Portfolio
Asset Allocation
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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 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 |
| Portfolio components: | ||||||
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 |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 3.16% | -3.88% | -5.29% | 7.81% | 5.46% | -3.78% | -5.55% |
Dividend yield
Portfolio granted a 0.77% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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
| BUD | ENPH | WIRE | CPNG | JD | BABA | ZTS | ODFL | AMZN | DIS | NKE | EL | BX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BUD | 1.00 | 0.17 | 0.27 | 0.26 | 0.26 | 0.29 | 0.31 | 0.28 | 0.36 | 0.42 | 0.36 | 0.39 | 0.40 |
| ENPH | 0.17 | 1.00 | 0.26 | 0.32 | 0.34 | 0.29 | 0.29 | 0.32 | 0.39 | 0.32 | 0.35 | 0.37 | 0.39 |
| WIRE | 0.27 | 0.26 | 1.00 | 0.22 | 0.24 | 0.21 | 0.34 | 0.48 | 0.33 | 0.44 | 0.43 | 0.40 | 0.46 |
| CPNG | 0.26 | 0.32 | 0.22 | 1.00 | 0.39 | 0.44 | 0.28 | 0.31 | 0.41 | 0.41 | 0.37 | 0.34 | 0.38 |
| JD | 0.26 | 0.34 | 0.24 | 0.39 | 1.00 | 0.77 | 0.24 | 0.21 | 0.33 | 0.33 | 0.33 | 0.38 | 0.32 |
| BABA | 0.29 | 0.29 | 0.21 | 0.44 | 0.77 | 1.00 | 0.24 | 0.20 | 0.36 | 0.36 | 0.36 | 0.39 | 0.31 |
| ZTS | 0.31 | 0.29 | 0.34 | 0.28 | 0.24 | 0.24 | 1.00 | 0.51 | 0.46 | 0.42 | 0.51 | 0.47 | 0.48 |
| ODFL | 0.28 | 0.32 | 0.48 | 0.31 | 0.21 | 0.20 | 0.51 | 1.00 | 0.43 | 0.42 | 0.51 | 0.51 | 0.55 |
| AMZN | 0.36 | 0.39 | 0.33 | 0.41 | 0.33 | 0.36 | 0.46 | 0.43 | 1.00 | 0.55 | 0.54 | 0.51 | 0.58 |
| DIS | 0.42 | 0.32 | 0.44 | 0.41 | 0.33 | 0.36 | 0.42 | 0.42 | 0.55 | 1.00 | 0.55 | 0.52 | 0.58 |
| NKE | 0.36 | 0.35 | 0.43 | 0.37 | 0.33 | 0.36 | 0.51 | 0.51 | 0.54 | 0.55 | 1.00 | 0.63 | 0.55 |
| EL | 0.39 | 0.37 | 0.40 | 0.34 | 0.38 | 0.39 | 0.47 | 0.51 | 0.51 | 0.52 | 0.63 | 1.00 | 0.58 |
| BX | 0.40 | 0.39 | 0.46 | 0.38 | 0.32 | 0.31 | 0.48 | 0.55 | 0.58 | 0.58 | 0.55 | 0.58 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2021 | 121 | May 11, 2022 | — | — | — |
| -9.05% | Sep 8, 2021 | 19 | Oct 4, 2021 | 11 | Oct 19, 2021 | 30 |
| -6.11% | Apr 28, 2021 | 12 | May 13, 2021 | 27 | Jun 22, 2021 | 39 |
| -5.31% | Jul 14, 2021 | 27 | Aug 19, 2021 | 9 | Sep 1, 2021 | 36 |
| -4.68% | Mar 16, 2021 | 8 | Mar 25, 2021 | 10 | Apr 9, 2021 | 18 |
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.