.33	0.28	0.58
CRVL	0.44	0.31	0.22	0.23	1.00	0.37	0.35	0.30	0.31	0.34	0.34	0.56
UHS	0.45	0.30	0.15	0.18	0.37	1.00	0.36	0.35	0.38	0.35	0.40	0.56
MKL	0.50	0.34	0.18	0.22	0.35	0.36	1.00	0.30	0.37	0.35	0.38	0.54
SAH	0.43	0.24	0.20	0.23	0.30	0.35	0.30	1.00	0.37	0.41	0.48	0.64
USFD	0.50	0.27	0.24	0.26	0.31	0.38	0.37	0.37	1.00	0.35	0.40	0.59
WMS	0.56	0.24	0.30	0.33	0.34	0.35	0.35	0.41	0.35	1.00	0.46	0.66
R	0.56	0.23	0.24	0.28	0.34	0.40	0.38	0.48	0.40	0.46	1.00	0.66
Portfolio	0.74	0.40	0.56	0.58	0.56	0.56	0.54	0.64	0.59	0.66	0.66	1.00

The correlation results are calculated based on daily price changes starting from Jun 24, 2016

Performance Analysis

Risk Analysis

Optimization

Factor Model

ESG-нейтральный портфель

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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Screeners

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