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Portfolio

Last updated Oct 3, 2023

Asset Allocation


AMZN 13%ODFL 12%ZTS 11%BUD 8%NKE 8%JD 7%BABA 7%ENPH 7%CPNG 6%DIS 6%BX 5%WIRE 5%EL 5%EquityEquity
PositionCategory/SectorWeight
AMZN
Amazon.com, Inc.
Consumer Cyclical13%
ODFL
Old Dominion Freight Line, Inc.
Industrials12%
ZTS
Zoetis Inc.
Healthcare11%
BUD
Anheuser-Busch InBev SA/NV
Consumer Defensive8%
NKE
NIKE, Inc.
Consumer Cyclical8%
JD
JD.com, Inc.
Consumer Cyclical7%
BABA
Alibaba Group Holding Limited
Consumer Cyclical7%
ENPH
Enphase Energy, Inc.
Technology7%
CPNG
Coupang, Inc.
Consumer Cyclical6%
DIS
The Walt Disney Company
Communication Services6%
BX
The Blackstone Group Inc.
Financial Services5%
WIRE
Encore Wire Corporation
Industrials5%
EL
The Estee Lauder Companies Inc.
Consumer Defensive5%

Performance

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


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
-3.36%
4.84%
Portfolio
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%4.58%11.69%16.58%3.38%N/A
Portfolio -6.86%-4.98%3.24%5.72%-4.41%N/A
AMZN
Amazon.com, Inc.
-6.27%24.54%54.12%11.72%-6.96%N/A
ZTS
Zoetis Inc.
-10.28%3.84%18.66%15.14%5.77%N/A
ODFL
Old Dominion Freight Line, Inc.
-7.41%22.93%42.56%54.65%25.10%N/A
JD
JD.com, Inc.
-14.75%-29.51%-47.46%-40.44%-34.75%N/A
BABA
Alibaba Group Holding Limited
-8.93%-14.09%-1.77%7.56%-33.00%N/A
ENPH
Enphase Energy, Inc.
-9.24%-42.31%-55.90%-59.23%-12.70%N/A
BUD
Anheuser-Busch InBev SA/NV
-4.91%-18.65%-9.86%18.04%-4.82%N/A
NKE
NIKE, Inc.
-7.62%-23.04%-18.42%12.12%-13.66%N/A
BX
The Blackstone Group Inc.
2.56%34.25%48.28%28.43%19.94%N/A
CPNG
Coupang, Inc.
-11.44%3.99%15.30%-2.97%-34.11%N/A
WIRE
Encore Wire Corporation
8.04%5.41%31.00%48.78%44.68%N/A
DIS
The Walt Disney Company
0.04%-17.98%-6.00%-15.92%-29.11%N/A
EL
The Estee Lauder Companies Inc.
-11.32%-40.92%-41.60%-33.67%-23.50%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20233.16%-3.88%-5.29%7.81%5.46%-3.78%-5.55%

Sharpe Ratio

The current Portfolio Sharpe ratio is 0.26. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.26

The Sharpe ratio of Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00MayJuneJulyAugustSeptemberOctober
0.26
1.04
Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

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


TTM20222021202020192018201720162015201420132012
Portfolio 0.77%0.84%0.39%0.42%0.72%1.22%1.10%1.24%1.31%1.02%0.86%0.77%
AMZN
Amazon.com, 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%
ZTS
Zoetis Inc.
0.84%0.89%0.42%0.49%0.51%0.61%0.61%0.74%0.73%0.71%0.64%0.00%
ODFL
Old Dominion Freight Line, Inc.
0.37%0.42%0.22%0.35%0.55%0.65%0.47%0.00%0.00%0.00%0.00%0.00%
JD
JD.com, Inc.
2.06%2.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BABA
Alibaba Group Holding Limited
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ENPH
Enphase Energy, 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%
BUD
Anheuser-Busch InBev SA/NV
1.54%0.67%1.01%0.83%2.54%4.09%3.15%3.41%2.98%2.83%2.86%1.84%
NKE
NIKE, Inc.
1.44%1.08%0.69%0.73%0.93%1.16%1.25%1.40%1.01%1.14%1.23%1.64%
BX
The Blackstone Group Inc.
3.19%6.84%2.96%3.28%3.95%9.78%9.39%11.75%15.09%9.43%6.53%6.15%
CPNG
Coupang, 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%
WIRE
Encore Wire Corporation
0.04%0.06%0.04%0.17%0.14%0.16%0.17%0.19%0.16%0.22%0.19%0.27%
DIS
The Walt Disney Company
0.00%0.00%0.00%0.00%1.22%1.59%1.55%1.49%1.38%1.31%1.22%1.66%
EL
The Estee Lauder Companies Inc.
1.84%1.00%0.60%0.58%0.89%1.26%1.16%1.74%1.26%1.21%1.09%1.35%

Expense Ratio

The Portfolio 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
AMZN
Amazon.com, Inc.
0.33
ZTS
Zoetis Inc.
0.53
ODFL
Old Dominion Freight Line, Inc.
1.66
JD
JD.com, Inc.
-0.77
BABA
Alibaba Group Holding Limited
0.19
ENPH
Enphase Energy, Inc.
-1.03
BUD
Anheuser-Busch InBev SA/NV
0.82
NKE
NIKE, Inc.
0.01
BX
The Blackstone Group Inc.
0.76
CPNG
Coupang, Inc.
0.08
WIRE
Encore Wire Corporation
1.32
DIS
The Walt Disney Company
-0.50
EL
The Estee Lauder Companies Inc.
-0.89

Asset Correlations Table

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

BUDENPHWIRECPNGJDBABAZTSODFLAMZNDISNKEELBX
BUD1.000.170.270.260.260.290.310.280.360.420.360.390.40
ENPH0.171.000.260.320.340.290.290.320.390.320.350.370.39
WIRE0.270.261.000.220.240.210.340.480.330.440.430.400.46
CPNG0.260.320.221.000.390.440.280.310.410.410.370.340.38
JD0.260.340.240.391.000.770.240.210.330.330.330.380.32
BABA0.290.290.210.440.771.000.240.200.360.360.360.390.31
ZTS0.310.290.340.280.240.241.000.510.460.420.510.470.48
ODFL0.280.320.480.310.210.200.511.000.430.420.510.510.55
AMZN0.360.390.330.410.330.360.460.431.000.550.540.510.58
DIS0.420.320.440.410.330.360.420.420.551.000.550.520.58
NKE0.360.350.430.370.330.360.510.510.540.551.000.630.55
EL0.390.370.400.340.380.390.470.510.510.520.631.000.58
BX0.400.390.460.380.320.310.480.550.580.580.550.581.00

Drawdowns Chart

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


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%MayJuneJulyAugustSeptemberOctober
-26.88%
-10.59%
Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Portfolio . 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 Portfolio is 35.12%, recorded on May 11, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.12%Nov 17, 2021121May 11, 2022
-9.05%Sep 8, 202119Oct 4, 202111Oct 19, 202130
-6.11%Apr 28, 202112May 13, 202127Jun 22, 202139
-5.31%Jul 14, 202127Aug 19, 20219Sep 1, 202136
-4.68%Mar 16, 20218Mar 25, 202110Apr 9, 202118

Volatility Chart

The current Portfolio volatility is 3.89%, 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%MayJuneJulyAugustSeptemberOctober
3.89%
3.15%
Portfolio
Benchmark (^GSPC)
Portfolio components